PNL Presentation

Profit and Loss By Asset Type
Fund Name
Period Start Date
Period End Date
Knowledge Date
UNITED STATES DOLLAR CASH
Ending
Quantity
Investment
Description
BONDS - CORPORATE
209944ABA
Company Name
.
.
CAD
EUR
JPY
HKD
USD
CANADIAN DOLLAR CASH

15,000.00 CAD
EUROPEAN CURRENCY UNIT CASH -30,000.00 EUR
UNITED KINGDOM POUND CASH
275,000.00 GBP
HONG KONG DOLLAR CASH
-150,000.00 HKD
UNITED STATES DOLLAR CASH
500,000.00 USD
.
.
.
Cash
Cash
Cash
Cash
Cash
.
.
CNT - SWP - EQY
.
.
CONTRACTUALS - SWAP
.
.
EQUITIES - LISTED
.
.
F/X FORWARDS
F/X FORWARDS
F/X FORWARDS
F/X FORWARDS
.
.
LISTED COMMODITIES - OPTION
.
.
.
200,000.00 USD
.
Totals for BONDS - CORPORATE
.
Totals for Cash
Curr
.
.
.
.
.
.
EQS000001K00XXXMA
EQSWAP ABCBWCDR 20080222-20080822[
90,000.00
1]
EUR
.
.
.
Totals for LISTED CNT - SWP
. - EQY
.
.
CRE000001K00XXXMA
CDS GOLDNY PF 0.135% Q 20050416-20100620
1,000,000.00(XS0080005654
USD
/ U_TBRN_
.
.
.
.
Totals for LISTED CONTRACTUALS
.
- SWAP.
AA8849030000
Scrip Name
.
.
EURF
HKDF
JPYF
USDF
EUR FORWARD : 24/08/2008

-630,000.00
HONG KONG DOLLAR FORWARD : 13/07/2008
-3,400,000.00
JPY FORWARD : 24/08/2008
424,545.98
USD FORWARD : 13/07/2008
1,153,461.54
EUR
HKD
JPY
USD
.
.
.
.
Totals for F/X FORWARDS .
SCR_USJUL0825000C
Scrip Name C @ 25.000 JUL 08
.
.
.
.
.
.
150.00 CAD
.
Totals for EQUITIES - LISTED
.
.
.
-250.00 USD
.
.
Totals for LISTED COMMODITIES
.
- OPTION.
.
.
Grand Total
.
.
Ending
Local
Price
Price List
Realized
Price
Unrealized
Price
Realized
FX
Unrealized
FX
Realized
Income
Unrealized
Income
25.26 GOPRICINGClosing
.
.
.
.
_________________
_________________
_________________
_________________
_________________
_________________
.
.
_________________
_________________
_________________
_________________
_________________
_________________
1.11
1.57
2
7.76
1
.
.
0.73 GOPRICINGMid
.
.
.
.
_________________
_________________
_________________
_________________
_________________
_________________
0.73 GOPRICINGMid
.
.
.
.
_________________
_________________
_________________
_________________
_________________
_________________
35.56 CLIENTEXT
.
.
.
.
1.69
6.89
95.32
1
.
.
_________________
_________________
_________________
_________________
_________________
_________________
GOPRICINGClosing
GOPRICINGClosing
GOPRICINGClosing
GOPRICINGClosing
.
.
_________________
_________________
_________________
_________________
_________________
_________________
0.73 GOPRICINGMid
.
.
.
.
.
.
.
.
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
Misc
Rev/Exp
Total
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
_________________
Bond PL0000103735
Last Coupon date

24-Mar
11-Apr-06
13-Apr-06
4/11/06 FX Rate
3.2392
45,000,000.00
4/12/06 FX Rate
3.2443
PLN
4/13/06 FX Rate
3.2564
5.75% fixed
103.87
46,741,500.00 = Qty * Purchase Price / 100 = 45,000,000 * 103.87 / 100
14,429,951.84 = Local Cost / 4/11 fx rate = 446,741,500.00 / 3.2392
141,750.00
Trade Date
Settle Date
Quantity
CCY
Coupon
Purchase Price
Local Cost
Base Cost
Accrued Interest Purchased
Day 1 - 4/11 P/L
Quantity
Ending Local Price

