Cash Equity Risk Premia Portfolio TV5 Option Pricing* • Protection on equity portfolios can expensive relative to the expected return on a long equity position — e.g. a 2-year 90% option on the S&P 500 costs 6.9%, or over 3.4% per annum.* Maturity / Strike 90% Strike 85% Strike SPX 2 years 6.91% 3 years 9.27% 7.14% • However, the diversification between the strategies in the Cash Equity Risk Premia Portfolio TV5 allows protection on the Portfolio to be purchased relatively cost-efficiently. E.g. a 2-year 90% option costs 0.85%, or less than 0.45% per annum, versus backtested returns of —7% per annum on the index. ■ The table below summarizes the pricing of out-of-the-money put options on the Portfolio. ■ Pricing assumes the protection is purchased at the same time that investment in the index is made. If purchased separately, prices will be higher to reflect higher hedging costs. TV5 *Indicative pricing as of Dec 2016. Maturity / Strike 90% Strike 85% Strike 2 years 0.85% 3 years 1.45% 0.60% 14 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054964 CONFIDENTIAL SDNY_GM_00201148 EFTA01364428