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Control Variables
Rank
Option Contract
100 Shares
AN EX OGE
NOMBRE DE
JUL IO 2OO
El FONDO debe
σAnnual =
52
∑( x
i =1
i
52 −1
− x)2
52
Gestión de Riesg
Riesgos Opera
Com ité de M
Riesgos Opera
Com ité de M
i) Límite Máxim
(σ =12
incumplimiento
252 )
Negociador
• Meta de
indicando el m
• Prom
incumplimiento yed
• una
ofrecerá VaRdia
a los•límites
VaR topem
modo que consid
ii) Lpuedan
ímite Mser
áxim
Fondos
estrategia su
Por ejem plo
8. Diversifica :
• Cambio calc
• L ímite Máxi
a) Límites
• Distanc ia
cualqui
• VaRcual máximqu o
cualqui
cual qu
• Depósit
b) com pro
Límites
m om en
como u
• R eposic
siguient
• Inversio
Industr
• B onos
Público
(aunque
Informa
Ofic in
AN EX OGES
NOMBRE DEL
JUL IO 2OO8
El FONDO deberá
σAnnual =
52
∑( x
i =1
i
52 −1
− x) 2
52
Gestión de Riesgo
Riesgos Operati
Com ité de Mo
Riesgos Operati
Com ité de Mo
i) Límite Máximo
(σ =12
incumplimiento
252 )
Negociador
• Meta de l
indicando el mo
• Prom
incumplimiento yedio
• una
ofrecerá VaR diarre
a los•límites
VaR topems
modo que conside
ii) Lpuedan
ímite Mser
áximm
Fondos
estrategia suby
Por
8. ejem plo
Diversifica :
• Cambio calcu
• L ímite M áxim
a) Límites i
• Distanc ia d
cualquier
• VaRcual máxim o
quie
cualquier
cual quie
• Depósito
b) com prom
Límites
m om ento
como una
• R eposicio
siguiente
• Inversion
Industria
• B onos d
Públicos
(aunque
Informa
Ofic ina
Informe Gerencial - Riesgo de Mercado
25-Jun-10
Nivel actual Límite RMA test
Resumen
VaR 0.9% < 2.40% VNA (1) √
G&P (2) 25-Junio -0.80%
G&P Junio -2.30%
G&P 2010 -2.90% > -10% VNA √
G&P de high-watermark -2.90% > -20% VNA √
Volatilidad histórica anualizada 5.82% < 10% VNA
Max ABG (3) (x1,000,000) $200.0
Activos libres (x1,000,000)
(3)
$46.3 > $40 M √
Medidas de VaR
Días para límite máx de drawdown 8.3 Días > 3 Días √
Dias para máximo 20.0 Días > 3 Días √
Exposure
Límite total 50% < 250% VNA √
Límite neto 1% -20% a 70% VNA √
Liquidez
Activos libres / VaR 27.1 > 3 Días √
Activos libres / ABG 23% > 20% VNA √
% mín a liquidarse en menos de 10 días 100% > 85% Bruto √
Mayores posiciones illiquidas J #VALUE! ### 45 Días #VALUE!
I #VALUE! ### 45 Días #VALUE!
Concentración
Exposure por sector
#N/A #N/A ### 35% Neto #N/A
#N/A #N/A ### 35% Neto #N/A
#N/A #N/A ### 25% Neto #N/A
Exposure individual
I 16.3% > 10% VNA χ
P 15.9% > 10% VNA χ
J 11.7% > 10% VNA χ
D 10.4% > 10% VNA χ
(1)
Valor Neto de Activos (2)
Ganancias & Pérdidas (3)
Activos Bajo Gestión
Riesgo Apalancamiento Concentración Liquidez Máximas posiciones
25-Jun-10 25-Jun-10 25-Jun-10 25-Jun-10 25-Jun-10
Impacto
VaR Retorno VaR Marginal Ratio Sharpe 99% Marginal 99%_Vol_1D en G&P Días para Mkt Cap Días para
VNA = $131,000,000 FF 3 Factores 5 Industrias Mercado VaR Marginal Posiciones Larga Corta Neta Marginal Diario PE largo PE corto Activo (% VaR Total) Peso Implícito Vol_1D VaR Move % USD(x1,000,000) Activo Peso M VaR Vol_1D liquidar ($M) Sector Activo Peso M VaR Vol_1D liquidar Mkt Cap Sector
Intercepción (Momento)
Mercado (TPX - rf_R) Equity 0 #VALUE! #VALUE! #VALUE! #VALUE! J 1 8.6% 11.67% 2.29% -0.07% -0.27% -0.410 J 1 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria J 1 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria
Small - Big (SMB) (SML - BIG) Opciones D 2 8.2% 10.35% 2.05% -0.07% -0.21% -0.326 I 2 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros D 2 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros
Momento Momentum Calls 1 #VALUE! #VALUE! #VALUE! #VALUE! R 3 9.9% 8.76% 2.89% -0.08% -0.25% -0.389 P 3 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Industriales R 3 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Servicios
Value - Growth (HML) (IWD _ IWF) Puts 0 #VALUE! #VALUE! #VALUE! #VALUE! O 4 6.4% 8.70% 2.27% -0.06% -0.20% -0.303 D 4 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros O 4 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria
Análisis de…
