December, 2015

UBS Star Helios Certificate

UBS Star Helios Certificate is a unique instrument that gives access to the most reputable hedge funds with low volatility performance indicators and stable returns. Issued by UBS, the Certificate provides a privileged access to carefully selected hedge funds that are normally available only to institutional and other large professional . The combination of several strategies allows a consistent portfolio return regardless of market volatility. Investment features:  Target return net of fees : 12% - 16% p.a.;  2x leverage provided by UBS at very low cost (Euribor + 1.4% p.a.) enables to increase significantly investors’ profit. Leverage at such favorable conditions is only available as part of the Certificate;  Access to more than 30 hedge funds and funds of hedge funds with top reputation, strong track record and uncorrelated strategies to minimize risks;  Low correlation to equity, fixed income and commodities indices.

UBS Star Helios Certificate Investment Portfolio The core part of the portfolio, 50%, is invested into Areca Sicav SIF – Value Discovery, a well-diversified fund of hedge funds managed by Swiss Ayaltis AG with 25 positions. 10% Areca Value Discovery The other components of the portfolio focus opportunistically on 10% Clinton Equity Strategies hedge fund strategies and consists of 4 liquid hedge-funds – Millenium International Fund Clinton Equity Strategies, Millennium International Fund, Global 10% 50% Sigma Plus, H2O Force10. 10% is allocated in cash for liquidity Global Sigma Plus purposes. 10% H2O Force10 10% Cash

Certificate portfolio target allocation

UBS Star Helios Certificate Structure : 1.00% p.a. Issuer: UBS (no issuer risk) Performance Fee: 10% p.a. with high watermark Leverage: 2x Certificate Fee: up to 0.80% p.a. Tax Status: German tax transparent Subscription: Monthly, 5 days notice Listing: Vienna Stock Exchange Redemption: Monthly, 90 days notice Exclusive distributor for Russia EuroTrust and CIS countries: Minimum Investment: EUR 100 000/USD 100 000 Investment Manager: PP Asset Management GmbH (Germany) Subsequent Investment: EUR/USD 10 000 Investment Advisors: Ayaltis AG (Switzerland) and EuroTrust (Russia)

December, 2015

UBS Star Helios Certificate

UBS Star Helios Certificate Key Statistics Simulation Performance Statistics from (31-Dec-2008 to 30-Sep-2015)

tar MSCI Index Index Value Value Areca Areca World World Global TR USD UBS S UBS Discovery Certificate Index RTS Agg. Bond Bond Agg. JP Morgan Morgan JP Composite Composite Cumulative Return, p.a. 15.1% 8.1% 8.7% 3.6% 3.7% 2.63% Return over Libor USD 1m (DB:Index), p.a. 14.9% 7.8% 8.5% 3.4% 3.4% 2.33% Standard Deviation, p.a. 7.3% 4.2% 15.6% 5.6% 4.1% 9.80% % Positive Months 74.4% 73.2% 57.3% 63.4% 64.6% 48.80% Sharpe Ratio (Libor USD 1m (DB:Index)), p.a. 1.95 1.80 0.60 0.62 0.85 1.03 Omega (Libor USD 1m (DB:Index)), p.a. 3.83 3.52 1.55 1.63 1.83 - Best Month 7.0% 3.4% 10.9% 6.6% 3.3% 31% Worst Month -4.5% -2.6% -10.5% -3.9% -2.8% -22% Maximum Drawdown -5.9% -5.5% -20.5% -6.1% -7.7% -18.69% , p.a. 5% 14% 13% 12% -55% Beta 1.23 0.07 0.43 0.66 1.01 Downside Beta -0.24 0.06 0.43 0.47 0.6 Definitions: Cumulative return – the rate of return, usually expressed as a percentage, that represents the cumulative effect that a series of gains or losses have on an original amount of capital. Standard deviation – applied to the annual rate of return of an investment to measure the investment's volatility Shape ratio – the average return earned in excess of the risk-free rate per unit of volatility or total risk. The higher the value, the more excess return investors can expect to receive for the extra volatility they are exposed to by holding a riskier asset.

UBS Star Helios Certificate Performance Simulation Performance Simulation: 12/2008 – 09/2015 net of 4% cost. Data shown in italics for the period 01/2007 – 11/2008 is a backtrack of Areca Value Discovery based on its initial portfolio allocation in December 2008.

