PNL Presentation

Profit and Loss By Asset TypeFund NamePeriod Start DatePeriod End DateKnowledge DateUNITED STATES DOLLAR CASH

Investment Description Curr

BONDS - CORPORATE 209944ABA Company Name 200,000.00 USD. . . . .. . Totals for BONDS - COR . .Cash CAD CANADIAN DOLLAR CASH 15,000.00 CADCash EUR EUROPEAN CURRENCY UNIT CA -30,000.00 EURCash JPY UNITED KINGDOM POUND CASH 275,000.00 GBPCash HKD HONG KONG DOLLAR CASH -150,000.00 HKDCash USD UNITED STATES DOLLAR CASH 500,000.00 USD

. . . . .

. . Totals for Cash . .CNT - SWP - EQY EQS000001K00X EQSWAP ABCBWCDR 20080222-200 90,000.00 EUR

. . . .

. . Totals for LISTED CNT - . .CONTRACTUALS - SWAP CRE000001K00X CDS GOLDNY PF 0.135% Q 200504 1,000,000.00 USD

. . . . .

. . Totals for LISTED CONT . .EQUITIES - LISTED AA8849030000 Scrip Name 150.00 CAD

. . . . .

. . Totals for EQUITIES - LIS . .F/X FORWARDS EURF EUR FORWARD : 24/08/2008 -630,000.00 EURF/X FORWARDS HKDF HONG KONG DOLLAR FORWARD : -3,400,000.00 HKDF/X FORWARDS JPYF JPY FORWARD : 24/08/2008 424,545.98 JPYF/X FORWARDS USDF USD FORWARD : 13/07/2008 1,153,461.54 USD

. . . .

. . Totals for F/X FORWARDS . .LISTED COMMODITIES - OPTION SCR_USJUL0825 Scrip Name C @ 25.000 JUL 08 -250.00 USD

. . . . .

. . Totals for LISTED COMM . .

. . . . .

. . Grand Total . .

Ending Quantity

Price List

25.26 GOPRICINGClosing. . ____________________________________________ _______________________. .

1.111.57

27.76

1. . ____________________________________________ _______________________. .

0.73 GOPRICINGMid. . ____________________________________________ _______________________. .

0.73 GOPRICINGMid. . ____________________________________________ _______________________. .

35.56 CLIENTEXT. . ____________________________________________ _______________________. .

1.69 GOPRICINGClosing6.89 GOPRICINGClosing

95.32 GOPRICINGClosing1 GOPRICINGClosing

. . ____________________________________________ _______________________

. .0.73 GOPRICINGMid

. . ____________________________________________ _______________________

. .

. . ____________________________________________ _______________________

. .

Ending Local Price

Realized Price

Unrealized Price

Realized FX

Unrealized FX

Realized Income

Unrealized Income

Total

___________________________

___________________________

___________________________

___________________________

___________________________

___________________________

___________________________

___________________________

Misc Rev/Exp

Bond PL0000103735 Last Coupon date 24-MarTrade Date 11-Apr-06Settle Date 13-Apr-06 4/11/06 FX Rate 3.2392Quantity 45,000,000.00 4/12/06 FX Rate 3.2443CCY PLN 4/13/06 FX Rate 3.2564Coupon 5.75% fixedPurchase Price 103.87Local Cost 46,741,500.00 = Qty * Purchase Price / 100 = 45,000,000 * 103.87 / 100Base Cost 14,429,951.84 = Local Cost / 4/11 fx rate = 446,741,500.00 / 3.2392Accrued Interest Purchased 141,750.00

Day 1 - 4/11 P/L

Quantity Ending Local Price Realized Price Unrealized Price Unrealized Income Total

45,000,000.00 103.77 - (45,000.00) (13,892.32) - - - - (13,892.32) 46,696,500.00 14,416,059.52

PNL due to Unrealized Price changes: Unrealized Price P/L - (Ending Local Price - Purchase Price) x Quantity / 100 / 4-11 FX Rate

Local Market Value Local Market Value 46,696,500.00 Local Cost Local Cost 46,741,500.00 PNL in local currency PLN (45,000.00)

4/11/06 FX Rate 3.2392

PNL in base currency USD (13,892.32)

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

Day 2 - 4/12 P/L


45,000,000.00 103.7 - (31,500.00) (9,687.50) - (22,683.71) - - - (32,371.21) 46,665,000.00 14,383,688.31

