EFTA01365344.pdf

3 December 2013 US Derivatives Spotlight Relative magnitude of risks We now compare the impact on current SPX call premium from an instantaneous change in spot, implied volatility, rates, and dividend yields. Delta risk remains the prominent driver of PA.. Please note that the parameters have been 'bumped' by different amounts to roughly scale the relative movement of these parameters. For instance a 1% move in spot generally sees a much smaller than 100bp change in 36M fixed-strike volatility. Also, we have bumped the parameters in a parallel fashion across the term structure, even though short-dated vols are more volatile. iFigure 33: Sensitivity of current premix for different moves in parameters 8% 1 7% g 6% •18M % 5% U • 36M 1— 4% 60M Spot up 1% Vots up 15bps Rates up 10bps Div Yields Down stps Sawa, aaarn- Sent Page 16 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056050 CONFIDENTIAL SDNY_GM_00202234 EFTA01365344