15. Although in this report the average volatility of each bucket is reported to be the same, generally each security is exposed to different points of the volatility surface. It is difficult to estimate a single point representing the reference point for each security hence this report is using the simplistic approach where all securities are exposed to the same point for parallel shift calculations. Since the total effect of implied volatility changes is captured using scenario-based returns breakdown this choice only affects the breakdown between the average volatility change and the reshaping components.

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