PNL due to Unrealized Price changes: Unrealized Price P/L - (Ending Local Price - Purchase Price)/4-12 FX Rate - 4-11 Unrealized Price

Local Market Value 46,665,000.00 Local Cost 46,741,500.00 PNL in local currency PLN (76,500.00)

4/12/06 FX Rate 3.2443

PNL in base currency USD (23,579.82)Less: Unrealized Price PNL till yesterday (13,892.32)Today's PNL (9,687.50)

Local Unrealized Price

Realized FX

Unrealized FX

Realized Income

Misc Rev/Exp

Market Value Local

Market Value Base


Realized FX

Unrealized FX

Realized Income

Misc Rev/Exp

Market Value Local

Market Value Base

PNL due to Unrealized Fx changes: Unrealized FX P/L - (Local Cost / 4-12 FX Rate) - (Local Cost / 4-11 FX Rate)

Value of Local Cost using 04/12/06 fx rate 14,407,268.13 Value of Local Cost using 04/11/06 fx rate 14,429,951.84 PNL due to fx (22,683.71)

Other PNL columns Same as explained above.

Day 3 - 4/13 P/L


45,000,000.00 103.57 - (58,500.00) (17,877.01) - (53,533.95) (43,529.66) 45,716.09 - (69,224.53) 46,606,500.00 14,312,277.36

PNL due to Unrealized Price changes: Unrealized Price P/L - (Ending Local Price - Purchase Price)/4-13 FX Rate - (4-11 Unrealized Price + 4-12 Unrealized Price)

Local Market Value 46,606,500.00 Local Cost 46,741,500.00 PNL in local currency PLN (135,000.00)

4/13/06 FX Rate 3.2564

PNL in base currency USD (41,456.82)Less: Unrealized Price PNL till yesterday (23,579.82)Today's PNL (17,877.01)


Value of Local Cost using 04/13/06 fx rate 14,353,734.18 Value of Local Cost using 04/11/06 fx rate 14,429,951.84 PNL due to fx (76,217.65)

Less: Unrealized Fx PNL till yesterday (22,683.71)Today's PNL (53,533.95)

PNL due to Unrealized Income: Quantity * Interest rate * no. of days since coupon date / 365

To Summarize:

Calculation of Unrealized price

Trade price/Prior day price 103.87 103.77 103.7

EOD Price 103.77 103.7 103.57Qty 450,000 450,000 450,000Currency PLN PLN PLN


Realized FX

Unrealized FX

Realized Income

Misc Rev/Exp

Market Value Local

Market Value Base

TRADE PRICE LOCAL COST

11th April 12th April 13th April

46,741,500 46,696,500 46,665,000

EOD Local Market Value 46,696,500 46,665,000 46,606,500Local Unrealized Price -45,000 -31,500 -58,500

-45000 (45,000)+(31,500) (76,500)+(58500)

Fx Rate 3.2392 3.2443 3.2564

-13,892.32 -23,579.82 -41,456.82

-13,892.32 -9,687.50 -17,877.01

Calculation of Unrealized FX PNL

Trade price/Prior day price 103.87 103.77 103.7

EOD Price 103.77 103.7 103.57Qty 450,000 450,000 450,000Currency PLN PLN PLN

14,429,951.84 14,429,951.84 14,429,951.84

Local Cost 46,741,500 46,741,500 46,741,500Fx Rate 3.2392 3.2443 3.2564EOD Base Market Value 14,429,951.84 14,407,268.13 14,353,734.18Total FX Unrealized PNL 0.00 -22,683.71 -76,217.65FX Unrealized PNL (B) 0 -22,683.71 -53,533.95

Calculation of Realized Income

-141,750

FX Rate 3.2564Realized Income (C) 0 0 -43,529.66

Calculation of Unrealized Income

Face Amount 45,000,000

Prior day Local Market Value

Total Local Unrealized price =(76,500) =(135,000)

Total Unrealized price in Base Currency

(45,000)/3.2392 (76,500)/3.2443 (135,000)/3.2564

Unrealized price in Base Currency (A)

(23,579.82)-(13,892.32)

(41,456.83)-(23579.82)