G 5 0.6% 3.07% 2.25% -0.01% -0.07% -0.106 R 5 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Servicios G 5 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros
Industriales (IND - TPX) Exposure por magnitud N 6 1.6% 2.21% 2.82% -0.01% -0.06% -0.096 L 6 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Servicios 6
Financieros (FIN - TPX) Small Cap (<$1.6bn) 1 #VALUE! #VALUE! #VALUE! #VALUE! K 7 0.2% 1.57% 4.10% 0.00% -0.06% -0.099 G 7 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros 7
Servicios (SER - TPX) Mid Cap 0 #VALUE! #VALUE! #VALUE! #VALUE! A 8 0.4% 1.55% 2.73% 0.00% -0.04% -0.065 T 8 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria 8
Mineria (MIN - TPX) Large Cap (>$7bn) 0 #VALUE! #VALUE! #VALUE! #VALUE! F 9 0.3% 1.34% 2.00% 0.00% -0.03% -0.041 A 9 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros 9
Comunicaciones (TEL - TPX) Q 10 0.0% 0.75% 2.15% 0.00% -0.02% -0.025 N 10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros 10
Exposure por sector F 11 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria
R2 Industriales 0 #VALUE! #VALUE! #VALUE! #VALUE! E 11 -0.1% 0.30% 2.92% 0.00% 0.00% 0.000 O 12 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria 11
VaR Idiosincrático Financieros 1 #VALUE! #VALUE! #VALUE! #VALUE! H 12 0.0% -0.21% 3.16% 0.00% -0.01% -0.013 B 13 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria 12
VaR Servicios 0 #VALUE! #VALUE! #VALUE! #VALUE! M 13 0.3% -0.95% 4.14% 0.00% -0.01% -0.010 S 14 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Industriales 13
Mineria 0 #VALUE! #VALUE! #VALUE! #VALUE! B 14 0.3% -1.29% 2.39% 0.00% -0.04% -0.060 C 15 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros 14
Retorno de 4 Semanas Comunicaciones 0 #VALUE! #VALUE! #VALUE! #VALUE! C 15 0.3% -1.69% 3.27% 0.00% -0.03% -0.048 K 16 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Servicios 15
T 16 0.3% -1.91% 3.34% 0.00% -0.06% -0.085 M 17 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Servicios T 16 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Mineria
Exposure por país S 17 1.0% -2.25% 2.48% -0.01% -0.06% -0.098 Q 18 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Comunicaciones S 17 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Industriales
EE.UU. 1 #VALUE! #VALUE! #VALUE! #VALUE! L 18 7.5% -9.22% 3.21% -0.06% -0.06% -0.086 E 19 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Comunicaciones L 18 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Servicios
Gran Bretaña 0 #VALUE! #VALUE! #VALUE! #VALUE! P 19 24.5% -15.88% 2.45% -0.21% -0.30% -0.455 H 20 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros P 19 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Industriales
I 20 29.8% -16.31% 2.40% -0.26% -0.39% -0.598 I 20 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! Financieros
Posiciones Exposure bruto
Activos que requieren más de 10 días para liquidar #VALUE! #VALUE!
Sobrante después de 5 días de liquidación #VALUE! #VALUE!
Sobrante después de 10 días de liquidación #VALUE! #VALUE! < 15%
Sobrante después de 20 días de liquidación #VALUE! #VALUE!
5 10 20
1 #VALUE! #VALUE! #VALUE! #VALUE!
2 #VALUE! #VALUE! #VALUE! #VALUE!
3 #VALUE! #VALUE! #VALUE! #VALUE!
4 #VALUE! #VALUE! #VALUE! #VALUE!
5 #VALUE! #VALUE! #VALUE! #VALUE!
6 #VALUE! #VALUE! #VALUE! #VALUE!
7 #VALUE! #VALUE! #VALUE! #VALUE!
8 #VALUE! #VALUE! #VALUE! #VALUE!
9 #VALUE! #VALUE! #VALUE! #VALUE!
10 #VALUE! #VALUE! #VALUE! #VALUE!
11 #VALUE! #VALUE! #VALUE! #VALUE!
12 #VALUE! #VALUE! #VALUE! #VALUE!
13 #VALUE! #VALUE! #VALUE! #VALUE!
14 #VALUE! #VALUE! #VALUE! #VALUE!
15 #VALUE! #VALUE! #VALUE! #VALUE!
16 #VALUE! #VALUE! #VALUE! #VALUE!
17 #VALUE! #VALUE! #VALUE! #VALUE!
18 #VALUE! #VALUE! #VALUE! #VALUE!
19 #VALUE! #VALUE! #VALUE! #VALUE!
20 #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! Industriales #VALUE! #VALUE!
#VALUE! Financieros #VALUE! #VALUE!
#VALUE! Servicios #VALUE! #VALUE!
#VALUE! Mineria #VALUE! #VALUE!
#VALUE! Comunicaciones #VALUE! #VALUE!
