| Hedge Ratios (per 100 contracts of
TY): Maturity & Volatility Risks |
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16:44:58 |
18-Nov |
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| Issue |
Yield |
Chg |
Risk / 01 |
Mat VaR |
Lots |
Vol |
VaR 2 |
Vol Ratio |
Lots |
Val/ 32nd |
Issue |
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| TY |
3.629 |
(0.5) |
927.49
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1,988 |
100 |
0.2 |
1,988 |
1.000 |
100 |
0.337 |
TY |
Risk / 01 = Maturity Risk = Amount at risk per
$1 million par value, per basis point |
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| 10Y |
3.323 |
(1.3) |
846.50 |
2,467 |
110 |
0.3 |
1,988 |
1.241 |
88 |
0.369 |
10Y |
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| 10Y NI |
5.394 |
(1.0) |
785.81 |
4,427 |
118 |
0.5 |
1,988 |
2.226 |
53 |
0.398 |
10Y NI |
1 Sigma = Volatility in Basis Points = One
standard deviation, last 40 closes |
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| US |
4.407 |
(1.2) |
1,497.24 |
2,360 |
62 |
0.3 |
1,988 |
1.187 |
52 |
0.209 |
US |
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| 30Y |
4.256 |
(1.8) |
1,701.53 |
2,863 |
55 |
0.3 |
1,988 |
1.440 |
38 |
0.184 |
30Y |
VaR = Value-at-Risk = Gain (Loss) on a 1 sigma
move |
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| FV |
2.297 |
(1.1) |
515.89 |
2,071 |
180 |
0.2 |
1,988 |
1.042 |
173 |
0.606 |
FV |
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| 5Y |
2.171 |
(1.3) |
474.05 |
1,879 |
196 |
0.2 |
1,988 |
0.945 |
207 |
0.659 |
5Y |
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| 5Y NI |
4.434 |
(1.4) |
461.72 |
3,674 |
201 |
0.4 |
1,988 |
1.848 |
109 |
0.677 |
5Y NI |
Wtg 01 = Maturity Risk Hedge Ratio = Number of
contracts to offset 100 TY base |
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| 3Y |
1.274 |
(1.1) |
295.51 |
1,316 |
314 |
0.1 |
1,988 |
0.662 |
474 |
1.057 |
3Y |
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| TU ** |
1.356 |
(0.8) |
415.79 |
685 |
112 |
0.1 |
1,988 |
0.689 |
162 |
1.503 |
TU ** |
** Par
value of TU Contract is $200,000. |
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| 2Y |
0.757 |
(0.8) |
200.16 |
972 |
463 |
0.1 |
1,988 |
0.489 |
947 |
1.561 |
2Y |
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| GEZ9 |
0.277 |
(9.3) |
25.00 |
2,220 |
371 |
0.2 |
1,988 |
1.117 |
332 |
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GEZ9 |
Vol Ratio = Sigma of Hedge Divided Sigma of TY |
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| GEH0 |
0.355 |
(23.0) |
25.00 |
2,387 |
371 |
0.3 |
1,988 |
1.201 |
309 |
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GEH0 |
VaR 2 = Value-at-Risk = Gain (Loss) on a 1
sigma move if weighted for both maturity risk and volatility |
| GEM0 |
0.540 |
(187.0) |
25.00 |
2,082 |
371 |
0.2 |
1,988 |
1.047 |
354 |
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GEM0 |
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| GEU0 |
0.850 |
(184.5) |
25.00 |
2,033 |
371 |
0.2 |
1,988 |
1.023 |
363 |
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GEU0 |
w/Vol = Hedge Ratio Using Both Maturity Risk
and Volatility = Number of contracts to offset 100 TY |
| GEZ0 |
1.230 |
(171.5) |
25.00 |
5,105 |
371 |
0.6 |
1,988 |
2.568 |
144 |
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GEZ0 |
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| GEH1 |
1.590 |
(159.0) |
25.00 |
3,035 |
371 |
0.3 |
1,988 |
1.526 |
243 |
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GEH1 |
Par value of TY, US, FV and Tsys is $100,000
per contract |
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| GEM1 |
1.940 |
(144.5) |
25.00 |
2,965 |
371 |
0.3 |
1,988 |
1.492 |
249 |
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GEM1 |
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| FFV9 |