BASE COST


Base cost at trade day’s FX rate


Accrued Interest Purchased & Realized

Realized on settlement date

Realized on settlement date

13th April

Coupon Rate 5.75%Coupon Date 24-Mar-06

Settlement date 13-Apr-06

No. of Days accrual 21

Local Accrued Interest

148,869.86Fx Rate 3.2564Unrealized Income (D) 0 0.00 45,716.09

-13,892.32 -32,371.21 -69,224.53

(45,000,000*5.75%) * 21/365

Total PNL in Base Currency (A)+(B)+(C)+(D)

(13,892.32)

(32,371.21)

Net Change In Mkt Value Base


(71,410.95)


Repo PL0000103735 Last Coupon date 24-MarStart Date (or Open Date) 13-Apr-06Term Date (or Close Date) 12-May-06 4/12/06 FX Rate 3.2443Amount (45,000,000.00) 4/13/06 FX Rate 3.2564CCY PLN fixed 4/14/06 FX Rate 3.2564Coupon 3.85% 4/15/06 FX Rate WeekendLending Price 104.10 4/16/06 FX Rate WeekendLocal Cost (46,845,000.00) 4/17/06 FX Rate 3.2045Base Cost (14,439,170.24)Accrued Interest Purchased (143,294.36)

Day 1 - 4/13 P/L

Quantity Ending Local Price Local Unrealized Price Unrealized Price Unrealized FX Total

(45,000,000.00) - - - - - 53,652.49 - (1,517.38) - 52,135.11

PNL due to Realized & Unrealized Price changes: No P/L since it is a collateral security & therefore no daily price movements


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

9.5PNL due to Unrealized Income:

Total Interest (143,294.36)Term period 291 day interest (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 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 (1,517.38)Day 3 - 4/15 P/L Same as aboveDay 4 - 4/16 P/L Same as above

Day 5 4/17/2006

Quantity Ending Local Price Local Unrealized Price Unrealized Price Unrealized FX Total

(45,000,000.00) 0 - - - - (232,987.48) - (1,640.25) - (234,627.73)

PNL due to Realized & Unrealized Price changes: No P/L since it is a collateral security & therefore no daily price movements


Local cost / EOD Fx rate (14,618,505.23) Another way:

Realized Price

Realized FX

Realized Income

Unrealized Income

Misc Rev/Exp

Realized Price

Realized FX

Realized Income

Unrealized Income

Misc Rev/Exp

Base Cost (14,439,170.24) Local cost / current EOD Fx rate (14,618,505.23)PNL due to fx (179,334.99) Local cost / previous EOD Fx rate (14,385,517.75)

PNL due to fx (232,987.48)Less: Unrealized Fx PNL till yesterd 53,652.49 Today's PNL (232,987.48)

PNL due to Unrealized Income:

Total Interest (143,294.36)No. of Days accrual 5Term period 29Local interest (24,705.92)

4/17/06 FX Rate 3.2045

Base Interest income (7,709.76)

Less: Unrealized Fx PNL till yesterd (6,069.51)

Today's PNL (1,640.25)

Total PNL (234,627.73)

To Summarize:


Loan Amount -45,000,000 -45,000,000Qty 45,000,000/100 45,000,000/100

-450000 -450000Lending Price 104.1 104.1Local Cost 450,000*104.10 450,000*104.10

-46,845,000 -46,845,000EOD FX rate 3.2564 3.2045Base cost at Prior day’s FX rate (46,845,000) / 3.2443 (46,845,000) / 3.2564

(14,439,170.24) (14,385,517.75)Base Cost at EOD FX rate (46,845,000) / 3.2564

(14,385,517.75) (14,618,505.23)

FX Unrealized PNL (A)

53,652.49 (232,987.48)

13th April 17th April

(46,845,000) / 3.2045

(14,385,517.74)-(14,439,170.23)

(14,618,505.22)-(14,385,517.74)

Calculation of Unrealized Income:

Face Amount -45,000,000 -45,000,000Qty 45,000,000/100 45,000,000/100

(450,000.00) (450,000.00)Lending Price 104.1 104.1Local Cost 450,000*104.10 450,000*104.10

(46,845,000.00) (46,845,000.00)Repo Rate 3.85% 3.85%Repo Term (days) 29 29No. of Days interest accrual 1 5Local Accrued Interest p.a