45,000,000.00
103.77
PNL due to Unrealized Price changes:

Local Market Value
Local Cost
PNL in local currency
Local Unrealized
Price
Realized Price
-
(45,000.00)
Unrealized Price
(13,892.32)
Realized
FX
Unrealized
FX
Realized
Income
Unrealized Income
-
Misc
Rev/Exp
-
Total
(13,892.32)
Market Value
Local
46,696,500.00
Unrealized Price P/L - (Ending Local Price - Purchase Price) x Quantity / 100 / 4-11 FX Rate
Local Market Value

Local Cost
PLN
4/11/06 FX Rate
46,696,500.00
46,741,500.00
(45,000.00)
3.2392
PNL in base currency
USD
(13,892.32)
PNL due to Unrealized Fx changes:

PNL due to Realized Price changes:
PNL due to Realized Fx changes:
PNL due to Realized Income changes:
PNL due to Unrealized Income changes:
PNL due to Misc Rev/Exp changes:
No FX P/L on Day 1
No P/L since it is assumed to be the only trade done in the fund's portfolio for this bond
No FX P/L
No P/L
No P/L since trade has not yet settled
No P/L
Day 2 - 4/12 P/L

Quantity
Ending Local Price

45,000,000.00
103.7

Local Market Value
Local Cost
PLN
4/12/06 FX Rate
USD
Less: Unrealized Price PNL till yesterday
Today's PNL
Local Unrealized
Price
Realized Price
-
(31,500.00)
Unrealized Price
(9,687.50)
Realized
FX
-
Unrealized
FX
Realized
Income
(22,683.71)
Unrealized Price P/L - (Ending Local Price - Purchase Price)/4-12 FX Rate - 4-11 Unrealized Price
46,665,000.00
46,741,500.00
(76,500.00)
3.2443
(23,579.82)
(13,892.32)
(9,687.50)
Unrealized FX P/L - (Local Cost / 4-12 FX Rate) - (Local Cost / 4-11 FX Rate)
Unrealized Income
-
Misc
Rev/Exp
-
Total
(32,371.21)
Market Value
Local
46,665,000.00
Value of Local Cost using 04/12/06 fx rate

PNL due to fx
14,407,268.13
14,429,951.84
(22,683.71)
Other PNL columns
Same as explained above.
Day 3 - 4/13 P/L

Quantity
Ending Local Price

45,000,000.00
103.57

Local Market Value
Local Cost
Local Unrealized
Price
Realized Price
-
(58,500.00)
46,606,500.00
46,741,500.00
(135,000.00)
PLN
3.2564

USD
Today's PNL
(41,456.82)
(23,579.82)
(17,877.01)

PNL due to fx
14,353,734.18
14,429,951.84
(76,217.65)
Less: Unrealized Fx PNL till yesterday

Today's PNL
(22,683.71)
(53,533.95)
PNL due to Unrealized Income:
Quantity * Interest rate * no. of days since coupon date / 365
To Summarize:
TRADE PRICE
Calculation of Unrealized price
th
LOCAL COST
th
11 April
EOD Price
Qty
Currency
Prior day Local Market
Value
EOD Local Market Value
(17,877.01)
Realized
FX
Unrealized
FX
(53,533.95)
Realized
Income
(43,529.66)
Unrealized Income
45,716.09
Unrealized Price P/L - (Ending Local Price - Purchase Price)/4-13 FX Rate - (4-11 Unrealized Price + 4-12 Unrealized Price)
4/13/06 FX Rate
Trade price/Prior day price
Unrealized Price
th
12 April
13 April
103.87
103.77
103.7
103.77
450,000
PLN
46,741,500
103.7
450,000
PLN
46,696,500
103.57
450,000
PLN
46,665,000
46,696,500
46,665,000
46,606,500
Misc
Rev/Exp
-
Total
(69,224.53)
Market Value
Local
46,606,500.00
Local Unrealized Price

