DAILY MARKET REPORT 14 Mar 2012

SMarket risk notices

Investment to date P/L of MSBs trading equitiy porfolio is continuously negative. Realized P/L of MSBs gold portfolio since 01/01/2012 is continuously negative.

Daily market risk report

Market
20.840 20.837 20.835 20.837

14 Mar 2012
Position
Mio USD
66,5

Risk
6.74 3.70 2.78

Comments
Bio VND
RB breaches approved limit of FXs open position for many days. The exchange USD/VND decreases. rate of

1.Foreign Exchange

20.833 2,9 20.830 12/03 13/03 14/03 RB (NOP) SME (NOP) LC (NOP) 2,2 2,0 0,4 10,0 0,4 3,3 3,2 5,0

29,1

12/03 -4,2 FI (NOP) FIs P/L

13/03

14/03

On 14 Mar, FI make a transaction of 36.6mio USD to SBV. FIs position is short position.

USD/VND (Interbank rate)

% 12,0 11,5 11,0 10,5 10,0 9,5 13/03 14/03 15/03

FIs Monthly cumulative P/L

101
13/03

Mio USD
9

FIs VaR (99%- 10 day) Bio VND

8
1 Month Min Max Average 13/03 48.8 14/03 Daily PnL( 10-day VaR (99%Bio VND) Bio VND)

10,85

10,85

10,85
14/03

38 6 -2 -5
limit

9,90

9,90

9,90

7 6 5
-101

(3.9) 5.4 0.8

3.5 17.8 10.6

EUR/USD Volatility
1,32 1,31 1,30

AUD/USD Volatility

MSB Long

MSB Short

4 12/03

000s
No limit or volume is violated. transaction

1,31 1,30

1,31

000s
15.6 0 0 EUR 0 0 0.0 13/03 0.0 14/03 Delta EUR 1,5 15.2 0.0 15/03 Delta AUD

2.FX Option

1,29 13/03 EUR/USD

10-day VaR (97.5%) slightly decreases to 0 as there is only few Option transaction left. Spot and Mar-12 AUD/USD and EUR/USD just start to increase. There is no risk exposure. Daily ItD P/L(USD) 0 1,265 677 10-day VaR (97.5%-USD) 0 2,059 808

14/03

15/03

EUR/USD Mar-12 1,05

1,06 1,04 1,02 1,00

1,05

1,04

300 AUD 300

365 365 1,0 0,5 0 0,85

Unit: 000s USD

1,12 0,84

1 Month Min Max

Short call

Long call

13/03 AUD/USD

14/03

15/03

14/03

15/03

13/03

14/03

15/03

Average

AUD/USD Mar-11

ItD P/L

10-day VaR

Daily market risk report

Market
%
11.75

14 Mar 2012
Position
Trading book
930 930
502 502 181 181

Risk
Bio VND
890 890

Comments
3.1

Government Yield curve

Duration
3.1 3.1

Year

MSB sells 69 bio VND including

29 bio VND Corp Bond to RB, 40 bio VND VDB bond to Daiichi bank; buys Y back 82.8 bio VND Corp Bond.

3.Bonds

11.60 11.54 11.52 11.50

There is no violation ALCO limit

1-3Y 3-5Y 105.4 82.8 5-10Y 12/03 13/03 14/03

11.51 11.46

11.53 11.49

11.55

1Y 13/03

P/L (ItD): - 23 bio VND Duration: 3.1 years If interest rate decrease 1%, value
of bond portfolio increase by 196 bio VND

Bio VND
11.37 14/03 196.05 196.05 196.05

69.0 22.0

11.25
1Y 12/03
VN index

3Y 13/03

5Y 14/03

10Y

Sell

Buy

Repo

-23.68

-23.68 PnL(ItD)

-23.68 Bio VND PV100

Daily transaction (including banking book)

80 60
29,8 27,5 28,0

HNX index
70.5 437 72.2 442

500 450

70.5 429

Trading position
40,1

Bio VND Stock 24,5 24,8 Daily ITD PnL (Bio VND) 14/3 MBB (3.04) 15/3 (1.76) 10-day VaR (Bio VND) 14/3 2.81 0.99 15/3 2.95 0.95