(143,294.36) (143,294.36)Interest for day 1 (143,294.36)/29 (143,294.36)/29

(4,941.18) (4,941.18)Interest for 5 days (4941.18)*5

(24,705.92)Fx Rate 3.2564 3.2045Unrealized Income (B) (4,941.18) / 3.2564

(1,517.38) (1,640.25)

52,135.11 (234,627.73)

13th April 17th April

(46,845,000) *3.85% =(1803532.50)

(46,845,000) *3.85% =(1803532.50)

Local Accrued Interest for 29 days

(1,803,532.50) *29/365

(1,803,532.50) *29/365

[(24,705.90) / 3.2045] – [(1517.38)

* 4]

Total PNL in Base Currency (A) +(B)

Future KZ_CCONOV06

Quantity Cost Price Trade Date Commission Cost Price Trade Date Commission Local Cost

-48 68,120 10-May 22,080 0 - 10-May - - 124 67,900 10-May 57,040 76 67,900 10-May 34,960 103,242,960 122 68,120 10-May 56,120 122 68,120 10-May 56,120 166,268,920 119 68,010 10-May 54,740 119 68,010 10-May 54,740 161,918,540 119 68,050 10-May 54,740 119 68,050 10-May 54,740 162,013,740 120 68,290 10-May 55,200 120 68,290 10-May 55,200 163,951,200 124 67,810 10-May 57,040 124 67,810 10-May 57,040 168,225,840

680 356,960 680 312,800 925,621,200

Multiplier 20 5/10/06 FX Rate 110.26CCY JPY 5/11/06 FX Rate 110.57

Day 1 - 5/10 P/L

Quantity Ending Local Price Realized Price Unrealized Price Misc Rev/Exp Total

680.00 67900 1,514.96 (2,181,200.00) (19,782.33) - - - - (18,267.37)

PNL due to Unrealized Price changes: Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 5/10 FX rate

EOD Local Value 923,440,000.00 Local Cost 925,621,200.00 PNL in local currency JPY (2,181,200.00)

5/10/06 FX Rate 110.26


PNL due to Realized Price: Realized Price P/L - (((67,900 - 68,120) * -48 *20 )+ 44,160)/ 5/10 FX Rate

Qty set off -48 Movement in Price (220) (transaction price difference between the long & short position) Gain /Loss in Price 211,200.00 Less:Commission on Sell deal 22,080.00 Commission on Buy deal 22,080.00 44,160.00

PNL in local currency JPY 167,040.00

5/10/06 FX Rate 110.26

PNL in base currency USD 1,514.96

PNL due to Unrealized Fx changes: No FX P/L on Day 1 PNL due to Realized Fx changes: No FX P/L

EOD Quantity


Realized FX

Unrealized FX

Realized Income

Unrealized Income

PNL due to Realized Income changes: No P/L PNL due to Unrealized Income changes: No P/L PNL due to Misc Rev/Exp changes: No P/L

Day 2 P/L - 5/11 P/L

Quantity Ending Local Price Realized Price Unrealized Price Misc Rev/Exp Total

680.00 69200 - 17,680,000.00 159,954.17 - (7.95) - - - 159,946.22

PNL due to Unrealized Price changes: Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 5/11 FX rate - 5/10 Unrealized Price

EOD Local Value 941,120,000.00 Local Cost 925,621,200.00 PNL in local currency JPY 15,498,800.00

5/10/06 FX Rate 110.57

PNL in base currency USD 140,171.84 Less: Unrealized Price PNL till yesterday (19,782.33)Today's PNL 159,954.17

PNL due to Unrealized Fx changes: Unrealized FX P/L - (Commission Cost / 5-11 FX Rate) - (Commission Cost / 5-10 FX Rate)

Value of Local Cost using 05/11/06 fx rate 2,828.98 Value of Local Cost using 05/10/06 fx rate 2,836.93 PNL due to fx (7.95)


To Summarize:

DAY1:Calculation of Realized Price :

10th May

Trade 1 -48 shortTransaction price 1 68,120Trade 2 (to the extent set off) 48

Transaction price 2 67,900Multiplier 20Commission on trade 1 22,080

22,080

Difference in price of 2 trades 68,120 - 67,900220

Local Realized Price


Realized FX

Unrealized FX

Realized Income

Unrealized Income

Commission on trade 2 (on the qty set off)

(220*48*20) - (22,080*2 )

