OPAN Manual

OPICS

Analytics

User Guide

Confidentiality and Restrictions© 1991-2003 Misys International Banking Systems (White Plains) Inc. ALL RIGHTS RESERVED.All parts of this manual are the property of Misys International Banking Systems. No parts of this manual may be copied or reproduced in any manner whatsoever including mechanical or electronic media such as disk or tape. No part of this manual may be transmitted in any form by any means. It is against the law to copy the software on any medium except as specifically allowed in the license or non-disclosure agreement.Information in this document is subject to change without notice and does not represent a commitment on the part of Misys International Banking Systems.

Contents

CONTENTS I

CHAPTER 1 INTRODUCTION 1Analytics Module Overview...................................................................................................................... 2General Workbook Processing................................................................................................................4

CHAPTER 2 OPICS MAIN WORKBOOK 13OPXMAIN: OPICS Main Workbook......................................................................................................14OPXMAIN: Introduction........................................................................................................................ 16OPXMAIN: Settings.............................................................................................................................. 18OPXMAIN: Styles Worksheet...............................................................................................................20OPXMAIN: OPICS Dictionary...............................................................................................................24OPXMAIN: Client Dictionary.................................................................................................................26OPXMAIN: Combos............................................................................................................................. 27OPXMAIN: Navigator........................................................................................................................... 29OPXMAIN: Timers............................................................................................................................... 31OPXMAIN: Configuration...................................................................................................................... 33

CHAPTER 3 YIELD CURVES 35Introduction........................................................................................................................................... 36YCSS: Yield Curve Scenario Maintenance............................................................................................40YCSM: Yield Curve Shift Maintenance..................................................................................................42YCPX: Yield Curve Selection................................................................................................................46YCIQ: Yield Curve Inquiry.................................................................................................................... 49

CHAPTER 4 CASH FLOW SELECTION 55Introduction........................................................................................................................................... 56ACFS: Cash Flow Selection.................................................................................................................59ACFS: Cash Flow Selection.................................................................................................................61ACFS: Settings.................................................................................................................................... 73ACFS: Settlement Flow Selection..........................................................................................................75ACFS: Exposure Flow Selection............................................................................................................81ACFS: DropDown Values.....................................................................................................................90

CHAPTER 5 POSITION ANALYSIS 93Introduction........................................................................................................................................... 94ANCF: Cash Flow Analysis................................................................................................................... 95ANSF: Settlement Flow Analysis........................................................................................................106ANFE: Futures Equivalent Analysis....................................................................................................119ANFE: Futures Equivalent Position - Bond Equivalent.........................................................................120ANFE: Futures Equivalent Position - Euro Equivalent.........................................................................131ANFI: Fixed Income Analysis..............................................................................................................143ANFS: Fixed Income Statistics Analysis.............................................................................................155

Analytics Contents i

ANDL: Deposit/Loan Analysis.............................................................................................................167ANSR: Spot Risk Analysis..................................................................................................................177ANFX: Spot Risk Analysis (NPV)........................................................................................................187ANCG: Cumulative Gap Analysis........................................................................................................198ANEC: Euro Currency Consolidation Analysis.....................................................................................206ANFP: Foreign Exchange Position Analysis........................................................................................216ANCT: Cost to Close Analysis............................................................................................................236

CHAPTER 6 RISK REPORTING 247Introduction......................................................................................................................................... 248ANVR: Value at Risk.......................................................................................................................... 249ANVR: VaR Analysis.......................................................................................................................... 250ANVR: Mapping................................................................................................................................. 257ANVR: Convert File Base CCY...........................................................................................................261ANVR: Correlation and Volatility File Header......................................................................................264ANEX: Exposure Analysis..................................................................................................................268ANSA: Scenario Analysis................................................................................................................... 278ANTS: Tenor Sensitivity Analysis........................................................................................................291RPRA: FX Risk Position Report..........................................................................................................300RPRA: RbcRFXRP - Foreign Exchange Risk Position Report.............................................................303

CHAPTER 7 PRICERS 305Introduction......................................................................................................................................... 306PRFR: FRA Pricer.............................................................................................................................. 307PRFR: Euro Strip............................................................................................................................... 308PRFR: Pricer - Yield Curve.................................................................................................................318PRSW: Interest Rate Swap Pricer......................................................................................................326PRSW: Custom Interest Rate Swap...................................................................................................327PRSW: Standard Interest Rate Swap.................................................................................................342PRSW: Currency Interest Rate Swap.................................................................................................354PROT: OTC Pricer............................................................................................................................. 370PROT: OTC Currency Option Pricer...................................................................................................371PROT: OTC Bond Option Pricer.........................................................................................................377PROT: OTC Barrier Options Pricer.....................................................................................................382PRFX: Forward Point Pricer...............................................................................................................386PRFX: Pricer...................................................................................................................................... 387PRFX: Rates Through Points.............................................................................................................398PRCF: Cap, Floor and Collar Pricer....................................................................................................405PRES: Euro Strip Pricer.....................................................................................................................415PRFI: Fixed Income Pricer................................................................................................................. 418

CHAPTER 8 BATCH TASKS 439ANBM: Analytics Batch Manager Workbook.......................................................................................440

INDEX 443

ii Contents Analytics

Chapter 1 Introduction

Analytics Chapter 1 Introduction 1

Analytics Module Overview

IntroductionOPICS Analytics is a product module in the Operations Processing Integrated Control System (OPICS). This is the manual for OPICS Analytics.

OPICS Analytics is used to measure market and credit risks, to hedge financial exposures and to price financial instruments. Analytics is integrated with the OPICS transaction processing modules and uses the following:

OPICS database for cash flows and static data (e.g., financial calendars),

OPICS architecture routines for processing (e.g., database access, error handling, date calculations),

OPICS security and logging.

OPICS Analytics has pricing and risk management tools (integrated with OPICS front, middle and back-office processing) for use by the following:

Traders interested in pricing transactions, identifying hedging requirements or quantifying how moves in market rates affect positions,

Desk managers interested in evaluating aggregate positions across products and portfolios or measuring the level of aggregate risk undertaken by traders,

Risk managers interested in evaluating market and credit risk by product, trading desk or counterparty, within or across portfolios, for a branch or branches.

Microsoft Excel for Windows is the basis for the Analytics user interface.

Yield CurvesOPICS Analytics is used to define and generate yield curves and to maintain the contributing rates and prices (e.g., money market rates, futures prices, swap rates) used to construct yield curves.

Analytics also may be used to define parallel and non-parallel yield curve shifts and to create composite curves from the algebraic combination of existing curves. Yield curves may be generated on demand (based on the most current rates and prices available) in timed intervals (e.g., every 15 minutes) or overnight.

Cash FlowsCash flow selection is used to aggregate cash flows resulting from deals and positions maintained in OPICS. Simulated cash flows may be created and appended to an existing cash flow file. Cash flows are used in the Analytics position analyses and risk reports.

Position AnalysisAnalytics may be used to analyze exposures in the cash flow groups by valuing the cash flows against one or more yield curves. The following analyses may be performed:

Cash flow analysis,

Interest rate sensitivity analysis,

Futures equivalent position analysis,

2 Chapter 1 Introduction Analytics

Fixed income position analysis,

Gap analysis.

The operator may define the tenor periods to which cash flows are bucketed, the methodology used to bucket the flows and the type of cash flows (known, unknown, all). Many analyses include DDE-based market rate feeds and both graphical and tabular results.

Risk ReportingOPICS Analytics runs reports of daily earnings at risk (DEaR) and value at risk (VaR), an analysis of counterparty credit exposure and a foreign exchange exposure analysis. DEaR and VaR are calculated using JP Morgan’s Risk Metrics™ methodology.

PricersPricers are used to value financial instruments.


General Workbook Processing

IntroductionThis section describes the general use of OPICS Analytics workbooks.

SecurityAccess to OPICS Analytics can be controlled at the following levels:

Application,

Network,

Database.

OPICS controls only the application security level.

OPICS application security performs the following:

Validates operator id and password,

Encrypts security parameters,

Monitors password expiration,

Allows passwords to be revoked,

Logs database activity,

Reports signon attempts,

Limits task access by operator.

Analytics MenusThe drop-down menus available on all Analytics screens are described below.

The File Menu is used to open, close and save Analytics workbooks, access the Analytics Navigator and exit Analytics.

The Edit menu is used to copy and paste text in Analytics and to insert or delete worksheets in a specific workbook.

The View menu is used to increase the size of the Analytics display within the active window.

The Window menu is used to move between active workbooks.

The Help menu is used to display information about the following:

How to Use Help,

Workbook Contents,

Workbook Topic Search,

About OPICS (OPICS disclosure and license information),

About Workbook (workbook compile date and time).


Drop Down Menus

Analytics NavigatorThe Analytics Navigator is used to access OPICS Analytics workbooks.

Analytics functions are displayed by category and category item, where the category is the type of function and the category item is the specific workbook (see below).

To access an Analytics workbook, select a category and select the workbook within the category. Select the Ok button. Analytics workbooks cannot be accessed from OPICS using Fast-path.

Standard Workbook SectionsThe top section of all Analytics workbook screens contains the title bar, the menu bar and the workbook header.


The title bar contains the control menu, the workbook title (e.g., OPXMAIN.XLS) and the maximize, minimize and close buttons.

The menu bar contains the drop-down menus.

The workbook header displays the following:

Workbook title and description (e.g., OPXMAIN: OPICS Main Workbook),

OPICS branch,

Branch processing date,

Operator's user id.

The status bar is located at the bottom of the worksheet and displays task status messages.

Worksheet tabs are located above the status bar and allow the operator to navigate between worksheets within a workbook (see below).

Command buttons and Area navigation buttons are located below the workbook header. Area navigation buttons are used to move between areas of a worksheet. Command buttons are used to perform immediate actions. Common command buttons and their functions are:


Button Function

Add Validates worksheet area ranges and adds displayed information to the database.

Clear Clears worksheet area ranges and displays the default values.

Delete Deletes the displayed record from the database.

Done Validates and calculates worksheet area ranges and adds or updates records on the database.

Get Gets a record from the database.

Update Validates worksheet area ranges and updates the record with the displayed information.

Select Flows Displays a screen containing valid cash flow files eligible for use within Analytics.

Run Analysis Validates worksheet ranges and starts the analysis

Graph Creates a graphic display of analysis results and moves to the graph area to display the graph. Graph is selected after an analysis is run.

Details Displays the details area and a list of the cash flows underlying a selected tenor maturity from an analysis area.

Print Prints the results from a specific area.

Common navigation buttons and their functions are:

Button Function

Analysis Displays the area of a worksheet where the analysis is performed.

Rates Displays the area of a worksheet where underlying rate information can be entered or linked to live rate feeds.

Yield curve Displays the area of a worksheet where underlying analysis yield curve information is displayed.

Summary Displays the area of a worksheet where analysis information may be aggregated.

Schedule Displays the schedule area.

Pricer Displays the Pricer area.

Worksheet command buttons are used to perform actions on an entire worksheet. Worksheet command buttons and their functions are:

Button Function

Copy Sheet Creates a new worksheet within a workbook by copying the information contained on the original worksheet.

Delete Sheet Deletes the currently active worksheet within the workbook.

Working in Multiple WorkbooksAnalytics may be used to run multiple analyses, pricers and static data workbooks at one time. WindowList in the Window menu allows the operator to move between multiple open workbooks.


Saving a Custom WorkbookTo save custom workbooks to a local or network drive, select Save or Save as from the File menu.

Opening Custom WorkbooksOperators may open custom workbooks saved on a local or network drive. Open in the File menu locates and opens a custom workbook. To perform analytic functions in a custom workbook, the workbook must be opened while OPICS Analytics is running (i.e., OPXMAIN must be open).

Workbook ObjectsAnalytics workbook objects include drop-down menus, text boxes, drop-down boxes and command buttons.

Text boxes are highlighted when they are selected. The cursor is displayed in the selected object. When the maximum number of characters is entered in a text box, Analytics tabs to the next screen object.

Disabled objects cannot be selected. Data in disabled objects are displayed in the color specified for disabled text in the OPXMAIN Workbook Styles tab.

Drop-down Box

A drop-down box is a combination of a text box and list box. Information may be entered in the drop-down box by selecting an item from the list. For example, on the ANDL, Deposit/Loan Analysis workbook the Quote type drop-down box is displayed (see below).


Text Box

A text box is an object used to enter or display data. The keyboard is used to enter data in a text box. For example, the Yield curve id range is a text box on the ANCF, Cash Flow Analysis workbook screen (see below).

Function KeysAnalytics uses function keys to access on-line help, text box look-up screens and the navigator. Function keys are assigned or amended using the OPXMAIN workbook. Default function keys are Ctrl + F1, Ctrl + F2 and Ctrl + F4.

Ctrl + F1 Function KeySelecting Ctrl+F1 displays help text for the selected workbook object. After Ctrl + F1 is selected, the Contents or Search buttons may be used to display other help text for the Analytics workbook.

Ctrl + F2 Function KeyCtrl + F2 displays a list of valid data for the selected screen object, if the select object has a look-up screen. For example, selecting Ctrl + F2 while the cursor is in the CCY range displays a list of currencies (see below).


The first time Ctrl + F2 is selected after signing on, the list of data is extracted from the OPICS database and saved on the operator's PC. Each subsequent time Ctrl + F2 is selected, the local PC data is displayed. The Refresh button may be used to extract the most current data from the database.

Selecting Ctrl + F2 when the cursor is in a date field displays the QDTE, Date Lookup screen (see below).

Signing Off AnalyticsTo sign off Analytics, select the File menu from any Analytics workbook, and select Exit (see below).


Selecting Exit from the File menu displays the following message:

To save a custom workbook, select the Yes button and enter the name of the custom workbook. To exit Analytics select the No button for each open workbook. Signing off Analytics does not close OPICS. The operator must sign off OPICS from the OPICS window.


Chapter 2 OPICS Main Workbook


OPXMAIN: OPICS Main Workbook

IntroductionThe OPXMAIN, OPICS Main Workbook is the first workbook displayed when an operator runs Analytics. OPXMAIN may be used to edit and display general information about Analytics (e.g., settings, styles, configuration).

OPXMAIN Worksheets

Introduction

The Introduction worksheet is used to display icons for Analytics functions and to access the associated category items (worksheets) in the Analytics Navigator.

Settings

The Settings worksheet is used to specify the level of protection, the minimum timer, the paper size (e.g., letter, A4) and the keystrokes used to access the help, lookup and navigator functions in Analytics.

Styles

The Styles worksheet is used to format the color of different cell types and specify date and number formats for all Analytics workbooks.

OPICS Dictionary

The OPICS Dictionary worksheet is used to display and amend Analytics terminology. Specific literals or headings may be modified.

Client Dictionary

The Client Dictionary worksheet is used to create and amend Analytics terminology. Specific literals or headings may be created and/or amended.

Combos

The Combos worksheet is used to display text and values contained in Analytics drop-down boxes.

Navigator

The Navigator worksheet displays the workbooks that may be accessed from Analytics.

Timers

The Timers worksheet is used to set the time, in seconds, for the recalculation of Analytics pricers.

Configuration

The Configuration worksheet is used to display OPICS directory structure and information about the current branch.


Starting OPICS Main WorkbookTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Selecting OPXMAIN WorksheetsSelect one of the following tabs at the bottom of the OPXMAIN, OPICS Main Workbook:

Introduction,

Settings,

Styles,

OPICS Dictionary,

Client Dictionary,

Combos,

Navigator,

Timers,

Configuration.


OPXMAIN: Introduction

IntroductionThe Introduction worksheet is used to display icons for Analytics functions and to access the associated category items (workbooks) in the Analytics Navigator.

Each icon accesses the workbooks for a different Analytics function. The following icons are displayed:

Yield Curves,

Cash Flows,

Position Analyses,

Risk Reports,

Pricers,

System Administration,

Exit.

Selecting an icon accesses the Analytics Navigator. The Navigator displays the specified category and the associated category items (workbooks).

Selecting the Exit icon closes OPICS Analytics.

Starting IntroductionTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Introduction tab at the bottom of the OPXMAIN, OPICS Main Workbook.


Introduction Area Layout


OPXMAIN: Settings

IntroductionThe Settings worksheet is used to specify the level of protection, the minimum timer, the paper size (e.g., letter, A4) and the keystrokes used to access the help, lookup and navigator functions in Analytics.

The Settings worksheet may be amended by the OPICS System Administrator only.

Starting SettingsTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Settings tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Settings Area

Settings Area Layout

Settings Area Ranges

Help

Optional. Alphanumeric.


Help specifies the function key used to access Help. Help defaults to 'Ctrl + F1'.

Lookup


Lookup specifies the function key used to access the lookup for the selected range. Lookup defaults to 'Ctrl + F2'.

Navigator


Navigator specifies the function key used to access the Analytics Navigator. The Navigator is used to move between open workbooks. Navigator defaults to 'Ctrl + F4'.

Protection

Drop-down box.

Protection specifies the level of protection for the workbook. Valid protections are 'Strict', 'On' and 'Off'. If protection is 'Off', routines may be edited. Disabling workbook protection is not recommended.

Merge styles

Drop-down box.

