Box 11 | A chairman’s snapshot |
| The following tables together make up the daily market risk report that is sent to the senior managers (including the chairman) of a highly-respected American bank. Although there are detailed breakdowns for foreign exchange and interest rate positions, there are none for equities and commodities. Notice that the market risk snapshot contains directional information on the firm’s positions - the bar chart in column 4 in table 5 shows net long or short positions.
Table 5:
ESTIMATED TRADING POSITIONS AND DAILY EARNINGS AT RISK (FOR ALL TRADING DESKS WORLDWIDE)
(A) FOREIGN EXCHANGE (FX spot equivalents $ million)
| | Business Divisions | | Fx | Prop Trading | Currencies | Short/Long
(in bar chart form) | Total | Change from yesterday |
| | XX | XX | US$ | | XXX | XX | | XX | XX | C$ | | XXX | XX | | XX | XX | £ | | XXX | XX | | XX | XX | DM | | XXX | XX | XX
etc | XX | Ffr | | XXX | XX |
|
(B) $ SPREAD & PREPAY POSITIONS (2 year equivalents $ million)
| Long/short | | DEaR |
| | SWAPS: | Basis: FF, CP, Prime etc/Libor | XXXX | XX | | SECURITIES DIVISION: | Basis: Futures/Treasuries | XXXX | XX | | Credit: Corp/Treasuries | XX | XX | | Zero: Strips/Treasuries | XX | XX |
| |
(C) INTEREST RATES POSITIONS (2 year equivalents $ million)
In the interest of readability the following table was reduced from an original 14 columns/ 4 lines format to a more compact 7 columns/ 8 lines format |
| Business Divisions |
Fixed
Income | FX | Prop
Trading | Currencies | Short/Long
(in bar chart form) | Total | Change |
| XX | XX | XX | $ | | XXXX | XX |
| XX | XX | XX | C$ | | XXXX | XX |
| XX | XX | XX | £ | | XXXX | XX |
| XX | XX | XX | DM | | XXXX | XX |
| Maturity breakdown (excl. MBS) | Currencies | Prop
positioning |
| 0-3y | 3-5y | 5-7y | 7-10y | 10+y |
| XX | XX | XX | XX | XX | $ | XXX |
| XX | XX | XX | XX | XX | C$ | XXX |
| XX | XX | XX | XX | XX | £ | XXX |
| XX | XX | XX | XX | XX | DM | XXX |
| etc |
|
| Interest |
| Risk | XX | XXX | XXX | XX |
| Spread | XX | 0.0 | XX |
| Volatility | XX | XX | XX | XX |
| Other | XX | 0.0 | XX | XX | XX |
(D)
| Business Divisions |
| Fixed Income | Fx | Prop Trading | Municipals | Equity | Emerging Markets |
| DEaR | XX | XX | XX | XX | XX | XX |
| Limits | XX | XX | XX | XX | XX |
|
| Commodities | TOTAL | Change | Market Making | Proprietary Positioning | Total (with diversifications) |
| DEaR | XX | XX | XX | XXX | XXX | XXX |
| Limits | XX | XX | XX | XXX | XXX | XXX |
(E) Estimated Daily and Month-to-Date Revenue (which includes trading, net income expense, underwriting, commissions) are generally reported on a same day basis.
The following revenue data are reported on a prior day basis:
Bond Index Derivatives, Hybrids
FX options
Proprietary Positioning
Commodities
Equities (non Asian)
Municipals
(F) Estimated Positions and Risk are generally reported on a same day basis.
The following are reported on a prior day basis:
Bond Index Derivatives, Hybrids
FX options
Proprietary Positioning
Commodities
Equities (non-Asian)
Municipals
(G) Positions and Strategies.
A discussion of significant positions and market conditions for:
Foreign Exchange
Interest Rate
Equities
