EFTA01457136.pdf

db Index Development In (k) (sin 2(Tg4.1 - 7.12.4 d2_ In Gt) r -4(sterak+i- CfrOA+1- t a ide is the after cost implied volatility of the relevant option and it is obtained from the implied volatility of the relevant exchange traded option as = cr, - !um( 4%*cr„0.79/0) Where, eye is the volatility of the call option which has strike K, and is calculated using standard Black's model. K, = Option strike. It is the integer value closest to the at the money forward future price on the rebalance date r. For avoidance of any doubt, the strike will be rounded up in case of a tie. Main index Calculation DB Commodity WTI Short Volatility II Index is calculated on each valid London city business day as follows. IL(t, Q ER) = IL(t - I,ER)+±[1(t,t,ER) - 1(41-1,ER)ix N(t -1,i) i=I Where: IL(LER) = Index level of DB Commodity WTI Short Volatility II Index on day t l(ktER) = Index level of sub index ion day t N(t,i) = Notional holdings of sub index i on day t Notional Holdings The index rebalances on the option expiry date of Z contract of WTI Crude every year. On any other day the notional holdings remain constant, N(t,i)= NO -1,1) It t is the rebalancing date ER) N(1,i) - IL(1' 3 (/(i,1,ER) •4• CONFIDENTIAL — PURSUANT TO FED. R CRIM. P. 6(e) DB-SDNY-0116548 CONFIDENTIAL SDNY_GM_00262732 EFTA01457136