Merge styles specifies whether style changes are applied to other workbooks. If 'Yes' is selected, styles apply to other workbooks. If 'No' is selected, styles apply only to the amended workbook.

Minimum timer (in sec.)

Required. Numeric.

Minimum timer (in sec.) specifies the minimum recalculation time for specific workbooks. If the interval time entered on the Timers worksheet is less than the minimum timer value, the recalculation time defaults to the minimum time.

Minimum timer (in sec.) defaults to '30'.

Paper size (default)

Drop-down box.

Paper size (default) specifies the default printer paper size. Valid paper sizes are 'Letter' and 'A4'.


OPXMAIN: Styles Worksheet

IntroductionThe Styles worksheet is used to format the color of different cell types and specify date and number formats for all Analytics workbooks. The color of the cell type determines the level of protection (e.g., the information in a blue cell type is protected and cannot be amended).

The prefix 'Opxin' indicates the specified format applies to manually entered data. The prefix 'Opxout' indicates the format applies to data produced by Analytics.

Starting StylesTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Styles tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Styles Area

Styles Area Layout


Styles Area Ranges

OPXArea


OPXArea is the selected color of the work area.

OPXButtonBar


OPXButtonBar is the selected color of the button bar.

OPXHeadingArea


OPXHeadingArea is the format of the heading area.

OPXHeadingRange


OPXHeadingRange is the format of the range heading.

OPXHeadingWorkbook


OPXHeadingWorkbook is the format of the workbook heading.

OPXInDate

Optional. Date format.

OPXInDate is the date format for entered dates.

OPXInFmat1-68

Optional. Numeric.

OPXInFmat1-68 identifies number formats for entered numbers.

OPXInText


OPXInText is text manually entered in Analytics.

OPXInTextWrap


OPXInTextWrap specifies that entered text wraps at the return.

OPXLiteralDateLeft



OPXLiteralDateLeft includes cells where the date is aligned at the left.

OPXLiteralLeft


OPXLiteralLeft includes cells where entered dates and text are aligned at the left.

OPXLiteralRight


OPXLiteralRight includes cells where entered dates and text are aligned at the right.

OPXLiteralCenter


OPXLiteralCenter includes cells where entered dates and text are aligned in the center.

OPXOutDate


OPXOutDate is the date format for dates produced by Analytics.

OPXOutFmat1-68

Optional. Numeric.

OPXOutFmat1-68 identifies formats for numbers produced by Analytics.

OPXOutText


OPXOutText is text produced by Analytics.

OPXOutTextWrap


OPXOutTextWrap specifies that text produced by Analytics wraps at the return.

OPXProtected


OPXProtected specifies that data cannot be entered or the entered data is not valid.

OPXLiteralLeftWrap


OPXLiteralLeftWrap includes cells where dates and text produced by Analytics are aligned at the left.

OPXLiteralRightWrap



OPXLiteralRightWrap includes cells where dates and text produced by Analytics are aligned at the right.

OPXLiteralCenterWrap


OPXLiteralCenterWrap includes cells where dates and text produced by Analytics are aligned in the center.

OPXOutTime

Optional. Time format.

OPXOutTime is the format of time produced by Analytics.

OPXInTime

Optional. Time format.

OPXInTime is the format of time produced by Analytics.


OPXMAIN: OPICS Dictionary

IntroductionThe OPICS Dictionary worksheet is used to display Analytics terminology. Specific literals or headings may be modified.

Starting OPICS DictionaryTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the OPICS Dictionary tab at the bottom of the OPXMAIN, OPICS Main Workbook.

OPICS Dictionary Area

OPICS Dictionary Area Layout

OPICS Dictionary Area Ranges

(Literals) Value


(Literals) Value displays all literals used in Analytics.


(Headings) Value


(Headings) Value displays all headings used in Analytics.


OPXMAIN: Client Dictionary

IntroductionThe Client Dictionary worksheet is used to create and amend Analytics terminology. Specific literals or headings may be created and/or amended.

Operators may enter literals for custom workbooks using the Client Dictionary worksheet. The new workbook(s) must reference the Client Dictionary worksheet.

Client Dictionary Area Layout

Client Dictionary Area Ranges

(Literals) Value


(Literals) Value displays all custom literals used in Analytics.

(Headings) Value


(Headings) Value displays all custom headings used in Analytics.


OPXMAIN: Combos

IntroductionThe Combos worksheet is used to display the text and values contained in Analytics drop-down boxes.

Starting CombosTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Combos tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Combos Area

Combos Area Layout

Combos Area Ranges

Combos Item


Combos Item lists the names of all drop-down boxes.


Combos Value


Combos Value and the adjacent column lists the text and values in the drop-down boxes.


OPXMAIN: Navigator

IntroductionThe Navigator worksheet is used to display the workbooks that may be accessed from Analytics.

Starting NavigatorTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Navigator tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Navigator Area

Navigator Area Layout

Navigator Area Ranges

Navigator Category


Navigator Category displays the types of analyses that may be run. Valid analyses are:

Yield Curves,


Cash Flows,

Position Analyses,

Risk Reports,

Pricers.

Workbook


Workbook displays the names of the workbooks in each category.

Workbook name


Workbook name displays the mnemonic of the workbooks in each category.

Sheet name


Sheet name displays the name of the worksheets in each workbook. Sheet names are displayed on tabs in the individual workbook.

Description


Description displays a description of the workbook name.


OPXMAIN: Timers

IntroductionThe Timers worksheet is used to set the time, in seconds, for the recalculation of Analytics pricers.

Starting TimersTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Timers tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Timers Area

Timers Area Layout

Timers Area Ranges

Interval (in sec.)

Optional. Numeric.

Interval (in sec.) is the amount of time between recalculations.


Active Macro

Display only.

Active Macro indicates whether the timer is started. If the timer is started, Active Macro is entered. If the timer is not started, Active Macro is not entered.

Workbook name

Required. Alphanumeric.

Workbook name is the name of the workbook for which timed recalculations are performed.

Worksheet name


Worksheet name contains the names of the worksheets in the workbook for which timed recalculations are performed. Worksheet names are displayed on tabs in the individual workbook.

Macro name


Macro name is the name of the macro activated by the timer to perform recalculations for the specified workbook and worksheet.

Status

Display only.

Status is the status of the workbook being recalculated.


OPXMAIN: Configuration

IntroductionThe Configuration worksheet is used to display OPICS directory structure and information about the current branch.

Starting ConfigurationTo access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use Fast-path.

Select the Configuration tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Configuration Area

Configuration Area Layout

Configuration Area Display Ranges

Userid

Userid is the id of the operator signed on to OPICS.


Branch

Branch identifies the current OPICS branch.

Branchname

Branchname is a name that describes the branch.

Bankname

Bankname is the name of the institution.

Datemask

Datemask is the format used to display and report dates in the specified OPICS branch.

Beepvalue

Beepvalue is a number that identifies the tone of the OPICS beep. Higher values have higher tones.

Beepvalue is a number between '0' and '999'.

Beepduration

Beepduration is the length of the OPICS beep. Higher values have longer tones.

Beepduration is a number between '0' and '99'.

Beepon

Beepon specifies whether the Analytics beep is on or off.

Systemname

Systemname is 'OPICS'.

Version

Version is the version of OPICS being used.

Deletetemp

Deletetemp specifies whether all temporary files created on the C drive of the operator's PC are deleted when the operator exits Analytics. '1' specifies temporary files are deleted. '0' specifies temporary files are not deleted.

A finite number of temporary files may be created. A temporary file is replaced with a new file when the operator repeats an Analytics task.

BrDate

BrDate is the current branch processing date.

Directories

Directories displays the names and paths of the OPICS directories.


Chapter 3 Yield Curves


IntroductionA yield curve is a structure that relates yields-to-maturity to maturity periods. Yield curves are used in Analytics to calculate the present values of future flows and to value unknown flows (i.e., not fixed). Yield curves are used in Analytics pricing functions and position analyses.

OPICS creates yield curves from underlying contributing rates and prices. Yield curve data applies to FRAs, OTC Options, Futures, Exchange Traded Options, and Mark-to-market Swaps. OPICS can automatically update contributing rates and prices from market data providers (e.g., Reuters, Telerate).


OPICS Core Yield Curve TasksThe following diagram illustrates the yield curve tasks and the relationships between them. Refer to the Static Data Maintenance manual for further information about yield curves.

YCDFGenerate Discount

Factors

YCHD

Yield CurveHeader

YCRS

Yield CurveRate Structure

YCTN

Yield CurveTenor

Define YieldCurve Structure

YCIM

ContributingRates

Maintenance

YCRT

Closing RatesMaintenance

DefineContributing Rates

The static data screens used to create yield curves are described as follows:

The YCIM, Contributing Rate Information Maintenance screen is used to define the underlying rates and prices used to build yield curves (e.g., money market rates, swap rates).

The YCRT, Closing Rates Maintenance screen is used to define maturities and end of day/end of period interest rates or prices for the contributing rates defined on the YCIM, Contributing Rate Information Maintenance screen.

The YCHD, Yield Curve Header Maintenance screen is used to maintain general information about a yield curve (e.g., curve type (swap or bond), interpolation method, and business day convention).

The YCRS, Yield Curve Rate Selection screen is used to create a yield curve by selecting individual contributing rates and maturities from the rate and maturities defined on the YCIM, Contributing Rate Information Maintenance screen.

The YCTN, Yield Curve Tenor Selection screen is used to select tenors (apart from tenors associated with a yield curve's contributing rate) for which discount factors and zero coupon rates are calculated.

The YCDF, Create Discount Factors screen is used to generate discount factors and zero coupon rates.

Refer to the Static Data Maintenance manual for further information about yield curve static data screens.


The Analytics workbooks used to create yield curves are:

The YCSS, Yield Curve Scenario Maintenance workbook is used to create yield curve shift scenarios.

The YCSM, Yield Curve Shift Maintenance workbook is used to create new (shifted) yield curves by combining existing bond or swap curves with shift scenarios or other yield curves.

The YCPX, Yield Curve Selection workbook is used to generate discount factors for yield curves.

The YCIQ, Yield Curve Inquiry workbook is used to inquire on generated yield curves.


Yield Curve Functions

Shift Scenarios

Interest rate risk is assessed based on changes to the contributing rates underlying the yield curves. The operator may define parallel or nonparallel yield curve shift scenarios and apply the scenarios to existing yield curves to create new, shifted curves.

Composite Curves

New yield curves may be created from an existing yield curve and a shift scenario, or from two existing yield curves using an algebraic formula defined by the operator. Discount factors for composite curves can be generated on demand or a timed basis.

Yield Curve Inquiry

Yield curves can be displayed as graphs or tables. The Analytics yield curve inquiry displays the maturity periods, dates, contributing rates (actual and interpolated), discount factors and zero rates calculated for the selected curve. The operator may graph contributing rates and zero rates. The yield curve inquiry also displays a forward adjustment of contributing rates for a period defined by the operator and calculates a new yield curve for the adjusted period. The adjusted curve is displayed as a graph.


YCSS: Yield Curve Scenario Maintenance

IntroductionThe YCSS, Yield Curve Scenario Maintenance workbook is used to create yield curve shift scenarios. Shift scenarios may be combined with existing bond or swap curves to create new yield curves using the YCSM, Yield Curve Shift Maintenance workbook. The YCSS workbook displays default tenors that may be used to define parallel and nonparallel yield curve shifts. Default tenors can be updated. Basis points (shift vectors), are entered as positive or negative decimals (e.g., if the 1M tenor is shifted up ten basis points, '.10' is entered as a shift vector).

Starting Yield Curve Scenario MaintenanceTo access the YCSS, Yield Curve Scenario Maintenance workbook, select Yield Curves from the Navigator categories.

Select Shift Scenarios from the category items.

YCSS Area

YCSS Area Layout


YCSS Area Ranges

Branch

Required. Numeric, up to 2 digits.

Branch is the branch in which the yield curve shift scenario is maintained. Branch identifies an operational unit within an organization that maintains its own set of books.

The branch code is maintained using the BRRD, Branch Reference Data screen.

Last maintenance date

Display only.

Last maintenance date is the date the data is entered or last changed.

Scenario id

Required. Alphanumeric, up to 8 characters.

Scenario id is the name of the yield curve shift scenario.

Ctrl + F2 lists valid scenario ids. To enter an item into the range, select it from the list.

Description

Optional. Alphanumeric, up to 40 characters.

Description is text that describes the scenario.

Tenors

Display only.

Tenors are maturity points for which rate shifts are entered. Tenors are displayed in the format 'nnX', where nn is the number of days, weeks, months or years and X is D (day), W (week), M (month) or Y (year), or as 'O/N', 'TOM' or 'SPOT'.

Tenors are maintained using the YCTN, Yield Curve Tenor Selection screen.

Shift vectors

Optional. Numeric, up to 2.2 digits.

Shift vectors indicate how rates at specific tenor points are shifted. A positive shift of 1 basis point is entered as '.01'.

Negative vectors must be entered with a negative (-) sign. Positive vectors do not require a positive (+) sign.

If a shift vector range is not entered, the range value is zero.


YCSM: Yield Curve Shift Maintenance

IntroductionThe YCSM, Yield Curve Shift Maintenance workbook is used to create new (shifted) yield curves by combining existing bond or swap curves with shift scenarios or other yield curves. The YCPX, Create Discount Factors workbook is used to generate discount factors for the shifted curves.

A record is entered in the YCSM workbook for all bond and swap curves defined on the YCHD, Yield Curve Header Maintenance screen. The YCSM record is the base (unshifted) curve. Base curves have a shift sequence of '000'.

YCSM maintains scenario and spread yield curve shifts. A scenario shift is created from a specific swap or bond yield curve combined with a shift scenario entered in the YCSS, Yield Curve Scenario Maintenance workbook. A spread shift is created from a specific swap or bond yield curve combined with the another existing swap or bond yield curve entered on the YCHD screen.

Starting Yield Curve Shift MaintenanceTo access the YCSM, Yield Curve Shift Maintenance workbook, select Yield Curves from the Navigator categories.

Select Shift Maintenance from the category items.

YCSM Area

YCSM Area Layout


YCSM Area Ranges

Branch


Branch is the branch in which the yield curve is maintained. Branch identifies an operational unit within an organization that maintains its own set of books.


CCY


CCY is the currency of the yield curve.

Ctrl + F2 lists valid currencies. The data must be previously entered using the BRCC, Branch Currency Information screen. To enter an item into the range, select it from the list.

Primary yield curve


Primary yield curve is the yield curve combined with a shift scenario or another curve.

Ctrl + F2 lists valid yield curves. The data must be previously entered using the YCHD, Yield Curve Header Maintenance screen. To enter an item into the range, select it from the list.

Shift seq

Optional. Numeric, up to 3 digits.

Shift seq is a sequential number that identifies the yield curve as a base yield curve or a shifted curve.

A base yield curve shift sequence is '000'. A shifted yield curve shift sequence is greater than '000' (e.g., '001').

Shift type

Drop-down box.

Shift type specifies the type of shifted curve being maintained (C - Scenario or S - Spread curve).

A scenario shift is created from a specific swap or bond yield curve combined with a shift scenario entered in the YCSS, Yield Curve Scenario Maintenance workbook.

A spread shift is created from a specific swap or bond yield curve combined with the another existing swap or bond yield curve entered on the YCHD, Yield Curve Header Maintenance screen.

Description


Description is text that describes the yield curve.

Scenario id



Scenario id is the name of the shift scenario that is combined with the primary yield curve to create the shifted yield curve.

Scenario id must be entered if Shift type is 'C – Scenario'.

Ctrl + F2 lists valid scenario ids. The data must be previously entered using the YCSS, Yield Curve Scenario Maintenance workbook. To enter an item into the range, select it from the list.

Yield curve id


Yield curve id is the name of the base yield curve that is combined with the primary yield curve to create a new, shifted curve.

Yield curve id must be entered if Shift type is 'S - Spread curve'.


Expression


Expression is a Microsoft Excel formula used to define the algebraic relationship between the primary yield curve and the base yield curve (yield curve id).

The primary yield curve must be entered as 'yield1'. The base yield curve (yield curve id) must be entered as 'yield2'. For example:

= (yield1 + yield2)/2

Expression may be entered only if Shift type is 'C - Spread curve'.


Display only.

Last maintenance date is the date the data is entered or last changed.


YCPX: Yield Curve Selection

IntroductionThe YCPX, Yield Curve Selection workbook is used to generate discount factors for yield curves. The YCPX workbook displays yield curve static data and discount factor generation dates for all yield curves in a specific branch.

Discount factors may be recalculated using mid, bid or offered rates, and may be discounted to spot or the branch processing date.

Starting Yield Curve SelectionTo access the YCPX, Yield Curve Selection workbook, select Yield Curves from the Navigator categories.

Select Generation from the category items.

YCPX Area

YCPX Area Layout


YCPX Area Ranges

Branch




Mid

Optional. Alphanumeric, 1 character.

Mid specifies that discount factors are generated using mid rates entered on the YCRT, Closing Rates Maintenance screen. Enter 'X' in the Mid range to use mid rates.

