PHYSICAL LS PATH
UNPROMOTED · NOT A LIVE EXPECTANCY137 months · Q5-Q1 35.47 bp/mo · IR 2.24 · hit 80.3% · 5 months pre-2015-07. Do not size on this print.
ISSUER CONCENTRATION
TOP 20 · CAP 5% CAPITALSECTOR · $ SIDE
LONG up / SHORT downDURATION BUCKET
SPREAD DURRESIDUAL BY SIDE
Q5 LONG / Q1 SHORTBOOK FACTS
RECUT AFTER RISK KILLTOP 20 ISSUERS
% OF $500mm CAPITAL · 5% LINERECUT CONSTRAINT
CLEAREDALL ISSUERS
SECTOR EXPOSURE
LONG vs SHORT $RATING NOTCH
NOTCH MIDDURATION
SECTOR TABLE
FINANCIAL LONG CAP 35%PARALLEL BOOK SHOCKS
PnL = -SD x dbp / 10000 x SIGNED NOTIONALOAS and rates applied independently through spread duration. No modified duration in the book. Combined PnL is the sum. Paper only — no orders.