Total Local Unrealized
price
Fx Rate
Total Unrealized price in
Base Currency
Unrealized price in Base
Currency (A)
-45,000
-31,500
-58,500
-45000 (45,000)+(31,500)
(76,500)+(58500)
=(76,500)
=(135,000)
3.2392
3.2443
3.2564
(45,000)/3.2392 (76,500)/3.2443
(135,000)/3.2564
-13,892.32
-23,579.82
-41,456.82
(23,579.82)(41,456.83)(13,892.32)
(23579.82)
-13,892.32
-9,687.50
-17,877.01
BASE COST
Calculation of Unrealized FX PNL
11th April
12th April
Trade price/Prior day price
103.87
13th April
103.77
103.7
EOD Price
103.77
103.7
103.57
Qty
450,000
450,000
450,000
Currency
PLN
PLN
PLN
Base cost at trade days FX
14,429,951.84
14,429,951.84
14,429,951.84
rate
Local Cost
46,741,500
46,741,500
46,741,500
Fx Rate
3.2392
3.2443
3.2564
EOD Base Market Value
14,429,951.84
14,407,268.13
14,353,734.18
Total FX Unrealized PNL
0.00
-22,683.71
-76,217.65
FX Unrealized PNL (B)
0
-22,683.71
-53,533.95
Calculation of Realized Income

11th April
12th April
Accrued Interest Purchased Realized on
Realized on
& Realized
settlement date settlement date
FX Rate
Realized Income (C)
0
13th April
-141,750
3.2564
-43,529.66
Calculation of Unrealized Income

Face Amount
Coupon Rate
Coupon Date
Settlement date
No. of Days accrual
13th April
45,000,000
5.75%
24-Mar-06
13-Apr-06
21
Local Accrued Interest
Fx Rate
Unrealized Income
(D)
Total PNL in Base

Currency (A)+(B)+(C)+(D)
0
-13,892.32
(45,000,000*5.75
%) * 21/365
148,869.86
3.2564
0.00
45,716.09
-32,371.21
-69,224.53
Market Value
Base
14,416,059.52
Market Value
Base
14,383,688.31
Net Change In Mkt

Value Base
(13,892.32)
Net Change In Mkt

Value Base
(32,371.21)
Market Value
Base
14,312,277.36
Net Change In Mkt

Value Base
(71,410.95)
Repo PL0000103735
Start Date (or Open Date)
Term Date (or Close Date)
Amount
CCY
Coupon
Lending Price
Local Cost
Base Cost
Accrued Interest Purchased
Last Coupon date

13-Apr-06
12-May-06
(45,000,000.00)
PLN fixed
3.85%
104.10
(46,845,000.00)
(14,439,170.24)
(143,294.36)
24-Mar
4/12/06 FX Rate
4/13/06 FX Rate
4/14/06 FX Rate
4/15/06 FX Rate
4/16/06 FX Rate
4/17/06 FX Rate
3.2443
3.2564
3.2564
Weekend
Weekend
3.2045
Day 1 - 4/13 P/L

Quantity
Realized
Price
Ending Local Price

(45,000,000.00)
PNL due to Realized & Unrealized Price changes:
Realized
FX
-
Unrealized FX
53,652.49
Realized
Income
-
Unrealized
Income
(1,517.38)
Misc
Rev/Exp
-
Total
52,135.11
No P/L since it is a collateral security & therefore no daily price movements

Local cost / EOD Fx rate
Base Cost
PNL due to fx
Unrealized Price
(14,385,517.75)
(14,439,170.24)
53,652.49
15
9.5

Total Interest
Term period
1 day interest
(143,294.36)
29
(4,941.18)
4/13/06 FX Rate
3.2564
Base Interest income
(1,517.38)
Total PNL
52,135.11
Day 2 - 4/14 P/L

Day 3 - 4/15 P/L
Day 4 - 4/16 P/L
Since there is no FX movement, there will not be any FX PNL. Interest income would be same as calculated for the first Day I.e. (1,517.38)
Same as above
Same as above
Day 5
4/17/2006
Quantity
Realized
Price
Ending Local Price

(45,000,000.00)
PNL due to Realized & Unrealized Price changes:

Local cost / EOD Fx rate
Base Cost
Unrealized Price
Realized
FX
-
Unrealized FX
(232,987.48)
No P/L since it is a collateral security & therefore no daily price movements

(14,618,505.23)
(14,439,170.24)
Another way:
Local cost / current EOD Fx rate
(14,618,505.23)
Realized
Income
-
Unrealized
Income
(1,640.25)
Misc
Rev/Exp
-
Total
(234,627.73)
PNL due to fx
(179,334.99)