20 Subyacente
Num Activo Industria Posición Last_Price Moneda
1 A Financieros 1,000 201.04 USD
2 B Mineria (100) 299.86 USD
3 C Financieros 500 122.03 USD
4 D Financieros (2,000) 104.06 USD
5 E Comunicaciones 10,000 46.10 USD
6 F Mineria 35,000 58.72 USD
7 G Financieros 25,000 188.49 USD
8 H Financieros (10,000) 32.21 USD
9 I Financieros (200,000) 78.33 GBP
10 J Mineria 150,000 119.59 USD
11 K Servicios 60,000 40.32 USD
12 L Servicios (110,000) 128.87 USD
13 M Servicios (15,000) 97.22 USD
14 N Financieros 25,000 136.07 USD
15 O Mineria 80,000 167.21 USD
16 P Industriales (140,000) 174.26 USD
17 Q Comunicaciones 15,000 76.85 USD
18 R Servicios 100,000 134.66 USD
19 S Industriales (45,000) 77.00 USD
20 T Mineria (30,000) 97.66 USD
Subyacente
USD/FX USD_Price Tipo Acciones/Contract Strike
1.0000 201.04 Call 100 210.00
1.0000 299.86 Call 100 295.00
1.0000 122.03 Put 100 120.00
1.0000 104.06 Put 100 110.00
1.0000 46.10 Cash 1 na
1.0000 58.72 Cash 1 na
1.0000 188.49 Cash 1 na
1.0000 32.21 Cash 1 na
1.6000 125.33 Cash 1 na
1.0000 119.59 Cash 1 na
1.0000 40.32 Cash 1 na
1.0000 128.87 Cash 1 na
1.0000 97.22 Cash 1 na
1.0000 136.07 Cash 1 na
1.0000 167.21 Cash 1 na
1.0000 174.26 Cash 1 na
1.0000 76.85 Cash 1 na
1.0000 134.66 Cash 1 na
1.0000 77.00 Cash 1 na
1.0000 97.66 Cash 1 na
USD_Long_Pos
77,276,843.74
USD_Short_Pos
(76,402,022.34)
USD_Net
874,821.40
USD_Long+Short 7,132,500,000.00
153,678,866.08
25-Jun-10
Vencimiento Delta USD_Delta %Tot_Lg+Sh FX_20D_Avg_Vol
21-Jul-10 0.12 2,383,348.90 1.55% 50,000,000
21-Jul-10 (0.66) (1,989,419.84) -1.29% 200,000,000
21-Oct-10 (0.43) (2,598,488.03) -1.69% 800,000,000
21-Oct-10 0.76 15,910,092.46 10.35% 100,000,000
na 1.00 461,023.53 0.30% 600,000,000
na 1.00 2,055,116.52 1.34% 50,000,000
na 1.00 4,712,210.42 3.07% 75,000,000
na (1.00) (322,123.98) -0.21% 1,000,000,000
na (1.00) (25,066,303.33) -16.31% 37,500,000
na 1.00 17,938,105.50 11.67% 30,000,000
na 1.00 2,419,292.58 1.57% 800,000,000
na (1.00) (14,175,804.62) -9.22% 200,000,000
na (1.00) (1,458,322.55) -0.95% 600,000,000
na 1.00 3,401,797.37 2.21% 80,000,000
na 1.00 13,376,859.82 8.70% 900,000,000
na (1.00) (24,396,930.68) -15.88% 60,000,000
na 1.00 1,152,732.57 0.75% 800,000,000
na 1.00 13,466,264.07 8.76% 100,000,000
na (1.00) (3,464,967.72) -2.25% 600,000,000
na (1.00) (2,929,661.59) -1.91% 50,000,000
7,155,000,000.00
100%
Concentración
USD_20D_Avg_Vol Rank %Tot_Lg+Sh Activo M VaR
50,000,000 8 1.55% A 0.40%
200,000,000 14 -1.29% B 0.27%
800,000,000 15 -1.69% C 0.31%
100,000,000 2 10.35% D 8.16%
600,000,000 11 0.30% E -0.07%
50,000,000 9 1.34% F 0.31%
75,000,000 5 3.07% G 0.63%
1,000,000,000 12 -0.21% H -0.02%
60,000,000 20 -16.31% I 29.79%
30,000,000 1 11.67% J 8.58%
800,000,000 7 1.57% K 0.15%
200,000,000 18 -9.22% L 7.48%
600,000,000 13 -0.95% M 0.34%
80,000,000 6 2.21% N 1.59%
900,000,000 4 8.70% O 6.43%
60,000,000 19 -15.88% P 24.53%
800,000,000 10 0.75% Q 0.03%
100,000,000 3 8.76% R 9.88%
600,000,000 17 -2.25% S 0.98%
50,000,000 16 -1.91% T 0.26%
Días para Concentración
Mkt Cap USD Cap Size Liquidar Rank
500,000,000 S 0.48 8
2,000,000,000 M 0.10 14
8,000,000,000 L 0.03 15
1,000,000,000 S 1.59 2
6,000,000,000 M 0.01 11
500,000,000 S 0.41 9
750,000,000 S 0.63 5
10,000,000,000 L 0.00 12
600,000,000 S 4.18 20
