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Sector Report

01/07/2007

QUANTITATIVE STRATEGY

Calculating the VaR of a credit relative value portfolio

Analysts

Julien Turc ■ This article compares two methods of calculating the Value-At-Risk of a credit

(33) 1 42 13 40 90 portfolio. This is useful to deduce the capital allocation required for such a portfolio.

julien.turc@sgcib.com

David Benhamou

(33) 1 42 13 94 75 ■ We calculate the capital allocation of our relative value portfolio since March 2005.

david.benhamou@sgcib.com

Our trades generate a EUR+4.7% return per year after transaction costs.

Benjamin Herzog

(33) 1 42 13 67 49

benjamin.herzog@sgcib.com

■ One VaR method is to compute the P&L of each trade in predefined catastrophe

Marc Teyssier

(33) 1 42 13 55 96 scenarios. These scenarios are calibrated on historical data since 2001. The second

marc.teyssier@sgcib.com

method is to calculate a VaR at the portfolio level by jointly simulating all the instruments

Sandrine Chapelon

(33) 1 42 18 05 39 in the portfolio. This second method is based on the GVaR tool developed by SG R&D

sandrine.chapelon@sgcib.com

team for CPPI management.

Xavier Lemonnier (Ecole Polytechnique) ■ Our study shows that for individual trades, both approaches are fairly close. However,

Jérôme Brun (Head of quantitative credit when applied to the whole portfolio, the GVaR approach leads to smaller VaRs thanks to

research and development)

a netting effect.

Our relative value portfolio generated a +7.4%/yr total return after transaction costs since March

Contents 2005 with a capital allocation based on GVaR.

Introduction to the VaR 2

methodology Risk-free With transaction costs No transaction costs

Two VaR methods 5

Performance of SG quant 15

NPV of a €100 investment in March 05

130

portfolio

Appendix: summary of 18 125

spread stresstests 120

115

110

105

100

95

90

03/05 07/05 11/05 03/06 07/06 11/06 03/07

Quantitative Strategy

Calculating the amount of money that can be lost in an investment portfolio is a very important

task for any money manager. This amount is called the Value-At-Risk or VaR. In practice, it is

useful in particular for:

Capital allocation: Within a fund or a trading desk, a VaR is useful to know the maximum

loss that could be generated by a given type of strategy in order to determine how much

capital to allocate to this strategy and to know whether the risk/reward of this strategy is

attractive.

Leverage limits: Prime brokers for hedge funds need to know the maximum loss of the fund

in order to ensure that the fund would have enough money to liquidate all its positions without

any loss for the prime broker. Similarly, CPPI management requires the calculation of this

maximum loss to control the gap risk (i.e. to make sure that the net present value of the fund

always remains higher than the value of a zero-coupon).

In the first section of this paper, we define precisely what the Value-at-Risk is and discuss the

different methods to calculate it. The second part of the paper is dedicated to the description

of two different methods to calculate the VaR of a credit portfolio. The first VaR method (called

GVaR) is a very comprehensive approach that simulates all the assets of the portfolio jointly. It

was developed by SG Research and Development team for CPPI management. It is the official

risk management tool to calculate the leverage limits of the credit CPPIs structured by SG.

The second method is a rule-of-thumb technique that we call EasyVar: it calculates the VaR as

the sum of the VaR of individual trades.

In the third and last section, both approaches are applied to the portfolio of trades

recommended in our weekly Relative Value Trader. We calculate the performance of our

quantitative portfolio with and without transaction costs since 2005 and show that, with a

GVaR capital allocation, the performance was +10.8%/yr without transaction costs and

+7.4%/yr including transaction costs.

2 01/07/2007

Quantitative Strategy

The Value-At-Risk of a given position is the maximum amount of money that can be lost with a

given probability (called the confidence level). For example if the 1-day 99% VaR of a portfolio

is 1m, it means that with a 99% probability, the amount of money lost within one day by the

portfolio should be lesser than 1m.

The time horizon: A VaR is a measure of loss at a given horizon. In the GVaR methodology

that was developed by SG for CPPI management, the horizon is set to a few days because the

leverage is adjusted on a daily basis. In the EasyVar approach, we decided to set the horizon

to one week which is the trading frequency in our strategies (all trades are recommended in

the weekly Relative Value Trader).

The confidence level: The probability is that the loss will be below the Value-At-Risk.

Obviously, the higher the confidence level, the bigger the VaR. In the GVaR model, the

confidence level is set to 99.96% which means that the VaR is hit once every ten years. For

the EasyVar approach, we also chose to use a 99.96% confidence level.

The Value-At-Risk is not the only indicator that may be used to monitor the maximum loss of a

portfolio at a given confidence level (say 99.96%). Another possible indicator is the conditional

Value-At-Risk or cVaR which measures the expected loss of the portfolio in the cases where

the confidence level is breached (i.e. in the 0.04% worst cases here). The cVaR is more

conservative than the VaR because the VaR calculates the minimum loss in the 0.04% worst

cases while the cVaR calculates the expected loss of these 0.04% worst cases.

0.45

0.4

0.35

0.3

Var(95%)=-1.65

0.25

0.2

0.15

0.1

0.05

0

-4 -3 -2 -1 0 1 2 3 4

P &L

cVar(95%)=-2.05

The diagram above shows a theoretical example of a P&L distribution which is Gaussian and

centered in zero. If the confidence level is set to 95%, the VaR is 1.65 (i.e. only 5% of the

scenarios lead to a loss worse than 1.65). The cVaR is 2.05 which means that the expected

loss of the worst 5% scenarios (i.e. the scenarios with losses bigger than 1.65) is 2.05.

01/07/2007 3

Quantitative Strategy

Another mathematical characteristic of the cVaR is that the cVaR of a portfolio of two assets is

always the same or lower than the sum of the cVaRs of each asset (the cVaR is said to be

sub-additive). This characteristic is not true for the VaR measure: the VaR of a portfolio of two

assets may be higher than the sum of the two VaRs. Therefore, it makes mathematical sense

to add the cVaRs of individual trades in order to get the cVaR of the portfolio, however, adding

the VaRs of each trade in the portfolio may not be conservative enough.

Historical analysis: for each trade, the VaR is calculated as the worst loss on this trade for

the desired horizon on all the historical data available for this trade. For example a long

General Motors stock position would be backtested since the GM IPO and the 99% daily VaR

would be calculated as the loss corresponding to the 1% worst daily losses.

Scenario analysis: predefined extreme scenarios are set for each type of position (for

example a +100bp widening for a long credit risk position). The amount of money that can be

lost is calculated as the P&L generated by these predefined scenarios. These scenarios can

be calibrated to historical data or may rely on common sense assumptions. For example, one

possible predefined scenario could be to multiply all spreads by two and calculate the loss in

that case.

Asset modelling: all assets within the portfolio are modelled jointly. The amount of money

that can be lost is calculated through a simulation of the portfolio in the future, based on the

model assumptions. The parameters of the model are calibrated to be consistent with realized

historical data.

This paper presents a version of the two latter approaches: the first one is a scenario-based

methodology called EasyVar while the second one is based on asset modelling and was

developed by SG in 2006 for CPPI management and is called GVaR.

4 01/07/2007

Quantitative Strategy

portfolio

This section compares two approaches for VaR calculation of a credit portfolio. The GVaR

approach is the most precise as it performs a joint simulation of all assets jointly. This is the

official methodology used by SG for CPPI management. The second approach (that we call

EasyVar) is a rule-of-thumb technique to calculate the VaR or cVaR of a credit portfolio. It is

calculated at the trade level.

It is hard to mix default risk and marked-to-market risk while calculating the loss of a credit

portfolio. In fact, default risk is fairly equivalent to a spread jump to very high levels (+10000bp

for example). In practice, default is sometimes sudden and can happen even if spreads are

fairly low. Therefore, it is easier to calculate two separate VaRs (the default VaR and the

spread VaR) and then add them. The first part of this section analyses default VaR calculations

while the second part explains how to calculate a spread VaR. In each section, we compare

the EasyVar and GVaR approaches.

Using CDO pricing tools…

Calculating the default VaR of a given credit portfolio is a classical problem that is fairly similar

to the pricing of a CDO. Therefore, one option is to use CDO pricing techniques in order to

calculate the loss distribution of the portfolio and then find the maximum loss for a given

confidence level. This requires a correlation assumption for the portfolio. It is used in SGs

GVaR tool for CPPI leverage calculations.

Calculate the loss due to the default of each name. To do so, positions are netted on each

name and a recovery assumption is made. The output of this step is a list of names with their

loss given default.

Calculate the default probability for the VAR horizon for each name using market CDS

spreads. For example, if the VaR is calculated on a one day horizon like in the GVAR tool,

1-day default probabilities are calculated. In the GVaR tool, these probabilities are implied

from 5y CDS spreads. This is conservative because these are risk-neutral probabilities and

because 1 day spreads are assumed to be equal to 5y CDS spreads.

Assuming a given correlation assumption, calculate the loss distribution of the portfolio

using CDO pricing techniques. This then gives the loss corresponding to the required

confidence level (99.96% here). Statistical studies show that default correlation is usually

small in practice (below 10%). A conservative value around 30% for correlation makes sense

in our view.

Floor the loss to the worst loss due to one default: even if spreads are very tight, the VAR

The graph below shows one theoretical example of the loss distribution of a portfolio. Once

the cumulative loss function is computed (i.e. the probability that the loss will be below any

level), it is easy to find the loss corresponding to a given confidence level.

01/07/2007 5

Quantitative Strategy

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

0% 5% 10% 15% 20% 25% 30% 35% 40%

S t rik e

90% VaR: 3.6% loss

Using the GVaR parameters, the default VaR for a short 10m protection position on the 5y

iTraxx S7 Main index was 96,000 on 31 May 2007 which corresponds to two defaults in the

index. The default VaR of a short 10m protection position on the 5y iTraxx S7 X-Over index

was 120,000 on 31 May 2007 which corresponds to one default in the index.

… or a rule-of-thumb

In addition to this rather precise default VaR calculation, we developed a rule-of-thumb

technique to calculate an alternative default VaR. We call this technique the EasyVar as it is

very easy to implement and does not require the use of a CDO pricer. This technique relies on

four steps (the first two steps being the same as in the previous method):

Calculate the loss due to the default of each name. To do so, positions are netted on each

name. The output of this step is a list of names with their loss given default.

Calculate the default probability for the VAR horizon for each name using market CDS

spreads. In order to be conservative, we decided to use the 1y default probability instead of

one day probabilities. These probabilities are based on 1y CDS spreads.

Assume that the worst loss due to one default will occur in the portfolio.

Calculate the expected loss of the remaining portfolio. To do so, for each name, multiply the

default probability by the loss given default of this name. It gives the expected loss on a

name-by-name basis. Then sum up the expected losses of all names to get the portfolio

expected loss.

Both techniques (the GVAR and the EasyVar) give the same results in a limit case: if there are

an infinite number of names in the portfolio and if their default correlation is zero, then the loss

in the portfolio will always be equal to the expected loss of the portfolio and therefore the

GVaR and EasyVar methods will give the same results (as long as the VaR is higher than the

floor of one default).

The EasyVar approach gives a 51,500 default VaR for a short 10m Main position. This is

smaller than the GVaR result of 96,000. On the contrary, it gives a 167,000 default VaR for a

short 10m XOver position which is higher than the default GVaR of 120,000. This comes

from the expected loss part which is not negligible for the X-Over index (47,000).

6 01/07/2007

Quantitative Strategy

Getting a portfolio spread VaR is a complicated task: all instruments are correlated and should

be jointly simulated to get a precise calculation. This is what is done in SGs GVaR tool.

Another option is to calculate a VaR at the trade level and then to sum these VaRs. This is

what is done in the EasyVar approach. Obviously, this approach is much easier to implement

but more conservative because all the diversification effects and netting effects across

positions are ignored.

To calculate the individual VaR of each trade, the EasyVar approach relies on predefined

scenarios (corresponding to catastrophe events) and then calculates the theoretical P&L of

each trade in each of these scenarios to find the Value-At-Risk of the trade.

The calibration of these predefined scenarios is crucial as they are directly linked to the

confidence level of the VaR calculation (i.e. to the probability for the loss to be below the VaR,

here 0.04%). We decided to set specific scenarios for each type of trade ranging from the

directional trades (long or short positions on a given name) to the relative value trades like

long/short index trades or curve trades. These scenarios are calibrated to historical data on

bonds and CDS. The data set that we used comes from three different sources:

Markit CDS data since 2001.

Bond spread data from SGs internal database since 2003

MSCI corporate bond spread index data since 1996

For each type of trade, we calculated the loss corresponding to a 99.96% VaR and cVaR. The

table below summarizes these scenarios.

Type of trade Scenario VaR scenario cVaR scenario

Long bond or short CDS protection Spd widening worst of +100% and +100bp worst of +125% and +160bp

Short index protection Spd widening worst of +40% and +35bp worst of +40% and +40bp

Short bond or long CDS protection Spd tightening -36% -45%

Long index protection Spd tightening -25% -30%

Long/short trade One leg moves, other leg stable see above see above

CDS steepener LT spd tightening, stable ST spd -35% -45%

Index steepener LT spd tightening, stable ST spd -30% -30%

CDS flattener LT spd widening, stable ST spd +50% +65%

Index flattener LT spd widening, stable ST spd +35% +35%

Negative basis trade CDS tightening, stable bond spread worst of -40bp and -47% worst of -45bp and -50%

Positive basis trade CDS widening, stable bond spread worst of +60bp and +30% worst of +105bp and +50%

Source: SG Credit Research

The sections below detail the analysis that we performed to come up with each of these

scenarios.

Directional trades (i.e. long or short only positions) are the types of trades with the simplest VaR

calculation. Calculating a VaR for this type of positions involves setting catastrophe scenarios of

tightening and widening. To do so, we used our CDS database which contains Markit data for

European and US names since 2001. We eliminated CDS quotes higher than 1000bp because

we found that the data on names trading above 1000bp was not reliable. We calculated the

biggest 5y CDS weekly moves over this period and used this data to build a distribution of

01/07/2007 7

Quantitative Strategy

spread tightenings and widenings in order to find the worst moves with the desired confidence

level. The density of spread weekly moves is shown in the two graphs below.

The density of spread moves is different from a Gaussian … because it has fat tails

density…

Actual density Best-fit Gaussian density Actual log density Best-fit Gaussian log density

Probability

Probability

-50% -30% -10% 10% 30% 50%

Spread move as a % of initial spd Spread move as a % of initial spd

The two graphs above show that the density of percentage spread moves is not well

approximated by a Gaussian density. In the whole section below, we do not make any

Gaussian assumption. We simply look at the actual spread distribution and calculate the VaR

and cVaR levels from this distribution.

Looking at the data for weekly tightenings, it is clear that tightening moves depend on the

initial spread: the higher the initial spread, the bigger the potential tightening. The biggest

percentage tightening happened in November 2006 on Verizon: -79% of the then current 5y

spread (from 75bp to 16bp). With a 99.96% confidence level, the biggest tightening was

Countrywide Home Loans in January 2007: -36% (spread from 27bp to 17bp). Therefore the

99.96% VaR corresponds to a 36% tightening. Lastly, the 99.96% cVaR corresponds to a

44% tightening.

Analysing widening moves is a little bit more complicated. The biggest widenings in

percentage terms happened on companies with tight spreads. For example the worst

percentage widening in the database happened on ISS in March 2005: +808% (spread

moving from 37bp to 338bp). Therefore we decided to distinguish companies trading with a

tight spread from those trading with a wide spread. We set this threshold at 200bp because

the data shows that for CDS trading above 200bp, percentage moves are contained in a

tighter range.

For companies trading below 200bp, the worst absolute widening scenario occurred on Ahold

in February 2003 (+662bp from 198bp). With a 99.96% confidence level, the worst move

happened on Adecco in April 2004 (+92bp from 145bp). The cVaR at this confidence level

corresponds to a +158bp widening.

For companies trading above 200bp, it is more relevant to look at widenings as a percentage

of the spread. The worst percentage widening occurred on Tenet Healthcare in November

2002 (+138% from 202bp). With a 99.96% confidence level, the worst scenario occurred on

Capital One Bank which widened by +99% in July 2002. The cVaR at this level corresponds to

a +124% widening.

8 01/07/2007

Quantitative Strategy

Therefore we decided to use a combined rule to analyse long risk positions. We set the cVaR

as the maximum of the losses generated by one of the two following scenarios:

Spreads widen by 160bp

Spreads widen by +125%

For CDS trading below 128bp, the first scenario is the worst, and for CDS trading above

128bp, the second scenario is taken into account.

We applied the same methodology to find the worst scenarios for index tightening and

widening. Index positions require specific scenarios because extreme moves are much

smaller than idiosyncratic positions. To perform this analysis, we first analysed the history of

iTraxx and CDX indices (Main, HiVol, X-Over and HY) since their creation in 2004.

The analysis of the data shows that the tightening moves of the indices are proportional to their

spread. Therefore, it makes sense to find the extreme tightenings in the percentages of the then

current spread. We find that the weekly tightening corresponding to the 99.96% confidence level

is a -25% tightening (CDX HiVol S3 moving from 124bp to 93bp on the week of the 6 February

2006). The cVaR at this level corresponds to a -26.5% tightening of the index.

For short index protection positions, as well as for short CDS protection positions, it is

necessary to distinguish between low spreads and high spreads. For spreads below 100bp,

we find that the 99.96% VaR corresponds a +33bp widening (iTraxx XOver S3 moving from

95bp to 128bp on the week of the 26 February 2007). The cVaR corresponds to a +39bp

widening. For spreads above 100bp, the VaR and cVaR correspond to a +39% widening.

We also performed the same analysis on MSCI corporate bond data starting in 1996 (MSCI

indices are bond indices calculated on a basket of liquid European Investment Grade bonds).

The worst weekly widening in this set of data was a +34% widening and the worst tightening

was a -26% tightening.

Therefore the Easy cVaR calculation for a directional position on an index is a result of the

worst of one of the following three scenarios:

The index spread tightens by 30%

The index spread widens by 40%

The index spread widens by 40bp

For long/short pair trades, we decided to apply the same rule as described above for

directional positions and to apply the scenarios to only one leg of the trade. This is fairly

conservative because it assumes that the second leg of the trade will not hedge the first leg.

For example, to analyse a long 9m OTE vs. short 10m Telenor protection, we would

calculate the maximum loss of the three following adverse scenarios:

Telenor spreads widen by +125%

OTE spreads tighten by 45%

Nevertheless, this cVaR is smaller than the sum of the cVaRs of each leg of the trade (the long

9m OTE and the short 10m Telenor).

01/07/2007 9

Quantitative Strategy

For long/short index trades, the methodology is similar. We calculate the loss due to the move

of only one index with a perfect stability of the other. This is once again conservative because

one could expect that a widening in one index would lead to a widening in the other, therefore

offsetting some of the losses in the long/short position.

CDS curve trades require a specific methodology because they are less risky than a long/short

CDS trade on two different companies. This is why we analysed the curve movements within

our CDS database since 2001.

A first possible approach is to analyse curve movements in absolute terms. For example, the

99.96% cVaR for a CDS steepener corresponds to a -165bp flattening. This seems too

conservative for steepeners with a 5y CDS trading at 20bp. In fact, companies with a very

wide spread have sharper spread movements than companies with a tight spread. Therefore,

it makes more sense to analyse relative movements.

curve. This does not work either as the 99.96% cVaR corresponds to an increase of the initial

curve by +2200%. This is because the initial curves were very flat in these cases (average

initial 5-10 curve in the 0.04% worst cases: 2.5bp).

spread. This approach is far more successful and realistic. The 99.96% VaR of a flattener

corresponds to a steepening by 50% of the initial long-term spread. This scenario is

equivalent to a 50% widening of the long-term spread, with a stable short-term spread. The

cVaR at the same level corresponds to a steepening by 65% of the initial long-term spread.

Conversely, the VaR of a steepener corresponds to a flattening by 35% of the long-term

spread and the cVaR corresponds to a flattening by 45% of the long-term spread. These

values are valid for the following types of curve buckets: 3y-5y, 5y-7y, 5y-10y and 3y-7y.

It is interesting to notice that CDS curve trades have a smaller VaR than long/short CDS

trades between two different companies: for example, the cVaR for a long/short trade is

calculated by taking the worst loss between one CDS widening by 125% or 160bp or one

CDS tightening by 45% while the cVaR of a curve trade is the worst of the loss generated by a

+65% widening or a -45% tightening of the long-term spread. Therefore, it makes total sense

to distinguish between long/short trades and curve trades.

The same analysis can be performed on index curve movements. Once again, we used iTraxx

and CDX index data since 2004, as well as MSCI corporate bond indices by maturity, to

generate an average curve in the investment grade bond market since 1996. The 99.96% VaR

for a steepener corresponds to a 25% tightening of the long-term spread. The cVaR at that

level corresponds to a 26% tightening. Conversely, the VaR for an index flattener corresponds

to a +32% steepening (cVaR: 35% steepening).

Basis trades

Like curve trades, basis trades require a specific methodology because playing one bond

against the CDS of the same company is far less risky than playing a bond against a CDS of

another company. This is quite obvious when looking at our data set comprised of bond

spreads and CDS spreads since July 2003 on a basket of 400 euro-denominated bonds.

10 01/07/2007

Quantitative Strategy

The first possible approach is to study basis moves in absolute terms. The 99.96% cVaR for a

negative basis trade corresponds to a -158bp decrease of the basis which seems far too

conservative for bonds trading at 30bp. In fact, the higher the initial spreads, the bigger the

potential movements of the basis. This is why we decided to split the universe between the

bonds with a corresponding CDS below 200bp and the others. For bonds with a CDS trading

below 200bp, the 99.96% VaR of a negative basis position corresponds to a 40bp decrease of

the basis and the cVaR corresponds to a 45bp basis tightening. Conversely, the VaR for a

positive basis position corresponds to a +60bp increase of the basis (cVaR=+105bp).

For bonds with a CDS wider than 200bp, absolute movements are big but relative movements

evolve in a fairly tight range. The most reliable way to analyse relative basis movements is to

study basis changes as a percentage of initial CDS spread. We find that the 99.96% VaR of a

negative basis position for these bonds corresponds to a basis decrease by 47% of the initial

CDS spread (cVaR=-50%). Conversely, the VaR for a positive basis position corresponds to

an increase of the basis by 30% of the initial CDS spread (cVaR=+50%).

The GVaR methodology aims at simulating a portfolio of bonds and CDS. This integrated

approach is more realistic than the trade-by-trade approach detailed in the section above. To

do so, in the GVaR framework, each spread follows a given diffusion which is the sum of two

components:

A log-normal diffusion process: like in the Black and Scholes model for stock price diffusion,

percentage moves for spreads (i.e. dS/S) are supposed to be normally distributed around a

given trend.

Random jumps: at any point in time, spreads can jump downwards or upwards with a given

This is consistent with observed market data: most spreads move by a few percentage points

every day but in some cases (unexpected defaults a la Enron, LBO ) spreads jump (usually

upwards but downward jumps also exist in case of a takeover by a better-rated company or

an orphaning situation for the CDS).

dS

= µdt + σdWt + JdN t (1)

S

where S is the spread, µ is the trend, σ is the volatility, Wt is a Brownian motion, J is the jump

size and Nt is a Poisson process (i.e. a discrete process which jumps up with a given

intensity).

It is hard to calibrate such diffusion to historical data on spreads because volatility is not

constant over time. In fact, market data is fairly consistent with the existence of two regimes

with each regime having its own volatility. One regime is the base case scenario (for example

the 2003-2007 period), while the second regime is a stress scenario where volatility is bigger

and jumps are more frequent (like in the summer of 2002).

Once the parameters µ, σ and J have been calibrated for each of the two regimes, the last

step of the GVaR approach is to specify the dependence of the uncertain parts of each

spread, i.e. the Brownian motions and the jumps. Brownian motions of each asset are more

01/07/2007 11

Quantitative Strategy

correlated when the two assets have the same maturity and are in the same region (Europe or

US). For example, the correlation of the two Brownian motions driving the spread of two

European 5y CDS is around 50%. This correlation is smaller if the maturity is different, if the

two names are in two different regions (one in Europe and one in the US) or if one asset is a

bond and the other is a CDS. Jumps are correlated the same way but are independent from

the Brownian motions.

A few case studies

Let us have a look at a few case studies to compare the results of the GVaR and EasyVar

approaches to calculate the spread VaR. The graph below summarizes the spread VaR

calculations based on the GVaR and also on the rule-of-thumb stress tests corresponding to

the EasyVar and Easy cVaR approaches.

Comparison of spread VaR calculations for the GVaR, EasyVaR and Easy cVaR methods

€ 700,000

€ 600,000

€ 500,000

€ 400,000

€ 300,000

€ 200,000

€ 100,000

€0

Short €10m Short €10m Long €10m Long €10m Long €1m Long OTE vs. BA 5-10y Grohe 3-5y IMPTOB 13

Main Xover Main Xover Xover vs. €10m Telenor steepener flattener negative basis

Main

Source: SG Credit Research

The graph shows that the Easy cVaR and GVaR numbers are fairly close especially for single-

name trades like basis trades or curve trades. On the other hand, the GVaR is higher for index

positions like selling X-Over protection (449k vs. 304k for the Easy cVaR). Another

interesting feature is that the GVaR of a short Main vs. X-Over protection is lower than the

GVaR of selling Main protection alone (199k vs. 242k). This is not the case in the EasyVaR

approach as the VaR of a long/short position is equal to the worst VaR of each leg of the

trade. For example the cVaR of a long 1m XOver vs. 10m Main protection position is

175k, which is also the cVaR of a short 10m Main position.

It is interesting to compare the results of the GVaR and EasyVaR approaches on a bigger

portfolio. We chose to perform this comparison on our relative value portfolio, comprised of

12 01/07/2007

Quantitative Strategy

index trades, curve trades, basis trades, long/short trades and hybrid trades. All these trades

were recommended in our weekly publication, Relative Value Trader. We did not include

equity-credit trades which make up a significant part of our portfolio because the EasyVaR

and GVaR methodologies do not cover stocks and equity options. The results are shown in

the graph below.

€ 60,000,000

€ 50,000,000

€ 40,000,000

€ 30,000,000

€ 20,000,000

€ 10,000,000

€0

03/05 06/05 09/05 12/05 03/06 06/06 09/06 12/06 03/07

The graph shows that Easy VaR and cVaR are very close and are also correlated with GVaR

(correlation between EasyVaR and GVaR: 94%). GVaR amounts are always lower than

EasyVaR amounts due to the netting effects within the GVaR methodology.

Let us analyse these results in more details by splitting the VaR calculations between spread

and default VaR. The graphs below show the history of default Value-At-Risk (left-hand graph)

and spread Value-At-Risk (right-hand graph) with the EasyVaR and GVaR methodology on

SGs quant portfolio.

The left-hand graph shows that default VaRs are very much in line in both methodologies. In

fact, they are very close to the worst jump-to-default in the portfolio which is due to the

SwissRe steepener recommended in January 2006.

01/07/2007 13

Quantitative Strategy

Default VaR are very much in line between GVaR and … but spread GVaR is much smaller than spread EasyVaR

EasyVaR…

Default EasyVaR Default GVar Spread EasyVaR (LHS) Spread Easy cVaR (LHS)

Spread GVaR (RHS)

30

30 6

25

Spread EasyVaR in m€

25 5

Default VaR in m€

Spread GVaR in m€

20

20 4

15

15 3

10

10 2

5 5 1

0 0 0

03/05 07/05 11/05 03/06 07/06 11/06 03/07 03/05 07/05 11/05 03/06 07/06 11/06 03/07

The right-hand graph is more interesting. It shows that the results of the three methodologies

are strongly correlated (81% correlation), but that GVaR amounts are much smaller than

EasyVaR amounts. While the Easy cVaR is 20m at the beginning of June 2007 (see left-hand

scale), the spread GVaR is 3.2m (right-hand scale). This comes from the strong netting effect

between the different trades in our portfolio.

Comparing the GVaR of the total portfolio with the GVaRs of each strategy within the portfolio,

(curves, basis, hybrids, long/short and index trades) gives a striking example of these netting

effects. The spread GVaR of the total portfolio was 3.2m at the beginning of June 2007. At the

same time, the sum of the spread GVaRs of each strategy is 6m. This shows that aggregating

the five strategies almost halves the total spread GVaR of our relative value portfolio. On the

contrary, the spread EasyVaR of the total portfolio is exactly equal to the sum of the EasyVaRs

of each strategy.

14 01/07/2007

Quantitative Strategy

portfolio

Once the VaR calculation methodology has been set, it is possible to calculate the

performance of our quantitative portfolio. As the last section shows, the GVaR of our portfolio

has evolved between 0 and 14m in 2005 and between 14m and 31m from 2006 to June

2007. Therefore a hedge fund playing all our strategies would have needed a 31m funding.

The performance of this theoretical hedge fund would include the performance of our

strategies plus the return of the 31m funding invested in the money markets at the EONIA

rate. In this section we first calculate the performance without transaction costs and then

make assumptions to calculate theoretical transaction costs on all trades in the portfolio.

Calculating realistic values for transaction costs is fairly difficult because historical bid/offer

data is not easily available (the Markit database for example only contains mid-data).

Therefore, one needs to make assumptions for transaction costs. These assumptions depend

on the spread level of each instrument. These assumptions are detailed in the table below.

These assumptions are more aggressive than the standard bid-offer provided by one dealer

but are fairly realistic in our view for investors that compare the prices of a few dealers for

each transaction.

Type of trade Bid/offer on each leg Example of bid-offers

Index trade 0.125bp+0.5% Main: 0.23bp, Xover:1.1bp

Single-name trade 1bp+1.5% Telefonica:1.375bp, Grohe:6.7bp

CDS curve trades 0.5bp+0.75% Fiat 5y-10y curve: 2bp

Basis trades 0.75bp+1.125% Fiat Nov-11 basis package: 2.4bp

Hybrid trades 0.5bp+1% Suedzucker perp: 1.8bp

Source: SG Credit Research

For indices, we decided to apply a bid-offer of 0.125bp+0.5% of the spread. This gives a

0.23bp bid-offer for the Main index @21bp, a 0.325bp bid-offer for the HiVol index @40bp and

a 1.1bp bid-offer for the X-Over index @195bp.

For single name CDS or bonds, we apply a bid-offer of 1bp+1.5% of the spread. For example

it gives a bid-offer of 1.375bp for Telefonica 5y CDS @25bp. It gives a 2bp bid-offer for Valeo

@70bp, a 4bp bid-offer for Seat Pagine @200bp and a 6.7bp bid-offer for Grohe @380bp.

For CDS curve trades, we apply half of the bid-offer on each CDS (i.e. 0.5bp+0.75% of the

spread on each leg). This is because trading the curve as a package with one single dealer is

less costly than trading each leg separately. For example, a Fiat 5y-10y steepener (curve

@40bp) would have a 2bp bid-offer with these assumptions.

For basis trades, we apply 75% of the bid-offer on each leg. Trading the basis as a package is

less costly than trading the bond and CDS separately, but is still more expensive than trading

only one leg of the trade. For example, a negative basis package on Fiat Nov-2011 (basis @-

8bp) would have a 2.4bp bid-offer with these assumptions.

01/07/2007 15

Quantitative Strategy

Lastly, we apply a specific assumption for subordinated bonds because these bonds are very

liquid. We apply half of the bid-offer of regular bonds for subordinated bonds (i.e.

0.5bp+0.75% of the spread). For example the Axa 5.777 perp-16 (trading at 109bp) would

have a 1.3bp bid-offer with these assumptions. Similarly, the Suedzucker perp @170bp has a

1.8bp bid-offer with these assumptions.

The graph shows the performance of our relative value portfolio since its creation in 2005. This

performance is calculated with and without transaction costs, using the transaction cost

assumptions described above.

Performance with and without transaction costs of our relative value portfolio since March 2005

€ 7,000,000

€ 6,000,000

€ 5,000,000

€ 4,000,000

€ 3,000,000

€ 2,000,000

€ 1,000,000

€0

03/05 07/05 11/05 03/06 07/06 11/06 03/07

-€ 1,000,000

The graph shows that without transaction costs, our portfolio generated a steady performance

since 2005. The performance including transaction costs is less convincing in 2005 (flat

performance until December 2005). This comes from two reasons in our view:

Our trade targets were not aggressive enough during this period. They barely compensated

transaction costs and therefore the performance including bid-offer costs remains fairly flat.

For example our Portugal Telecom 3y-5y steepener recommended in October 2005 was

closed in December 2005 for a +27,000 performance without transaction costs, which

corresponds to a 6bp steepening. After transaction costs the performance is +4bp. Waiting

two more months would have generated a +120,000 additional performance in mid-February

2006, thanks to the announcement of the Sonaecom leveraged bid on PT.

The performance shown above does not include our flagship strategy in 2005: the equity-

credit strategy. This strategy is not included here because our VaR tools (GVaR and EasyVaR)

are not compatible with equity and equity volatility positions. The performance of this strategy

was excellent in 2005 and would have offset the flat performance after the transaction costs of

our other strategies in 2005. After the 2005 correlation crisis, the strategy remained flat as we

reduced the frequency of our trades and balanced our long and short positions.

16 01/07/2007

Quantitative Strategy

The performance without transaction costs of our equity-credit strategy was good between

2004 and July 2005

€ 2,500,000

€ 2,000,000

€ 1,500,000

€ 1,000,000

€ 500,000

€0

04/04 08/04 12/04 04/05 08/05 12/05 04/06 08/06 12/06 04/07

-€ 500,000

Finally, assuming a 31m funding for a hedge fund investing in all our strategies (except the

equity-credit one), it is possible to calculate the return of this hedge fund. The graph below

shows the return of 100 invested in this hedge fund (both with and without transaction costs)

and compares it with the risk-free return of an investment at the EONIA rate during this period.

Our relative value portfolio generated a total return of +7.4%/yr after transaction costs since

March 2005.

NPV of a €100 investment in March 05

130

125

120

115

110

105

100

95

90

03/05 07/05 11/05 03/06 07/06 11/06 03/07

The graph shows that an investment of 100 in March 2005 in our portfolio ended with a 118

value in June 2007, which corresponds to a +7.45%/yr total return. The same strategy, but

without transaction costs, yields a +10.8%/yr total return, while an investment in a risk-free

asset generates a +2.75%/yr return. Therefore our portfolio generates an excess return of

+4.7%/yr over a risk-free strategy. The Sharpe ratio of this portfolio is 1.9. This result is fairly

satisfying in our view because our portfolio is as market-neutral as possible and performance

is generated through pure credit alpha.

01/07/2007 17

Quantitative Strategy

The table below summarises the different scenarios used to design the EasyVar stresstests for spread VaR.

Type of trade Initial spread Scenario Worst case VaR scenario cVaR scenario

Long bond or short CDS protection <=200bp Spd widening Ahold, Feb 03, +662bp Adecco, April 04, +92bp +158bp

Long bond or short CDS protection >200bp and <1000bp Spd widening Tenet Healthcare, Nov 02, +138% Capital One Bank, Jul 02, +99% +124%

Short index protection <=100bp Spd widening iTraxx X-Over S4, Feb 07, +45bp iTraxx XOver S3, Feb 07, +33bp +39bp

Short index protection >100bp and <1000bp Spd widening iTraxx X-Over S5, Feb 07, +39.5% iTraxx XOver S5, Feb 07, +39.5% +39.5%

Short bond or long CDS protection <1000bp Spd tightening Verizon, Nov 06, -78% Country Wide Home Loans, Jan 07, -36% -44%

Long index protection <1000bp Spd tightening iTraxx SubFin S2, May 05, -27.5% CDX HiVol S3, Feb 06, -25% -26.5%

CDS steepener <1000bp Curve flattening as a % of LT spd TXU Corp 5y-10y, Sep 02, -124% Swiss Re 5y-10y sub, Jun 02, -35% -45%

Index steepener <1000bp Curve flattening as a % of LT spd CDX XO7, Feb 2007, -27% MSCI 5y-10y, Mar 97, -25% -26%

CDS flattener <1000bp Curve steepening as a % of LT spd ISS 5y-10y, March 05, +175% ING Groep, March 05, +50% +65%

Index flattener <1000bp Curve steepening as a % of LT spd CDX XO7, March 2007, +32% MSCI 5y-10y, Aug 98, +26% +32%

Negative basis trade <=200bp Basis tightening Ford Motor Credit 2007, Oct 05, - Lanxess 2012, Oct 05, -40bp -45bp

69bp

Negative basis trade >200bp and <1000bp Basis tightening as a % of CDS spd Adecco 2006, Jun 04, -50% Ahold 2007, March 05, -47% -50%

Positive basis trade <=200bp Basis widening Grohe 2014, April 06, +147bp Heidelberg 2009, Jun 05, +58bp +105bp

Positive basis trade >200bp and <1000bp Basis widening as a % of CDS spd Bombardier 2008, Nov 05, +51% GMAC 2008, Oct 05, +27% +50%

Source: SG Credit Research

01/07/2007

Quantitative Strategy

June 2007 Right on the hedge of the CDS curve

May 2007 SG’s CDS curve model : a user’s guide

May 2007 Analysing iTraxx Main+XOver tranches

April 2007 Credit spread options: reading the market’s smile

February 2007 Credit trackers: benchmarking default risk

February 2007 Is there value in the High Yield bond market?

November 2006 Quantitative Outlook 2007

October 2006 Zero-coupon Equity demystified

October 2006 Event risk analysis: beyond decision trees

September 2006 Statistical trading in the world of interest rate and credit default swaps

July 2006 Pricing bespoke CDOs: latest developments

June 2006 A primer on CPPI

May 2006 The quest for a better firm model: estimating jump-to-default out of the equity volatility smile

April 2006 Looking for value in the Bank Tier 1 market

April 2006 Finding the fair spread of credit indices

March 2006 Taking advantage of LBO speculation

March 2006 Building correlation trades: a case study

February 2006 CDO²: new opportunities

December 2005 Looking for value in the sub insurance market

November 2005 The wise man is he who knows the relative value of things

October 2005 Do corporate hybrids offer value?

September 2005 Playing long term bonds against 10yr CDS

July 2005 Local correlation: a backtesting study

June 2005 A note on the distribution of asset value in the local correlation model

May 2005 Hedging CDS curve trades: a case study

April 2005 CMCDS: sense and sensitivity

March 2005 The basics of spread option pricing

February 2005 The relative value of EDS against credit and equity derivatives

February 2005 Pricing CDOs with a smile

November 2004 Introducing the CDS Curves Monitor

October 2004 Empirical evidence on the BFM model

September 2004 CDS vs. Stock – the quest for the optimum hedge ratio

July 2004 Pricing and hedging of correlation products

July 2004 The new iTraxx indices

April 2004 A hedging model for capital structure arbitrage

March 2004 Back to basics: which spread for measuring credit?

January 2004 Backtesting basis trades: a case study

December 2003 Forecasting the iBoxx Diversified CDS index

October 2003 Kohonen maps: going beyond classification for enhanced management strategies

September 2003 Arbitrage between credits and equities – new strategies, more opportunities

August 2003 Pricing the basis

July 2003 Hedging bonds using CDS and taking advantage of convexity

June 2003 Firm models with event risk

May 2003 Beta-neutral relative value analysis

April 2003 Arbitrage between CDS and bonds

March 2003 Forecasting individual corporate credit spreads

December 2002 2002: of useful models

October 2002 Firm models and trading strategies (2)

September 2002 Firm models and trading strategies (1)

July 2002 Backtesting systematic Rich/Cheap strategies

June 2002 An analysis of CDO downgrades

May 2002 How to optimize a credit portfolio

April 2002 CDOs as balance sheet management tools

March 2002 A spread forecasting model

February 2002 Cash-flow CDOs – highly enhanced assets

19

01/07/2007

Quantitative Strategy

January 2002 Beyond volatility and correlation

November 2001 Some applications of a firm value model

October 2001 Why can a credit curve invert?

September 2001 Looking for value on the European Credit Market

September 2001 Pricing put options indexed on ratings

July 2001 A smile model for valuing capital securities

June 2001 Understanding the dynamics of Credit Spreads

May 2001 What are the incentives to use internal ratings in the new Cooke ratio?

April 2001 A rule-of-thumb for valuing Telecom coupon step-ups

March 2001 How does the market reward the risks of default or rating downgrade?

Source: SG Credit Research

Quantitative Strategy

21

01/07/2007

Quantitative Strategy

Global Head of Credit, Fixed Income & Forex Research Benoît Hubaud (33) 1 42 13 61 08 / (44) 20 7676 7168

Head Julien Turc (33) 1 42 13 40 90

David Benhamou (33) 1 42 13 94 75

Credit Research Benjamin Herzog (33) 1 42 13 67 49

Auto & Transportation Pierre Bergeron (33) 1 42 13 89 15 Marc Teyssier (33) 1 42 13 55 96

Stéphanie Herrault (33) 1 42 13 63 11 Sandrine Chapelon (33) 1 42 18 05 39

Olivier Monnoyeur, CFA (33) 1 42 13 43 87 Suki Mann (44) 20 7676 7063

Caroline Duron (33) 1 58 98 30 32 Guy Stear, CFA (33) 1 42 13 40 26

Juan Esteban Valencia (44) 20 7676 7059

Ozana Breaban (44) 20 7676 7160 Fixed Income & Forex Strategy

David Wertenschlag (44) 20 7676 7062 Head Vincent Chaigneau (44) 20 7676 7707

Fixed Income

Telecom & Media Terry Nguyen, CFA (44) 20 7676 7162 Adam Kurpiel (33) 1 42 13 63 42

Khrishnamoorthy Sooben (44) 20 7676 7713

Ciaran O'Hagan (33) 1 42 13 58 60

Utilities Hervé Gay (33) 1 42 13 87 50 Aro Razafindrakola (33) 1 42 13 64 93

Florence Roche (33) 1 42 13 63 99 Jose Sarafana (33) 1 42 13 56 59

Guillaume Baron (33) 1 42 13 57 07

Marek Sasura (44) 20 7676 7458

Banks & Insurance Eleanor Yeh (44) 20 7676 7030

Foreign Exchange

Carole Laulhere (33) 1 42 13 71 45

High Yield Murat Toprak (44) 20 7676 7491

General Industries Adam Harnetty (44) 20 7676 7136 Adrian Hughes (44) 20 7676 7462

Nadia Yoshiyama, CFA (44) 20 7676 6985 David Deddouche (33) 1 42 13 56 22

Consumers & Services Sonia van Dorp (33) 1 42 13 64 57

Technical Analysis

Hugues Naka (33) 1 42 13 51 10

ABS Jean-David Cirotteau (33) 1 42 13 72 52 Stephane Billioud (33) 1 42 13 35 55

Christopher Greener (44) 20 7676 7055 Fabien Manac'h (33) 1 42 13 88 35

Commodities Stéphanie Aymes (33) 1 42 13 57 03

Tour Société Générale SG House – 41, Tower Hill Level 38, Three Pacific Place

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upon sources believed to be reliable but is not guaranteed as to accuracy or completeness although Société Générale (SG) believe it to be clear, fair and not misleading. SG, and their affiliated

companies in the SG Group, may from time to time deal in, profit from the trading of, hold or act as market-makers or act as advisers, brokers or bankers in relation to the securities, or derivatives thereof,

of persons, firms or entities mentioned in this document or be represented on the board of such persons, firms or entities. Employees of SG, and their affiliated companies in the SG Group, or individuals

connected to then, other than the authors of this report, may from time to time have a position in or be holding any of the investments or related investments mentioned in this document. Each author of

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IMPORTANT DISCLOSURES: Please refer to our website: http:\\www.sgresearch.socgen.com

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