Today's PNL
53,652.49
(232,987.48)
Local cost / previous EOD Fx rate

PNL due to fx

Total Interest
No. of Days accrual
Term period
Local interest
(143,294.36)
5
29
(24,705.92)
4/17/06 FX Rate
3.2045
Base Interest income
(7,709.76)
(6,069.51)
Today's PNL
(1,640.25)
Total PNL
(234,627.73)
To Summarize:
13th April
Loan Amount
Qty
17th April
-45,000,000
45,000,000/100
-450000
104.1
450,000*104.10
-45,000,000
45,000,000/100
-450000
104.1
450,000*104.10
EOD FX rate
Base cost at Prior days FX rate
-46,845,000
3.2564
(46,845,000) / 3.2443
-46,845,000
3.2045
(46,845,000) / 3.2564
Base Cost at EOD FX rate
(14,439,170.24)
(46,845,000) / 3.2564
(14,385,517.75)
(46,845,000) / 3.2045
(14,385,517.75)
(14,618,505.23)
(14,385,517.74)(14,439,170.23)
(14,618,505.22)(14,385,517.74)
Lending Price
Local Cost
FX Unrealized PNL (A)
53,652.49
Calculation of Unrealized Income:
(232,987.48)
(14,385,517.75)
(232,987.48)
th
th
13 April
Face Amount
Qty
Lending Price
Local Cost
Repo Rate
Repo Term (days)
No. of Days interest accrual
Local Accrued Interest p.a
Local Accrued Interest for 29

days
Interest for day 1
17 April
-45,000,000
45,000,000/100
(450,000.00)
104.1
450,000*104.10
(46,845,000.00)
3.85%
29
1
(46,845,000) *3.85%
=(1803532.50)
-45,000,000
45,000,000/100
(450,000.00)
104.1
450,000*104.10
(46,845,000.00)
3.85%
29
5
(46,845,000) *3.85%
=(1803532.50)
(1,803,532.50)
*29/365
(143,294.36)
(143,294.36)/29
(4,941.18)
(1,517.38)
(1,803,532.50)
*29/365
(143,294.36)
(143,294.36)/29
(4,941.18)
(4941.18)*5
(24,705.92)
3.2045
[(24,705.90) /
3.2045] [(1517.38)
* 4]
(1,640.25)
52,135.11
(234,627.73)
Interest for 5 days

Fx Rate
Unrealized Income
(B)
Total PNL in Base Currency (A)

+(B)
3.2564
(4,941.18) / 3.2564
Future KZ_CCONOV06
Quantity
Cost Price
-48
124
122
119
119
120
124
68,120
67,900
68,120
68,010
68,050
68,290
67,810
Trade Date
10-May
10-May
10-May
10-May
10-May
10-May
10-May
680
Multiplier
CCY
20
JPY
5/10/06 FX Rate
5/11/06 FX Rate
EOD
Quantity
Commission
22,080
57,040
56,120
54,740
54,740
55,200
57,040
0
76
122
119
119
120
124
356,960
680
Cost Price
67,900
68,120
68,010
68,050
68,290
67,810
Trade Date
Commission
10-May
10-May
10-May
10-May
10-May
10-May
10-May
Local Cost
34,960
56,120
54,740
54,740
55,200
57,040
103,242,960
166,268,920
161,918,540
162,013,740
163,951,200
168,225,840
312,800
925,621,200
110.26
110.57
Day 1 - 5/10 P/L

Quantity
Ending Local Price

680.00
67900
Realized Price
1,514.96

EOD Local Value
Local Cost
JPY
Realized
Income
110.26
USD
(19,782.33)
Realized Price P/L - (((67,900 - 68,120) * -48 *20 )+ 44,160)/ 5/10 FX Rate
Qty set off

Movement in Price
Gain /Loss in Price
Less:
Commission on Sell deal
Commission on Buy deal
-48
(220) (transaction price difference between the long & short position)
211,200.00
22,080.00
22,080.00
JPY
5/10/06 FX Rate
(19,782.33)
Unrealized
FX
923,440,000.00
925,621,200.00
(2,181,200.00)
PNL due to Realized Price:
(2,181,200.00)
Realized
FX
44,160.00
167,040.00
110.26
USD