300,000,000 S 5.98 1
8,000,000,000 L 0.03 7
2,000,000,000 M 0.71 18
6,000,000,000 M 0.02 13
800,000,000 S 0.43 6
9,000,000,000 L 0.15 4
600,000,000 S 4.07 19
8,000,000,000 L 0.01 10
1,000,000,000 S 1.35 3
6,000,000,000 M 0.06 17
500,000,000 S 0.59 16
D Liq
Rank Asset Industria Rank Posicion Activo
9 A Financieros 14 1.6% A
13 B Mineria 16 1.3% B
15 C Financieros 12 1.7% C
4 D Financieros 4 10.4% D
19 E Comunicaciones 19 0.3% E
11 F Mineria 15 1.3% F
7 G Financieros 8 3.1% G
20 H Financieros 20 0.2% H
2 I Financieros 1 16.3% I
1 J Mineria 3 11.7% J
16 K Servicios 13 1.6% K
6 L Servicios 5 9.2% L
17 M Servicios 17 0.9% M
10 N Financieros 10 2.2% N
12 O Mineria 7 8.7% O
3 P Industriales 2 15.9% P
18 Q Comunicaciones 18 0.8% Q
5 R Servicios 6 8.8% R
14 S Industriales 9 2.3% S
8 T Mineria 11 1.9% T
5% Disc Rate
ITM Opn_Price Imp_Vol
0 0.55 14.00%
5 7.97 14.00%
0 2.09 14.00%
6 5.81 14.00%
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
na na na
Days_To_Mat Vol_T d1 d2
26 3.74% (1.1449) (1.1823)
26 3.74% 0.4593 0.4219
118 7.96% 0.2665 0.1869
118 7.96% (0.6411) (0.7207)
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
na na na na
1 2 3
Num Asset Last_Price 25-Jun-10 18-Jun-10 11-Jun-10
SPX
Err:502
Spot LowVol T LowVol_T
94.14 96.81 100.00 14.0% 7 1.94%
97.17 99.12 100.00 14.0% 7 1.94%
99.49 100.86 100.00 14.0% 7 1.94%
99.61 99.93 100.00 14.0% 7 1.94%
91.96 94.19 100.00 14.0% 7 1.94%
102.22 100.55 100.00 14.0% 7 1.94%
104.61 101.69 100.00 14.0% 7 1.94%
102.19 104.01 100.00 14.0% 7 1.94%
94.39 96.81 100.00 14.0% 7 1.94%
98.94 100.61 100.00 14.0% 7 1.94%
99.16 100.79 100.00 14.0% 7 1.94%
101.31 100.37 100.00 14.0% 7 1.94%
101.69 100.10 100.00 14.0% 7 1.94%
100.60 101.44 100.00 14.0% 7 1.94%
101.33 99.44 100.00 14.0% 7 1.94%
100.73 101.09 100.00 14.0% 7 1.94%
100.34 101.44 100.00 14.0% 7 1.94%
102.41 101.17 100.00 14.0% 7 1.94%
101.49 101.87 100.00 14.0% 7 1.94%
97.82 96.89 100.00 14.0% 7 1.94%
99.59 100.03 100.00 14.0% 7 1.94%
97.72 99.97 100.00 14.0% 7 1.94%
101.22 98.58 100.00 14.0% 7 1.94%
100.36 101.04 100.00 14.0% 7 1.94%
124.73 102.67 100.00 14.0% 7 1.94%
100.20 98.22 100.00 14.0% 7 1.94%
97.60 98.60 100.00 14.0% 7 1.94%
99.62 100.31 100.00 14.0% 7 1.94%
98.06 99.45 100.00 14.0% 7 1.94%
98.19 101.41 100.00 14.0% 7 1.94%
100.67 101.43 100.00 14.0% 7 1.94%
97.57 99.99 100.00 14.0% 7 1.94%
96.93 97.78 100.00 14.0% 7 1.94%
100.87 98.79 100.00 14.0% 7 1.94%
105.75 102.36 100.00 14.0% 7 1.94%
100.61 99.03 100.00 14.0% 7 1.94%
99.36 100.60 100.00 14.0% 7 1.94%
100.88 101.80 100.00 14.0% 7 1.94%
96.53 98.27 100.00 14.0% 7 1.94%
92.10 95.58 100.00 14.0% 7 1.94%
HighVol_T HighVol_Prob
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
19.38% 2%
Historical (Delta) Price Returns
0.0500
0.0400
0.0300
0.0200
0.0100
0.0000
-0.0100
-0.0200
-0.0300
-0.0400
9
-0
n
-Ju
19
-0
0
2
4
6
8
10
12
14
16
18
.0
3 25
-0
.0
2 71
-0
.0
2 17
-0
.0
1 64
-0
.0
1 10
-0
.0
0 56
-0
.0
0 03
0.
00
51
0.
01
05
0.
01
58
0.
02
12
0.
02
66
0.
03
1 9
0.
03
73
Hist
Normal
Num Asset USD_Position %Tot_LgSh
DailyVol
ns
io
0.37%
t
la
153,678,866 100%
cu
al
C
aR
V $565,393
l
fo
io ort
t
s is
P
ic tat
1 Hist 0 0
g
to
194 Normal 0 0
is
H
16 28 43 125 104 33
-0.0125 -0.0090 -0.0060 0.0019 0.0000 -0.0072
18 155 165 71 83 45