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD 2015 3.96% 1.45% 1.11% -3.22% 1.30% -0.99% 1.75% -3.78% 0.86% 2.21% 2014 3.12% 3.21% 0.90% -0.09% 2.67% 1.67% -0.58% 2.69% 0.18% -0.80% 3.03% 1.74% 19.05% 2013 1.40% 1.98% 2.42% 3.13% -3.10% -2.91% 0.67% -0.62% 1.87% 3.42% 2.90% 1.74% 13.37% 2012 0.73% 0.91% 0.50% 1.45% 1.25% -1.57% 4.55% 2.44% 1.12% -0.34% 2.49% 0.32% 14.62% 2011 -2.91% 4.52% 0.99% 7.01% 0.34% -0.64% 3.54% 1.92% -2.90% 0.89% 3.83% 3.66% 21.65% 2010 2.03% 1.54% 2.52% 2.16% 0.57% -0.81% -1.20% 2.44% 3.25% 2.21% -0.27% 1.61% 17.16% 2009 2.34% 0.91% -0.55% 4.47% 2.49% 1.59% 2.85% 1.27% 4.33% 0.81% 3.75% -0.39% 12.04% 2008 2.67% -0.23% -0.11% 1.19% 2.52% 3.51% -0.23% 0.33% 1.55% 0.56% 0.18% 3.56% 16.30% 2007 3.21% 1.65% 0.84% 1.64% 3.51% 4.84% 1.39% 1.17% 2.80% 2.16% 1.66% 4.42% 33.44%

December, 2015

UBS Star Helios Certificate

Major Certificate Portfolio Contributor Ayaltis AG Ayaltis is a provider of specialized funds of hedge funds focusing Headquarters: Zurich, Switzerland on dislocated relative value and niche hedge fund opportunities Foundation: October 2008 to create superior risk-adjusted returns. Ownership: Management, employees Ayaltis is independent and majority-owned by its partners, and strategic partners employees and strategic partners. Its client base is diversified and comprising mainly of institutional investors, family offices Assets Invested: USD 810 million and wealthy individuals. The goal is to create portfolios with asymmetric return profiles, i.e. of inexpensive options with significant upside and minimal downside risk.

Areca Value Discovery Areca Sicav SIF-Value Discovery Fund seeks to achieve Certificate portfolio target allocation superior, risk-adjusted performance over the long term through investments in dislocated relative value investment 13% Relative Value Credit opportunities. 21% Global Macro The core part of the fund invests in specialized hedge fund 15% strategies with asymmetric return profiles such as Relative Value Systematic Relative Value Long/Short Credit Credit, Event Driven and Distressed Credit. The other part of the 7% 25% fund invests in liquid relative value fixed income and global Event Driven macro strategies to take advantage from global macro 19% Distressed Securities dislocations, market momentum and liquidity flow. The objectives of the Value Discovery Fund are a return net of fees between 8%-12% p.a. over a three to five years investment horizon and a low volatility of < 5%.

December, 2015

UBS Star Helios Certificate

Certificate Portfolio Allocation Clinton Equity Strategies Return Analysis Life to Date Cumulative Return: 14.65% Assets Under Management: USD 573 M Life to Date Annualized Return: 21.39% The fund primarily uses a statistical arbitrage strategy, which Sharpe Ratio: 1.29 refers to a class of trading that depends on statistical and Monthly Average Return: 1.73% quantitative analysis to identify and exploit market inefficiencies and anomalies. The fund’s objective is to seek capital % of Months Positive since inception: 73.21% appreciation while minimizing risk so as to achieve high Country: USA risk-adjusted returns.

Millennium International Return Analysis Average Annualized net return: 14.65% Assets Under Management: USD 31.75 Billion Life to Date Annualized Return: 10.16% Millennium International has a 25+ year record of achieving Sharpe Ratio: 2.62 significant returns from investing in a portfolio of diverse and % of Months Positive since inception: 87.70% substantially uncorrelated strategies. The fund allocates capital across a diverse set of strategies as Relative Value Country: UK Fundamental Equity, Fixed Income and Statistical Arbitrage/Quantitative Strategies and others.

Global Sigma Return Analysis Average Annualized return: 25% Assets Under Management: USD 350 M Year to Date Return: 11.9% Global Sigma is one of the most active managers of the weekly Sharpe Ratio: 7.7 expiry S&P 500 options contract in the CTA industry. The fund % of Months Positive since inception: 100% was formed in late 2009 around the same time the weekly-expiry options contract on the S&P 500 was launched. The fund has a Country: USA model-driven, high turn-over, mean-reversion approach to the option markets.

H2O Asset Management Return Analysis Average Annualized net return: 18.12% Assets Under Management: more than USD 9 Billion % of Months Positive since inception: 71% H2O Asset Management aims to provide institutional, corporate Country: UK and private investors with privileged access to global macro strategies within UCITS funds.

December, 2015

UBS Star Helios Certificate Contact information

Evgeny Zandman Eric Schatzmann Director Managing Partner

Tel.: +7 495 727 63 60 Mob.: +7 985 787 07 12

Fax: +7 (495) 726-5110 E-mail: [email protected] 8 / 1, Presnenskaya emb., Moscow - City , Moscow, 123317, Russia