Unrealized
Income
Misc Rev/Exp
Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 5/10 FX rate
5/10/06 FX Rate
Local Unrealized
Price
Unrealized Price
1,514.96
No FX P/L on Day 1
No FX P/L
No P/L
No P/L
Total
(18,267.37)
No P/L
Day 2 P/L - 5/11 P/L

Quantity
Ending Local Price

680.00
69200
Realized Price
-

EOD Local Value
Local Cost
JPY
(7.95)
140,171.84
(19,782.33)
159,954.17
Unrealized FX P/L - (Commission Cost / 5-11 FX Rate) - (Commission Cost / 5-10 FX Rate)

PNL due to fx
2,828.98
2,836.93
(7.95)
Other PNL columns
To Summarize:
DAY1:
Calculation of Realized Price :
10th May
FX Rate
Realized
Income
110.57
Local Realized Price
159,954.17
Unrealized
FX
941,120,000.00
925,621,200.00
15,498,800.00

USD
Today's PNL
Transaction price 2
Multiplier
Commission on trade 1
Commission on trade 2 (on
the qty set off)
Difference in price of 2 trades
17,680,000.00
Realized
FX
Unrealized
Income
-
Misc Rev/Exp
-
Total
159,946.22
Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 5/11 FX rate - 5/10 Unrealized Price
5/10/06 FX Rate
Trade 1
Transaction price 1
Trade 2 (to the extent set off)
Local Unrealized
Price
Unrealized Price
-48 short
68,120
48
67,900
20
22,080
22,080
68,120 - 67,900
220
(220*48*20) (22,080*2 )
167,040
110.26
Base Realized Price (A)
211,200/110.26
1,514.96
Calculation of Unrealized Price:

10th May
QTY
Trade 1
Trade 2
Trade 3
Trade 4
Trade 5
Trade 6
Trade 7
Total
Multiplier
EOD price
Local value
Fx Rate
Base Value (B)
Total PNL (A)+(B)
Price
76
122
119
119
120
124
680
20
67,900
67900*680*20
923,440,000
923,440,000 925,621,200
(2,181,200)
110.26
-19,782.33
-18,267.37
DAY2:
EOD price
EOD Local value
Local cost
Local Unrealized Price for 2
days
Fx Rate
11th May
69,200
69200*680*20
941,120,000
925,621,200
941,120,000 925,621,200
15,498,800
110.57
Commission
67,900
68,120
68,010
68,050
68,290
67,810
34960
56,120
54,740
54,740
55,200
57,040
312800
Total cost
103,242,960
166,268,920
161,918,540
162,013,740
163,951,200
168,225,840
925621200
Base Total Local Realized

Price
Calculation of Unrealized Fx:

Commission Cost
[(15,498,800)/11
0.57)]
140,171.84
140,171.84 (19,782.33)
159,954.17
312,800
05/11 Fx rate
110.57
2,828.98
05/10 Fx rate
110.26
2,836.93

Total PNL (A)+(B)
-7.95
159,946.22
Future YE_TIFDEC0699375P
Quantity
Cost
875
2625
1750
1750
0.1550
0.1500
0.1550
0.1500
Trade Date
5-Apr
5-Apr
5-Apr
5-Apr
7000
Multiplier
CCY
250,000
JPY
Commission
Local Cost
153,125
459,375
306,250
306,250
34,059,375.00
98,896,875.00
68,118,750.00
65,931,250.00
1,225,000
267,006,250
4/05/06 FX Rate
4/06/06 FX Rate
117.41
117.66
Day 1 - 4/05 P/L

Quantity
Ending Local Price

7,000.00
0.14
Realized Price
-

EOD Local Value
Local Cost
Local Unrealized
Price
(22,006,250.00)
Unrealized Price
(187,430.80)
Realized
FX
-
Unrealized FX
-
Realized
Income
Unrealized
Income
Misc
Rev/Exp
-
Total
(187,430.80)
Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 4/05 FX rate
245,000,000.00
267,006,250.00
(22,006,250.00)
JPY
4/05/06 FX Rate
117.41
USD
(187,430.80)