-0.0118 0.0047 0.0056 -0.0031 -0.0013 -0.0059
52 148 51 133 38 61
-0.0050 0.0037 -0.0051 0.0024 -0.0061 -0.0041
47 72 79 137 166 23
-0.0056 -0.0030 -0.0022 0.0030 0.0057 -0.0103
11 35 12 49 127 118
-0.0140 -0.0067 -0.0136 -0.0052 0.0022 0.0012
2 31 185 70 14 17
-0.0209 -0.0086 0.0082 -0.0034 -0.0131 -0.0118
76 161 96 58 182 66
-0.0029 0.0051 -0.0004 -0.0044 0.0077 -0.0036
8 186 55 41 89 74
-0.0151 0.0082 -0.0048 -0.0060 -0.0007 -0.0029
143 40 88 15 57 172
0.0035 -0.0061 -0.0007 -0.0130 -0.0046 0.0060
24 203 65 123 67 84
-0.0103 0.0142 -0.0036 0.0017 -0.0035 -0.0013
59 93 36 75 177 87
-0.0044 -0.0005 -0.0063 -0.0029 0.0063 -0.0008
85 21 68 179 30 190
-0.0012 -0.0112 -0.0035 0.0071 -0.0088 0.0095
34 154
-0.0071 0.0046
-1,083,639 709,976
14-Jul-06 7-Jul-06
-0.0330 -0.0275
-0.0087 -0.0196
-0.0225 -0.0136
-0.0011 -0.0032
0.0036 -0.0237
0.0074 0.0166
-0.0007 0.0287
-0.0186 -0.0175
0.0069 -0.0250
-0.0066 -0.0165
-0.0104 -0.0162
0.0055 0.0093
0.0090 0.0158
-0.0267 -0.0082
-0.0337 0.0191
0.0028 -0.0036
-0.0200 -0.0109
-0.0074 0.0123
-0.0255 -0.0038
0.0107 0.0096
-0.0094 -0.0045
0.0180 -0.0225
0.0190 0.0268
0.0057 -0.0067
-0.0160 0.2149
-0.0355 0.0201
-0.0038 -0.0101
0.0210 -0.0068
-0.0064 -0.0140
-0.0004 -0.0317
-0.0007 -0.0074
-0.0104 -0.0243
-0.0056 -0.0088
0.0061 0.0211
-0.0100 0.0330
-0.0364 0.0159
0.0118 -0.0123
0.0052 -0.0090
-0.0079 -0.0177
0.0151 -0.0365
Param Daily Vol 0.37% 0.37%
VaR 99% 0.86%
VaR 95% 0.61%
0 1 2 3
1 1.0000
2 0.0101 1.0000
3 -0.0784 -0.0049 1.0000
4 -0.0956 0.0613 0.0068
5 -0.0285 -0.0131 -0.0290
6 0.0506 0.1282 0.0284
7 -0.0554 -0.0042 0.0360
8 -0.0743 0.2523 -0.0786
9 -0.0700 -0.0375 -0.0039
10 -0.0489 -0.0820 0.0249
11 -0.0638 -0.0083 -0.0457
12 -0.0558 -0.0731 -0.0954
13 -0.0440 0.0290 0.0611
14 -0.0070 -0.1963 0.0233
15 0.0697 -0.0037 -0.0340
16 -0.0593 -0.0219 0.0391
17 -0.0964 -0.0448 -0.0151
18 -0.0561 -0.1227 0.0552
19 -0.0095 -0.0799 0.0154
20 0.0425 -0.0556 -0.0075
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
0.0912% 0.0041% 0.0115% 0.0296% -0.0037% -0.1813% 0.1147%
10.35% 0.30% 1.34% 3.07% -0.21% -16.31% 11.67%
0.88% 1.36% 0.86% 0.97% 1.78% 1.11% 0.98%
4 5 6 7 8 9 10
-1.6E-08 -2.1E-10 1.1E-09 -3.0E-09 5.1E-10 2.3E-08 -1.0E-08
-1.0E-08 9.7E-11 -2.7E-09 2.3E-10 1.7E-09 -1.2E-08 1.7E-08
-1.5E-09 2.9E-10 -8.0E-10 -2.6E-09 -7.1E-10 -1.7E-09 -6.9E-09
8.3E-07 -2.7E-09 1.2E-08 -4.8E-10 -1.4E-09 5.5E-09 9.2E-08
-2.7E-09 1.7E-09 -3.8E-10 6.3E-10 8.3E-12 -3.6E-09 6.0E-11
1.2E-08 -3.8E-10 1.3E-08 2.4E-09 7.0E-11 9.7E-09 -9.2E-09
-4.8E-10 6.3E-10 2.4E-09 8.8E-08 -1.6E-10 9.5E-09 -2.1E-08
-1.4E-09 8.3E-12 7.0E-11 -1.6E-10 1.4E-09 2.3E-09 -8.5E-10
5.5E-09 -3.6E-09 9.7E-09 9.5E-09 2.3E-09 3.3E-06 8.3E-09
9.2E-08 6.0E-11 -9.2E-09 -2.1E-08 -8.5E-10 8.3E-09 1.3E-06
1.4E-08 -1.2E-09 -3.3E-10 8.4E-10 7.8E-10 -1.5E-08 -2.5E-08
-7.5E-10 1.3E-09 -4.7E-09 -4.2E-08 -2.1E-09 1.6E-07 4.0E-09
2.7E-09 -5.9E-10 -1.3E-10 1.9E-09 -3.5E-10 -4.3E-09 5.4E-09
4.2E-09 5.5E-11 2.4E-09 -4.5E-09 8.0E-10 5.2E-08 -3.5E-08
7.4E-08 -2.2E-09 9.9E-09 8.5E-10 2.5E-09 3.7E-08 6.4E-09
5.8E-08 -4.1E-09 6.3E-09 4.3E-10 -3.3E-09 4.5E-07 -6.2E-08
-5.1E-09 -7.9E-11 2.3E-10 -5.4E-10 1.5E-11 7.5E-09 -9.3E-09
3.7E-08 4.4E-10 1.6E-09 5.9E-08 -1.9E-09 1.4E-08 -1.3E-07
3.6E-09 4.3E-10 3.0E-09 7.0E-10 -4.3E-10 -6.2E-09 -2.4E-08
