A GLOSSARY OF AVAILABLE COLUMNS IN OVRA 1 Aug, 2011

Glossary The following is a list of available columns (fields) in OVRA and the description of each field. % Delta The % Delta shows the change in the price of the the options with respect to the change in the underlying spot price. Users could choose the preferred model to calculate the spot delta, and choose to include or exclude premium discounted to the pricing currency pair spot date. The delta is expressed as a percentage of the currency notional. The preferred model can be seen by displaying the MODEL column. Whether premium is included or excluded can be determined by displaying the PREM IN DELTA column and is controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Note that this is always interpreted in terms of the standard market quote order for the currency pair even if the trade was entered using an inverted currency pair. % Fwd Delta The % Fwd Delta shows the change in the price of the the options with respect to the change in the underlying forward outright price. Users could choose the preferred model to calculate the forward delta, and choose to include or exclude premium (undiscounted) to the pricing currency pair spot date. The delta is expressed as a percentage of the currency notional. The preferred model can be seen by displaying the MODEL column. Whether premium is included or excluded can be determined by displaying the PREM IN DELTA column and is controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Note that this is always interpreted in terms of the standard market quote order for the currency pair even if the trade was entered using an inverted currency pair. 1 Day P/L Ccy1 1 Day P/L Ccy1 is calculated as the difference in the P/L between the Pricing Date and the previous weekday, expressed in currency 1. Weekday is defined as Monday to Friday, regardless if it is a public holiday; i.e. when you run 1 Day P/L on Tues, it will always compare the difference between Tues and Monday, even if Monday happens to be a holiday.

Currency 1 is the left hand (first) currency of a currency pair e.g. Usd will be Ccy 1 in Usd/Jpy. We calculate this by loading the market data for the previous day (at the close of day as per the setting in XDF<GO>) and revaluing the P/L. Currently three local closing times are available in XDF and they are New York 17:00, London 18:00 and Tokyo 20:00. For new trades the 1 DAY P/L is the same as the P/L (See below for P/L). 1 Day P/L Ccy2 1 Day P/L Ccy2 is calculated as the difference in the P/L between the Pricing Date and the previous weekday, expressed in currency 2. Weekday is defined as Monday to Friday, regardless if it is a public holiday; i.e. when you run 1 Day P/L on Tues, it will always compare the difference between Tues and Monday, even if Monday happens to be a holiday. Currency 2 is the right hand (second) currency of a currency pair e.g. Jpy will be Ccy 2 in Usd/Jpy. We calculate this by loading the market data for the previous day (at the close of day as per the setting in XDF<GO>) and revaluing the P/L. Currently three different local closing times are available in XDF and they are New York 17:00, London 18:00 and Tokyo 20:00. For new trades the 1 DAY P/L is the same as the P/L (See below for P/L). 1 Day P/L Home 1 Day P/L Home is calculated as the difference in the P/L between the Pricing Date and the previous weekday, expressed in the home currency. Weekday is defined as Monday to Friday, regardless if it is a public holiday; i.e. when you run 1 Day P/L on Tues, it will always compare the difference between Tues and Monday, even if Monday happens to be a holiday. Users could choose the home currency in OVRA <Go>. We calculate this by loading the market data for the previous day (at the close of day as per the setting in XDF<GO>) and revaluing the P/L. Currently three different local closing times are available in XDF and they are New York 17:00, London 18:00 and Tokyo 20:00. For new trades the 1 DAY P/L is the same as the P/L (See below for P/L).