No FX P/L on Day 1
No FX P/L
No P/L
No P/L
No P/L
Day 2 - 4/06 P/L

Quantity
Ending Local Price

7,000.00
0.155
Realized Price
-

EOD Local Value
Local Cost
JPY
4/06/06 FX Rate
USD
Today's PNL
Local Unrealized
Price
26,250,000.00
Unrealized Price
223,498.71
Realized
FX
-
Unrealized FX
Realized
Income
(22.17)
Unrealized
Income
-
Misc
Rev/Exp
-
Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 4/06 FX rate - 4/05 Unrealized Price
271,250,000.00
267,006,250.00
4,243,750.00
117.66
36,067.91
(187,430.80)
223,498.71
Total
223,476.54
Unrealized FX P/L - (Commission Cost / 4-06 FX Rate) - (Commission Cost / 4-05 FX Rate)

PNL due to fx
10,411.35
10,433.52
(22.17)
Other PNL columns
To Summarize:
DAY1:
QTY
Trade 1
Trade 2
Trade 3
Trade 4
Total
Multiplier
EOD price
Local value
Fx Rate
Base Value
Price
875
2625
1750
1750
7000
250000
0.14
0.14*7000 *
250000
245,000,000
245,000,000 267,006,250
(22,006,250)
117.41
(187,430.80)
DAY2:
EOD price
EOD Local value
Local cost
for 2 days
6th April
0.155
0.155*7000 *
250000
271,250,000
267,006,250
271,250,000 267,006,250
4,243,750
5th April
Commission
Total cost
0.155
153,125
34,059,375
0.150
459,375
98,896,875
0.155
306,250
68,118,750
0.150
306,250
65,931,250
1,225,000
267,006,250
Fx Rate
Base Total Local
Realized Price
Calculation of Unrealized Fx:

Commission Cost
05/11 Fx rate
Base Cost at EOD FX
rate
05/10 Fx rate
Base Cost at EOD FX
rate
Total PNL (A)+(B)
117.66
[(4,243,750) /
117.66)]
36,067.91
38,380.66 (187,430.80)
223,498.71
1,225,000
117.66
10,411.35
117.41
10,433.52
-22.17
223,476.54
IRS # 12503
Trade Date
Notional Amount
P/L Quantity
CCY
05-Apr-06
82,950,000.00
1.00
JPY
4/05/06 FX Rate
4/06/06 FX Rate
117.41
117.66
Day 1 - 4/05 P/L
Quantity
Ending Local Price

82,950,000.00
Local Unrealized
Price
Realized Price
(12,480,137.09)
(106,295.35)
Realized
Income
Unrealized
Income
Realized
Income
Unrealized
Income
Misc Rev/Exp
-
Total
(106,295.35)
Market Value Local

(12,480,137.09)
Unrealized Price P/L - (Ending Local Price) / 4-05 FX Rate
EOD Local Value
(12,480,137.09)
4/05/06 FX Rate
(12,480,137.09)
Unrealized Price Realized FX Unrealized FX
117.41
USD
(106,295.35)

Cost is 0
Cost is 0
No P/L
No P/L
No P/L
Day 2 - 4/06 P/L
Quantity
Ending Local Price

82,950,000.00
(45,215,973.52)
Local Unrealized
Price
Realized Price
-
(277,998.15)
Unrealized Price P/L - (Ending Local Price) / 4-06 FX Rate - 4/05 Unrealized Price
EOD Local Value
(45,215,973.52)
4/05/06 FX Rate
(32,735,836.43)
Unrealized Price Realized FX Unrealized FX
117.66
USD
(384,293.50)
(106,295.35)
Today's PNL
(277,998.15)
Other PNL columns
To Summarize:
5th April
6th April
Misc Rev/Exp
-
Total
(277,998.15)
Market Value Local

(32,735,836.43)
Trade price/Prior day

price
EOD Price
Qty
Currency
Value
EOD Local Market
Value
price
Fx Rate
Total Unrealized price
in Base Currency
(12,480,137.09)
(12,480,137.09)
82,950,000
JPY
0
(45,215,973.52)
82,950,000
JPY
-12,480,137
(12,480,137.09)
(45,215,973.52)
(12,480,137.09)
(12,480,137.09)
(32,735,836.43)
(32,735,836.43) +
(12,480,137.09)
(45,215,973.52)
117.66
(45,215,973.52) /
117.66
-384,293.50
(384,293.50)(106,295.35)
-277,998.15
117.41
(12,480,137.09) /
117.41
-106,295.35