7.3E-09 3.5E-10 -1.3E-09 -4.4E-09 -1.0E-09 9.4E-09 4.8E-08
10.35% 0.30% 1.34% 3.07% -0.21% -16.31% 11.67%
0.88% 1.36% 0.86% 0.97% 1.78% 1.11% 0.98%
4 5 6 7 8 9 10
-0.0956 -0.0285 0.0506 -0.0554 -0.0743 -0.0700 -0.0489
0.0613 -0.0131 0.1282 -0.0042 0.2523 -0.0375 -0.0820
0.0068 -0.0290 0.0284 0.0360 -0.0786 -0.0039 0.0249
1.0000 -0.0734 0.1157 -0.0018 0.0411 -0.0033 0.0883
-0.0734 1.0000 -0.0817 0.0522 -0.0055 0.0488 0.0013
0.1157 -0.0817 1.0000 0.0699 -0.0164 -0.0465 -0.0693
-0.0018 0.0522 0.0699 1.0000 0.0147 -0.0176 -0.0608
0.0411 -0.0055 -0.0164 0.0147 1.0000 0.0334 0.0198
-0.0033 0.0488 -0.0465 -0.0176 0.0334 1.0000 -0.0040
0.0883 0.0013 -0.0693 -0.0608 0.0198 -0.0040 1.0000
0.0537 -0.1068 -0.0102 0.0102 -0.0754 0.0295 -0.0796
0.0008 -0.0325 0.0416 0.1464 -0.0580 0.0918 -0.0036
-0.0298 0.1480 0.0117 -0.0665 -0.0964 -0.0241 -0.0478
0.0170 0.0050 0.0765 -0.0567 -0.0798 -0.1066 -0.1138
0.0961 -0.0631 0.1018 0.0034 -0.0786 -0.0239 0.0066
-0.0390 0.0619 -0.0331 -0.0009 -0.0539 0.1522 0.0330
-0.0810 -0.0278 0.0293 -0.0264 -0.0060 -0.0596 -0.1163
0.0377 0.0099 0.0125 0.1825 0.0468 -0.0071 -0.1017
-0.0126 -0.0335 -0.0850 -0.0075 -0.0368 -0.0110 0.0678
-0.0394 -0.0425 0.0539 0.0722 -0.1347 0.0255 -0.2057
4 5 6 7 8 9 10
1.0000
-0.0734 1.0000
0.1157 -0.0817 1.0000
-0.0018 0.0522 0.0699 1.0000
0.0411 -0.0055 -0.0164 0.0147 1.0000
-0.0033 0.0488 -0.0465 -0.0176 0.0334 1.0000
0.0883 0.0013 -0.0693 -0.0608 0.0198 -0.0040 1.0000
0.0537 -0.1068 -0.0102 0.0102 -0.0754 0.0295 -0.0796
0.0008 -0.0325 0.0416 0.1464 -0.0580 0.0918 -0.0036
-0.0298 0.1480 0.0117 -0.0665 -0.0964 -0.0241 -0.0478
0.0170 0.0050 0.0765 -0.0567 -0.0798 -0.1066 -0.1138
0.0961 -0.0631 0.1018 0.0034 -0.0786 -0.0239 0.0066
-0.0390 0.0619 -0.0331 -0.0009 -0.0539 0.1522 0.0330
-0.0810 -0.0278 0.0293 -0.0264 -0.0060 -0.0596 -0.1163
0.0377 0.0099 0.0125 0.1825 0.0468 -0.0071 -0.1017
-0.0126 -0.0335 -0.0850 -0.0075 -0.0368 -0.0110 0.0678
-0.0394 -0.0425 0.0539 0.0722 -0.1347 0.0255 -0.2057
0.0278% -0.0972% -0.0098% 0.0269% 0.0848% -0.1639% 0.0069%
1.57% -9.22% -0.95% 2.21% 8.70% -15.88% 0.75%
1.76% 1.05% 1.03% 1.21% 0.97% 1.03% 0.93%
11 12 13 14 15 16 17
-3.2E-09 9.9E-09 7.8E-10 -3.4E-10 1.1E-08 1.8E-08 -1.2E-09
4.2E-10 -1.3E-08 5.2E-10 9.6E-09 5.6E-10 -6.5E-09 5.7E-10
3.1E-09 -2.3E-08 1.4E-09 -1.5E-09 7.0E-09 1.6E-08 2.5E-10
1.4E-08 -7.5E-10 2.7E-09 4.2E-09 7.4E-08 5.8E-08 -5.1E-09
-1.2E-09 1.3E-09 -5.9E-10 5.5E-11 -2.2E-09 -4.1E-09 -7.9E-11
-3.3E-10 -4.7E-09 -1.3E-10 2.4E-09 9.9E-09 6.3E-09 2.3E-10
8.4E-10 -4.2E-08 1.9E-09 -4.5E-09 8.5E-10 4.3E-10 -5.4E-10
7.8E-10 -2.1E-09 -3.5E-10 8.0E-10 2.5E-09 -3.3E-09 1.5E-11
-1.5E-08 1.6E-07 -4.3E-09 5.2E-08 3.7E-08 4.5E-07 7.5E-09
-2.5E-08 4.0E-09 5.4E-09 -3.5E-08 6.4E-09 -6.2E-08 -9.3E-09
7.7E-08 -6.1E-09 -1.7E-10 1.3E-09 -1.6E-08 -4.0E-08 2.0E-09
-6.1E-09 9.4E-07 -6.6E-09 -1.7E-08 7.2E-08 2.0E-09 3.0E-10
-1.7E-10 -6.6E-09 9.5E-09 6.3E-10 3.5E-10 2.2E-08 1.6E-10
1.3E-09 -1.7E-08 6.3E-10 7.2E-08 1.3E-08 4.6E-08 1.7E-09
-1.6E-08 7.2E-08 3.5E-10 1.3E-08 7.2E-07 -6.0E-08 -5.1E-09
-4.0E-08 2.0E-09 2.2E-08 4.6E-08 -6.0E-08 2.7E-06 7.1E-09
2.0E-09 3.0E-10 1.6E-10 1.7E-09 -5.1E-09 7.1E-09 4.8E-09
2.7E-08 -6.2E-08 1.2E-08 6.6E-08 -4.0E-08 1.9E-07 4.5E-09
-1.8E-09 -6.5E-09 -1.8E-09 4.5E-09 6.1E-08 3.5E-08 -2.9E-09
