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Daily Market Risk 2012.03.15.en
Daily Market Risk 2012.03.15.en
Daily Market Risk 2012.03.15.en
Investment to date P/L of MSBs trading equitiy porfolio is continuously negative. Realized P/L of MSBs gold portfolio since 01/01/2012 is continuously negative.
14 Mar 2012
Position
Mio USD
66,5
Risk
6.74 3.70 2.78
Comments
Bio VND
RB breaches approved limit of FXs open position for many days. The exchange USD/VND decreases. rate of
1.Foreign Exchange
20.833 2,9 20.830 12/03 13/03 14/03 RB (NOP) SME (NOP) LC (NOP) 2,2 2,0 0,4 10,0 0,4 3,3 3,2 5,0
29,1
13/03
14/03
On 14 Mar, FI make a transaction of 36.6mio USD to SBV. FIs position is short position.
101
13/03
Mio USD
9
10,85
10,85
10,85
14/03
38 6 -2 -5
limit
9,90
9,90
9,90
7 6 5
-101
EUR/USD Volatility
1,32 1,31 1,30
AUD/USD Volatility
MSB Long
MSB Short
4 12/03
000s
No limit or volume is violated. transaction
1,31 1,30
1,31
000s
15.6 0 0 EUR 0 0 0.0 13/03 0.0 14/03 Delta EUR 1,5 15.2 0.0 15/03 Delta AUD
2.FX Option
10-day VaR (97.5%) slightly decreases to 0 as there is only few Option transaction left. Spot and Mar-12 AUD/USD and EUR/USD just start to increase. There is no risk exposure. Daily ItD P/L(USD) 0 1,265 677 10-day VaR (97.5%-USD) 0 2,059 808
14/03
15/03
1,05
1,04
Short call
Long call
13/03 AUD/USD
14/03
15/03
14/03
15/03
13/03
14/03
15/03
Average
AUD/USD Mar-11
ItD P/L
10-day VaR
14 Mar 2012
Position
Trading book
930 930
502 502 181 181
Risk
Bio VND
890 890
Comments
3.1
Duration
3.1 3.1
Year
3.Bonds
11.51 11.46
11.53 11.49
11.55
1Y 13/03
P/L (ItD): - 23 bio VND Duration: 3.1 years If interest rate decrease 1%, value
of bond portfolio increase by 196 bio VND
Bio VND
11.37 14/03 196.05 196.05 196.05
69.0 22.0
11.25
1Y 12/03
VN index
3Y 13/03
5Y 14/03
10Y
Sell
Buy
Repo
-23.68
-23.68 PnL(ItD)
HNX index
70.5 437 72.2 442
500 450
70.5 429
Trading position
40,1
Bio VND Stock 24,5 24,8 Daily ITD PnL (Bio VND) 14/3 MBB (3.04) 15/3 (1.76) 10-day VaR (Bio VND) 14/3 2.81 0.99 15/3 2.95 0.95
4.Equities
400
13/03 MBB 18 12
1 5.0 1 4.5 1 4.6
40
VN index
14/03
HNX index
15/03
19,3
SAV 1 5.3 20 18 16 14
5,9 5,4
SAV
(13.63) (13.88)
Daily ITD P/L 10-day VaR (Bio VND) (97.5% - Bio VND) (38.58) (26.65) (32.26) 4.14 5.17 4.69
1 3.8
1 3.2
Others (16.06) (15.28) MBB Investment cost SAV 14/3 Others 15/3 Total (32.73) (30.91) 4.67 4.83
13/03
14/03 MBB
15/03 SAV
Mean
1,676.7 1,643.3
1,660.4 ($/oz)
5.Gold
14/03
15/03
Mio/ Tael
0 0 0
13/03
0
14/03
0
15/03
-0.23 13/03
-0.23 15/03
14/03
15/03
RB
FI
MSB
Bio VND
PV50
-Value of portfolio change according to change of 50bps -PV50 of bond portfolio is -8 bio VND means: If interest rate increase by 50bps, value of the in interest rate. portfolio will decrease by 8 bio VND. -Number of currency that can be bought or sold to make -Delta of option portfolio is 10,000 EUR means: Our option portfolio is exposed to a spot the portfolio neutral delta (i.e portfolio value being price risk equivalent to longing 10,000 EUR; therefore to hedge option portfolio from spot relatively insensitive to changes in currency rate price change (decrease), we should short 10,000 EUR in spot market. -Variation of exchange rate over time, derived from time -1 month volatility of EUR/USD is 17% means: The average square of return deviation from series of past market exchange rate its mean in one month is 17% (annualized). -FX ; FX Option
Delta
EUR/USD
Source Interbank rate
FX Option
Bloomberg -FX -Rate at the end of business day in interbank
ItD (Investment to -Calculate P/L based on today price and transaction date) price MtM - Calculate the portfolio based on the market price
-P/L ItD of the portfolio is -36 mio VND means: Value of the portfolio has been decreased by 36 mio VND from the initial investment price. -MtM of the equity portfolio is 30 mio VND means: value of the equity portfolio based on the market equity price is 30 mio VND 4
Market
Position
Risk
Comments
Product
Inform about trading portfolio , which MSB hold. Only with bond, we add more information about banking transaction intraday. We compare position of today and yesterday to see the changing. Gold: We will add more information about gold after MSB has more transaction.
Inform about P/L, VaR of portfolio and some risk indicators. We compare information of 2 or 3 nearest days to see the changing. Gold: We will add more information about gold after MSB has more transaction.