Currency (A)
-106,295.35
Market Value
Base
(106,295.35)
Market Value
Base
(384,293.50)
Net Change In
Mkt Value Base
(106,295.35)
Net Change In
Mkt Value Base
(277,998.15)
Fx Forward
Currency
Trade Date
Settle Date
Buy CCY THB
Sell CCY USD
Trade FX Rate
THB
29-Mar-06
07-Apr-06
174,622,500.00
4,494,209.24
38.8550
Spot
29-Mar
30-Mar
38.93
38.845
30 day Fwd
Interpolated Rate
38.94275
38.9331875
38.8579167
38.8478255
Day 1 - 3/29 P/L

Quantity
Ending Local Price
Realized Price
174,622,500.00
Local Unrealized
Price
-
Unrealized Price
-
Realized FX
Unrealized FX
(9,025.49)
Realized
Income
Unrealized
Income
Realized
Income
Unrealized
Income
Misc Rev/Exp
-
Total
(9,025.49)
Unrealized FX P/L - (Local Buy CCY / 3-29 Interpolated FX Rate) - (Sell CCY USD)
EOD Local Quantity

Interpolated Rate
Value in base currency
THB
USD
174,622,500.00
38.9331875
4,485,183.75
Initial Value in base currency
USD
4,494,209.24
USD
(9,025.49)
Other PNL columns
Blank
Day 2 - 3/30 P/L

Quantity
Ending Local Price
Realized Price
174,622,500.00
Local Unrealized
Price
-
Unrealized Price
-
Realized FX
Unrealized FX
Unrealized FX P/L - (Local Buy CCY / 3-30 Interpolated FX Rate) - (3-29 Unrealized FX)
EOD Local Quantity

Interpolated Rate
Value in base currency
THB
USD
174,622,500.00
38.8478255
4,495,039.24
Initial Value in base currency
USD
4,494,209.24
Total PNL
USD
Less: Unrealized FX PNL till yesterday
Today's PNL
830.00
(9,025.49)
9,855.49
Other PNL columns
Blank
To Summarize:
Calculation of Unrealized FX
29th March
30th March
9,855.49
Misc Rev/Exp
-
Total
9,855.49
THB Bought
174,622,500
174,622,500
USD Sold
4,494,209.24
4,494,209.24
Interpolated Fwd rate

USD reqd. to be sold at
current rate to BUY
contracted QTY of THB
38.9331875
38.8478255
174,622,500 /
38.9331875
4,485,183.75
174,622,500 /
38.8478255
4,495,039.24
Total Unrealized FX
Unrealized FX
4,485,183.75
4,494,209.24
(9,025.49)
[4,495,039.24
4,494,209.24]
830.00
830-(9,025.49)
9,855.49
FXO # 97
Trade Date
Notional Amount
Trade Price
Local Cost
Base Cost
CCY
27-Mar-06
20,000,000.00
0.0219
438,000.00
691,098.30
EUR
3/27/06 FX Rate
3/28/06 FX Rate
Day 1 - 3/27 P/L
Quantity
Ending Local Price

20,000,000.00
0.0228262870

Local Market Value
Local Cost
Local Unrealized
Price
Realized Price
-
Unrealized Price P/L - (Ending Local Price - Purchase Price) x Quantity

456,525.74
438,000.00
18,525.74
3/27/06 FX Rate
18,525.74
EUR
1.57785
29,230.84

Other PNL columns
USD
No FX P/L on Day 1
Blank
Day 2 - 3/28 P/L
Quantity
Ending Local Price

20,000,000.00
0.02132257250

Local Market Value
Local Cost
3/28/06 FX Rate
Today's PNL
Local Unrealized
Price
Realized Price
-
(30,074.29)
Unrealized Price P/L - (Ending Local Price - Purchase Price)/3-28 FX R

426,451.45
438,000.00
(11,548.55) EUR
1.5759
(18,199.36)
29,230.84
(47,430.20)
Unrealized FX P/L - (Local Cost / 3-28 FX Rate) - (Local Cost / 3-27 FX

