INVESTMENT PORTFOLIIO 31-Dec-16 Expected Projected Description uanti PriceFXUS$ Value Yield Volatility Liquidity VaR Stress Fixed income Sovereign Q. EUR, 1,000,000, 31-Dec-2026, 1.5%, 36O/360 Bank R, USD, 2,000,000, 31-Dec-2021, 2.0%, 180/360 Company S, CAD, 1,500,000, 31-Dec-2019, 2.75% 360/360 US Treasury, USD, 3,000,000, 0%, 31-Dec-2036 1.02 | 1.09 | 1,116,076| 1.25% | 0.75% 1.01 | 1.00 | 2,023,840| 1.75% | 0.35% 0.96 | 1.39 | 1,033,273| 3.50% | 2.65% 0.59 | 1.00 | 1,778,040| 2.65% | 0.55% 0.30% 0.25% 0.65% 0.15% 5% -10% 2.5% Equities Company T, common stock, Nasdaq Company U, common stock, Euronext Company V, common stock, Nikkei Company W, common stock, TSX 100,000 | 39.42 | 1.00 | 3,942,000| 0.00% 100,000 | 46.30 | 1.09 5,049,478| 0.25% 100,000 | 6,233 |120.36| 5,178,631| 2.50% 100.000 | 24.94 | 1.39 | 1.794245| 1.50% 22% 15% 34% 12% 4.25% 3.50% 6.75% 2.50% -15% 7.5% -15% 75% Currencies Sell EUR, Buy USD, 1.05, 31-Dec-2017 Sell JPY, Buy USD, 123.5, 30-Jun-2017 Sell CAD, Buy USD, 1.35, 30-Jun-2017 100,0001.08 1.00 100,000 124.76 1.00 100,0001.38 1.00 2,900| 0.50% | 2.75% 1,045| 0.30% | 2.50% 2,600| 0.20% | 1.75% 1.25% 1.05% 1.30% -596 -7.5% -596 Derivatives Put, SPX, strike 1800, 31-Dec-17 Put, AEX, strike 395, 30-Sep-17 Put, NKD, strike 16,000, 30-Jun-17 Put, TSX 60, strike 740, 30-Sep-17 60,000 29,992 -10 19,034 1.00 (35,000) 19,424 66% 28% 48% 32% 10 2,043.94 1.00 41.82 1.09 8.30% 6.95% 9.60% 5.75% 30% 25% 35% 25% 10 10 764.54 1.39 Question: Which VaR model would be appropriate to estimate the risk of each of the asset classes in the portfolio