P/L Home In OVRA, P/L is defined as the difference between the value of the securities and the premium; i.e. P/L = Value – Premium. In the case of an option, P/L will be the difference in the value of the option calculated based on the market parameters (spot rate, forward rates, volatilities, etc) minus the premium of the option. Please note that P/L can only be calculated on lines where the premium is known. Therefore for FX trades where premium is not known, users need to put in 0 in order to have P/L calculated. The value at the pricing spot date can be seen by displaying the VALUE column, the premium by displaying the PREMIUM column. Trades on or beyond their expiry date which have not been exercised are assumed to have expired worthless (Value = 0). Users could choose the home currency in OVRA <Go>. P/L Ccy1 In OVRA, P/L is defined as the difference between the value of the securities and the premium; i.e. P/L = Value – Premium. P/L Ccy1 is the Profit & Loss expressed in currency 1. Currency 1 is the left hand (first) currency of a currency pair e.g. Usd will be Ccy 1 in Usd/Jpy. In the case of an option, P/L will be the difference in the value of the option calculated based on the market parameters (spot rate, forward rates, volatilities, etc) minus the premium of the option. Please note that P/L can only be calculated on lines where the premium is known. Therefore for FX trades where premium is not known, users need to put in 0 in order to have P/L calculated. The value at the pricing spot date can be seen by displaying the VALUE column, the premium by displaying the PREMIUM column. Trades on or beyond their expiry date which have not been exercised are assumed to have expired worthless (Value = 0). P/L Ccy2 In OVRA, P/L is defined as the difference between the value of the securities and the premium; i.e. P/L = Value – Premium. P/L Ccy2 is the Profit & Loss expressed in currency 2. Currency 2 is the right hand (second) currency of a currency pair e.g. Jpy will be Ccy 2 in Usd/Jpy.

In the case of an option, P/L will be the difference in the value of the option calculated based on the market parameters (spot rate, forward rates, volatilities, etc) minus the premium of the option. Please note that P/L can only be calculated on lines where the premium is known. Therefore for FX trades where premium is not known, users need to put in 0 in order to have P/L calculated. The value at the pricing spot date can be seen by displaying the VALUE column, the premium by displaying the PREMIUM column. Trades on or beyond their expiry date which have not been exercised are assumed to have expired worthless (Value = 0). A/E This is the column for the style of an option. A denotes that it is an American style option whereby the option could be exercised any time during the life of the option. E denotes an European style option whereby the option could only be exercised on the maturity date. Account Account displays the text you entered in the Account Note field when you add a trade to the portfolio (see diagram). if you have not added any text, the Account column will be blank.

Accrued Interest The interest that has accumulated since the issue date of the product or since the previous coupon payment date, if there has been one already. The accrued interest is calculated based on the day count convention selected. Affirmation The affirmation status of the trade: Waiting, Accepted, Declined or Affirmed. Alert Alert shows the Barrier Alert Status. A Grey Bell indicates that an alert can be set but has not been set yet, a White Bell indicates that an alert has been set. Avg Fwd Average forward rate is calculated from realised fixings and the portfolio of forwards. If no fixings have been set, the rate will calculate from the portfolio of forwards. Avg Fwd Strike Average forward strike is calculated from realised fixings and the portfolio of forwards. If no fixings have been set, the rate will calculate from the portfolio of forwards. Barr1 Direction This is the direction of the barrier with respect to the first barrier (lower barrier). It can be: Down and In, Down and Out, Up and In, or Up and Out. We leave this column blank for Accruals, Accumulators and Faders. Barr2 Direction This is the direction of the barrier with respect to barrier 2 (higher barrier). It can be: Down and In, Down and Out, Up and In, or Up and Out. We leave this column blank for Accruals, Accumulators and Faders.

Barr1 Rebate This is the rebate to be paid in one of the notional currencies if barrier 1 is triggered. This is only available or continuous barrier trades, excluding touches. Barr2 Rebate This is the rebate to be paid in one of the notional currencies if barrier 1 is triggered. This is only available or continuous barrier trades, excluding touches. Barrier1 If the trade has a continuous or European barrier, the barrier level (lower one if there are both lower and upper barriers). We leave this column blank for Accruals, Accumulators and Faders. Barrier2 If the trade has 2 continuous or European barrier, the upper barrier level (lower barrier is Barrier1 and upper barrier is Barrier2). We leave this column blank for Accruals, Accumulators and Faders. BB# This is the Bloomberg Unique Identifier (OP number) for the trade. You can use this number to load it in the security area by typing OVML OP <GO>. Broker This shows the broker through which the trade was carried out. A maximum of 15 characters are allowed when you carry out Add to Portfolio (see below). It will be empty if such optional information is not added during the Add to Portfolio process.

