Value At Risk Report Notes

This section includes additional notes and legal statements pertaining to data included in the Value At Risk Report.

Notes

  • All monetary amounts (Value, VAR) are provided in the base currency of the account.
  • Risk factor prices are provided in the currency of the asset, unless currency, which will be provided against USD.

  • Bond risks are not included in the P/L calculation. Therefore, all bond positions denominated in the same currency as the account will have a P/L of 0.

  • P/L is calculated at the 99.5% Confidence Level for both the Variance-Covariance and Historical methods.