2.4E-09 -8.2E-10 2.1E-09 -1.1E-09 -2.0E-08 -2.5E-08 -3.1E-10
1.57% -9.22% -0.95% 2.21% 8.70% -15.88% 0.75%
1.76% 1.05% 1.03% 1.21% 0.97% 1.03% 0.93%
11 12 13 14 15 16 17
-0.0638 -0.0558 -0.0440 -0.0070 0.0697 -0.0593 -0.0964
-0.0083 -0.0731 0.0290 -0.1963 -0.0037 -0.0219 -0.0448
-0.0457 -0.0954 0.0611 0.0233 -0.0340 0.0391 -0.0151
0.0537 0.0008 -0.0298 0.0170 0.0961 -0.0390 -0.0810
-0.1068 -0.0325 0.1480 0.0050 -0.0631 0.0619 -0.0278
-0.0102 0.0416 0.0117 0.0765 0.1018 -0.0331 0.0293
0.0102 0.1464 -0.0665 -0.0567 0.0034 -0.0009 -0.0264
-0.0754 -0.0580 -0.0964 -0.0798 -0.0786 -0.0539 -0.0060
0.0295 0.0918 -0.0241 -0.1066 -0.0239 0.1522 -0.0596
-0.0796 -0.0036 -0.0478 -0.1138 0.0066 0.0330 -0.1163
1.0000 0.0225 0.0061 0.0175 -0.0666 0.0871 0.1038
0.0225 1.0000 -0.0696 0.0658 -0.0873 0.0013 -0.0044
0.0061 -0.0696 1.0000 -0.0240 -0.0042 0.1363 -0.0232
0.0175 0.0658 -0.0240 1.0000 0.0589 -0.1047 0.0923
-0.0666 -0.0873 -0.0042 0.0589 1.0000 0.0430 -0.0866
0.0871 0.0013 0.1363 -0.1047 0.0430 1.0000 -0.0624
0.1038 -0.0044 -0.0232 0.0923 -0.0866 -0.0624 1.0000
0.0904 0.0586 -0.1165 0.2250 -0.0432 -0.1058 0.0600
0.0213 -0.0215 -0.0600 -0.0541 -0.2305 0.0689 0.1365
-0.0417 -0.0042 0.1070 0.0210 0.1158 -0.0739 0.0218
11 12 13 14 15 16 17
1.0000
0.0225 1.0000
0.0061 -0.0696 1.0000
0.0175 0.0658 -0.0240 1.0000
-0.0666 -0.0873 -0.0042 0.0589 1.0000
0.0871 0.0013 0.1363 -0.1047 0.0430 1.0000
0.1038 -0.0044 -0.0232 0.0923 -0.0866 -0.0624 1.0000
0.0904 0.0586 -0.1165 0.2250 -0.0432 -0.1058 0.0600
0.0213 -0.0215 -0.0600 -0.0541 -0.2305 0.0689 0.1365
-0.0417 -0.0042 0.1070 0.0210 0.1158 -0.0739 0.0218
0.1087% -0.0311% -0.0204%
8.76% -2.25% -1.91%
1.24% 1.38% 1.07%
18 19 20 21 22 23 24
-1.1E-08 5.4E-10 -1.6E-09
2.4E-08 -4.5E-09 -2.1E-09
-1.5E-08 1.2E-09 -3.7E-10
3.7E-08 3.6E-09 7.3E-09
4.4E-10 4.3E-10 3.5E-10
1.6E-09 3.0E-09 -1.3E-09
5.9E-08 7.0E-10 -4.4E-09
-1.9E-09 -4.3E-10 -1.0E-09
1.4E-08 -6.2E-09 9.4E-09
-1.3E-07 -2.4E-08 4.8E-08
2.7E-08 -1.8E-09 2.4E-09
-6.2E-08 -6.5E-09 -8.2E-10
1.2E-08 -1.8E-09 2.1E-09
6.6E-08 4.5E-09 -1.1E-09
-4.0E-08 6.1E-08 -2.0E-08
1.9E-07 3.5E-08 -2.5E-08
4.5E-09 -2.9E-09 -3.1E-10
1.2E-06 -1.4E-08 -6.6E-09
-1.4E-08 9.7E-08 -1.1E-08
-6.6E-09 -1.1E-08 4.1E-08
8.76% -2.25% -1.91%
1.24% 1.38% 1.07%
18 19 20 21 22 23 24
-0.0561 -0.0095 0.0425
-0.1227 -0.0799 -0.0556
0.0552 0.0154 -0.0075
0.0377 -0.0126 -0.0394
0.0099 -0.0335 -0.0425
0.0125 -0.0850 0.0539
0.1825 -0.0075 0.0722
0.0468 -0.0368 -0.1347
-0.0071 -0.0110 0.0255
-0.1017 0.0678 -0.2057
0.0904 0.0213 -0.0417
0.0586 -0.0215 -0.0042
-0.1165 -0.0600 0.1070
0.2250 -0.0541 0.0210
-0.0432 -0.2305 0.1158
-0.1058 0.0689 -0.0739
0.0600 0.1365 0.0218
1.0000 0.0422 0.0299
0.0422 1.0000 -0.1789
0.0299 -0.1789 1.0000
18 19 20 21 22 23 24
1.0000
0.0422 1.0000
0.0299 -0.1789 1.0000
25 26 27 28 29 30 31
25 26 27 28 29 30 31
25 26 27 28 29 30 31
32 33 34 35 36 37 38
32 33 34 35 36 37 38
32 33 34 35 36 37 38
39 40
39 40
39 40
7
7 1
1 -0.0653 6 2
2 -0.0358
3 -0.0329
4 -0.0236 49
5 -0.0209 84
6 -0.0192
7 -0.0188
8 -0.0177
9 -0.0151 K
10 -0.0151 F
11 -0.0140 V
12 -0.0138 r
13 -0.0128 d1
14 -0.0121 d2
15 -0.0114 T
16 -0.0114 Call
17 -0.0113 Delt
18 -0.0112
19 -0.0098
20 -0.0092
21 -0.0088
22 -0.0085
23 -0.0084
24 -0.0083
25 -0.0080
26 -0.0080
27 -0.0078
28 -0.0077
29 -0.0077