167,040

FX Rate 110.26Base Realized Price (A) 211,200/110.26

1,514.96

Calculation of Unrealized Price:

10th May

QTY Price Commission Total costTrade 1 - - - -Trade 2 76 67,900 34960 103,242,960Trade 3 122 68,120 56,120 166,268,920Trade 4 119 68,010 54,740 161,918,540Trade 5 119 68,050 54,740 162,013,740Trade 6 120 68,290 55,200 163,951,200Trade 7 124 67,810 57,040 168,225,840Total 680 312800 925621200

Multiplier 20

EOD price 67,900Local value 67900*680*20

923,440,000


(2,181,200)Fx Rate 110.26Base Value (B) -19,782.33

Total PNL (A)+(B) -18,267.37

DAY2:Calculation of Unrealized Price:

11th MayEOD price 69,200EOD Local value 69200*680*20

941,120,000 Local cost 925,621,200

923,440,000 - 925,621,200

15,498,800 Fx Rate 110.57

140,171.84 Base Realized Price (A)

159,954.17

Calculation of Unrealized Fx:

Commission Cost 312,800

05/11 Fx rate 110.57Base Cost at EOD FX rate 2,828.98

05/10 Fx rate 110.26Base Cost at EOD FX rate 2,836.93

Base Realized Price (A) -7.95

Total PNL (A)+(B) 159,946.22

Local Unrealized Price for 2 days

941,120,000 - 925,621,200

Base Total Local Realized Price

[(15,498,800)/110.57)]

140,171.84 - (19,782.33)

Future YE_TIFDEC0699375P

Quantity Cost Trade Date Commission Local Cost

875 0.1550 5-Apr 153,125 34,059,375.00 2625 0.1500 5-Apr 459,375 98,896,875.00 1750 0.1550 5-Apr 306,250 68,118,750.00 1750 0.1500 5-Apr 306,250 65,931,250.00

7000 1,225,000 267,006,250

Multiplier 250,000 4/05/06 FX Rate 117.41CCY JPY 4/06/06 FX Rate 117.66

Day 1 - 4/05 P/L

Quantity Ending Local Price Realized Price Unrealized Price Unrealized FX Total

7,000.00 0.14 - (22,006,250.00) (187,430.80) - - - - - (187,430.80)

PNL due to Unrealized Price changes: Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 4/05 FX rate

EOD Local Value 245,000,000.00 Local Cost 267,006,250.00 PNL in local currency JPY (22,006,250.00)

4/05/06 FX Rate 117.41


PNL due to Unrealized Fx changes: No FX P/L on Day 1 PNL due to Realized Fx changes: No FX P/L PNL due to Realized Income changes: No P/L PNL due to Unrealized Income changes: No P/L PNL due to Misc Rev/Exp changes: No P/L

Day 2 - 4/06 P/L

Quantity Ending Local Price Realized Price Unrealized Price Unrealized FX Total

7,000.00 0.155 - 26,250,000.00 223,498.71 - (22.17) - - - 223,476.54

PNL due to Unrealized Price changes: Unrealized Price P/L - ((Quantity x Ending Local Price x Multiplier) - Local Cost) / 4/06 FX rate - 4/05 Unrealized Price

EOD Local Value 271,250,000.00 Local Cost 267,006,250.00 PNL in local currency JPY 4,243,750.00

4/06/06 FX Rate 117.66

PNL in base currency USD 36,067.91


Realized FX

Realized Income

Unrealized Income

Misc Rev/Exp


Realized FX

Realized Income

Unrealized Income

Misc Rev/Exp

Less: Unrealized Price PNL till yesterday (187,430.80)Today's PNL 223,498.71

PNL due to Unrealized Fx changes: Unrealized FX P/L - (Commission Cost / 4-06 FX Rate) - (Commission Cost / 4-05 FX Rate)



To Summarize:

Calculation of Unrealized Price:

DAY1:

5th AprilQTY Price Commission Total cost

Trade 1 875 0.155 153,125 34,059,375 Trade 2 2625 0.150 459,375 98,896,875 Trade 3 1750 0.155 306,250 68,118,750 Trade 4 1750 0.150 306,250 65,931,250 Total 7000 1,225,000 267,006,250

Multiplier 250000

EOD price 0.14Local value

245,000,000


(22,006,250)Fx Rate 117.41Base Value (187,430.80)