Bid


Bid specifies that discount factors are generated using bid rates entered on the YCRT, Closing Rates Maintenance screen. Enter 'X' in the Bid range to use bid rates.

Offer


Offer specifies that discount factors are generated using offer rates entered on the YCRT, Closing Rates Maintenance screen. Enter 'X' in the Offer range to use offer rates.

Discount to Spot


Discount to Spot specifies that generated discount factors are discounted to spot (instead of the branch processing date).

CCY

Display only.


Yield curve id

Display only.

Yield curve id is the name of the base yield curve that is combined with the primary yield curve to create a new, shifted curve.

Shift seq

Display only.




Shift type

Display only.

Shift type identifies the shifted curve as B (base), C (scenario) or S (spread).

Description

Display only.


Date

Display only.

Date is the date the discount factors are calculated.

Time

Display only.

Time is the time the discount factors are last calculated.


YCIQ: Yield Curve Inquiry

IntroductionThe YCIQ, Yield Curve Inquiry workbook is used to inquire on generated yield curves. The Yield Curve Inquiry displays static data and calculated yield curve values. Rate information displayed includes contributing market rates, discount factors, zero coupon rates and a forward rate calculated based on a designated maturity entered in the inquiry. The inquiry also specifies the tenors that have discount factors and zero coupon rates calculated from interpolated rates. The Graph area displays the same yield curve graphically.

Starting Yield Curve InquirySelect YCIQ, Yield Curve Inquiry from the Navigator.

Yield Curve Inquiry Area

Yield Curve Inquiry Area Layout

Yield Curve Inquiry Area Ranges

Branch





CCY




Yield curve id


Yield curve id is the name of the yield curve for which the inquiry is run.


Shift seq




Quote type

Drop-down box.

Quote type specifies whether the yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O).

Date


Date is the date the discount factors are calculated.

Ctrl + F2 displays a calendar of valid business days. To enter a date into the range, select it from the calendar.

Description

Display only.


Shift type

Display only.

Shift type identifies the shifted curve as B (base), C (scenario) or S (spread).


Scenario/curve id

Display only.

Scenario/curve id is the identifier of the shift scenario yield curve that is combined with the specified yield curve to create the shifted curve.

Spot date

Display only.

Spot date is the spot date used to calculate discount factors for the yield curve. Spot date equals the current branch processing date plus the spot number of days specified on the YCHD, Yield Curve Header screen for the yield curve.

Forward period


Forward period specifies a term (in months) for which a forward rate is calculated, or a term for which the yield curve may be shifted forward in time. Forward period is entered in the format 'nnM', where nn is the number of months. Forward period defaults to '1M'.

Interpolated

Display only.

Interpolated indicates whether the discount factors and zero coupon rates are based on interpolated values. 'Y' indicates discount factors and zero coupon rates are based on interpolated values. 'N' indicates discount factors and zero coupon rates are not based on interpolated values.

Maturity

Display only.

Maturity is the maturity period of the discount factor and zero coupon rate. Maturity is displayed in the format 'nnX', where nn is the number of months or years and X is M (months) or Y (years), or as 'O/N', 'TOM' or 'SPOT'. Records with no maturity are futures contracts.

Tenor date

Display only.

Tenor date is the date of the discount factor and zero coupon rate for a specific tenor.

Contributing rate

Display only.

Contributing rate is the rate used to calculate the discount rate and zero coupon rate for a specific maturity.

Zero coupon rate

Display only.

Zero coupon rate is the current zero coupon rate associated with the maturity.


Discount factor

Display only.

Discount factor is the discount factor associated with the maturity.

Forward rate

Display only.

Forward rate is the rate calculated for the forward period.

Yield curve

Display only.

Yield curve is a forward rate calculated from the date of the first maturity record plus the term in the Forward period range for a term equal to the term in the maturity column. The yield curve is shifted forward by the Forward period term.

YCIQ Graph AreaThe Graph area is used to display a graphic representation of the selected yield curve(s). Graph formats may be amended and graphs may be printed. The graph displays the contributing rate curve, zero coupon rate curve and the forward rate curve.

YCIQ Graph Area Layout


YCIQ: ButtonsThe YCIQ, Yield Curve Inquiry screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the YCIQ screen.

Processing Buttons

Inquiry

The Inquiry button is used to run an inquiry. To run an inquiry, select the Inquiry button. For the graph area, select the Inquiry button to display the Yield Curve Inquiry area.

Chart Type

The Chart Type button is used to select a different graph format.


Chapter 4 Cash Flow Selection


IntroductionAnalytics cash flow selection is used to select and group cash flows created from deals and positions processed in OPICS. Cash flows may be entered in Analytics position analyses and risk reports.

Cash flows may be selected for market risk analysis (cash flows are entered in position analyses and value at risk), settlement exposures (settlement flows are entered in the settlement flow analysis) and counterparty credit exposures (cash flows are entered in the credit risk report). The operator may create hypothetical cash flows and add the hypothetical cash flows to a selected group of actual cash flows.

Cash flow selection search criteria are entered in SQL statements. The SQL statements select deals and positions from the OPICS database and generate the cash flows based on the search criteria. Cash flows are saved in ASCII files. Search criteria can be saved and re-run to update cash flow files with the current deal and position information.

Cash flows may be selected across OPICS product modules, branches and currencies. A deal or position may be included in more than one cash flow groups. Search criteria for market exposures may include any combination of the following:

Branch,

Currency,

Product code,

Product type,

Deal number,

Cost center,

Trader,

Portfolio,

Security ID,

Customer,

Value date,

Maturity date,

Settlement date,

Deal status,

Contract code,

Investment type,

Deal date,

Counter currency,

Rate code,

Option type.

Market exposure cash flows include both 'known' and 'unknown' flows. Known flows have fixed cash flow amounts (e.g., a coupon payment on a fixed coupon bond). Unknown flows have cash flow amounts that are not fixed (e.g., a payment on the floating leg of a swap where the floating rate is not defined).


Credit exposure search criteria include deal/position specific criteria and any combination of the following customer/issuer specific criteria:

Customer,

Customer group,

Country of ultimate risk,

Country of residency,

Industry code,

Credit rating,

Credit rating agency,

Rating currency,

Rating term.

A settlement flow record is created on demand using the ACFS, Analytics Settlement Flow Selection Tab for each OPICS deal (security) which is not reversed, which matures (or settles or expires) after the current branch processing date, and which meets the specified deal selection criteria listed below:

Branch,

Currency,

Product Code,

Product Type,

Deal Number,

Cost Center,

Trader,

Portfolio,

Settlement Means,

Settlement Account,

Security Identifier,

Customer,

Customer Group,

Accounting Type,

Value Date,

Maturity Date,

Settlement Date,

Deal Status,

Contract Code,

Investment Type,

Deal Date,

Counter Currency,

Rate Code,

Option Type.


Once the records are selected from OPICS based on specified criteria, they are aggregated by similar attributes and added to a sequential file.


ACFS: Cash Flow Selection

IntroductionThe ACFS, Cash Flow Selection workbook is used to generate cash flows from selected OPICS deals and positions. The cash flows generated by ACFS are saved in ASCII files and are entered in Analytics analyses. ACFS can generate cash flows from deals and positions across OPICS modules (excluding Foreign Currency Drafts, FX Teller, Equities and Precious Metals).

Cash flow records are generated from OPICS based on the selection criteria defined on the ACFS, Analytics Cash Flow Selection worksheet.

The selection criteria result in SQL select statements that may be amended to further limit the cash flow selection (e.g., CCY = 'USD' OR CCY = 'DEM').

The cash flow records selected from the OPICS database are sorted by financial instrument in the order the instruments are displayed on the Cash Flow Selection worksheet. The records are written to a sequential file.

Saving the information entered in the ACFS workbook allows the operator to rerun the cash flow selection using the same selection criteria (this is useful if the same cash flow selection is run repeatedly).

ACFS Worksheets

Cash Flow Selection

The Cash Flow Selection worksheet is used to specify selection criteria to extract cash flows for market risk analysis, and to create hypothetical 'known' cash flows to add to previously generated cash flow files.

Settings

The Settings worksheet is used to specify how cash flows are selected (from deals or positions) and to indicate whether cash flows are adjusted for withholding tax.

Exposure Flow Selection

The Exposure Flow Selection worksheet is used to select credit exposure flows from OPICS modules:

DropDown Values

The DropDown Values worksheet is used to add or amend the values displayed in the Operator drop-down box on the Criteria Selection screen. The operator values are used by both the Cash Flow Selection and Exposure Flow Selection worksheets.

Starting Cash Flow SelectionTo access the ACFS, Cash Flow Selection workbook, select Cash Flows from the Navigator categories. Select Market Exposures from the category items.


Selecting ACFS WorksheetsSelect one of the following tabs at the bottom of the ACFS, Analytics Cash Flow Selection workbook:

Cash Flow Selection,

Settings,

Exposure Flow Selection,

DropDown values.


ACFS: Cash Flow Selection

IntroductionThe Cash Flow Selection worksheet is used to specify selection criteria to extract cash flows for market risk analysis, and to create hypothetical 'known' cash flows to add to previously generated cash flow files. The Cash Flow Selection worksheet contains the following areas:

Cash Flow Selection,

Simulated Flows.

The Cash Flow Selection area is used to specify selection criteria. The Simulated Flows area is used to create hypothetical cash flows and add the hypothetical flows to cash flow files.

Selection criteria for a specified financial instrument are entered using 'and' conditions (e.g., currency = 'chf' and portfolio = 'hedge').

Cash flows are generated based on the combination of the operator statements and values entered on the Criteria Selection screen. The Criteria Selection screen is accessed by selecting the Edit Cell button in the Cash Flow Selection area of the Cash Flow Selection worksheet.

SQL statements are created when a cash flow selection query is run based on the specified selection criteria. The SQL statement may be amended using the QSQL screen. The QSQL screen is accessed by selecting the Edit Query button in the Cash Flow Selection area of the Cash Flow Selection worksheet.

Starting Cash Flow SelectionTo access the ACFS, Cash Flow Selection worksheet, select Cash Flows from the Navigator categories. Select Market Exposures from the category items.

Select the Cash Flow Selection tab at the bottom of the ACFS, Cash Flow Selection workbook.


Cash Flow Selection Area

Cash Flow Selection Area Layout

Cash Flow Selection Area Ranges

Cash flow file name


Cash flow file name is the name of the file containing cash flows generated from specific selection criteria. Cash flow file name includes the location and name of the file. If a cash flow file name is not entered, a default file name is assigned. Default file names are located in the OPXANA/user id directory.

Ctrl + F2 lists valid cash flow file names. To enter an item into the range, select it from the list.

Description


Description is text that describes the cash flow file.

Instrument

Buttons.

The Instrument buttons specify the OPICS modules for which selection criteria are entered and from which cash flows are selected. Selection criteria may be entered only for selected instruments. When an instrument button is selected, the cash flows for that module are selected.


Branch


Branch is the branch or branches from which cash flows are selected. Branch identifies an operational unit within an organization that maintains its own set of books.


CCY


CCY is the currency or currencies for which cash flows are selected.

For Foreign Exchange, OTC and Internal Deals, CCY may be the currency or the counter currency of the original deal.

For other instruments, CCY is the currency of the original deal.

Product code


Product code identifies the product module (e.g., 'DPNL' identifies the Deposits and Loans module).

The combination of product code and product type identifies the specific product (instrument) for which cash flows are selected.

Product type


Product type identifies the products within the product module (e.g., 'TD' identifies time deposits in the Deposits and Loans module).


Deal number


Deal number is the number of the deal. If a deal number(s) is entered, cash flows are selected only for the specified deal.

Cost center


Cost center is the cost center associated with the deal for which cash flows are selected. Cost center is the department or profit center used to post the deal accounting debit and credit entries to the general ledger.

Trader


Trader is the trader who makes the deal. Trader is not a valid criterion for Fixed Income or Fees cash flow selection.


Portfolio


Portfolio identifies a trader, department or group of related traders.

Sec id


Sec id is a security identifier for bonds and commodities. Sec id is a valid criterion only for Fixed Income and OTC cash flow selection.

Customer


Customer is the counterparty with whom the deal is made. For Fixed Income deals, Customer is the issuer of the security.

Customer group


Customer group is a name that identifies a group of customers.

Customer groups are maintained using the CRGM, Credit Group Maintenance screen.

Accounting type


Accounting type identifies a customer or security for general ledger posting purposes.

Value date


For Fixed Income, Value date is the date securities are delivered/received and funds are settled.

For Foreign Exchange, OTC Options and Internal Deals, Value date is the settlement date of the deal.

For Swaps, Deposits and Loans, Caps and Floors, FRAs and Swap Options, Value date is the first day of the term of the deal.

For Call and Notice and Fees, Value date is the date funds are paid or received.

For Repos, Value date is the date securities are received and funds are delivered (repo purchase), or the date securities are delivered and funds are received (repo sale).

For Financial Futures and Exchange Traded Options, Value date is not a valid selection criterion.

Maturity date


For Fixed Income, Maturity date is the date the security matures.

For OTC Options, Exchange Traded Options and Swap Options, Maturity date is the expiration date of the deal.


For Swaps, Deposits and Loans and Caps and Floors, Maturity date is the settlement date of the deal.

For Futures maturity date is the delivery date.

For Repos, Maturity date is the date the repo buy/sell matures. For a repo sale, the value date is the date securities are received and principal plus interest is delivered. For a repo purchase, the value date is the date securities are delivered and principal plus interest is received. Maturity date is the 'off' date of the repo.

For Foreign Exchange, Internal Deals, Fees, Call and Notice and FRAs, Maturity date is not a valid selection criterion.

Settle date


For Fixed Income, Deposits and Loans, Swaps, FRAs and Caps and Floors, Settle date is the interest, coupon and/or principal payment date.

For OTC Options, Swap Options and Caps and Floors, Settle date is the date the premium settles.

For Swaps, Deposits and Loans and Caps and Floors, Settle date is the date the deal settles.

For Foreign Exchange, Fees, Financial Futures, Exchange Traded Options, Call and Notice, Internal Deals and Repos, Settle date is not a valid selection criterion.

Deal status

Optional. Numeric, 1 digit.

Deal status is used to exclude verified or unverified deals from the cash flow selection. If '1' is entered, only verified deals are included in the cash flow selection. If '0' is entered, only unverified deals are included in the cash flow selection. If Deal status is not entered, both verified and unverified deals are included in the cash flow selection.

Contract code


Contract code identifies the future or exchange traded option included in the cash flow selection.

Contract code must be previously entered on the FCON, Financial Futures Contract Maintenance screen.

Investment type


Investment type is the purpose and accounting treatment for a Fixed Income position.

The following are valid Investment types:

H Hold to Maturity,

T Trading,

S Short,

A Available for Sale,

I Issue.


Deal date


Deal date is the date the deal is made.

Counter CCY


Counter CCY is the currency or currencies for which cash flows are selected.

For Foreign Exchange, OTC and Internal Deals, Counter CCY may be the currency or the counter currency of the original deal.

Rate code


Rate code identifies the parameters associated with the rate source, rate type, and designated maturity of the interest rate.

Option type


Option type identifies a group of options that may be entered as OPICS deals. Valid option types are:

FX OTC Foreign Exchange options,

FI OTC Fixed Income options.

Global values

Optional.

The Global values row is used to apply selection criteria to all selected instruments (excluding instruments for which specific selection criteria are entered).

Starting Criteria SelectionTo access the Criteria Selection screen, select the Edit Cell button in the Cash Flow Selection area of the Cash Flow Selection worksheet.

Criteria Selection Screen Layout


Criteria Selection Screen Fields

Operator

Drop-down box.

Operator is used to enter a value to which OPICS data is compared for the cash flow selection (e.g., Cost Center > '3' specifies that all cash flows with a cost center greater than 3 are selected from OPICS). Valid operands are:

= 'value',

<> 'value',

> 'value',

>= 'value',

< 'value',

<= 'value',

in ('value','value','value'),

not in ('value','value','value'),

between 'value' and 'value',

not between 'value' and 'value',

like 'value%',

not like 'value%',

like '%value',

not like '%value',

like '%value%',

not like '%value%',

like,

not like,

is null,

is not null.

Or

Button.

The Or button is used to specify criteria of which only one condition must be met.

Values


Values are the specific selection criteria. Values may be entered or selected using the Lookup button.

Lookup

Button.


The Lookup button is used to display a list of valid values. To enter an item into the Values field, select it from the list.

Paste value

Button.

The Paste value button is used to enter a specified operator value (enclosed in single quotation marks) into the Expression field.

Undo paste

Button.

The Undo paste button is used to remove a pasted value from the Expression field.

Expression


Expression contains all operators and values for the cash flow selection.

Expression may be entered directly or from the information entered in Operator and Values.

Starting QSQLTo access the QSQL screen, select the Edit Query button in the Cash Flow Selection area of the Cash Flow Selection worksheet.

QSQL Screen Layout


Simulated Flows Area

Simulated Flows Area Layout

Simulated Flows Area Ranges

Cash flow file name


Cash flow file name is the name of the simulated cash flows. Cash flow file name includes the location and name of the file. If a cash flow file name is not entered, a default file name is assigned. Default file names are located in the OPXANA/user id directory.

Ctrl + F2 lists valid cash flow files. To enter an item into the range, select it from the list.

Description


Description is text that describes the simulated cash flow file.

Branch


Branch is the branch from which the cash flow is selected. Branch identifies an operational unit within an organization that maintains its own set of books.


CCY


CCY is the currency of the simulated cash flow.

Instrument



Instrument identifies the OPICS module associated with the simulated cash flow. The following are valid instruments:

ACCT Call and Notice

CPFL Caps and Floors

DLDT Deposits and Loans

ETDH Exchange Traded Options

FEES Fees

FFDH Financial Futures

SECM Fixed Income and Repo

FXDH Foreign Exchange

FRDT Forward Rate Agreements

FXIH Internal Deals

OTDT OTC Options

SWDH Swaps and Swap Options

Payment date

Required. Date format.

Payment date is the date the amount of the simulated cash flow settles.

Payment amount

Required. Numeric, up to 13.2 digits.

Payment amount is the amount of the simulated cash flow.

Cost center


Cost center is the cost center associated with the simulated cash flow. Cost center is the department or profit center used to post the deal accounting debit and credit entries to the general ledger.

Trader


Trader is the trader who makes the deal.

Portfolio



Sec id


Sec id is a security identifier for bonds and commodities.


Customer



Value date








Maturity date





For Futures, Maturity date is the delivery date.



Settlement date


For Fixed Income, Deposits and Loans, Swaps, FRAs and Caps and Floors, Settlement date is the interest, coupon and/or principal payment date.

For OTC Options, Swap Options and Caps and Floors, Settlement date is the date the premium settles.

For Swaps, Deposits and Loans and Caps and Floors, Settlement date is the date the deal settles.

For Foreign Exchange, Fees, Financial Futures, Exchange Traded Options, Call and Notice, Internal Deals and Repos, Settlement date is not a valid selection criterion.


Contract code


Contract code defines the future or exchange traded option included or excluded from the cash flow selection.


Investment type




H Hold to Maturity,

T Trading,

S Short,


I Issue.

Rate code



Option type


Option type identifies a group of options that may be entered as OPICS deals. The following are valid Option types:

FX OTC Foreign Exchange options

FI OTC Fixed Income options


ACFS: Settings

IntroductionThe Settings worksheet is used to specify how cash flows are selected (from deals or positions) and to indicate whether cash flows are adjusted for withholding tax.

Starting SettingsTo access the ACFS, Cash Flow Selection worksheet, select Cash Flows from the Navigator categories. Select Market Exposures from the category items.

Select the Settings tab at the bottom of the ACFS, Cash Flow Selection workbook.

Settings Area

Settings Area Layout

Settings Area Ranges

Foreign exchange selection by

Drop-down box.


Foreign exchange selection by specifies whether foreign exchange cash flows are generated from foreign exchange positions or from individual deals.

Financial Futures selection by

Drop-down box.

Financial Futures selection by specifies whether financial futures cash flows are generated from financial futures positions or from individual deals.

Adjust Fixed Income flows for withholding tax

Drop-down box.

Adjust Fixed Income flows for withholding tax specifies whether Fixed Income cash flows are adjusted for withholding tax.

Include Call and Notice account balance

Drop-down box.

Include Call and Notice account balance specifies whether the cash flow file includes call and notice balances.

Include Foreign Exchange Net Settlements

Drop-down box

The Include Foreign Exchange Net Settlements drop down box is used to control the inclusion/exclusion of the Cost center, Trader, Portfolio, Deal date, Deal status and Counter CCY filters for the Foreign Exchange row on the ACFS, Settlement Flow Selection Tab screen.

Valid entries are 'YES' and 'NO'. If 'YES' is selected, Cost center, Trader, Portfolio, Deal date, Deal status and Counter CCY cannot be entered on the Foreign Exchange row on the ACFS, Settlement Flow Selection Tab screen. If 'NO' is selected, Cost center, Trader, Portfolio, Deal date, Deal status, and Counter CCY cannot be entered and Foreign Exchange Net Settlement Cash Flows is not selected.


ACFS: Settlement Flow Selection

IntroductionThe ACFS, Settlement Flow Selection worksheet is used to select cash flows from the following OPICS modules:

Fixed Income (purchase/sale amounts, redemption amounts, coupon flows - these flows are selected by position only),

Repurchase Agreements (value date amounts, maturity date amounts, coupon flows - these flows are selected by position only),

Foreign Exchange (currency amounts, counter currency amounts - these flows are selected by deal only),

Financial Futures/Exchange Traded Options (broker cash entries, variation margin payments),

OTC Options (premium amounts),

Fees (fee amount),

Swaps (interest flows, principal exchanges),

Deposits and Loans (principal and interest payments),

Forward Rate Agreements (settlement amount),

Swap Options (interest flows, principal exchanges, premium amounts),

Caps and Floors (interest flows, principal exchanges, premium amounts),

Call and Notice (deposits and withdrawals).

Cash flows selected from the Settlement Flow Selection worksheet can be displayed in the ANSF, Settlement Analysis workbook only.

Starting Settlement Flow SelectionTo access the ACFS, Cash Flow Selection worksheet, select Cash Flows from the Navigator categories. Select Market Exposures from the category items.

Select the Settlement Flow Selection tab at the bottom of the ACFS, Cash Flow Selection workbook.


Settlement Flow Selection Area

Settlement Flow Selection Area Layout

Settlement Flow Selection Area Ranges

Settlement flow file name


Settlement flow file name is the name of the file containing settlement flows generated from specific selection criteria. Settlement flow file name includes the location and name of the file. If a settlement flow file name is not entered, a default file name is assigned. Default file names are located in the OPXANA/user id directory.

Ctrl + F2 lists valid cash flow file names. To enter an item into the range, select it from the list.

Description


Description is text that describes the settlement flow file.

Instrument

Buttons.

The Instrument buttons are used to specify the OPICS modules for which selection criteria are entered and from which cash flows are selected. Selection criteria may be entered only for selected instruments. When an instrument button is selected, the cash flows for that module are selected.


Branch


Branch is the branch or branches from which cash flows are selected. Branch identifies an operational unit within an organization that maintains its own set of books.


CCY


CCY is the currency or currencies for which cash flows are selected.

For Foreign Exchange, OTC and Internal Deals, CCY may be the currency or the counter currency of the original deal.

For other instruments, CCY is the currency of the original deal.

Product code




Product type




Deal number


Deal number is the number of the deal. If a deal number(s) is entered, cash flows are selected only for the specified deal.

Cost center


Cost center is the cost center associated with the deal for which cash flows are selected. Cost center is the department or profit center used to post the deal accounting debit and credit entries to the general ledger.

Trader


Trader is the trader who makes the deal. Trader is not a valid criterion for Fixed Income or Fees cash flow selection.


Portfolio



Settlement means


Settlement means specifies how the payment is sent from or received by the bank. S.W.I.F.T. formatted messages are generated for settlement means 'NOS', assuming local settlement systems can process messages in S.W.I.F.T. format.

Settlement account


Settlement account identifies the account associated with the settlement means.

Nostro accounts are maintained on the NOST, Nostro Accounts screen. The nostro account currency must equal the payment currency.

External accounts other than nostro accounts are maintained on the SETA, Settlement Accounts screen. The settlement account is validated if validation is selected on the SETM, Settlement Means Information screen.

Call and notice accounts are maintained on the ACCT, Account Information screen. The settlement account is validated if 'CN' is selected on the SETM screen.

Sec id


Sec id is a security identifier for bonds and commodities. Sec id is a valid criterion for Fixed Income and OTC Option cash flow selection only.

Customer



Customer group


Customer group is a name that identifies a group of customers.

Customer groups are maintained using the CRGM, Credit Group Maintenance screen.

Accounting type


Accounting type identifies a customer or security for general ledger posting purposes.

Value date









Maturity date





For Futures maturity date is the delivery date.



Settle date


For Fixed Income, Deposits and Loans, Swaps, FRAs and Caps and Floors, Settle date is the interest, coupon and/or principal payment date.

For OTC Options, Swap Options and Caps and Floors, Settle date is the date the premium settles.

For Swaps, Deposits and Loans and Caps and Floors, Settle date is the date the deal settles.

For Foreign Exchange, Fees, Financial Futures, Exchange Traded Options, Call and Notice, Internal Deals and Repos, Settle date is not a valid selection criterion.

Deal status

Optional. Numeric, 1 digit.

Deal status is used to exclude verified or unverified deals from the cash flow selection. If '1' is entered, only verified deals are included in the cash flow selection. If '0' is entered, only unverified deals are included in the cash flow selection. If Deal status is not entered, both verified and unverified deals are included in the cash flow selection.

Contract code



Contract code identifies the future or exchange traded option included in the cash flow selection.


Investment type




H Hold to Maturity,

T Trading,

S Short,


I Issue.

Deal date


Deal date is the date the deal is made.

Counter CCY


Counter CCY is the currency or currencies for which cash flows are selected.

For Foreign Exchange, OTC and Internal Deals, Counter CCY may be the currency or the counter currency of the original deal.

Rate code



Option type


Option type identifies a group of options that may be entered as OPICS deals. Valid option types are:

FX OTC Foreign Exchange options,

FI OTC Fixed Income options.

Global values

Optional.

The Global values row is used to apply selection criteria to all selected instruments (excluding instruments for which specific selection criteria are entered).


ACFS: Exposure Flow Selection

IntroductionThe Exposure Flow Selection worksheet is used to select credit exposure flows from the following OPICS modules:

Deposits and Loans (asset deals),

Call and Notice,

Foreign Exchange,

Fixed Income,

Repurchase Agreements,

Forward Rate Agreements,

Swaps,

Swap Options (purchased deals, sold putable deals or sold put/call deals that settle as swap deals when exercised),

OTC Options (purchased deals),

Caps and Floors (purchased deals).

An exposure flow contains information about the OPICS deal from which credit equivalent and gross exposure can be calculated. For fixed income deals, an exposure flow contains information about the security inventory positions generated from the deals from which credit equivalent and gross exposure can be calculated. Refer to the Customer Credit manual for further information about credit equivalent and gross exposure.

An exposure flow record is created for each OPICS deal or security that is not reversed, matures after the current branch processing date and meets the specified selection criteria. Selection criteria may include any combination of the following:

Branch,

Currency,

Product code,

Product type,

Start date,

Maturity date,

Customer.

Customer may be an individual customer or all customers who meet the specified customer attributes. Customer attributes are:

Customer group id,

Country of ultimate risk,

Country of residence,

Standard industry code,

Credit rating.


Customer attributes apply to all selected modules. Customer attributes cannot be overridden for an individual module.

Exposure flows can be created for specific instruments by selecting the appropriate Instrument button. To apply selection criteria to all designated instruments enter the criteria in the global values row. Selection criteria specific to an instrument are entered in the row for that instrument. The selection criteria specified for a deal/security are applied using 'and' conditions (e.g., currency = 'USD', product type = 'FXD' and SIC = '6011').

Exposure flows may be generated for individual instruments or a group of instruments. To apply selection criteria to all selected instruments the criteria must be entered in the global values row. The Criteria Selection screen is used to enter selection criteria for a specific cell. The Criteria Selection screen is accessed by selecting the Edit Cell button on the Exposure Flow Selection worksheet.

SQL statements are created when an exposure flow selection query is run based on the specified selection criteria. The SQL statement may be amended using the QSQL screen. The QSQL screen is accessed by selecting the Edit Query button on the Exposure Flow Selection worksheet.

Records selected based on the specified criteria are saved to a sequential file. The sequential file can be accessed by other analyses. The selection criteria entered on the Exposure Flow Selection worksheet may be saved for future use.

Exposure flows created using the Exposure Flow Selection worksheet are used by the ANEX, Exposure Analysis workbook.

Starting Exposure Flow SelectionTo access the ACFS, Cash Flow Selection worksheet, select Cash Flows from the Navigator categories. Select Market Exposures from the category items.

Select the Exposure Flow Selection tab at the bottom of the ACFS, Cash Flow Selection workbook.

Optionally, select Cash Flows from the Navigator categories. Select Credit Exposures from the category items.


Exposure Flow Selection Area

Exposure Flow Selection Area Layout

Exposure Flow Selection Area Ranges

Exposure flow file name


Exposure flow file name is the name of the file containing exposure flows generated from specific selection criteria. Exposure flow file name includes the location and name of the file. If an exposure flow file name is not entered, a default file name is assigned. Default file names are located in the OPXANA/user id directory.

Ctrl + F2 lists valid exposure flow files. To enter an item into the range, select it from the list.

Description


Description is text that describes the exposure flow file.

Customer


Customer is the counterparty with whom the deal is made. For fixed income deals, Customer is the issuer of the security. Deals/securities with the specified customer are included in the exposure flow selection.


Customer group id


Customer group id is a name that identifies a group of customers.

Customer group ids are maintained using the CRGM, Credit Group Maintenance screen.

Country/ult


Country/ult is the code of the customer's country of ultimate risk.

Country codes are maintained using the COUN, Country Code Maintenance screen.

A customer's country of ultimate risk is maintained using the CUST, Customer Static Data screen.

Country/res


Country/res is the code of the customer's country of residence.

Country codes are maintained using the COUN, Country Code Maintenance screen.

A customer's country of residence is maintained using the CUST screen.

SIC


SIC is a standard industry code that identifies the customer's type of business.

Standard industry codes are maintained using the SICO, Standard Industry Codes screen.

A customer's standard industry code is maintained using the CUST, Customer Static Data screen.

Credit rating


Credit rating is the customer's credit rating assigned by a rating agency for the specified term and debt currency.

If Credit rating is entered and a rating agency, rating term, and/or rating currency are not entered, ACFS uses the first credit rating maintained for the customer on the CRDR, Customer Credit Rating Maintenance screen.

Rating agency


Rating agency is the rating agency that assigns the credit rating. Rating agency is entered only if Credit rating is entered.

Rating agencies are maintained using the CRDR, Customer Credit Rating Maintenance screen.



Rating CCY

Drop-down box.

Rating CCY is the currency of the customer's debt.

Valid rating currencies are:

Local,

Foreign,

All.

'Local' is the currency of the customer's country of residence.

'Foreign' applies to all currencies except the currency of the customer's country of residence.

'All' applies to all currencies.


Rating term

Drop-down box.

Rating term is the term of the customer's debt.

Valid rating terms are:

Short,

Long,

N/A.

'Short' specifies debts with maturities of less than one year.

'Long' specifies debts with maturities greater than one year.

'N/A' specifies the customer does not have long or short-term debt.


Instrument

Buttons.

The Instrument buttons are used to specify the OPICS module for which selection criteria are entered and from which exposure flows are selected. When an instrument button is selected, selection criteria may be entered in the corresponding row using the Edit Cell button.

Global values

Optional.

The Global values row is used to apply selection criteria to all selected instruments.

Branch



Branch is the branch or branches from which exposure flows are selected. Branch identifies an operational unit within an organization that maintains its own set of books.


CCY


CCY is the currency or currencies for which exposure flows are selected. An exposure flow is selected from each deal or security where the primary currency equals the specified CCY.

For Foreign Exchange, CCY is the deal's purchased currency.

For Fixed Income, CCY is the currency in which the security is denominated.

For OTC, CCY is the currency of the deal.

For Repos/Reverses, CCY is the currency of the deal's borrowed/lent amount.

For Swaps, CCY is the currency of the deal leg's notional amount.

For other instruments, CCY is the currency of the deal's notional amount.

Product code



The combination of product code and product type identifies the specific product (instrument) for which exposure flows are selected.

Product type



The combination of product code and product type identifies the specific product (instrument) for which exposure flows are selected.

Start date


For Deposits and Loans and Call and Notice, Start date is the value date of the deal.

For Swaps, Swap Options and Caps/Floors, Start date is the start date of the deal.

For Repos/Reverses, Start date is the date securities are delivered and funds are received (repo sale) or the date securities are received and funds are delivered (repo purchase).

For Foreign Exchange, Fixed Income, FRAs and OTC Options, Start date is not a valid criterion.

Maturity date



For Foreign Exchange, Maturity date is the value date of the deal.

For OTC and Swap Options, Maturity date is the expiration date of the deal.


For Deposits and Loans, Swaps, Caps and Floors, and Call and Notice, Maturity date is the maturity date of the deal.

For Repos/Reverses, Maturity date is the date securities are received and principal plus interest is delivered (repo sale) or the date securities are delivered and principal plus interest is received (repo purchase). Maturity date is the 'off' date of the repo.

For FRAs, Maturity date is the settlement date of the deal.

Starting Criteria SelectionTo access the Criteria Selection screen, select the Edit Cell button on the Exposure Flow Selection worksheet.

Criteria Selection Screen Layout

Criteria Selection Screen Fields

Operator

Drop-down box.

Operator is used to enter a value to which OPICS data is compared for the exposure flow selection (e.g., Cost Center > '3' specifies that all exposure flows with a cost center greater than 3 are selected from OPICS). Valid operands are:

= 'value',

<> 'value',

> 'value',

>= 'value',

< 'value',

<= 'value',

in ('value','value','value'),

not in ('value','value','value'),

between 'value' and 'value',

not between 'value' and 'value',

like 'value%',

not like 'value%',


like '%value',

not like '%value',

like '%value%',

not like '%value%',

like,

not like,

is null,

is not null.