30 -0.0075
31 -0.0074
32 -0.0071
33 -0.0070
34 -0.0068
35 -0.0066
36 -0.0065
37 -0.0065
38 -0.0062
39 -0.0061
40 -0.0059
41 -0.0057
42 -0.0056
43 -0.0056
44 -0.0054
45 -0.0050
46 -0.0050
47 -0.0049
48 -0.0048
49 -0.0047
50 -0.0047
51 -0.0044
52 -0.0043
53 -0.0043
54 -0.0042
55 -0.0042
56 -0.0038
57 -0.0037
58 -0.0037
59 -0.0035
60 -0.0033
61 -0.0031
62 -0.0030
63 -0.0030
64 -0.0028
65 -0.0027
66 -0.0026
67 -0.0025
68 -0.0025
69 -0.0024
70 -0.0023
71 -0.0023
72 -0.0022
73 -0.0022
74 -0.0022
75 -0.0019
76 -0.0019
77 -0.0018
78 -0.0017
79 -0.0016
80 -0.0016
81 -0.0014
82 -0.0014
83 -0.0013
84 -0.0011
85 -0.0011
86 -0.0010
87 -0.0008
88 -0.0005
89 -0.0004
90 -0.0004
91 -0.0002
92 0.0000
93 0.0001
94 0.0001
95 0.0001
96 0.0001
97 0.0004
98 0.0004
99 0.0004
100 0.0004
101 0.0005
102 0.0008
103 0.0008
104 0.0009
105 0.0009
106 0.0009
107 0.0009
108 0.0010
109 0.0011
110 0.0011
111 0.0012
112 0.0012
113 0.0015
114 0.0017
115 0.0018
116 0.0019
117 0.0020
118 0.0021
119 0.0022
120 0.0023
121 0.0027
122 0.0027
123 0.0028
124 0.0029
125 0.0029
126 0.0029
127 0.0029
128 0.0029
129 0.0030
130 0.0030
131 0.0033
132 0.0033
133 0.0034
134 0.0035
135 0.0036
136 0.0037
137 0.0038
138 0.0038
139 0.0039
140 0.0043
141 0.0043
142 0.0044
143 0.0044
144 0.0045
145 0.0045
146 0.0046
147 0.0046
148 0.0047
149 0.0048
150 0.0049
151 0.0049
152 0.0049
153 0.0049
154 0.0049
155 0.0050
156 0.0054
157 0.0055
158 0.0056
159 0.0058
160 0.0058
161 0.0059
162 0.0061
163 0.0061
164 0.0062
165 0.0065
166 0.0067
167 0.0067
168 0.0067
169 0.0068
170 0.0069
171 0.0070
172 0.0071
173 0.0072
174 0.0073
175 0.0074
176 0.0075
177 0.0078
178 0.0079
179 0.0079
180 0.0080
181 0.0086
182 0.0086
183 0.0088
184 0.0089
185 0.0090
186 0.0091
187 0.0092
188 0.0093
189 0.0094
190 0.0103
191 0.0103
192 0.0105
193 0.0105
194 0.0106
195 0.0107
196 0.0108
197 0.0130
198 0.0133
199 0.0133
200 0.0152
201 0.0159
202 0.0183
203 0.0245
204 0.0250
205 0.0286
206 0.0419
207 0.0431
208 0.0514
6
3 49 42 85 85
10 42 36 85 85
126
360 619 619
1150
1100
7.50%
3%
-0.56
-63.02%
0.25
14.29
0.26
Num Asset USD_Delta %Tot_LgSh DailyVol
DailyVol
s
on
0.4778%
ti
la
153,678,866 100%
cu
al
C
aR $734,322
V
l
fo
io ort
t
s is
P
ic tat
1 Hist 0 0
g
to
195 Normal 0 0
is
H
Slope
18 30 44 122 102 34
-0.0125 -0.0090 -0.0060 0.0019 0.0000 -0.0072
53 145 52 130 39 61
-0.0050 0.0037 -0.0051 0.0024 -0.0061 -0.0041
48 72 79 134 162 25
-0.0056 -0.0030 -0.0022 0.0030 0.0057 -0.0103
121 109 78 80 58 90
0.0018 0.0009 -0.0023 -0.0022 -0.0044 -0.0006
13 36 14 50 124 115
-0.0140 -0.0067 -0.0136 -0.0052 0.0022 0.0012
3 32 182 70 16 19
-0.0209 -0.0086 0.0082 -0.0034 -0.0131 -0.0118
76 157 94 59 179 66
-0.0029 0.0051 -0.0004 -0.0044 0.0077 -0.0036
10 183 56 42 87 74
-0.0151 0.0082 -0.0048 -0.0060 -0.0007 -0.0029
140 41 86 17 57 168
0.0035 -0.0061 -0.0007 -0.0130 -0.0046 0.0060
26 200 65 120 67 83
-0.0103 0.0142 -0.0036 0.0017 -0.0035 -0.0013
60 91 37 75 173 85
-0.0044 -0.0005 -0.0063 -0.0029 0.0063 -0.0008
1 23 68 176 6 187
-0.0592 -0.0112 -0.0035 0.0071 -0.0160 0.0095
35 150
-0.0071 0.0046
-1,083,639 709,976
14-Jul-06 7-Jul-06
-0.0330 -0.0275
-0.0087 -0.0196
-0.0225 -0.0136
-0.0011 -0.0032
0.0036 -0.0237
0.0074 0.0166
-0.0007 0.0287
-0.0186 -0.0175
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