Appendix

D1) Current USD/CHF spot rate using Bloomberg FXIP

D2) Forecasted USD/CHF rate at Quarter 1, 31st March 2014

D3) Future contract size, contract price using Bloomberg CTM

D4)Market Analysis

USD CHF Histogram of Q1 2014

G10 Q1 2014 Contributors Forecast

HSBC VOl Forecast Q1 2014

Composite (LDN) Q1 2014 Forecast

D5)Hedge ratio Analysis using Beta function at Bloomberg

D6)

Excel - Monthly regression USD/CHF spot price & CHF Future Contract (ended 31 Mar 2014)

spot
Date
11/29/13
10/31/13
09/30/13
08/30/13
07/31/13

Yaxis

SUMMARY
Last
OUTPUT
Price

future

Date
11/29/1
Regression Statistics
0.9054
3
0.98905
10/31/1
8
0.9069Multiple
0.0015R
3
0.97823
09/30/1
5
0.9049R Square
0.002
3
Adjusted R
0.97605
Square 08/30/18
0.00262
0.9298 0.0249
3
Standard Error
07/31/18
0.9262Observations
0.0036
3
12

06/28/13

0.945

0.0188

06/28/1
3

05/31/13

0.9551

0.0101

04/30/13

0.9293

0.0258

05/31/1
3
04/30/1
3

03/29/13

0.9492

0.0199

02/28/13

0.9367

0.0125

01/31/13

0.91 0.0267

03/29/1
3
02/28/1
3
01/31/1
3

X-Axis
Last
Price

Inverse Market
Price

110.57

0.904404

110.56

0.904486

110.79

0.902609

107.61

0.929282

108.54

0.921319

106.29

0.940822

104.58

0.956206

108.06

0.925412

106.03

0.943129

107.37

0.931359

110.55

0.904568

12/31/12

0.9154

0.0054

12/31/1
2

110.36

0.906125

11/30/12

0.9281

0.0127

11/30/1
2

108.85

0.918695

ANOVA

df

SS

MS

-8.18157E05
0.00187773
3
0.02667315
3
0.00796233
1
0.01950298
4
0.01538347
7
0.03079401
4
0.01771752
1
0.01177041
5
0.02679081
2
0.00155730
4
0.01257004
6

Significan
ce F

Regression

0.003104

10
11
Coefficien
ts

6.91E-05
0.003173
Standard
Error

Intercept

-0.00079

0.00076

X Variable 1

0.921244

0.043454

Residual
Total

0.00310
4
6.91E06

449.452
3

t Stat

P-value
0.32065
7
1.21E09

1.04493
21.2002
9

1.21E-09

Lower
95%
-0.00249
0.824422

Upper
95%

Lower
95.0%

Upper
95.0%

0.0009
1.01806
7

-0.00249

0.0009

0.824422

1.018067

D7) Excel Weekly regression of USD/CHF spot price &CHF Future Contract (ended 31 Mar 2014)

Standard
Deviation
Correlation
Covariance
Hedge ratio

Spot
Future
0.0112 0.01132
5
5
0.9917
8
0.0001
3
0.9850
1

Spot y
Date
11/29/13
11/22/13

Yaxis

Last
Price

0.0014

X-Axis

11/29/13

Inverse Market
Last Price
Price
110.559999
9
0.904486252

11/22/13

110.339999
2

Date

0.9053
0.9067

Futur
e

0.906289657

11/15/13

0.9148

11/08/13

0.9215

0.0081
0.0067

11/01/13

0.9123

0.0092

11/01/13

10/25/13

0.8926

0.0197

10/25/13

109.379994
9
108.509993
6
109.700000
3
112.159991
3

10/18/13

0.9017

0.0091

10/18/13

110.969996
5

10/11/13

0.9119

0.0102

10/11/13

10/04/13

0.9072

0.0047

10/04/13

09/27/13

0.9059

0.0013

09/27/13

109.899997
7
110.409998
9
110.570001
6

09/20/13

0.9103

0.0044

09/20/13

110.029995
4

0.90884308

09/13/13

0.9297

0.0194

09/13/13

107.799994
9

0.927643828

09/06/13

0.9379

0.0082

09/06/13

08/30/13

0.9298

0.0081

08/30/13

08/23/13

0.9222

0.0076

08/23/13

08/16/13

0.9265

0.0043

08/16/13

11/15/13
11/08/13

106.819999
2
107.609999
2
108.700001
2
108.200001
7
108.640003

0.914243963
0.921574103
0.911577026
0.891583522
0.901144482
0.909918126
0.905715071
0.904404437

0.936154285
0.929281672
0.919963191
0.924214403

0.00180340
4
0.00795430
6
0.00733014
0.00999707
7
0.01999350
4
0.00956096
1
0.00877364
4
0.00420305
5
0.00131063
5
0.00443864
4
0.01880074
8
0.00851045
7
0.00687261
3
0.00931848
1
0.00425121
2
0.00374314

SUMMARY
OUTPUT
Regression Statistics
0.99178184
Multiple R
5
0.98363122
R Square
9
Adjusted R
0.98330385
Square
3
0.00146751
Standard Error
3
Observations
52
ANOVA
df
Regression
Residual
Total
Intercept

SS
1

0.006470683

50
51
Coefficient
s
0.00016930

0.00010768
0.006578363
Standard
Error
0.000203567

MS
0.00647068
3
2.15359E06

F
3004.59700
1

t Stat

P-value
0.40953806
2

0.83169069

Significanc
eF
2.53589E46

Lower 95%
-0.00057818

Upper 95%
0.00023957
1

Lower
95.0%
0.00057818

Upper
95.0%
0.00023957
1

5
X Variable 1

0.98500863

0.017969952

1
54.8142043
7

2.53589E46

0.94891491
9

1.02110234
1

0.94891491
9

1.02110234
1