DAY2:

6th AprilEOD price 0.155EOD Local value

271,250,000 Local cost 267,006,250

0.14*7000 * 250000

245,000,000 - 267,006,250

0.155*7000 * 250000

4,243,750 Fx Rate 117.66

36,067.91 Base Realized Price (A)

223,498.71

Calculation of Unrealized Fx:

Commission Cost 1,225,000

05/11 Fx rate 117.66 10,411.35

05/10 Fx rate 117.41 10,433.52

Base Realized Price (A) -22.17

Total PNL (A)+(B) 223,476.54

Local Unrealized Price for 2 days

271,250,000 - 267,006,250

Base Total Local Realized Price

[(4,243,750) / 117.66)]

38,380.66 - (187,430.80)

Base Cost at EOD FX rate

Base Cost at EOD FX rate

IRS # 12503Trade Date 05-Apr-06Notional Amount 82,950,000.00 P/L Quantity 1.00 4/05/06 FX Rate 117.41CCY JPY 4/06/06 FX Rate 117.66

Day 1 - 4/05 P/L

Quantity Ending Local Price Realized Price Unrealized Price Realized FX Unrealized FX Misc Rev/Exp Total

82,950,000.00 (12,480,137.09) - (12,480,137.09) (106,295.35) - - - - - (106,295.35) (12,480,137.09) (106,295.35)

PNL due to Unrealized Price changes: Unrealized Price P/L - (Ending Local Price) / 4-05 FX Rate

EOD Local Value (12,480,137.09)

4/05/06 FX Rate 117.41


PNL due to Unrealized Fx changes: Cost is 0 PNL due to Realized Fx changes: Cost is 0 PNL due to Realized Income changes: No P/L PNL due to Unrealized Income changes: No P/L PNL due to Misc Rev/Exp changes: No P/L

Day 2 - 4/06 P/L


82,950,000.00 (45,215,973.52) - (32,735,836.43) (277,998.15) - - - - - (277,998.15) (32,735,836.43) (384,293.50)

PNL due to Unrealized Price changes: 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 117.66


Less: Unrealized Price PNL till yesterday (106,295.35)

Today's PNL (277,998.15)


To Summarize:



Realized Income

Unrealized Income

Market Value Local

Market Value Base


Realized Income

Unrealized Income

Market Value Local

Market Value Base

5th April 6th April0 (12,480,137.09)

EOD Price (12,480,137.09) (45,215,973.52)Qty 82,950,000 82,950,000Currency JPY JPY

0 -12,480,137

(12,480,137.09) (45,215,973.52)

Local Unrealized Price (12,480,137.09) (32,735,836.43) (12,480,137.09)

(45,215,973.52)Fx Rate 117.41 117.66

-106,295.35 -384,293.50

-106,295.35 -277,998.15

Trade price/Prior day price


EOD Local Market Value

Total Local Unrealized price

(32,735,836.43) + (12,480,137.09)


(12,480,137.09) / 117.41

(45,215,973.52) / 117.66


(384,293.50)-(106,295.35)

(106,295.35)

(277,998.15)



Fx ForwardCurrency THBTrade Date 29-Mar-06Settle Date 07-Apr-06 Spot 30 day Fwd Interpolated RateBuy CCY THB 174,622,500.00 29-Mar 38.93 38.94275 38.9331875Sell CCY USD 4,494,209.24 30-Mar 38.845 38.8579167 38.8478255Trade FX Rate 38.8550

Day 1 - 3/29 P/L


174,622,500.00 - - - - - (9,025.49) - - - (9,025.49)

PNL due to Unrealized Fx changes: Unrealized FX P/L - (Local Buy CCY / 3-29 Interpolated FX Rate) - (Sell CCY USD)

EOD Local Quantity THB 174,622,500.00 Interpolated Rate 38.9331875 Value in base currency USD 4,485,183.75

Initial Value in base currency USD 4,494,209.24


Other PNL columns Blank

Day 2 - 3/30 P/L


174,622,500.00 - - - - - 9,855.49 - - - 9,855.49

PNL due to Unrealized Fx changes: Unrealized FX P/L - (Local Buy CCY / 3-30 Interpolated FX Rate) - (3-29 Unrealized FX)

EOD Local Quantity THB 174,622,500.00 Interpolated Rate 38.8478255 Value in base currency USD 4,495,039.24