Or

Button.

The Or button is used to specify criteria of which only one condition must be met.

Values


Values are the specific selection criteria. Values may be entered or selected using the Lookup button.

Lookup

Button.

The Lookup button is used to display a list of valid values. To enter an item into the Values field, select it from the list.

Paste value

Button.

The Paste value button is used to enter a specified operator value (enclosed in single quotation marks) into the Expression field.

Undo paste

Button.

The Undo paste button is used to remove a pasted value from the Expression field.

Expression


Expression contains all operators and values for the exposure flow selection.

Expression may be entered directly or from the information entered in Operator and Values.

Starting QSQLTo access the QSQL screen, select the Edit Query button on the Exposure Flow Selection worksheet.


QSQL Screen Layout


ACFS: DropDown Values

IntroductionThe DropDown Values worksheet is used to add or amend the values displayed in the Operator drop-down box on the Criteria Selection screen. The operator values are used by both the Cash Flow Selection and Exposure Flow Selection worksheets.

Amending existing drop-down values may cause unintended results.

Starting DropDown ValuesTo access the ACFS, Cash Flow Selection workbook, select Cash Flows from the Navigator categories. Select Market Exposures from the category items.

Select the DropDown values tab at the bottom of the ACFS, Cash Flow Selection workbook.

DropDown Values Area

DropDown Values Area Layout

DropDown Values Area Ranges

Field

Display only.


Field displays the names of all ranges used to specify cash flow and exposure flow selection criteria.

Applies to

Display only.

Applies to displays the names of all instruments to which the fields apply.

Range name

Display only.

Range name is a name used by the Criteria Selection screen to identify the range (e.g., editbox_br for Branch).

Combo box values


Combo box values displays all selection criteria that may be entered for a specific range on the Cash Flow Selection worksheet and the Exposure Flow Selection worksheet. The combo box values are displayed in the Operator drop-down box on the Criteria Selection screen.

ACFS: ButtonsThe ACFS, Cash Flow Selection and Exposure Flow Selection screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ACFS screen.

Processing Buttons

Simulated Flows

The Simulated Flows button is used to display the Simulated Flows area. Simulated cash flows can be appended and saved to a sequential file.

Edit Cell

The Edit Cell button is used to display the Criteria Selection screen. To edit a cell, select a cell and the Edit Cell button. The Criteria Selection screen is displayed. Enter the criteria and select the OK button.

Generate Query

The Generate Query button is used to create an SQL statement for the cash flow selection based on the specified criteria.

Edit Query

The Edit Query button is used to display the QSQl screen. To edit a query, select the Edit Query button. The QSQL screen is displayed. Amend the SQL statement and select the Save button.

The Generate Query button must be selected before the operator may edit the SQL statement.

Run Query

The Run Query button is used to start the cash flow selection.


Selection

On the Cash Flow Selection screen, the Selection button is used to display the Simulated Flows Selection area.

On the Simulated Flows Selection screen, the Selection button is used to display the Cash Flow Selection screen.

Save

The Save button is used to save cash flows to a sequential file.

Append

The Append Button is used to add simulated flows to the cash flow sequential file.


Chapter 5 Position Analysis


IntroductionThe workbooks used for Analytics position analyses are:

The ANCF, Cash Flow Analysis workbook is used to calculate the actual cash inflows and outflows occurring at future dates.

The ANFE, Futures Equivalent Analysis workbook is used to display and calculate futures equivalents for cash flows against a selected short-term (euro) interest rate futures contract or a bond/note futures contract.

The ANFI, Fixed Income Analysis workbook is used to display statistics and calculate weighted average prices and yields for long, short and open positions of selected cash flows.

The ANFS, Fixed Income Statistics Analysis workbook is used to display statistics and calculate weighted average prices and yields for long, short and open positions of selected cash flows.

The ANDL, Deposit/Loan Analysis workbook is used to calculate defined tenor structure, aggregated loan, deposit and open position weighted average interest rate exposures for selected cash flows.

The ANSR, Spot Risk Analysis workbook is used to calculate spot equivalent positions to account for changes in the foreign exchange spot rate.

The ANFX, Spot Risk Analysis (NPV) workbook is used to calculate spot equivalent positions to account for changes in the foreign exchange spot rate.

The ANCG, Cumulative Gap Analysis workbook is used to calculate gap positions for known cash flows.

The ANEC, Euro Currency Consolidation Analysis workbook is used to display known cash flows in Euro currency equivalents for all financial instruments.


ANCF: Cash Flow Analysis

IntroductionThe ANCF, Cash Flow Analysis workbook is used to calculate the actual cash inflows and outflows occurring at future dates. Cash Flow Analysis displays aggregated actual cash flow payments and receipts, and calculates the net present values (to spot date or branch processing date) in the cash flow currency and local currency equivalent.

The NPV/Sensitivity and Aggregate bucketing methodologies are used to group cash flows by tenor. The NPV/Sensitivity method divides into subtotals the amount of a payment/receipt occurring between two tenor dates. A subtotal is assigned to each tenor date. The net present value and sensitivity of the subtotal amounts equals the net present value and sensitivity of the original amount. The Aggregate method assigns a payment/receipt occurring between two tenor dates to the later tenor date.

A default tenor ladder is provided and may be customized any time before the analysis is run.

Cash flows are discounted based on a single yield curve specified on the analysis worksheet.

An end date may be specified for a cash flow analysis. Cash flows occurring after the specified end date are not included in the analysis.

Cash flows can be automatically extracted from the database when an analysis is rerun.

Cash Flow Analysis displays a graph of cash flows, cumulative cash flows and local equivalents.

Starting Cash Flow AnalysisTo access the ANCF, Cash Flow Analysis workbook, select Position Analyses from the Navigator categories.

Select Cash Flow from the category items.


Analysis Area

Analysis Area Layout

Analysis Area Ranges

Yield curve id


Yield curve id is the name of the yield curve used to discount known cash flows to present values. Only cash flows denominated in the yield curve currency are included in the analysis.


Shift seq




Quote type

Drop-down box.


Quote type specifies whether the yield curve calculation is based on the mid rate (M), bid rate (B) or offered rate (O). Discount factors must be previously generated for the specified quote type.

Description

Display only.


Yield curve CCY


Yield curve CCY is the currency of the yield curve. An analysis may be run for one currency at a time. The analysis is run for the yield curve currency if no analysis currency is specified.

Ctrl + F2 lists valid currencies. The data must be previously entered using the BRCC, Branch Currency Information screen. To enter an item into the field, select it from the list.

Analysis CCY


Analysis CCY is the currency included in the analysis. An analysis may be run for one currency at a time. If Analysis CCY is not entered, the yield curve currency is used.


CCY spot


CCY spot is the spot rate of exchange between the yield curve currency and the branch base currency.

If the yield curve currency equals the base currency, CCY spot is '1'.

If the yield curve currency does not equal the base currency and CCY spot is not entered, CCY spot is based on the information entered in the Rates area.

Analysis end date


Analysis end date is the last date cash flows may be included in the analysis. Cash flows occurring after the analysis end date are not included in the analysis. If Analysis end date is not entered, all selected cash flows are included in the analysis.


Cash flow file name


Cash flow file name is the name of the file containing the cash flows included in the analysis. Cash flow file name includes the location and name of the file. If a cash flow file name is not entered, a default file name is assigned. Default file names are located in the OPXANA/user id directory.


Ctrl + F2 lists valid cash flow files. The data must be previously entered using the ACFS, Cash Flow Selection workbook. To enter an item into the range, select it from the list.

Refresh cash flow

Drop-down box.

Refresh cash flow specifies whether the cash flow file is updated from the cash flow SQL file when the analysis is run.

Bucketing method

Drop-down box.

Bucketing method specifies how cash flows are grouped by tenor.

The NPV/Sensitivity method divides into subtotals the amount of a payment/receipt occurring between two tenor dates. A subtotal is assigned to each tenor date. The net present value and sensitivity of the subtotal amounts equals the net present value and sensitivity of the original amount.

The Aggregate method assigns a payment/receipt occurring between two tenor dates to the later tenor date.

Spot date

Display only.


Last analysis date

Display only.

Last analysis date is the last date and time an analysis is run.

Totals

Display only.

Totals displays the most recent cumulative amount from the cumulative net cash flow column, the total for the NPV of cash flow column and the total for the NPV in local currency column.

Tenor


Tenor is a designated maturity value used to group cash flows. Tenor is entered as 'O/N', 'TOM', 'SPOT', or in the format 'nnX', where nn is the number of days, weeks, months or years and X is D (day), W (week), M (month) or Y (year).

Tenor date

Display only.

Tenor date is the date of the specified tenor. Tenor date is calculated from the spot date, tenor designated maturity, day rule and financial calendar for the specified yield curve id.


Receipts

Display only.

Receipts is the total amount of cash inflows for the specified tenor period.

Payments

Display only.

Payments is the total amount of cash outflows for the specified tenor period.

Net cash flow

Display only.

Net cash flow is the difference between receipts and payments (i.e., receipts subtracted by payments) for the specified tenor period.

Cumulative net cash flow

Display only.

Cumulative net cash flow is the cumulative amount of the net cash flows calculated from near to far tenor periods.

NPV net cash flow

Display only.

NPV net cash flow is the net present value (discounted to the spot or branch processing date depending on the specified yield curve) of the calculated net cash flows.

NPV in local currency

Display only.

NPV in local currency is the local currency equivalent value of the NPV net cash flow amount. The local equivalent is converted at the CCY spot rate.

Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used in the cash flow analysis.


Yield Curve Area Layout

Yield Curve Area Display Ranges

CCY

CCY is the currency of the yield curve and the cash flows used in the analysis.

Yield curve id

Yield curve id is the name of the yield curve used to discount the known cash flows to present values.

Shift seq



Quote type

Quote type specifies whether the yield curve calculation is based on the mid rate (M), bid rate (B) or offered rate (O).

Description



Last date

Last date is the date the discount factors and zero coupon rates are last calculated.

Financial center

Financial center identifies the holiday calendar used to generate the yield curve.

Day rule

Day rule is the business day convention used to generate the yield curve ('P' for preceding, 'S' for succeeding, 'M' for modified).

Spot days

Spot days is the spot number of days used to generate the yield curve.

Maturity

Maturity is the tenor date of the discount factor and zero coupon rate.

Maturity date

Maturity date is the calendar date of the discount factor and zero coupon rate.

Discount factor


Zero coupon rate


Discount factor_01

Discount factor_01 is the discount factor of the yield curve after the contributing rates are shifted up one basis point.

Zero coupon_01

Zero coupon_01 is the zero coupon rate of the yield curve after contributing rates are shifted up one basis point.

Rates AreaThe Rates area is used to edit exchange rates and to link currency spot rates to DDE live data feeds.


Rates Area Layout

Rates Area Ranges

CCY

Display only.

CCY is the currency of the spot rate quote.

Price/DDE


Price/DDE is the spot rate of exchange between the yield curve currency and the branch base currency. Price/DDE may be an entered spot rate or a link to a DDE live data feed.

Mult./Div.

Display only.

Mult./Div. specifies whether the rate is multiplied or divided into the foreign currency amount to calculate the local currency amount.

Graph AreaThe Graph area is used to display a graph of the cash flow analysis. Graphs may be printed or displayed in different formats.


Graph Area Layout

Details AreaThe Details area is used to display the cash flow details for a selected tenor.


Details Area Layout

Details Area Display Ranges

Tenor

Tenor is a designated maturity value used to group cash flows.

Tenor date


Br

Br is the branch from which the cash flow is selected. Br identifies an operational unit within an organization that maintains its own set of books.


Deal number

Deal number is the number of the deal associated with the cash flow.

Portfolio

Portfolio is the portfolio associated with the cash flow. Portfolio identifies a trader, department or group of related traders.


Trader

Trader is the trader who makes the deal associated with the cash flow.

Product

Product identifies the product module associated with the cash flow (e.g., 'DPNL' for Deposits and Loans).

Product type

Product type identifies the products within the product module associated with the cash flow (e.g., 'TD' for time deposits).

Security id

Security id identifies the security associated with the cash flow.

Date

Date is the date the payment/receipt is made.

Receipts

Receipts is the amount received on the receipt date.

Payments

Payments is the amount paid on the payment date.

ANCF: ButtonsThe ANCF, Cash Flow Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following buttons perform functions and processing specific to the ANCF screen.

Processing Buttons

Get CCY

The Get CCY button is used to display the base currencies for the current branch on the Rates Area screen.

Graph Type

The Graph Type button is used to display a specific type of graph on the Graph Area screen.


ANSF: Settlement Flow Analysis

IntroductionThe ANSF, Settlement Flow Analysis Workbook is used to determine the actual cash flows of a currency that are due to occur at future dates, based on the spot date of the yield curve. Settlement Analysis displays the aggregated actual cash flow payments and receipts by tenor, and calculates the net present values (to spot date) in the cash flow currency and the local currency equivalents. Settlement Analysis also displays a cumulative representation of the cash flows. A graphic representation of cash flows, local equivalents and cumulative cash flows can be generated. Settlement Analysis can access cash flows from the following OPICS modules:

Fixed Income,


Foreign Exchange,

Financial Futures,

Exchange Traded Options,

OTC Options,

Fees,

Swaps,

Deposits and Loans,


Swap Options,

Caps and Floors,

Call and Notice.

Cash flows are discounted based on a single yield curve defined on the analysis sheet. A default tenor ladder is provided; however it can be customized at any time prior to running the analysis. An operator also may specify the end date of the analysis to omit cash flows occurring past that date.

Starting Settlement Flow AnalysisTo access the ANSF, Settlement Flow Analysis workbook, select Position Analyses from the Navigator categories.

Select Settlement Flow from the category items.


Analysis Area



Yield curve id



Ctrl + F2 lists valid yield curves. The data must be previously entered using the YCHD, Yield Curve Header Maintenance screen. To enter an item into the range, select it from the list. If 'Yield curve currency' is entered, only yield curves denominated in that currency are displayed.

Shift seq





Quote type

Drop-down box.


Description

Display only.

Description is the text that describes the yield curve.

Yield curve CCY




Analysis CCY




CCY Spot


CCY Spot is the spot rate of exchange between the yield curve currency and the branch base currency.

If the yield curve currency equals the base currency, CCY Spot is '1'.

If the yield curve currency does not equal the base currency and CCY Spot is not entered, CCY Spot defaults from the information entered in the Rates area.

Analysis end date




Sett. flow file name



Sett. flow file name is the name of the file containing the settlement flows included in the analysis. Sett. flow file name includes the location and name of the file. If a settlement flow file name is not entered, a default file name is assigned. Default file names are located in the OPXANA/user id directory.

Ctrl + F2 lists valid settlement flow files. The data must be previously entered using the ACFS, Cash Flow Selection workbook. To enter an item into the range, select it from the list.

Refresh sett. flow

Drop-down box.

Refresh sett. flow specifies whether the settlement flow file is updated from the settlement flow SQL file when the analysis is run.

Spot date

Display only.


Last analysis date

Display only.


Tenor


Tenor is a designated maturity value used to group cash flows. Tenor is entered as 'O/N', 'TOM', 'SPOT', or in the format 'nnX', where nn is the number of days, weeks, months or years and X is 'D' (day), 'W' (week), 'M' (month) or 'Y' (year).

Tenor date

Display only.


Receipts

Display only.


Payments

Display only.


Net cash flow

Display only.




Display only.


NPV of cash flow

Display only.

NPV of cash flow is the net present value (discounted to the spot or branch processing date depending on the specified yield curve) of the calculated net cash flows.


Display only.


Details Area

Details Area Layout



Br

Br is the branch in which the displayed deal is entered.

Deal number

Deal number is the number of the displayed deal.

Portfolio

Portfolio displays the portfolio in which the deal is included.

Trader

Trader displays the individual who is responsible for the deal.

Product

Product identifies the product module associated with a deal.

Product type

Product type identifies the products within a particular module.

Security Id

Security id is the identifier for a security associated with a deal.

Sett. Means

Sett. Means specifies how the payment is sent from or received by the bank.

Sett. Account

Sett. Account is used to identify the customer's account (non-nostro) to which funds are posted.

Date

Date is the payment date or receipt date for a particular cash flow.

Receipts


Payments



Yield Curve Area


Yield Curve Area Ranges

CCY

Display only.

CCY is the currency of the yield curve. CCY determines the currency of the analysis (i.e., cash flows) and the spot rate converting the flows to base currency equivalents. The combination of CCY, yield curve id and shift sequence must correspond to a yield curve previously entered for the branch on the YCHD, Yield Curve Header Maintenance screen or the YCSM, Yield Curve Shift Maintenance screen. CCY, yield curve id and shift sequence must also correspond to a set of discount factors and zero coupon rates previously generated by the YCDF, Create Discount Factors task.

Yield curve id

Display only.