Ccy Pair This shows the currency pair for this trade. This also applies to cash instruments to allow these to be grouped with the currency pair in which any associated trades were done. Ccy1 Amt This shows the notional amount of the trade expressed in the left hand (first) currency of the currency pair. For trades which are solely made up of a rebate in the right hand (second) currency, this column is blank. Ccy2 Amt This shows the notional amount of the trade expressed in the right hand (second) currency of the currency pair. For trades which are solely made up of a rebate in the left hand (first) currency, this column is blank. Counterparty This shows the counterparty with which the trade was carried out. A maximum of 8 characters are allowed when you carry out Add to Portfolio (see below). It will be empty if such optional information is not added during the Add to Portfolio process.

Coupon % This shows the annualised coupon rate to be paid by the product at maturity or at interim periods. Creation Date This is the date when the option was created in user time zone as expressed in terms of the TZDF <Go> setting time zone. Creation Time This is the time when the option was created in user time zone as expressed in terms of the TZDF <Go> setting time zone. Creator Name This is the name of the person who has booked the trade into OVRA.

Current Avg This shows the weighted average of the historical spot for the option's asset. The average comprises all available spot data from the fixing start date until the pricing date. Cut This shows the cut-off time of the option. DCD – Option Value This shows the present value of the deposit only component of the DCD instrument (see Option Value for other component). The two components summed together equal the total value that we show in the Value Ccy1 column for the DCD as a whole. DCD – PV Depo This is the present value of the option component of the DCD instrument (see Deposit Value column for ther component). The two components summed together equal the total value that we show in the Value Ccy1 column for the DCD as a whole. Delivery Date This is the settlement date for the option or forward. Delta Home This shows the spot delta of the trade based on the preferred model selected. Users could choose to include or exclude premium discounted to the pricing currency pair spot date in the calculation. It is expressed in the home currency which can be set from OVRA. The preferred model can be seen by displaying the MODEL column. Whether premium is included or excluded can be determined by displaying the PREM IN DELTA column and is controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Delta USD

The Delta USD shows the spot delta of the trade based on the preferred model selected. Users could choose to include or exclude premium discounted to the pricing currency pair spot date in the calculation. It is expressed in USD; thus for currency pairs where USD is neither Ccy 1 or Ccy 2 this will show a 0 value. The preferred model can be seen by displaying the MODEL column. Whether premium is included or excluded can be determined by displaying the PREM IN DELTA column and is controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Pos Delta1 This shows the trade's preferred model spot delta. Users could choose to include or exclude premium discounted to the pricing currency pair spot date in the calculation. It is expressed in the left hand (first) currency of the currency pair (SECURITY). The preferred model can be seen by displaying the MODEL column. Whether premium is included or excluded can be determined by displaying the PREM IN DELTA column and is controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Note that this is always interpreted in terms of the standard market quote order for the currency pair even if the trade was entered using an inverted currency pair. Pos Delta2 This shows the trade's preferred model spot delta. Users could choose to include or exclude premium discounted to the pricing currency pair spot date in the calculation. It is expressed in the expressed in the right hand (second) currency of the currency pair (SECURITY). The preferred model can be seen by displaying the MODEL column. Whether premium is included or excluded can be determined by displaying the PREM IN DELTA column and is controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Note that this is always interpreted in terms of the standard market quote order for the currency pair even if the trade was entered using an inverted currency pair. Depo Ccy1 This shows the deposit rate for the left hand (first) currency of the currency pair (SECURITY) from Spot to the Settlement date for the trade. The data source for this is controlled via SWDF<GO>.

Depo Ccy2 The deposit rate for the right hand (second) currency of the currency pair (SECURITY) used for valuation from Spot to the Settlement date for the trade. The data source for this is controlled via SWDF<GO>. Description This column shows the entered in the description field when the trade was booked. Users can use this field to enter short length information about their trades within a 24 characters limit. If nothing is entered, the default description will be shown. Description text can be searched with the filtering functionality.

Expiry Date This is the expiry date for the option, or fixing date for cash settled forwards, expressed in terms of the expiry cut time zone. External ID

This shows the user specified external ID with which the trade was carried out. A maximum of 13 characters are allowed when you carry out Add to Portfolio (see below). It will be empty if such optional information is not added during the Add to Portfolio process.

Fixing Start This shows the start date of an Average option's fixing period. Fixing End This shows the end date of an Average option's fixing period. Forward This shows the FX forward rate (to settlement) used for valuation. The source of forward is based on the settings in XDF<GO>. For expired trades which have not settled we show the tom-next rate or overnight rate as appropriate. For settled trades we show the overnight rate. These can be seen in FRD<GO>. Frequency

This shows the frequency of the data points utilized in the calculation of the current average. Fwd Points This column contains the difference between the spot rate and the forward rate expressed in points. This is the same as swap points. Gamma Ccy1 The gamma is the change in delta with respect to a change of the underlying spot rate. This shows the spot gamma of the trade based on the preferred model selected. The trade's preferred model spot gamma is discounted to the pricing currency pair spot date and expressed in the left hand (first) currency of the currency pair (SECURITY). The gamma is the instantaneous change in the preferred model spot delta excluding premium for a small shift in spot scaled to a 1% shift. We calculate this by blipping the forward curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Gamma Ccy2 The gamma is the change in delta with respect to a change of the underlying spot rate. This shows the spot gamma of the trade based on the preferred model selected. The trade's preferred model spot gamma is discounted to the pricing currency pair spot date and expressed in the right hand (second) currency of the currency pair (SECURITY). The gamma is the instantaneous change in the preferred model spot delta excluding premium for a small shift in spot scaled to a 1% shift. We calculate this by blipping the forward curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. History This column shows you the history of the life cycle event: Barrier Hit, Barrier Missed, Exercise, or Expiry. Intrinsic Value Ccy1

An option will have intrinsic value if it is in-the-money. An out-the-money will have an intrinsic value of zero. The intrinsic value of an at-the-money option is the absolute value of the difference between the outright forward and the strike. Intrinsic value is only really measured for vanilla options. Currency 1 is the left hand (first) currency of a currency pair e.g. Usd will be Ccy 1 in Usd/Jpy. Intrinsic Value Ccy2 An option will have intrinsic value if it is in-the-money. An out-the-money will have an intrinsic value of zero. The intrinsic value of an at-the-money option is the absolute value of the difference between the outright forward and the strike. Intrinsic value is only really measured for vanilla options. Currency 2 is the right hand (second) currency of a currency pair e.g. Jpy will be Ccy 2 in Usd/Jpy. Last Update Date The calendar date when the fields definining this instrument were last modified; partnered with the column 'Last Update Time'. Last Update Time The time when the fields definining this instrument were last modified; partnered with the column 'Last Update Date'. Last Update By This shows the name of the last person to update instrument information for this instrument. Leg It shows the index number of a leg in a strategy or multileg trade and is always set to 1 on a strategy or strip line. Model This show the trade's preferred model for pricing and calculating Greeks. The preferred model could be set by checking one of the options under 8) Pricing on the red tool bar. This cannot be overridden.

Notes This column shows the text entered in the notes field when the trade was booked. Users can enter free form text about their trades. The text can be notes or keywords that users can later on use to search for these trades using OVRA filtering capability. The maximum length of this column is 90 characters. It will be blank if such optional information is not added during the Add to Portfolio process.

Onshore/Offshore Onshore/Offshore indicates whether the trade was carried out using the Onshore of Offshore version of the currency pair (where relevant). A blank entry means Offshore. Option Price % It shows the price of the embedded option of the product. Option Price % Ccy1

It shows the price of the embedded option of the product in Ccy 1. Currency 1 is the left hand (first) currency of a currency pair e.g. Usd will be Ccy 1 in Usd/Jpy. Option Price % Ccy2 It shows the price of the embedded option of the product in Ccy 2. Currency 2 is the right hand (second) currency of a currency pair e.g. Jpy will be Ccy 2 in Usd/Jpy. Option Status It shows the status of an option: Active or Terminated. P/C It shows whether the option is a Put (P) or Call (C) on the the Put/Call currency (P/C Ccy), where applicable. It should partner with the the P/C CCY column. P/C Ccy It shows the Put/Call currency used to determine whether the option is denoted as a Put or Call (P/C). The Put/Call category of the trade can be seen by displaying the P/C column. Permission It shows the trade permission level - only shown at the parent level of the trade. It can be either User or Firm (all users in the same firm). Prem Ccy This shows the currency in which the premium was paid/received on the premium date. The premium amount can be seen by displaying the PREMIUM column. Premium This is the amount of premium paid or received in the premium currency (PREM CCY) against this trade on the premium date. The premium currency can be seen by displaying the PREM CCY column.

Premium Home This is the amount of premium paid expressed in the home currency (as converted by the floating spot rate). This is consistent with doing a separate delta hedge to hedge your exposure against your home currency. The amount of premium and the premium currency used can be seen by displaying the PREMIUM and PREM CCY columns. Prem Ccy1 This is the amount of premium paid expressed in the in the left hand (first) currency of the currency pair (as converted by the floating spot rate). This is consistent with doing a separate delta hedge to hedge your exposure against any other currency. The amount of premium and the premium currency used can be seen by displaying the PREMIUM and PREM CCY columns. Prem Ccy2 This is the amount of premium paid expressed in the in the right hand (second) currency of the currency pair (as converted by the floating spot rate). This is consistent with doing a separate delta hedge to hedge your exposure against any other currency. The amount of premium and the premium currency used can be seen by displaying the PREMIUM and PREM CCY columns. Prem Date This is the date when premium for the trade was paid/received as expressed in terms of the TZDF setting time zone. Prem in Delta This shows whether the premium is included or excluded from Pos Delta1/Pos Delta2/Delta/% Delta/% Fwd Delta. Whether premium is included or excluded can be controlled by a setting in OVML > 94)Settings > 11) Trade Parameters. Note that this is always interpreted in terms of the standard market quote order for the currency pair even if the trade was entered using an inverted currency pair.

Rebate Ccy This shows the currency in which the rebate amount is to be paid. Rho Ccy1 Rho shows the change in option price as a result of the change in the interest rate. This column shows the trade's preferred model spot rho discounted to the spot date, expressed in the left hand (first) currency of the currency pair. Rho is the instantaneous change of the option VALUE for an increase of the domestic (right hand currency interest rate by 1%. Rho Ccy2 Rho shows the change in option price as a result of the change in the interest rate. This column shows the trade's preferred model spot rho discounted to the spot date, expressed in the right hand (second) currency of the currency pair. Rho is the instantaneous change of the option VALUE for an increase of the domestic (right hand currency interest rate by 1%. Rho Home Rho shows the change in option price as a result of the change in the interest rate. This column shows the trade's preferred model spot rho discounted to the spot date, expressed in the home currency as selected in OVRA. Settlement This is the type of settlement for the trade: physical, or cash in the first (left) or second (right) hand currency of the currency pair. Spot The FX spot rate used for valuation. The source of spot is based on the FORWARD curve settings in XDF<GO>. Sticky Delta

This is the smile adjusted delta expressed as % notional. This delta takes into account the movement in volatility up or down the smile surface as a result of the spot shift. Other names include smile delta, adopted delta, or adjusted delta. This is different from TV (Black-Scholes ATM) delta discussed above. Sticky Pos Delta Ccy1 This is the smile adjusted spot delta based on your preferences, expressed in the left hand (first) currency of the currency pair. This delta takes into account the movement in volatility up or down the smile surface as a result of the spot shift. Sticky Pos Delta Ccy2 This is the smile adjusted spot delta based on your preferences, expressed in the right hand (second) currency of the currency pair. This delta takes into account the movement in volatility up or down the smile surface as a result of the spot shift. Strategy This is the strategy of the deal. It is blank for leg and strip lines. Strike This is the strike of the option. Style This is the style of the fx trade or option such as vanilla, Double KO, FX, Double NT, etc. Theo Value Ccy 1 Theoretical value (TV) is the value of an option as calculated by the commonly used Black-Scholes formula. In exotic option pricing, theoretical value - derived from Black-Scholes formula using ATM volatility - is commonly used as a reference price when different players may use different mathematical pricingmodels to calculate the price of an option. Theo Value Ccy 1 shows the Theoretical Value of the option expressed in the left hand (first) currency of the currency pair.

