NOTES:
- The Net Liquidating Value (NLV), Profit and Loss (PNL) and Exposure numbers are shown in USD (the base currency of the account). The analysis of Foreign Exchange risk is performed by varying the exchange rate between each currency and USD. As such NLV, PNL and Exposure in this section are shown in USD.
- The following report shows the change in value of your positions under the assumption that the underlying price of each of your positions declines by 10%, 20%, and 30% and independently increases by 10%, 20%, 30%, 40% and 60%. These results are based on theoretical pricing models and do not take into account coincidental changes in volatility (except for Equity) or other variables that affect derivative prices.
- For Equity category PNL, it assumes coordinated volatility change for each price change scenario using the following grid: -30% price is coordinated with +300% volatility, -20% price with +200% volatility, -10% price with +100% volatility, +10% price with -10% volatility, +20% price with -20% volatility, and +30% price with -30% volatility. Equity Volatility category PNL is considered together with Equity category PNL for the purpose of calculating coordinated Equity exposure. For that purpose Equity Volatility scenarios considered are respectively +300%, +200%, +100%, -10%, -20%, and -30%.
- Certain positions are shown in this report but not valued under the stress scenarios of -30%, -20%, -10%, +10%, +20%, +30%, 40% and 60% changes in the underlying price. You must evaluate your own risk for these positions and include them in the totals provided.
- Equity includes stock and its derivatives, equity index derivatives and mutual funds.
- For additional information, see Help.
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