Yield curve id identifies the yield curve used to discount the known cash flows to present values. The currency of the yield curve determines the currency of the analysis. The combination of CCY, yield curve id and shift sequence must correspond to a yield curve previously entered for the branch using YCHD, Yield Curve Header Maintenance screen or the YCSM, Yield Curve Shift Maintenance screen. CCY, yield curve id and shift sequence must also correspond to a set of discount factors and zero coupon rates previously generated by the YCDF, Create Discount Factors task.

Shift seq.

Display only.


Shift seq is the sequence number assigned by OPICS to the yield curve. Shift seq defaults to ‘000’ for the base (unshifted) curve. Shift sequence is displayed when a yield curve is selected.

Quote type

Drop-down box.


Description

Display only.

Description is the text description of the yield curve contained in YCSM. The yield curve description is displayed when a yield curve is retrieved from the database.

Last date

Display only.

Last date is the date the discount factors and zero coupon rates are last calculated. The analysis uses the most recent yield curve data in the database.

Financial center

Display only.

Financial center displays the center used in the creation of the yield curve. The financial center also is the center used in the analysis. The financial center is read from the YCHD, Yield Curve Header Maintenance database record.

Day rule

Display only.

Day rule displays the day rule of the yield curve and of the analysis. The day rule is read from the YCHD, Yield Curve Header Maintenance database record.

Spot days

Display only.

Spot days displays the spot day lag used in the creation of the yield curve and for the analysis. Spot days is read from the YCHD, Yield Curve Header Maintenance database record.

Maturity

Display only.

Maturity displays the tenor date of the discount factor and zero coupon rate.

Discount factor

Display only.

Discount factor displays the discount factor value corresponding to the maturity listed.


Zero coupon

Display only.

Zero coupon displays the zero coupon value corresponding to the maturity listed.

Discount factor_01

Display only.

Discount factor_01 displays the discount factor of the same yield curve when generated after shifting the contributing rates up one basis point.

Zero coupon_01

Display only.

Zero coupon_01 displays the zero coupon value of the same yield curve when generated after shifting the contributing rates up one basis point.

Rates Area

Rates Area Layout

Rates Area Ranges

CCY

Display only.



Price/DDE



Mult./Div.

Display only.


Custom Tenor Ladder Area

Custom Tenor Ladder Area Layout

Custom Tenor Ladder Area Ranges

Start date


Start date is the beginning date of the construction of the tenor ladder set. Valid entries are 'O/N', 'TOM', 'SPOT', or in the format 'nnX', where nn is the number of days, weeks, months or years and X is 'D' (day), 'W' (week), 'M' (month) or 'Y' (year).

Term/End date


Term/End date is the term of the tenor set or the last date for the construction of the tenor ladder set. Valid entries are:


Numerical values followed by a 'D' (day), 'M' (month) or 'Y' (year).

'E' is used to specify the end of the month referred to by the previous tenor rule in the Term/End date column. For example, if the previous tenor is '10 March 2000' and an 'E' is placed in the next tenor rule, the date of that tenor is '31 March 2000'.

'X' is used to specify the end of the year referred to by the previous tenor rule in the Term/End date column. For example, if the previous tenor is '10 November 2000' and an 'X' is placed in the next tenor rule, the date of that tenor is '31 December 2000'.

Tenor day


Tenor day is the day of the tenor. The following are valid entries:

Numerical values between '1' and '31' indicate the day of the month (if Term interval is 'Monthly') or day of the week (if Term interval is 'Weekly' and the value entered is less than or equal to '7').

'E' is used to specify the end of the month referred to by the previous tenor rule in the Term/End date column. For example, if the previous tenor is '10 March 2000' and an 'E' is placed in the next tenor rule, the date of that tenor is '31 March 2000'.

Tenor interval

Required. Fixed-list combo box.

Tenor date is the date of the tenor. The following are valid entries:

Daily,

Weekly,

Monthly,

Annual.

Tenor addition


Tenor addition is used to add specific tenors or dates to the construction of the tenor ladder. Valid entries are 'O/N', 'TOM', 'SPOT', or in the format 'nnX', where nn is the number of days, weeks, months or years and X is 'D' (day), 'W' (week), 'M' (month) or 'Y' (year). A specific date also may be entered.

Tenor display

Display only.

Tenor display is the current tenor construction.

ANSF: ButtonsThe ANSF, Settlement Flow Analysis Workbook screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANSF screen.


Processing Buttons

Rates

The Rates button is used to edit exchange rates and to link currency spot rates to DDE live data feeds.

Yield Curve

The Yield Curve is used to retrieve and display yield curve header information and the most recent set of discount factors corresponding to the yield curve.

Tenor Ladder

The Tenor Ladder button is used to display or build a custom tenor ladder. An operator can enter a specific date or tenor designation by selecting a tenor day, tenor interval, start date and end date.

Select Flows

The Select Flows button is used to choose the collection of settlement flows to include in the analysis. The selection process returns a sequential file with the settlement flows from the selection criteria.

Run Analysis

The Run Analysis button is used to start the analysis. Both the CCY and Yield curve id ranges in the Settlement Flow Analysis area must have entries to enable the Run Analysis button. Run Analysis can be implemented only once in ANSF unless the Clear button is selected.

Calculate

The Calculate button is used to recompute the local currency equivalent of the present valued cash flows of the analysis.

Graph

The Graph button is used to display a graph of the settlement flow analysis. The default graph is a three dimensional bar chart of the various settlement flows against the tenor ladder. Other graph formats may be selected as a default.

Clear

The Clear button is used to erase all ranges of the Cash Flow Analysis except for the tenor structure. To run multiple cash flow analyses, the screen must first be cleared before Run analysis can be run again.

When the Clear button is selected, message number 3829 is displayed to verify whether the operator wants to clear the screen.

Print

The Print button is used to print the analysis exactly as it is displayed on the screen.

Details

The Details button is used to display the cash flow details for a selected tenor. A tenor is selected by clicking on the date on the left-hand side of the Analysis area.


Get CCY

The Get CCY button is used to display the currencies for the current branch in the Rates Area section. All currencies contained on the BRCC table are displayed.

Analysis

The Analysis button is used to access information in the Settlement Flow Analysis section.


ANFE: Futures Equivalent Analysis

IntroductionThe ANFE, Futures Equivalent Analysis workbook is used to calculate futures equivalents for cash flows against a selected short-term (euro) interest rate futures contract or a bond/note futures contract.

ANFE Worksheets

Futures Equivalent Analysis - Bond Equivalent

The Futures Equivalent Analysis - Bond Equivalent worksheet is used to calculate futures equivalents for a set of cash flows against a selected bond/note based interest rate futures contract.

Futures Equivalent Analysis - Euro Equivalent

The Futures Equivalent Analysis - Euro Equivalent worksheet is used to calculate futures equivalents for cash flows against a selected short-term interest rate futures contract.

Starting Futures Equivalent AnalysisTo access the ANFE, Futures Equivalent Analysis workbook, select Position Analyses from the Navigator categories.

Select Euro Futures Equivalent or Bond Futures Equivalent from the category items.

Selecting ANFE WorksheetsSelect one of the following tabs at the bottom of the ANFE, Futures Equivalent Analysis workbook:

Bond Equivalent,

Euro Equivalent.


ANFE: Futures Equivalent Position - Bond Equivalent

IntroductionThe Futures Equivalent Position - Bond Equivalent worksheet is used to calculate futures equivalents for cash flows against a selected bond/note based interest rate futures contract.

Aggregated (net) cash flows, one basis point sensitivity measure and futures equivalent hedges are displayed for the selected cash flows.

A yield curve and futures contract must be entered before an analysis is run. The currency of the futures contract must equal the analysis currency, and determines the currency of the cash flows included in the analysis.


Starting Futures Equivalent Position - Bond EquivalentTo access the ANFE, Futures Equivalent Analysis workbook, select Position Analyses from the Navigator categories. Select Euro Futures Equivalent or Bond Futures Equivalent from the category items.

Select the Bond Equivalent tab at the bottom of the ANFE, Futures Equivalent Analysis workbook.

Futures Equivalent Position - Bond Equivalent Area

Futures Equivalent Position - Bond Equivalent Area Layout


Futures Equivalent Position - Bond Equivalent Area Ranges

Yield curve id




Shift seq




Quote type

Drop-down box.


Description

Display only.


Yield curve CCY




Analysis CCY




Futures contract

Display only.


Futures contract is the code of the bond/note interest rate futures contract used to calculate the futures equivalent position.

Analysis end date




Cash flow file name


Cash flow file name is the name of the file containing the cash flows included in the analysis. Cash flow file name includes the location and name of the file. Cash flow file names are located in the OPXANA/user id directory.


Refresh cash flow

Drop-down box.


Cashflow types

Drop-down box.

Cashflow types specifies the type of cash flows included in the analysis. Valid cash flow types are 'Known', 'Unknown' and 'All'.

Spot date

Display only.


Last analysis date

Display only.


Tenor




Tenor date

Display only.


Net cash flow

Display only.

Net cash flow is the net amount of known and unknown cash flows based on the yield curve.

PV 1 basis pt. sensitivity

Display only.

PV 1 basis pt. sensitivity is the present value of the difference between the net cash flows valued against the yield curve and the net cash flows valued against the yield curve shifted up one basis point. The original yield curve is used to discount the sensitivities to the spot date.

Total sensitivity

Display only.

Total sensitivity is the total of the sensitivities for all tenors.

Equivalent contracts

Display only.

Equivalent contracts is the equivalent number of bond/note futures contracts required to hedge the total sensitivity. Each contract delivery is a separate hedge.

Contract delivery

Display only.

Contract delivery is the delivery code for the specified bond/note futures contract.

Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used in the futures equivalent analysis.




CCY


Yield curve id


Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01


Futures AreaThe Futures area is used to edit information about bond/note futures contracts.


Futures Area Layout

Futures Area Ranges

Futures contract


Futures contract is the code of the bond/note interest rate futures contract used to calculate the futures equivalent position.

Ctrl + F2 lists valid contracts. The data must be previously entered using the FCON, Financial Futures Contract Maintenance screen. To enter an item into the range, select it from the list.

CCY


CCY is the currency of the bond/note futures contract.

Ctrl + F2 list valid currencies. The data must be previously entered using the BRCC, Branch Currency Information screen. To enter an item into the range, select it from the list.

Contract delivery

Display only.

Contract delivery is a delivery code for the specified bond/note futures contract.


Delivery date

Display only.

Delivery date is the date the futures contract is delivered.

Security id

Display only.

Security id identifies the 'cheapest to deliver' security for the bond/note futures contract.

Price/DDE


Price/DDE is the price for the bond/note futures contract. Price/DDE may be an entered price or a link to a DDE live data feed.

Conversion factor


Conversion factor is the adjustment factor used to convert the 'cheapest to deliver' security price to the bond/note futures contract price.

Conversion factor is maintained using the FDEL, Futures Delivery Date Maintenance screen.

PVBP

Display only.

PVBP is the price value of a one basis point yield increase for the specified security.

Graph AreaThe Graph area is used to display a graph of the futures equivalent analysis. Graphs may be printed and displayed in different formats.


Graph Area Layout



Details Area Layout


Tenor


Tenor date


Br

Br is the current branch. Br identifies an operational unit within an organization that maintains its own set of books.


Deal number


Portfolio



Trader


Product


Product type


Security id


Date


Receipts


Payments



ANFE: Futures Equivalent Position - Euro Equivalent

IntroductionThe Futures Equivalent Analysis - Euro Equivalent worksheet is used to calculate futures equivalents for cash flows against a selected short-term interest rate futures contract.

Aggregated (net) cash flows, one basis point sensitivity measure and futures equivalent hedges are displayed for the selected cash flows.

A yield curve and futures contract must be entered before an analysis is run. The currency of the futures contract must equal the analysis currency, and determines the currency of the cash flows included in the analysis.


Starting Futures Equivalent Position - Euro EquivalentTo access the ANFE, Futures Equivalent Analysis workbook, select Position Analyses from the Navigator categories. Select Euro Futures Equivalent or Bond Futures Equivalent from the category items.

Select the Euro Equivalent tab at the bottom of the ANFE, Futures Equivalent Analysis workbook.


Futures Equivalent Position - Euro Equivalent Area

Futures Equivalent Position - Euro Equivalent Area Layout

Futures Equivalent Position - Euro Equivalent Area Ranges

Yield curve id




Shift seq




Quote type

Drop-down box.



Description

Display only.


Yield curve CCY




Analysis CCY




Futures contract

Display only.

Futures contract is the code of the short-term interest rate futures contract used to calculate the futures equivalent position.

Analysis end date




Cash flow file name





Refresh cash flow

Drop-down box.


Cashflow types

Drop-down box.


Strip bucketing

Drop-down box.

Strip bucketing specifies which form of the strip equivalent calculation (Strip or Cashflow) is used. If 'Strip' is selected, the number of contracts to hedge is allocated across the entire futures delivery strip. If 'Cashflow' is selected, the number of contracts to hedge ends at the last cash flow date.

Spot date

Display only.


Last analysis date

Display only.


Contract delivery

Display only.

Contract delivery is a delivery code for the specified short-term futures contract.

Delivery date

Display only.

Delivery date is the date of the specified futures contract delivery.

Net cash flow

Display only.

Net cash flow is the net amount of known and unknown cash flows based on the yield curve.

PV 1 basis pt. sensitivity

Display only.


PV 1 basis pt. sensitivity is the present value of the difference between the net cash flows valued against the yield curve and the net cash flows valued against the yield curve shifted up one basis point. The original yield curve is used to discount the sensitivities to the spot date.

Total sensitivity

Display only.

Total sensitivity is the total of the sensitivities for all tenors.

Stack equivalent

Display only.

Stack equivalent is the total number of short-term futures contracts required to hedge the total sensitivity.

Strip equivalent

Display only.

Strip equivalent is the equivalent number of short-term futures contracts required to hedge the total sensitivity, based on the strip methodology. An equal number of contracts is allocated to each delivery. Residual contracts are allocated to the nearest delivery.

Complex strip equivalent

Display only.

Complex strip equivalent is the equivalent number of short-term futures contracts required to hedge the interest rate sensitivity. Interest rate sensitivity is bucketed into contract deliveries. The equivalent number of futures contracts is calculated for each contract delivery.

Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used in the futures equivalent analysis.




CCY


Yield curve id


Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01


Futures AreaThe Futures area is used to edit information about bond/note futures contracts.


Futures Area Layout

Futures Area Ranges

Futures contract


Futures contract is the code of the short-term interest rate futures contract used to calculate the futures equivalent position.


CCY


CCY is the currency of the short-term futures contract.


Contract delivery

Display only.



Delivery date

Display only.


Tick value

Display only.

Tick value is the size of one tick movement for the futures contract.

Graph AreaThe Graph area is used to display a graph of the futures equivalent analysis. Graphs may be printed and displayed in different formats.

Graph Area Layout

Details Area LayoutThe Details area is used to display the cash flow details for a selected contract delivery.


Details Area Layout


Contract delivery


Delivery date


Br



Deal number


Portfolio


Trader



Product


Product type


Security id


Date


Receipts


Payments


ANFE: ButtonsThe ANFE, Futures Equivalent Position - Bond Equivalent and the Futures Equivalent Analysis - Euro Equivalent screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANFE screen.

Processing Buttons

Get CCY


Chart Type

The Chart Type button is used to display a specific type of graph.

Futures

The Futures button is used to display the Futures area.

Get Futures

The Get Futures button is used to display futures static data on the Futures Area screen. To display futures static data, enter a short-term interest rate futures contract and currency. Select the Get Futures button.


Recalculate

The Recalculate button is used to recalculate a PVBP on the Futures Areas screen. Enter the price/DDE for a security id and select the Recalculate button.


ANFI: Fixed Income Analysis

IntroductionThe ANFI, Fixed Income Analysis workbook is used to display statistics and calculate weighted average prices and yields for long, short and open positions of selected cash flows.

Starting Fixed Income AnalysisTo access the ANFI, Fixed Income Analysis workbook, select Position Analyses from the Navigator categories.

Select Fixed Income from the category items.

Analysis Area



Cash flow file name





Refresh cash flow

Drop-down box.


Last analysis date

Display only.


Number of issues

Display only.

Number of issues is the total number of securities associated with the cash flows included in the analysis.

Rating agency 1


Rating agency 1 is the rating agency that assigns the security credit rating.

Securities are assigned credit ratings using the CRAT, Credit Rating Maintenance screen.

Ctrl + F2 lists valid rating agencies. The data must be previously entered using the CRDR, Customer Credit Rating Maintenance screen. To enter an item into the range, select it from the list.

Rating agency 2





Analysis Area Display Ranges

Issuer

Issuer is the issuer of the security.

Coupon rate

Coupon rate is the coupon rate of the security associated with the cash flow.


Maturity date

Maturity date is the final principal payment date and interest period end date for the security.

CCY

CCY is the currency in which the security (and security dividends, interest and closing price) is denominated.

Security id


Investment Type

Investment Type identifies the security inventory position as 'H' (hold to maturity), 'T' (trading), 'A' (available for sale), 'S' (short) or 'I' (issued).

Agency 1 rating

Agency 1 rating is the security credit rating assigned by rating agency 1.

Agency 2 rating


SIC of issuer

SIC of issuer is the standard industry code of the issuer of the security.

Next Call Date

Next Call Date is the next date the security can be called.

Active Call Date

Active Call Date is the call date when the security price is calculated.

Active Call Price

Active Call Price is the current price at which the security is called.

Next Put Date

Next Put Date is the next date the security is putable.

Active Put Date

Active Put Date is the put date when the security price is calculated.

Active Put Price

Active Put Price is the current price at which the security is put.


Long quantity

Long quantity is the total number of units in the long position.

Long amount

Long amount is the total face amount of the units in the long position.

Long position amount (local currency)

Long position amount (local currency) is the total face amount of the units in the long position, converted to base currency.

Long position avg. price

Long position avg. price is the weighted average price for an individual unit in the long position.

Long position avg. yield

Long position avg. yield is the weighted average yield for an individual unit in the long position.

Short quantity

Short quantity is the total number of units in the short position.

Short amount

Short amount is the total face amount of securities included in the short position.

Short position amount (local currency)

Short position amount (local currency) is the total face amount of the units in the short position, converted to base currency.

Short position avg. price

Short position avg. price is the weighted average price for an individual unit in the short position.

Short position avg. yield

Short position avg. yield is the weighted average yield for an individual unit in the short position.

Open position quantity

Open position quantity is the difference between the long quantity and the short quantity.

Open position amount

Open position amount is the difference between the long position amount and the short position amount.

Open position amount (local currency)

Open position amount (local currency) is the difference between the long position amount and the short position amount, converted to base currency.


Open position avg. price

Open position avg. price is the weighted average price for an individual unit in the open position.

Open position avg. yield

Open position avg. yield is the weighted average yield for an individual unit in the open position.

Bid price

Bid price is the bid price for the security.

Bid yield

Bid yield is the bid yield for the security.

Ask price

Ask price is the ask price for the security.

Ask yield

Ask yield is the ask yield for the security.

Current price

Current price is the clean closing price for the security.

Current yield

Current yield is the clean closing yield for the security.

Unrealized Gain/Loss

Unrealized Gain/Loss is the difference between the current price and the open position avg. price for the day.

Unrealized Gain/Loss (local currency)

Unrealized Gain/Loss (local currency) is the difference between the current price and the open position avg. price, converted to base currency.

Remaining Life

Remaining Life is the amount of time remaining in the life of the security.

Duration

Duration is the weighted average life of the security.

Modified duration

Modified duration is the sensitivity of the security's price to a change in its yield.


Convexity

Convexity is the rate of change in the sensitivity of the security's price to a change in its yield.

PVBP

PVBP is the price value of a one basis point yield increase for the security.

PVBP local CCY

PVBP local CCY is the price value of a one basis point yield increase for the security, in base currency.

Liquidity value

Liquidity value is the difference between the offer price and the bid price.

Liquidity rank

Liquidity rank identifies the liquidity as high, low or medium.

Liquidity ranks are maintained using the LQTM, Liquidity Target Maintenance screen.


Rates Area Layout


Rates Area Ranges

CCY

Display only.


Price/DDE



Mult./Div.

Display only.


Summary AreaThe Summary area is used to display summary statistics for fixed income positions based on specified criteria.

Summary Area Layout


Summary Area Ranges

Summarize by

Drop-down box.

Summarize by specifies how fixed income positions are aggregated (e.g., duration, modified duration).

Minimum value

Optional. Numeric, up to 5.4 digits or date format.

Minimum value is the minimum value required to include a fixed income position in the statistics summary. Only positions with a value greater than or equal to the minimum value and less than or equal to the maximum value are included in the summary.

Minimum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Maximum value


Maximum value is the maximum value required to include a fixed income position in the statistics summary. Only positions with a value greater than or equal to the minimum value and less than or equal to the maximum value are included in the summary.

Maximum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Increment


Increment is the value used to create aggregation points between the minimum and maximum values.

Increment must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Summary Area Display Ranges

Coupon rate

Coupon rate is the coupon rate for which fixed income positions are displayed. Coupon rate is displayed only if Summarize by is 'Coupon rate'.

CCY

CCY is the currency for which fixed income positions are displayed. CCY is displayed only if Summarize by is 'CCY'.

Issuer

Issuer is the customer for whom fixed income positions are displayed. Issuer is displayed only if Summarize by is 'Issuer'.


Agency 1 rating

Agency 1 rating is the agency 1 security credit rating for which fixed income positions are displayed. Agency 1 rating is displayed only if Summarize by is 'Agency 1 rating'.

Agency 2 rating


SIC of issuer

SIC of issuer is the standard industry code for which fixed income positions are displayed. SIC of issuer is displayed only if Summarize by is 'SIC of issuer'.

Values between

Values between is the aggregation group defined based on the minimum value, maximum value and increment for which fixed income positions are displayed. Values between is displayed only if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Liquidity rank

Liquidity rank is the liquidity value for which fixed income positions are displayed. Liquidity rank is displayed only if Summarize by is 'Liquidity'.

Number of issues

Number of issues is the total number of securities associated with the fixed income position.

Open position amount local CCY

Open position amount local CCY is the total open position for the securities, in base currency.

% of local CCY

% of local CCY specifies what percentage the open position amount local currency is of the total open position.

Coupon rate

Coupon rate is the average coupon rate of the securities associated with the fixed income position.


Long position avg. yield is the weighted average yield for an individual unit of the long positions.


Short position avg. yield is the weighted average yield for an individual unit of the short positions.


Open position avg. yield is the weighted average yield for an individual unit of the open positions.


Average Current Yield

Average Current Yield is the weighted average current yield of the securities associated with the fixed income position.


Unrealized Gain/Loss (local currency) is the sum of the unrealized gains and losses for the securities associated with the fixed income position.

Average Remaining Life

Average Remaining Life is the average amount of time remaining in the lives of the securities associated with the fixed income position.

Duration

Duration is the weighted average life of the securities associated with the fixed income position.

Modified duration

Modified duration is the weighted average modified duration of the securities associated with the fixed income position.

Convexity

Convexity is the weighted average convexity of the securities associated with the fixed income position.

PVBP local CCY

PVBP local CCY is the price value, in base currency, of a one basis point yield increase for the securities associated with the fixed income position.

Liquidity value

Liquidity value is the weighted average liquidity value of the securities associated with the fixed income position.

Total liquidity rank

Total liquidity rank is the overall liquidity rank for all securities associated with the fixed income position.

Graph AreaThe Graph area is used to display a graph of the fixed income position summary. Graphs may be printed.


Graph Area Layout

ANFI: ButtonsThe ANFI, Fixed Income Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANFL screen.

Processing Buttons

Get CCY



ANFS: Fixed Income Statistics Analysis

IntroductionThe ANFS, Fixed Income Statistics Analysis screen is used to display statistics and calculate weighted average prices and yields for long, short and open positions of selected cash flows.

Starting Fixed Income Statistics AnalysisTo access the ANFS, Fixed Income Statistics Analysis workbook, select Position Analyses from the Navigator categories.

Select Fixed Income Statistics from the category items.

Analysis Area




Cash flow file name





Refresh cash flow

Drop-down box.


Last analysis date

Display only.


Number of issues

Display only.

Number of issues is the total number of securities associated with the cash flows included in the analysis.

Rating agency 1





Rating agency 2






Issuer


Coupon rate

Coupon rate is the coupon rate of the security associated with the cash flow.


Maturity date


CCY

CCY is the currency in which the security (and security dividends, interest and closing price) is denominated.

Security id


Investment Type

Investment Type identifies the security inventory position as 'H' (hold to maturity), 'T' (trading), 'A' (available for sale), 'S' (short) or 'I' (issued).

Agency 1 rating


Agency 2 rating


SIC of issuer

SIC of issuer is the standard industry code of the issuer of the security.

Next Call Date

Next Call Date is the next date the security can be called.

Active Call Date

Active Call Date is the call date when the security price is calculated.

Active Call Price

Active Call Price is the current price at which the security is called.

Next Put Date

Next Put Date is the next date the security is putable.

Active Put Date

Active Put Date is the put date when the security price is calculated.

Active Put Price

Active Put Price is the current price at which the security is put.


Long quantity

Long quantity is the total number of units in the long position.

Long amount

Long amount is the total face amount of the units in the long position.

Long position amount (local currency)

Long position amount (local currency) is the total face amount of the units in the long position, converted to base currency.

Long position avg. price

Long position avg. price is the weighted average price for an individual unit in the long position.


Long position avg. yield is the weighted average yield for an individual unit in the long position.

Short quantity

Short quantity is the total number of units in the short position.

Short amount

Short amount is the total face amount of securities included in the short position.

Short position amount (local currency)

Short position amount (local currency) is the total face amount of the units in the short position, converted to base currency.

Short position avg. price

Short position avg. price is the weighted average price for an individual unit in the short position.


Short position avg. yield is the weighted average yield for an individual unit in the short position.

Open position quantity

Open position quantity is the difference between the long quantity and the short quantity.

Open position amount

Open position amount is the difference between the long position amount and the short position amount.

Open position amount (local currency)

Open position amount (local currency) is the difference between the long position amount and the short position amount, converted to base currency.


Open position avg. price

Open position avg. price is the weighted average price for an individual unit in the open position.


Open position avg. yield is the weighted average yield for an individual unit in the open position.

Bid price

Bid price is the bid price for the security.

Bid yield

Bid yield is the bid yield for the security.

Ask price

Ask price is the ask price for the security.

Ask yield

Ask yield is the ask yield for the security.

Current price

Current price is the clean closing price for the security.

Current yield

Current yield is the clean closing yield for the security.

Unrealized Gain/Loss

Unrealized Gain/Loss is the difference between the current price and the open position avg. price for the day.


Unrealized Gain/Loss (local currency) is the difference between the current price and the open position avg. price, converted to base currency.

Remaining Life

Remaining Life is the amount of time remaining in the life of the security.

Duration


Modified duration



Convexity


PVBP


PVBP local CCY

PVBP local CCY is the price value of a one basis point yield increase for the security, in base currency.

Liquidity value

Liquidity value is the difference between the offer price and the bid price.

Liquidity rank

Liquidity rank identifies the liquidity as high, low or medium.

Liquidity ranks are maintained using the LQTM, Liquidity Target Maintenance screen.


Rates Area Layout


Rates Area Ranges

CCY

Display only.


Price/DDE



Mult./Div.

Display only.


Summary AreaThe Summary area is used to display summary statistics for fixed income positions based on specified criteria.

Summary Area Layout


Summary Area Ranges

Summarize by

Drop-down box.

Summarize by specifies how fixed income positions are aggregated (e.g., duration, modified duration).

Minimum value


Minimum value is the minimum value required to include a fixed income position in the statistics summary. Only positions with a value greater than or equal to the minimum value and less than or equal to the maximum value are included in the summary.

Minimum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Maximum value


Maximum value is the maximum value required to include a fixed income position in the statistics summary. Only positions with a value greater than or equal to the minimum value and less than or equal to the maximum value are included in the summary.

Maximum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Increment


Increment is the value used to create aggregation points between the minimum and maximum values.

Increment must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.


Coupon rate

Coupon rate is the coupon rate for which fixed income positions are displayed. Coupon rate is displayed only if Summarize by is 'Coupon rate'.

CCY

CCY is the currency for which fixed income positions are displayed. CCY is displayed only if Summarize by is 'CCY'.

Issuer

Issuer is the customer for whom fixed income positions are displayed. Issuer is displayed only if Summarize by is 'Issuer'.


Agency 1 rating


Agency 2 rating


SIC of issuer

SIC of issuer is the standard industry code for which fixed income positions are displayed. SIC of issuer is displayed only if Summarize by is 'SIC of issuer'.

Values between

Values between is the aggregation group defined based on the minimum value, maximum value and increment for which fixed income positions are displayed. Values between is displayed only if Summarize by is 'Duration', 'Modified duration', 'Convexity', 'PVBP' or 'Maturity'.

Liquidity rank

Liquidity rank is the liquidity value for which fixed income positions are displayed. Liquidity rank is displayed only if Summarize by is 'Liquidity'.

Number of issues

Number of issues is the total number of securities associated with the fixed income position.

Open position amount local CCY

Open position amount local CCY is the total open position for the securities, in base currency.

% of local CCY

% of local CCY specifies what percentage the open position amount local currency is of the total open position.

Coupon rate

Coupon rate is the average coupon rate of the securities associated with the fixed income position.


Long position avg. yield is the weighted average yield for an individual unit of the long positions.


Short position avg. yield is the weighted average yield for an individual unit of the short positions.


Open position avg. yield is the weighted average yield for an individual unit of the open positions.


Average Current Yield

Average Current Yield is the weighted average current yield of the securities associated with the fixed income position.


Unrealized Gain/Loss (local currency) is the sum of the unrealized gains and losses for the securities associated with the fixed income position.

Average Remaining Life

Average Remaining Life is the average amount of time remaining in the lives of the securities associated with the fixed income position.

Duration

Duration is the weighted average life of the securities associated with the fixed income position.

Modified duration

Modified duration is the weighted average modified duration of the securities associated with the fixed income position.

Convexity

Convexity is the weighted average convexity of the securities associated with the fixed income position.

PVBP local CCY

PVBP local CCY is the price value, in base currency, of a one basis point yield increase for the securities associated with the fixed income position.

Liquidity value

Liquidity value is the weighted average liquidity value of the securities associated with the fixed income position.

Total liquidity rank

Total liquidity rank is the overall liquidity rank for all securities associated with the fixed income position.

Graph AreaThe Graph area is used to display a graph of the fixed income position summary. Graphs may be printed.


Graph Area Layout

ANFS: ButtonsThe ANFS, Fixed Income Statistics Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANFS screen.

Processing Buttons

Get CCY



ANDL: Deposit/Loan Analysis

IntroductionThe ANDL, Deposit/Loan Analysis workbook is used to calculate defined tenor structure, aggregated loan, deposit and open position weighted average interest rate exposures for cash flows generated using the following OPICS modules:

Deposits and Loans,


Internal Deals,


Swaps,

Fixed Income,

Financial Futures.

Starting Deposit/Loan AnalysisTo access the ANDL, Deposit/Loan Analysis workbook, select Position Analyses from the Navigator categories.

Select Deposit/Loan from the category items.


Analysis Area



Yield curve id


Yield curve id is the name of the yield curve used to discount notional amounts to present values. Only cash flows denominated in the yield curve currency are included in the analysis.


Shift seq




Quote type

Drop-down box.



Description

Display only.


Yield curve CCY




Analysis CCY




Analysis basis

Drop-down box.

Analysis basis is the interest rate basis used to evaluate deals. Valid bases are:

A360 (Actual/360) The number of days in the calculation period divided by 360.


Analysis end date




Cash flow file name





Refresh cash flow

Drop-down box.


Yield calc. date

Drop-down box.

Yield calc. date is the used to calculate the yield (rate) for fixed income transactions.

Spot date

Display only.


Last analysis date

Display only.


Totals

Display only.

Totals displays the following totals or averages for loans, deposits and open positions:

Loans Notional amount,

Average rate,

Sensitivity,

Current results,

NPV loans,

Loan duration.

Deposits Notional amount,

Average rate,

Sensitivity,

Current results,

NPV deposits,

Deposit duration.

Open Positions Notional amount,

Break even rate,

Sensitivity,

Contributing rate,


Current results,

NPV open.

Tenor




Tenor date


(Loans) Notional amount

(Loans) Notional amount is the total of the notional amounts for all loans maturing on the tenor date or during the tenor period.

(Loans) Average rate

(Loans) Average rate is the weighted average rate of all loans maturing on the tenor date or during the tenor period.

(Loans) Sensitivity

(Loans) Sensitivity is the sensitivity of the notional amount to a basis point shift in interest rates.

(Loans) Contributing rate

(Loans) Contributing rate is the current zero coupon rate of the specified yield curve for the tenor period.

(Loans) Current results

(Loans) Current results is an estimated profit/loss amount used to calculate the opportunity cost of loaning funds at the average rate versus investing funds at the current zero coupon rate of the specified yield curve.

(Loans) NPV loans

(Loans) NPV loans is the total of NPVs for all loans maturing on the tenor date or during the tenor period.

(Loans) Loan duration

(Loans) Loan duration is the average maturity of all processed loans.


(Deposits) Notional amount

(Deposits) Notional amount is the total notional amount of all deposits maturing on the tenor date or during the tenor period.

(Deposits) Average rate

(Deposits) Average rate is the weighted average rate of all deposits maturing on the tenor date or during the tenor period.

(Deposits) Sensitivity

(Deposits) Sensitivity is the sensitivity of the deposit notional amount to a basis point shift in interest rates.

(Deposits) Contributing rate

(Deposits) Contributing rate is the current zero coupon rate for of the specified yield curve for the tenor period.

(Deposits) Current results

(Deposits) Current results is an estimated profit/loss used to calculate the opportunity cost of accepting deposits at the weighted average rate versus borrowing funds at the current zero coupon rate of the specified yield curve.

NPV deposits

NPV deposits is the total of the NPVs for all deposits maturing on the tenor date or during the tenor period.

Deposits duration

Deposits duration is the average maturity of all processed deposits.