Theo Value Ccy 2 Theoretical value (TV) is the value of an option as calculated by the commonly used Black-Scholes formula. In exotic option pricing, theoretical value - derived from Black-Scholes formula using ATM volatility - is commonly used as a reference price when different players may use different mathematical pricingmodels to calculate the price of an option. Theo Value Ccy 2 shows the Theoretical Value of the option expressed in the right hand (second) currency of the currency pair. Theo Value Home Theoretical value (TV) is the value of an option as calculated by the commonly used Black-Scholes formula. In exotic option pricing, theoretical value - derived from Black-Scholes formula using ATM volatility - is commonly used as a reference price when different players may use different mathematical pricingmodels to calculate the price of an option. Theo Value Home shows the Theoretical Value of the option expressed in thehome currency as defined in OVRA. Theta This shows the change in the P/L between the Pricing Date and the next weekday expressed in the home currency. We calculate this by assuming that the spot rolls along the forward curve, the forward and interest/depo rate curves remain fixed in date terms, the volatility surface remains fixed in date terms and we price using forward volatilities from this surface. We calculate the Theta in the right hand (second) currency of the currency pair (SECURITY) and then convert this to the home currency using the Pricing Date spot rate. Theta Ccy1 This shows the change in the P/L between the Pricing Date and the next weekday expressed in the left hand (first) currency of the currency pair. We calculate this by assuming that the spot rolls along the forward curve, the forward and interest/depo rate curves remain fixed in date terms, the volatility surface remains fixed in date terms and we price using forward volatilities from this surface. We calculate the Theta in the right

hand (second) currency of the currency pair (SECURITY) and then convert this to the left hand (first) currency using the Pricing Date spot rate. Theta Ccy2 This shows the change in the P/L between the Pricing Date and the next weekday expressed in the right hand (second) currency of the currency pair. We calculate this by assuming that the spot rolls along the forward curve, the forward and interest/depo rate curves remain fixed in date terms, the volatility surface remains fixed in date terms and we price using forward volatilities from this surface. We calculate the Theta in the right hand (second) currency of the currency pair (SECURITY) and then convert this to the right hand (second) currency using the Pricing Date spot rate. Time Value Ccy1 Time value = Value of the option - Intrinsic Value. An option will have intrinsic value if it is in-the-money. An out-the-money will have an intrinsic value of zero. The intrinsic value of an at-the-money option is the absolute value of the difference between the outright forward and the strike. Intrinsic value is only really measured for vanilla options. It is expressed in Currency 1, which is the left hand (first) currency of a currency pair e.g. Usd will be Ccy 1 in Usd/Jpy. Time Value Ccy2 Time value = Value of the option - Intrinsic Value. An option will have intrinsic value if it is in-the-money. An out-the-money will have an intrinsic value of zero. The intrinsic value of an at-the-money option is the absolute value of the difference between the outright forward and the strike. Intrinsic value is only really measured for vanilla options. It is expressed in currency 2. Currency 2 is the right hand (second) currency of a currency pair e.g. Jpy will be Ccy 2 in Usd/Jpy. Trade Date It is the official date when the option was traded with the counterparty in terms of the TZDF setting time zone.

Trade Time Trade Time is the time when the option was traded in user time zone as expressed in terms of the TZDF setting time zone. Traded Depo Ccy1 The deposit rate when the trade was booked for the left hand (first) currency of the currency pair (SECURITY) from spot to the final delivery date for the trade. Traded Depo Ccy2 The deposit rate when the trade was booked for the right hand (second) currency of the currency pair (SECURITY) from spot to the final delivery date for the trade. Traded Forward This is the FX forward rate (from trade date to final delivery) used for valuation when the trade was booked. Traded Fwd Points This is the swap points (from trade date to final delivery) used for valuation when the trade was booked; i.e. the difference between the traded spot rate and traded forward rate expressed in points. Traded Spot This is the FX spot rate used for valuation when the trade was booked. Traded Volatility This is the volatility used for valuation when the trade was booked.