690,244.20

PNL due to fx
Other PNL columns
691,098.30
(854.10)
Blank
To Summarize:
27th March
0.0219
28th March
0.0228262870
27th March
0.0219
28th March
0.0228262870
0.0228262870
20,000,000
EUR
691,098.30
0.02132257250
20,000,000
EUR
691,098.30
438,000
1.57785
691,098.30
438,000
1.5759
690,244.20

price
EOD Price
0.0228262870
0.02132257250
Qty
20,000,000
20,000,000
Currency
EUR
EUR
438,000
456,526
Value
EOD Local Market
456,526
426,451
Value
18,525.74
(30,074.29)
18,525.74 18525.74-30,074.29
price
=(11,548.55)
Fx Rate
1.57785
1.5759
Total Unrealized price 18,525.74*1.57785
(11,548.55)*1.5759
in Base Currency
29,230.84
-18,199.36
(18,199.36)-29,230.84
Currency (A)
29,230.84
-47,430.20

price
EOD Price
Qty
Currency
Base cost at trade days
FX rate
Local Cost
Fx Rate
EOD Base Market
Value
Total FX Unrealized
PNL
FX Unrealized PNL
(B)
0.00
-854.10
-854.10
1.57785
1.5759
Unrealized Price
29,230.84
Realized FX
Unrealized FX
Unrealized
Income
Realized Income
Misc Rev/Exp
-
ocal Price - Purchase Price) x Quantity / 3-27 FX Rate
Unrealized Price
(47,430.20)
Realized FX
-
Unrealized FX
(854.10)
ocal Price - Purchase Price)/3-28 FX Rate - 3-27 Unrealized Price
3-28 FX Rate) - (Local Cost / 3-27 FX Rate)
Unrealized
Income
Realized Income
-
Misc Rev/Exp
-
Total
29,230.84
Total
(48,284.30)
Market Value Local

456,525.74
Market Value Local

426,451.45
Market Value
Base
720,329.14
Market Value
Base
672,044.84
Net Change In
Mkt Value Base
29,230.84
Net Change In
Mkt Value Base
(48,284.30)

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Profit and Loss By Asset Type

CANADIAN DOLLAR CASH

Totals for Cash

EUR FORWARD : 24/08/2008

Totals for F/X FORWARDS .

Last Coupon date

Ending Local Price

PNL due to Unrealized Price changes:

Local Market Value

PNL in base currency

PNL due to Unrealized Fx changes:

Day 2 - 4/12 P/L

Ending Local Price

PNL due to Unrealized Price changes:

Value of Local Cost using 04/12/06 fx rate

Other PNL columns

Same as explained above.

Day 3 - 4/13 P/L

Ending Local Price

PNL due to Unrealized Price changes:

PNL in base currency

PNL due to Unrealized Fx changes:

Value of Local Cost using 04/13/06 fx rate

Less: Unrealized Fx PNL till yesterday

PNL due to Unrealized Income:

Quantity * Interest rate * no. of days since coupon date / 365

Trade price/Prior day price

Local Unrealized Price

Calculation of Realized Income

Calculation of Unrealized Income

Local Accrued Interest

Total PNL in Base

Net Change In Mkt

Net Change In Mkt

Net Change In Mkt

Last Coupon date

Day 1 - 4/13 P/L

Ending Local Price

PNL due to Realized & Unrealized Price changes:

No P/L since it is a collateral security & therefore no daily price movements

PNL due to Unrealized Fx changes:

PNL due to Unrealized Income:

Base Interest income

Day 2 - 4/14 P/L

Ending Local Price

PNL due to Realized & Unrealized Price changes:

No P/L since it is a collateral security & therefore no daily price movements

Less: Unrealized Fx PNL till yesterday

Local cost / previous EOD Fx rate

PNL due to Unrealized Income:

Base Interest income

Less: Unrealized Fx PNL till yesterday

Base Cost at EOD FX rate

FX Unrealized PNL (A)

Local Accrued Interest for 29

Interest for 5 days

Total PNL in Base Currency (A)

Day 1 - 5/10 P/L

Ending Local Price

PNL due to Unrealized Price changes:

Qty set off

PNL due to Realized Price:

PNL in local currency

PNL due to Unrealized Fx changes: