VCA<GO> YOUR DASHBOARD FOR VOLATILITY AND CORRELATION ANALYSIS

10th December 2012 Version 1.5

VCA<GO> YOUR DASHBOARD FOR VOLATILITY AND CORRELATION ANALYSIS

VCA allows you to analyze volatilities across a universe of underlyings and on different asset classes, navigating among equity indices, index components, major commodities and foreign exchange rates. You can perform rich/cheap analysis on implied and realized volatilities, skew or term structure, and easily find out for example what are the underlyings with steepest or inverted skew, or steepest or inverted term structure. In addition, VCA allows you now to analyze Index Implied Correlations providing information to understand what can be a good time to perform a correlation trade on a certain index or to understand what components of the index should be included in the dispersion basket. In the pages below you can find more information on how to use VCA<GO> for your analysis on volatility and correlation. Content of this guide: 1 2 3 VCA<GO> FOR VOLATILITY ANALYSIS VCA<GO> FOR CORRELATION ANALYSIS FREQUENTLY ASKED QUESTIONS

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ We are currently working to enhance the VCA<GO> screen and add features like: - graphical analysis of correlation; - user settings for volatility and correlations; - standard templates and user templates to facilitate navigation. We expect those features to be released during Q1 2013. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Page 2 of 10

1
1.1

VCA<GO> FOR VOLATILITY ANALYSIS

OVERVIEW

Open the function typing VCA<GO>. The screen will show up with an overview of major equity indexes, commodities and currencies. You can now click on the main view selector on the upper left part of the screen to select preferred asset class or open a portfolio or other security list. Click on the range to visualize a graph of historical series of implied vols (GV<GO>). Then use the Menu key to go back to VCA<GO> Click on each index to visualize the index constituents list.

Main view selector

Click to see the SPX constituents list

Click to open GV<GO>

Column description: Vol: last available BVOL implied volatility, on selected term and moneyness, obtained from the OVDV<GO> function; Change: intraday change in vol points (i.e. from 20% to 21% means and change of +1); Low: lower implied volatility on selected time range; High: higher implied volatility on selected time range; Avg: average level of implied volatility on selected time range; +/- : difference between last volatility and average historical implied volatility; PCTL: percentile: what percentage of observation falling in selected time range lie below current observation. Calculated ad 100/N*(n-1/2) where N is the number of observations and n is the rank of current observation; Page 3 of 10

StdDev:

#SD:

Standard Deviation, i.e. how much the observed volatilities are dispersed around the average on selected time period. Low value means most observations are close to the average. High value means observations are more dispersed; zeta-score, i.e. how many standard deviations the last observed volatility is above (positive z-score) or below (negative z-score) the average.

1.2

EQUITY INDEX VIEW

Select "Index" in the main view selector, a list of major indexes for each region will appear. Click on each region header to expand and visualize more indexes on the selected region. Click on each index to visualize the index constituents list.

Select Index View

Right Click to visualize VOL ticker and shortcuts

Click to open the HSI constituents list

Click to expand the Europe/Africa Middle East section

1.3

EQUITY VIEW

Select "Equity" in the main view selector, a second and third dropdown will appear where you can pick an index, country or sector. Select "Index" and "Indu" to visualize the Dow Jones Industrial Average components and then click on the skew tab to visualize the skew analysis screen.

Page 4 of 10

~~~~~~~~~~~~~~~~~~ You can Click on the Spread column header to sort the components from high to low. This will enable you to immediately identify the equity shares with steepest or inverted skew. In the example below, 3M Company shows quite a high skew compared to other Dow Jones components, that may indicate market participants are buying protection through put options. ~~~~~~~~~~~~~~~~~~~
Click to sort by skew Click to sort by percentile

Click on the PCTL (Percentile) column to sort from high to low percentiles. ~~~~~~~~~~~~~~~~~~~~~ A high percentile means that the last observed skew is high when compared to the history of the skew observed during selected period. In the example above, the last observed skew for 3M Company(9.35%) is on a high percentile when compared to the history of skew observation of last year. ~~~~~~~~~~~~~~~~~~~~~ 1.4 COMMODITY VIEW

Select "Commodity " in the main view selector, a list of major commodities will appear. Open the Term Structure tab to visualize term structure spreads. Click on each commodity sector header to expand and visualize more commodity underlyings in selected sector. 1.5 CURRENCIES VIEW

Select "Currencies" in the main view selector, a lists of major currency pairs will appear. Open the Skew tab to visualize currency skew numbers. Please note that 25 delta risk reversal are used as measure of skew for currencies. Click on each currency group header to expand and visualize more currency pairs belonging to selected group. Page 5 of 10

VCA<GO> FOR CORRELATION ANALYSIS

VCA allows you to analyze Index Implied Correlations and provides information to identify what can be a good time to perform a dispersion trade on a certain index or to understand what components of the index should be included in the Correlation Basket. VCA offers 3 types of analysis on correlation: 1) Index Implied Correlation and its historical behaviour; 2) Index implied and Index Realized Correlations and historical behaviour of their spread; 3) Index Component Bastek Correlation analysis.

Index Implied Correlation and its historical range analysis

To visualize Implied Correlation numbers for major Equity Indexes, open VCA<GO> and select tab number 9) Implied Corr. The tab shows average Implied correlation numbers on major indexes, calculated between the index and a basket of its n top weight components (Correlation Basket), using the standard formula:

Basket Average Implied Correlation =

2 =1 =+1

2 2 2 Index =1 Wi i

where volatilities for both the index and the components are last available ATM BVOL implied volatilities on selected term. BVOL Implied volatilities for each index and components can be visualized in OVDV<GO>.The Change column displays change in implied correlation, compared to previous day. The remaining columns display Range Analysis information's, based on the selected Range period.

Corr column displays last available index Implied correlation, on selected term (in the example 3 Months)

Range Analysis displays historical information on the implied correlation calculated in the selected time Range (in the example 1 year)

Click on each Index to visualize members included in its Correlation Basket

Page 6 of 10

Number of components used for each index Correlation Basket depends on the Index size. Here are the basket sizes used for some major indexes: SPX 50 members INDU all index members NDX 50 members SX5E 50 members UKX 30 members NKY 45 members You can click on each Index to visualize list of it's Correlation Basket members. Alternatively you can move the mouse on each Correlation number to visualize a tooltip with information on basket size. 2 Index Implied and Index Realized correlations and spread range analysis

To visualize a comparative analysis of the Index Implied and Index Realized Correlation numbers on major Indexes, open VCA<GO> and select tab 10) Implied/Realized Corr. The tab shows Implied correlation numbers for a quick comparison with the Realized Correlations. Realized Correlations are calculated using the following formula:

where the volatilities used, for both the index and the components, are historical (realized) volatilities on the selected term. The "Chg" columns displays changes compared to previous day. The remaining columns display Range Analysis informations on the Spread between Implied and Realized Correlations, based on the selected Range period.
Corr column displays last available index Implied correlation, on selected term (in the example 3 Months)

Basket Average Realized Correlation =

2 =1 =+1

2 2 2 Index =1 Wi i

Range Analysis displays historical information on the implied correlation calculated in the selected time Range (in the example 1 year)

Page 7 of 10

Index Correlation Basket analysis

To visualize the basket used to calculate Implied and Realized correlations click on any Index, from the Implied Correlation or the Implied/Realized Correlation tabs. The Weighted Correlation tab will appear. The Weighted Corr tab shows for each basket members, some volatility and correlation informations, that may be useful to understand the impact of each component in the overall correlation and volatility of the index.

Weights on Index and on Correlation Basket

Implied and Realized Volatilities for each member, from last available BVOL surface and selected term

~~~~~~~~~~~~~~~~~~~~~~ IMPORTANT: please note that the Weighted Correlation tab will appear only when user have the permission to see Index Member components and weights. ~~~~~~~~~~~~~~~~~~~~~~

Page 8 of 10

VCA<GO> FREQUENTLY ASKED QUESTIONS

WHAT VOLATILITIES ARE USED BY VCA<GO> VCA uses last available BVOL implied volatilities from the OVDV<GO> function. For equity indexes, equity single names and commodities, OVDV calculates implied volatility surfaces based on observed prices of listed options, employing Bloomberg proprietary filtering, smoothing and interpolation/extrapolation methodologies (BVOL). For Currencies, OVDV uses Bloomberg Generic volatilities (BGN), based on quotes contributed by major banks and brokers. BGN volatilities are consensus estimates combining the most recent quotes from numerous sources to produce a smooth and accurate estimate of the current market.

WHAT VOLATILITIES ARE USED FOR CORRELATION ANALYSIS To calculate the Index Implied Correlation numbers, VCA<GO> uses current and historical BVOL ATM implied volatilities on selected term. Current and historical BVOL volatilities can be visualized in tabular and graphical format using the OVDV<GO> function. To calculate the Index Realized Correlation numbers we use the historical (realized) volatilities from HVT<GO>.

HOW OFTEN DO THE VOLATILITIES AND CORRELATIONS IN VCA<GO> GET RE-CALCULATED VCA<GO> retrieves displays last available BVOL volatilities from the OVDV<GO> function. BVOL surfaces are generated every 15 minutes for major Indexes, every 60 minutes for top 700 equity names worldwide, twice a day (15 minutes after market optn and 15 minutes before market close) for the rest of the covered universe. Covered universe is currently including about 5.500 underlyings.

HOW DO I LOAD THE VCA<GO> FUNCTION IN LAUNCHPAD To open the VCA<GO< function in launchpad, search VCA in the launchpad browser. Once found double click on item to launch it.

HOW DO I OPEN PORTFOLIOS AND OTHER SECURITY LISTS To load your Bloomberg portfolios or other security lists in VCA, click on the main view selector and select list type. Another field will open up where you can pick the portfolio. Supporter security lists are: - Bloomberg PRTU portfolios - Launchpad Monitors - Equity Screen lists (EQS) - Custom Baskets (CIX) - Security Lists (LST) - NW Monitors

Page 9 of 10

- Holdings - AIM account portfolios

Click to load a portfolio

CAN I EXPORT VCA VOLATILITIES IN EXCEL Exporting VCA<GO> volatilities (BVOL) and correlations in Excel is currently available for permissioned clients only. Permission can be granted to front office users, for usage in the same terminal where the Bloomberg is installed, provided that data is not pushed into third party systems. Permission can not be granted to back office users, risk, product control. For requests of enablement, please contact your Bloomberg Representative.

WHERE CAN IN FIND MORE INFORMATION AND HELP For more information on the Bloomberg Volatility calculations please see the following documents: BVOL equity indexes and single names volatilities {IDOC 2056700<GO>} BVOL Commodity volatilities {IDOC 2064033<GO>} BGN FX volatilities {IDOC 2061882<GO>} Hit the Help key twice on your Bloomberg keyboard for instant assistance.

Page 10 of 10