Value Ccy1 This is the value of the trade at the Pricing Spot Date expressed in the left hand (first) currency of the currency pair. This is the mark-to-market value (excludes premium). Trades on or beyond their expiry date which have not been exercised are assumed to have expired worthless (Value = 0). Value Ccy2 This is the value of the trade at the Pricing Spot Date expressed in the right hand (second) currency of the currency pair. This is the mark-to-market value (excludes premium). Trades on or beyond their expiry date which have not been exercised are assumed to have expired worthless (Value = 0). Value Home This is the value of the trade at the Pricing Spot Date expressed in the home currency as defined in OVRA. This is the mark-to-market value (excludes premium). Trades on or beyond their expiry date which have not been exercised are assumed to have expired worthless (Value = 0). Vanna Ccy1 Vanna measures the sensitivity of vega with respect to the change in the underlying spot. This column shows the trade's preferred model ATM volatility vanna (derivative of the trade's preferred model spot delta excluding premium with respect to the ATM volatility) expressed in the left hand (first) currency of the currency pair (SECURITY). We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Vanna Ccy2 Vanna measures the sensitivity of vega with respect to the change in the underlying spot.

This column shows the trade's preferred model ATM volatility vanna (derivative of the trade's preferred model spot delta excluding premium with respect to the ATM volatility) expressed in the right hand (second) currency of the currency pair (SECURITY). We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Vega This shows the trade's preferred model ATM volatility vega expressed in the home currency. The vega is the change in VALUE (at the pricing currency pair spot date) for an instantaneous parallel shift in the ATM volatility curve scaled to 1%. We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Vega Ccy1 This shows the trade's preferred model ATM volatility vega expressed in the left hand (first) currency of the currency pair (SECURITY). The vega is the change in VALUE (at the pricing currency pair spot date) for an instantaneous parallel shift in the ATM volatility curve scaled to 1%. We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Vega Ccy2 This shows the trade's preferred model ATM volatility vega expressed in the right hand (second) currency of the currency pair (SECURITY). The vega is the change in VALUE (at the pricing currency pair spot date) for an instantaneous parallel shift in the ATM volatility curve scaled to 1%. We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Volatility For vanilla, digital and compund, the implied volatility associated with the strike is used. For other deal styles the mid-ATM volatility is used. The source for the volatility of any currency pair is the default for that currency pair as can be set with OVDV<GO>.

Volga Ccy1 Volga measures the sensitivity of vega with respect to the change in volatility. This column shows the trade's preferred model ATM volatility volgamma (2nd derivative with respect to the ATM volatility) expressed in the left hand (first) currency of the currency pair (SECURITY). The volga is the change in VEGA (at the pricing currency pair spot date) for an instantaneous parallel shift in the ATM volatility curve scaled to 1%. We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Volga Ccy2 Volga measures the sensitivity of vega with respect to the change in volatility. This shows the trade's preferred model ATM volatility volgamma (2nd derivative with respect to the ATM volatility) expressed in the right hand (second) currency of the currency pair (SECURITY). The volga is the change in VEGA (at the pricing currency pair spot date) for an instantaneous parallel shift in the ATM volatility curve scaled to 1%. We calculate this by blipping the ATM volatility curve and doing a full recalibration. The preferred model can be seen by displaying the MODEL column. Window Start Date Window Start Date shows the date at which the option barrier(s) become active, if a window period is set. The level of the barrier(s) can be seen by displaying the BARRIER 1 and BARRIER 2 columns. For terminal barrier trades this column is set to the expiry date. We leave this column blank for Accruals, Accumulators and Faders. Window End Date Window End Date shows the date at which the option barrier(s) cease to be active, if a window period is set. The level of the barrier(s) can be seen by displaying the BARRIER 1 and BARRIER 2 columns. For terminal barrier trades this column is set to the expiry date. We leave this column blank for Accruals, Accumulators and Faders.