The total investment cost is 89.186

Bio VND VaR increase together with a fall in portfolios ITD loss. VN Index rises slightly in 3 consecutive trading days. MBB, accounting for more than 40% of trading portfolio, is bearing average risk exposure.
R

4.Equities

400
13/03 MBB 18 12
1 5.0 1 4.5 1 4.6

40
VN index
14/03

HNX index

15/03

19,3

SAV 1 5.3 20 18 16 14

5,9 5,4

SAV

(13.63) (13.88)

1 Month Min Max

Daily ITD P/L 10-day VaR (Bio VND) (97.5% - Bio VND) (38.58) (26.65) (32.26) 4.14 5.17 4.69

1 3.8

1 3.2

Others (16.06) (15.28) MBB Investment cost SAV 14/3 Others 15/3 Total (32.73) (30.91) 4.67 4.83

13/03

14/03 MBB

15/03 SAV

Mean

1,700 1,650 1,600

1,676.7 1,643.3

1,660.4 ($/oz)

Net Open Position

Tael

MSBs NOP is square. World gold price increased

slightly in the session, closed at 1660.40 USD / Oz, up nearly 12 USD Domestic gold market was flat. The GAP to world gold price maintained at more than 2,500,000 VND per tael P/L since 1/1/l2012 is 225,910,540 mio VND.
Y

5.Gold

1,550 13/03 45 44.7

14/03

15/03

44.5 44.2 44 13/03

MSB

Mio/ Tael
0 0 0
13/03

0
14/03

0
15/03

-0.23 13/03

-0.23 14/03 P/L (MSB)

-0.23 15/03

14/03

15/03

RB

FI

MSB

Bio VND

Appendix: Structure of Risk Report and Risk Terms

Overview page Market report
Content FX daily P/L NOP VaR -Daily P/L Mark to Market for Spot & Forward -Net open position -Potential future loss in certain horizon in future with predefined confidence level. -1 day VaR at 95% confidence of FX portfolio is 10 bio VND means: Only 5% probabilities that the loss exceed 10 bio in next 1 day.

Content -Some main points of report

Example

PV50

-Value of portfolio change according to change of 50bps -PV50 of bond portfolio is -8 bio VND means: If interest rate increase by 50bps, value of the in interest rate. portfolio will decrease by 8 bio VND. -Number of currency that can be bought or sold to make -Delta of option portfolio is 10,000 EUR means: Our option portfolio is exposed to a spot the portfolio neutral delta (i.e portfolio value being price risk equivalent to longing 10,000 EUR; therefore to hedge option portfolio from spot relatively insensitive to changes in currency rate price change (decrease), we should short 10,000 EUR in spot market. -Variation of exchange rate over time, derived from time -1 month volatility of EUR/USD is 17% means: The average square of return deviation from series of past market exchange rate its mean in one month is 17% (annualized). -FX ; FX Option

Delta

Volatility 1 Month Yield curve

- Data is used during 1 month to report date

Government Bond

- Report date 7 March: data ranges from 7 Feb to 7 March

EUR/USD
Source Interbank rate

FX Option
Bloomberg -FX -Rate at the end of business day in interbank

Spot rate Future rate

ItD (Investment to -Calculate P/L based on today price and transaction date) price MtM - Calculate the portfolio based on the market price

-P/L ItD of the portfolio is -36 mio VND means: Value of the portfolio has been decreased by 36 mio VND from the initial investment price. -MtM of the equity portfolio is 30 mio VND means: value of the equity portfolio based on the market equity price is 30 mio VND 4

Appendix: Structure of Market Risk Report

Market

Position

Risk

Comments

Inform the changing of market indicator s related with this product.

Product

We add information of 3 nearest days.

Inform about trading portfolio , which MSB hold. Only with bond, we add more information about banking transaction intraday. We compare position of today and yesterday to see the changing. Gold: We will add more information about gold after MSB has more transaction.

Inform about P/L, VaR of portfolio and some risk indicators. We compare information of 2 or 3 nearest days to see the changing. Gold: We will add more information about gold after MSB has more transaction.

Some comments about the limit compliance.

Some comments to understand clearly about the content of chart or data.

Some warning comments about potential risk