Initial Value in base currency USD 4,494,209.24

Total PNL USD 830.00 Less: Unrealized FX PNL till yesterday (9,025.49)Today's PNL 9,855.49


To Summarize:

Calculation of Unrealized FX


Realized Income

Unrealized Income


Realized Income

Unrealized Income

THB Bought 174,622,500 174,622,500

USD Sold 4,494,209.24 4,494,209.24

Interpolated Fwd rate 38.9331875 38.8478255

4,485,183.75 4,495,039.24

Total Unrealized FX

830.00 Unrealized FX

(9,025.49) 9,855.49

29th March 30th March

USD reqd. to be sold at current rate to BUY contracted QTY of THB

174,622,500 / 38.9331875

174,622,500 / 38.8478255

[4,495,039.24 – 4,494,209.24]

4,485,183.75 –4,494,209.24

830-(9,025.49)

FXO # 97Trade Date 27-Mar-06Notional Amount 20,000,000.00 Trade Price 0.0219 3/27/06 FX RateLocal Cost 438,000.00 3/28/06 FX RateBase Cost 691,098.30 CCY EUR

Day 1 - 3/27 P/L

Quantity Ending Local Price Realized Price

20,000,000.00 0.0228262870 - 18,525.74

PNL due to Unrealized Price changes: Unrealized Price P/L - (Ending Local Price - Purchase Price) x Quantity / 3-27 FX Rate

Local Market Value 456,525.74 Local Cost 438,000.00 PNL in local currency 18,525.74 EUR

3/27/06 FX Rate 1.57785

PNL in base currency 29,230.84 USD

PNL due to Unrealized Fx changes: No FX P/L on Day 1 Other PNL columns Blank

Day 2 - 3/28 P/L

Quantity Ending Local Price Realized Price

20,000,000.00 0.02132257250 - (30,074.29)

PNL due to Unrealized Price changes: Unrealized Price P/L - (Ending Local Price - Purchase Price)/3-28 FX Rate - 3-27 Unrealized Price

Local Market Value 426,451.45 Local Cost 438,000.00 PNL in local currency (11,548.55) EUR

3/28/06 FX Rate 1.5759

PNL in base currency (18,199.36)Less: Unrealized Price PNL till yesterday 29,230.84 Today's PNL (47,430.20)






To Summarize:


27th March 28th March0.0219 0.0228262870

EOD Price 0.0228262870 0.02132257250Qty 20,000,000 20,000,000Currency EUR EUR

438,000 456,526

456,526 426,451

Local Unrealized Price 18,525.74 (30,074.29) 18,525.74 18525.74-30,074.29

=(11,548.55)Fx Rate 1.57785 1.5759

18,525.74*1.57785 (11,548.55)*1.575929,230.84 -18,199.36

(18,199.36)-29,230.84

29,230.84 -47,430.20


27th March 28th March0.0219 0.0228262870

EOD Price 0.0228262870 0.02132257250Qty 20,000,000 20,000,000Currency EUR EUR

691,098.30 691,098.30

Local Cost 438,000 438,000Fx Rate 1.57785 1.5759

691,098.30 690,244.20

0.00 -854.10

0 -854.10



EOD Local Market Value

Total Local Unrealized price




Base cost at trade day’s FX rate

EOD Base Market Value

Total FX Unrealized PNL

FX Unrealized PNL (B)

1.577851.5759

Unrealized Price Realized FX Unrealized FX Realized Income Misc Rev/Exp

29,230.84 - - - - -

Unrealized Price P/L - (Ending Local Price - Purchase Price) x Quantity / 3-27 FX Rate

Unrealized Price Realized FX Unrealized FX Realized Income Misc Rev/Exp

(47,430.20) - (854.10) - - -

Unrealized Price P/L - (Ending Local Price - Purchase Price)/3-28 FX Rate - 3-27 Unrealized Price

Unrealized FX P/L - (Local Cost / 3-28 FX Rate) - (Local Cost / 3-27 FX Rate)

Unrealized Income

Unrealized Income

Total

29,230.84 456,525.74 720,329.14 29,230.84

Total

(48,284.30) 426,451.45 672,044.84 (48,284.30)

Market Value Local

Market Value Base


Market Value Local

Market Value Base


PNL Presentation

Documents

Transcript of PNL Presentation