0.120 |
0.0 |
41.67 |
410 |
223 |
0.0 |
1,988 |
0.206 |
1,079 |
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FFV9 |
ED par value is $1,000,000 and FF is
$5,000.000. |
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| FFX9 |
0.125 |
(0.3) |
41.67 |
332 |
223 |
0.0 |
1,988 |
0.167 |
1,334 |
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FFX9 |
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| FFZ9 |
0.130 |
0.0 |
41.67 |
351 |
223 |
0.0 |
1,988 |
0.176 |
1,262 |
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FFZ9 |
Val/32nd = Yield change (basis points) per
1/32nd change in price |
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| Hedge Ratios per Base Contract, Weighted By
Risk/01 (Maturity Risk) |
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16:44:58 |
18-Nov |
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Hedge |
30yr |
US |
TY |
10yr |
NI |
FV |
5 Swap |
5Y |
3Y |
TU |
2yr |
ED |
FF |
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| Base |
Risk/01 |
1,701.53 |
1,497.24 |
927.49 |
846.50 |
461.72 |
515.89 |
785.81 |
474.05 |
295.51 |
207.89 |
200.16 |
25.00 |
41.67 |
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| 30yr |
1,701.53 |
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1.14 |
1.83 |
2.01 |
3.69 |
3.30 |
2.17 |
3.59 |
5.76 |
8.18 |
8.50 |
68.06 |
40.83 |
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| US |
1,497.24 |
0.88 |
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1.61 |
1.77 |
3.24 |
2.90 |
1.91 |
3.16 |
5.07 |
7.20 |
7.48 |
59.89 |
35.93 |
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| TY |
927.49 |
0.55 |
0.62 |
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1.10 |
2.01 |
1.80 |
1.18 |
1.96 |
3.14 |
4.46 |
4.63 |
37.10 |
22.26 |
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| 10yr |
846.50 |
0.50 |
0.57 |
0.91 |
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1.83 |
1.64 |
1.08 |
1.79 |
2.86 |
4.07 |
4.23 |
33.86 |
20.31 |
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| NI |
461.72 |
0.27 |
0.31 |
0.50 |
0.55 |
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0.89 |
0.59 |
0.97 |
1.56 |
2.22 |
2.31 |
18.47 |
11.08 |
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| FV |
515.89 |
0.30 |
0.34 |
0.56 |
0.61 |
1.12 |
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0.66 |
1.09 |
1.75 |
2.48 |
2.58 |
20.64 |
12.38 |
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| 5 Swap |
785.81 |
0.46 |
0.52 |
0.85 |
0.93 |
1.70 |
1.52 |
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1.66 |
2.66 |
3.78 |
3.93 |
31.43 |
18.86 |
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| 5yr |
474.05 |
0.28 |
0.32 |
0.51 |
0.56 |
1.03 |
0.92 |
0.60 |
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1.60 |
2.28 |
2.37 |
18.96 |
11.38 |
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| 3yr |
295.51 |
0.17 |
0.20 |
0.32 |
0.35 |
0.64 |
0.57 |
0.38 |
0.62 |
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1.42 |
1.48 |
11.82 |
7.09 |
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| TU |
207.89 |
0.12 |
0.14 |
0.22 |
0.25 |
0.45 |
0.40 |
0.26 |
0.44 |
0.70 |
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1.04 |
8.32 |
4.99 |
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| 2yr |
200.16 |
0.12 |
0.13 |
0.22 |
0.24 |
0.43 |
0.39 |
0.25 |
0.42 |
0.68 |
0.96 |
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8.01 |
4.80 |
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| ED |
25.00 |
0.01 |
0.02 |
0.03 |
0.03 |
0.05 |
0.05 |
0.03 |
0.05 |
0.08 |
0.12 |
0.12 |
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0.60 |
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| FF |
41.67 |
0.02 |
0.03 |
0.04 |
0.05 |
0.09 |
0.08 |
0.05 |
0.09 |
0.14 |
0.20 |
0.21 |
1.67 |
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