FRR 2016 ANNUAL REPORT70

INDEX CALL OPTIONS in euros

Stock code Name of stock Fininfo Quantity Strike price Support price

Delta (Mid)

Commitment value (value of the underlying)

OSPX0317C-2 S&P 500 C 1703 2275.00 -2,406.00 2,275.00 2,238.83 0.380 -194,066,601.73 OSPX0317C-3 S&P 500 C 1703 2345.00 -2,303.00 2,345.00 2,238.83 0.161 -78,703,019.64

TOTAL, BY ABSOLUTE VALUE 272,769,621.377

INDEX PUT OPTIONS in euros

Stock code Name of stock Fininfo Quantity Strike price Support price

Delta (Mid)

Commitment value (value of the underlying)

OSPX0317P-3 S&P 500 P 1703 2150.00 2,406.00 2,150.00 2,238.83 -0.287 -146,571,354.46 OSPX0317P-4 S&P 500 P 1703 2025.00 -2,406.00 2,025.00 2,238.83 -0.130 66,391,205.86 OSPX0317P-5 S&P 500 P 1703 2065.00 -2,303.00 2,065.00 2,238.83 -0.168 82,124,890.05 OSPX0317P-6 S&P 500 P 1703 2210.00 2,303.00 2,210.00 2,238.83 -0.419 -204,823,386.50

TOTAL, BY ABSOLUTE VALUE 499,910,836.87

Stock code Name of stock Fininfo Quantity Strike price Support price

Delta (Mid)

Commitment value (value of the underlying)

OESX0317P-1 EURO STOXX 50 P 1703 3175.00 15,356.00 3,175.00 3,290.52 -0.343 -173,315,242.16 OESX0317P-2 EURO STOXX 50 P 1703 2950.00 -15,356.00 2,950.00 3,290.52 -0.149 75,288,545.43

TOTAL, BY ABSOLUTE VALUE 248,603,787.59