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3 December 2013 US Derivatives Spotlight [Figure 29: Simulated PIL of 36M options after l2tv1 have passed under different rate and spot change scenarios (assumes vols slide down the curve) ti ee 2 I Figure 30: Simulated P/L of I8M options after 12M have passed under different rate and spot change scenarios assumes vols slide down the curve) .10% 4% %Menge in Spot 0% 5% 10% .10% -5% Change In Spot 0% 6% 10% -050 .64% 46% .25% 0% 29% •0.50 92% -77% 49% -7% 48% 0.00 -61% 43% -21% 5% 35% ti 0.00 91% -76% 47% 4% 51% 0.50 49% 40% -17% 10% 40% 0.50 -91% -75% -46% -2% 54% 1.00 -56% -37% -13% 15% 46% 1.00 -90% .74% 44% 0% 57% 1.50 2.00 -54% -51% 34% 30% 4% -6% 19% 24% 52% 57% I 1.50 2.00 -90% -89% -73% -72% 42% 41% 3% 5% 60% 63% 2.50 48% -27% -1% 29% 63% 2.50 -89% -31% 39% 8% 66% Scant Dane** Sent San* Oatithe an Psi - dividend yield sensitivity The call's price sensitivity to dividend yield changes is slightly higher than its rate sensitivity since dividend yield changes only affect the forward and not the discount rate. However, dividend yields do not vary as much as rates: we can see in Figure 7, the SPX implied dividend yield has been between 1.6% and 2.8% historically. Figure 31 and Figure 32 show the simulated P/Ls under different rate and dividend yield change scenarios after one year has passed in he life of the trade, all else equal. Not surprisingly, the dividend yield impact is larger for longer-dated options. Figure 31: Simulated PA. of 36M options after 12M have passed tinder different dividend yield and spot change scenarios (assumes vols slide down the curve) IFigure 32: Simulated P/L of 18M options after 12M have !passed under different dividend yield and spot change scenarios (assumes vols slide down the curve) change In Spot Change In Spot 0% -10% 4% 6% 10% •10% 4% 0% 6% 10% 476 -57% -38% 44% 13% 44% 475 91% -74% 45% -1% 55% 450 .58% 40% -17% 10% 41% 460 91% -75% 48% -2% 54% 422 -60% 41% -19% 8% 38% -0.25 -91% -75% 47% -3% 52% 0.00 -61% 43% -21% 6% 35% 0.00 91% -76% -47% 4% 51% 0.25 43% 45% -24% 2% 32% 025 .91% -76% 48% .6% 50% a 0.50 0.75 .64% 44% 47% 49% -26% -28% 0% 3% 29% 26% a 0.50 0.75 -92% -92% -77% -77% 49% -50% .7% 4% 413% 47% Sinn DatSOM Sr* Deutsche Bank Securities Inc. attaat• ant Page 15 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055599 CONFIDENTIAL SDNY_GM_00201783 EFTA01365013