(Open Positions) Notional amount

(Open Positions) Notional amount is the net notional amount of all loans and deposits maturing on the tenor date or during the tenor period.

Break even rate

Break even rate is the rate required to break even from a difference in the loan average rate and the deposit average rate.

(Open Positions) Sensitivity

(Open Positions) Sensitivity is the sensitivity of the open position notional amount to a basis point shift in interest rates.

(Open Positions) Contributing rate

(Open Positions) Contributing rate is the current zero coupon rate of the specified yield curve.


(Open Positions) Current results

(Open Positions) Current results is the net of the loan current results and the deposit current results.

NPV open

NPV open is the net of the NPVs of all processed loans and deposits.

Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used in the deposit/loan analysis.



CCY


Yield curve id

Yield curve id is the name of the yield curve used to discount notional amounts to present values.

Shift seq




Quote type


Description


Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01




Details Area Layout


Tenor


Tenor date


Br



Deal number



Portfolio


Trader


Product


Product type


Security id


Date


Loans

Loans is the loan amount received on the maturity date.

Deposits

Deposits is the deposit amount paid on the maturity date.

Rate

Rate is the rate associated with the deposit or loan.


ANSR: Spot Risk Analysis

IntroductionThe ANSR, Spot Risk Analysis workbook is used to calculate spot equivalent positions to account for changes in the foreign exchange spot rate (assuming no changes occur in the currencies underlying the interest rate term structures).


Starting Spot Risk AnalysisTo access the ANSR, Spot Risk Analysis workbook, select Position Analyses from the Navigator categories.

Select Spot Risk from the category items.

Analysis Area



Cash flow file name





Refresh cash flow

Drop-down box.


CCY1


CCY1 is the first currency in the currency pair. CCY1 and CCY2 must be a valid currency pair displayed in the Rates area.


Yield curve id


Yield curve id is the name of the yield curve associated with CCY1.


Description

Display only.


Shift seq




Quote type

Drop-down box.

Quote type specifies whether the yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O). Discount factors must be previously generated for the specified quote type.

CCY2



CCY2 is the second currency in the currency pair. CCY1 and CCY2 must be a valid currency pair displayed in the Rates area.


Yield curve id




Description

Display only.


Shift seq




Quote type

Drop-down box.


Report CCY

Drop-down box.

Report CCY specifies the currency in which the cash flows are denominated.

Terms

Display only.

Terms specifies whether the CCY1 rate is divided into or multiplied by the foreign currency amount to calculate the CCY2 currency amount.

Hedge portfolio


Hedge portfolio is the portfolio used to separate the spot trades used to hedge the spot risk.

Unhedged CCY position

Display only.


Unhedged CCY position is the estimated spot risk of the report currency.

Tenor



Tenor date

Display only.


Net cash flow

Display only.

Net cash flow is the net amount of receipts and payments for the specified tenor period.

Risk adjusted flow

Display only.

Risk adjusted flow is the forward point adjusted net cash flow.

Spot risk

Display only.

Spot risk is the difference between the net cash flow and the risk-adjusted flow.

Points AreaThe Points area is used to calculate forward points for a specified currency pair based on the associated yield curves.


Points Area Layout

Points Area Ranges

CCY1

Display only.

CCY1 is the first currency in the currency pair.

Yield curve id

Display only.


Description

Display only.


Shift seq

Display only.




Quote type

Display only.


CCY2

Display only.

CCY2 is the second currency in the currency pair.

Yield curve id

Display only.


Description

Display only.


Shift seq

Display only.



Quote type

Display only.


Terms

Display only.


Tenor

Display only.


Tenor date

Display only.



CCY1 rate

Display only.

CCY1 rate is the implied interest rate for the first currency in the currency pair. CCY1 rate is calculated based on the associated yield curve.

CCY2 rate

Display only.

CCY2 rate is the implied interest rate for the second currency in the currency pair. CCY2 rate is calculated based on the associated yield curve.

Spot/Fwd. points

Display only.

Spot/Fwd. points is the spot price and forward points for the currency pair.

Offset


Offset is the amount of adjustment to the calculated forward points.

Fwd pts.

Display only.

Fwd pts. is the adjusted forward points calculated using the offset amount.



Rates Area Layout

Rates Area Ranges

CCY1

Display only.


CCY2

Display only.


Terms

Display only.


Price/DDE


Price/DDE is the spot rate of exchange between the currencies in the currency pair. Price/DDE may be entered spot rate or a link to a DDE live data feed.


Details AreaThe Details area is used to display cash flow details for a selected tenor.

Details Area Layout


Tenor


Tenor date


Br



Deal number


Portfolio


Trader



Product


Product type


Date


Receipts


Payments


ANSR: ButtonsThe ANSR, Spot Risk Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANSR screen.

Processing Buttons

Points

The Points button is used to display the Points area.

Get CCY



ANFX: Spot Risk Analysis (NPV)

IntroductionThe ANFX, Spot Risk Analysis (NPV) workbook is used to calculate spot equivalent positions to account for changes in the foreign exchange spot rate (assuming no changes occur in the currencies underlying the interest rate term structures).


Starting Spot Risk Analysis (NPV)To access the ANFX, Spot Risk Analysis (NPV) workbook, select Position Analyses from the Navigator categories.

Select Spot Risk (NPV) from the category items.

Analysis Area



Analysis CCY

Display only.


Analysis CCY is the currency of the cash flows included in the analysis and the implied yield curve. An analysis may be run for one currency at a time.

CCY spot


CCY spot is the spot rate of exchange between the analysis currency and the source rate currency.

CCY spot is based on the information entered in the Rates area.

Source rate CCY

Display only.

Source rate CCY is the currency of the source rates used to create the implied yield curve.

Analysis end date




Refresh cash flow

Drop-down box.


Cash flow file name




Spot date

Display only.

Spot date is the current branch processing date plus the spot number of days for the specified currency pair.

Last analysis date

Display only.



Totals

Display only.

Totals displays the most recent cumulative amount from the cumulative position exposure column, the total for the NPV of cash flow column and the total for the NPV in local currency column.

Tenor




Tenor date


Receipts


Payments


Net cash flow

Net cash flow is the net amount of receipts and payments for the specified tenor period.

Cumulative position exposure

Cumulative position exposure is the cumulative amount of the net cash flows for each tenor period calculated from near to far tenors.

NPV net cash flow

NPV net cash flow is the net present value (discounted to the spot date) of the calculated net cash flows.

NPV in source currency

NPV in source currency is the source currency equivalent value of the NPV cash flow amount. The source equivalent is converted at the CCY spot rate.

Implied Rates AreaThe Implied Rates area is used to edit exchange rates, to calculate implied interest rates, and to link currency spot rates to DDE live data feeds.


Implied Rates Area Layout

Implied Rates Area Ranges

Contract


Contract is the short-term interest rate futures contract used to create source implied interest rates.

Ctrl + F2 lists valid contracts. The data must be previously entered using the FCON, Financial Futures Contract Maintenance screen. To enter an item into the field, select it from the list.

CCY1


CCY1 is a currency in the currency pair. The combination of CCY1 and CCY2 must be a valid currency pair displayed in the Rates area.


CCY1 Basis

Drop-down box.

CCY1 basis is the interest rate basis of the money market rates for CCY1. The combination of CCY1 basis and CCY2 basis is used to calculate implied money market rates.

Valid bases are:




Terms

Display only.

Terms specifies whether the CCY1 spot rate is multiplied by or divided into the foreign currency amount to calculate the CCY2 amount.

CCY2




CCY2 Basis

Drop-down box.

CCY2 Basis is the interest rate basis of the money market rates for CCY2. The combination of CCY2 basis and CCY1 basis is used to calculate implied money market rates.

Valid selections for Analysis basis are:



CCY Spot

Display only.

CCY Spot is the spot rate of exchange between the analysis currency and the source rate currency.

Source rates

Drop-down box.

Source rates is the currency of the source rate used to create the implied yield curve.

Mty

Display only.

Mty is the tenor and/or the delivery code for the specified futures contract. If a contract is not entered, the default tenor structure is displayed.

Date

Display only.

Date is the tenor date or the interest end date of the delivery code for the specified futures contract.


Rate/price/DDE


Rate/price/DDE is the price for the futures contract. Rate/price/DDE may be an entered price or a link to a DDE live data feed.

Mty

Display only.

Mty is the tenor and/or the delivery code for the specified futures contract. If a contract is not entered, the default tenor structure is displayed.

Date

Display only.

Date is the tenor date or the interest end date of the delivery code for the specified futures contract.

Rate

Display only.

Rate is the rate used to calculate the source yield curve in the source currency. Rate is displayed when the Calc Source Rate button is selected.

Points/DDE


Points/DDE is the premium/discount point amount. Points/DDE may be an entered number (e.g., = 10, = -365) or a link to a DDE live data feed.

Rate

Display only.

Rate is the rate used to calculate the implied yield curve in the implied currency. Rate is entered when the Calc Implied Rate button is selected.

CCY/CTR pair date

Display only.

CCY/CTR pair date is the tenor date or the interest end date of the delivery code for the specified futures contract, validated against the holiday calendar for the specified currency pair.



Rates Area Layout

Rates Area Ranges

CCY1

Display only.


CCY2

Display only.


Terms

Display only.


Price/DDE


Price/DDE is the spot rate of exchange between CCY1 and CCY2 of the currency pair. Price/DDE may be an entered spot rate or a link to a DDE live data feed.


Graph AreaThe Graph area is used to display a graph of the spot risk analysis. Graphs may be printed and displayed in different formats.

Graph Area Layout



Details Area Layout


Tenor


Tenor date


Br



Deal number


Portfolio


Trader



Product


Product type


Security id


Date


Receipts


Payments


ANFX: ButtonsThe ANFX, Spot Risk Analysis (NPV) screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANFX screen.

Processing Buttons

Implied Rates

The Implied Rates button is used to display the Implied Rates area.

Get contract

The Get contract button is used to display delivery codes or tenors for the specified futures contract.

Calc Source Rate

The Calc Source Rate button is used to calculate source interest rates. To calculate source interest rates, enter futures static data and select the Calc Source Rate button.

Calc Implied Rates

The Calc Implied Rates button is used to calculate implied interest rates. To calculate implied interest rates, enter futures static data and source interest rates. Enter the forward points/DDE link and select the Calc Implied Rates button.


Get CCY

The Get CCY button is used to display all currency pairs for the current branch.


ANCG: Cumulative Gap Analysis

IntroductionThe ANCG, Cumulative Gap Analysis workbook is used to calculate gap positions for known cash flows.

Starting Cumulative Gap AnalysisTo access the ANCG, Cumulative Gap Analysis workbook, select Position Analyses from the Navigator categories.

Select Cumulative Gap from the category items.

Analysis Area



Yield curve id





Shift seq




Quote type

Drop-down box.


Description

Display only.


Yield curve CCY




Analysis CCY




Analysis basis

Drop-down box.




Analysis end date





Cash flow file name




Refresh cash flow

Drop-down box.


Spot date

Display only.


Last analysis date

Display only.


Analysis Type

Drop-down box.

Analysis Type is the type of gap analysis being run. Valid analysis types are:

On-Balance sheet,

Off Balance sheet,

Both.

Tenor





Tenor date


Assets

Assets is the total of the notional amounts for all assets maturing on the tenor date or during the tenor period.

Average rate

Average rate is the weighted average rate of assets maturing on the tenor date or during the tenor period.

Liabilities

Liabilities is the total of the notional amounts for all liabilities maturing on the tenor date or during the tenor period.

Average rate

Average rate is the weighted average rate of liabilities maturing on the tenor date or during the tenor period.

Matched balance

Matched balance is the liability notional amount balanced (matched) by an equivalent asset notional amount.

Spread

Spread is the average rate differential between the asset average rate and the liability average rate for the tenor.

Gap Balance

Gap Balance is the notional differential between the asset notional amount and the liability notional amount. An asset gap has a gap balance greater than zero. A liability gap has a gap balance less than zero (-).

Close out rate

Close out rate is the current zero coupon rate for the specified yield curve.

Gap net rate

Gap net rate is the average rate of the gap balance. Gap net rate is the asset average rate if the gap balance is greater than zero. Gap net rate is the liability average rate if the gap balance is less than zero.


Asset Cumulative

Asset Cumulative is the cumulative amount of gap assets.

Asset Cumulative avg rate

Asset Cumulative avg rate is the average rate of the asset cumulative amount.

Liability Cumulative

Liability Cumulative is the cumulative amount of gap liabilities.

Liability Cumulative avg rate

Liability Cumulative avg rate is the average rate of the liability cumulative amount.

Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used in the cumulative gap analysis.



CCY



Yield curve id


Shift seq



Quote type


Description


Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate



Discount factor_01


Zero coupon_01



Details Area Layout


Tenor


Tenor date



Br



Deal number


Portfolio


Trader


Product


Product type


Security id


Date


Loans

Loans is the loan amount received on the maturity date.

Deposits

Deposits is the deposit amount paid on the maturity date.

Rate

Rate is the rate associated with the deposit or loan.


ANEC: Euro Currency Consolidation Analysis

IntroductionThe ANEC, Euro Currency Consolidation Analysis workbook is used to display known cash flows in Euro currency equivalents for all financial instruments. Aggregated Euro cash flow payments and receipts are displayed and net present values are calculated in Euro currency.

The currencies and the Euro conversion rates used in the analysis are specified in the Rates area.


Cash flows are discounted based on a single yield curve specified in the Analysis area.

An end date may be specified for an analysis. Cash flows occurring after the specified end date are not included in the analysis.

Cash flows can be automatically extracted from the database when an analysis is rerun.

Euro-Currency Consolidation Analysis displays a graph of cash flows, and cumulative cash flows, denominated in both the specified currency and Euro.

Euro-Currency Consolidation Analysis can access cash flows from all OPICS modules, except the following:

Foreign Currency Drafts,

Foreign Currency Teller,

Precious Metals,

Equities.

Starting Euro Currency Consolidation AnalysisTo access the ANEC, the Euro Currency Consolidation Analysis workbook, select Position Analyses from the Navigator categories.

Select Euro Currency Consolidation from the category items.


Analysis Area



Yield curve id




Shift seq




Quote type

Drop-down box.



Description

Display only.


Yield curve CCY

Display only


Analysis end date




Refresh cash flow

Drop-down box.


Cash flow file name




Spot date

Display only.


Last analysis date

Display only.



Totals

Display only.

Totals displays the most recent cumulative amount from the cumulative net cash flow column, the total for the NPV of cash flow column and the total for the NPV in local currency column.

Tenor



Tenor date

Display only.


Receipts

Display only.


Payments

Display only.


Net cash flow

Display only.



Display only.


NPV of cash flow

Display only.

NPV of cash flow is the net present value (discounted to the spot or branch processing date depending on the specified yield curve) of the calculated net cash flows.





CCY


Yield curve id


Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01


Graph AreaThe Graph area is used to display a graph of the cash flow analysis. Graphs may be printed or displayed in different formats.


Graph Area Layout



Details Area Layout


Tenor


Tenor date


Br



Deal number


Portfolio



Trader


Product


Product type


Security id


Date


CCY


CCY amount

CCY amount is the amount of the cash flow, denominated in the yield curve currency.

Euro amount

Euro amount is the currency amount converted to Euro currency.

Rates AreaThe Rates area is used to enter the currencies and corresponding Euro conversion rates included in the analysis. Rates can be entered or linked to DDE live data feeds.


Rates Area Layout

Rates Area Ranges

CCY


CCY is the currency to include in the analysis.

Price/DDE


Price/DDE is the rate of exchange between the specified currency and the Euro currency. Price/DDE may be an entered spot rate or a link to a DDE live data feed.

Mult./Div.

Display only.

Mult./Div. specifies whether the rate is multiplied or divided into the currency amount to calculate the Euro currency amount.


ANFP: Foreign Exchange Position Analysis

IntroductionThe ANFP, Foreign Exchange Position Analysis worksheet is used to display a foreign exchange position and its corresponding local currency equivalent, outstanding profit or loss and its local equivalent, one-basis point risk and its local equivalent, and cost to carry and its local equivalent. The foreign currency position is displayed against a tenor structure. The tenor structure can be created manually using the Analysis worksheet or automatically using the Tenor Ladder function.

The Points worksheet in ANFP is used to calculate the forward points from currency and counter currency yield curves and spot rate. The forward points are used in the calculation of forward positions, profit or loss, one-basis point risk and cost to carry. The spot rate can be updated in real-time using a DDE capable link. Forward points can be adjusted by entering offsetting parameters.

The par rates for the currency and counter currency yield curves can be updated in real-time using DDE capable links.

Only deals entered in the Foreign Exchange module are displayed in ANFP.

Cash flows for the Foreign Exchange module must be selected by deal. This is an option in the Settings tab of the ACFS, Analytics Cash Flow Selection workbook.

The positions for Foreign Exchange deals that are non-deliverable forwards (NDF) are displayed according to the NDF position calculation date specified in the workbook. A NDF position calculation switch is included in the workbook. The NDF position calculation switch calculates the position display for the CCY Position and Base CCY Position columns. All FX deals that are not NDF are displayed according to their value date.

Fixed NDF deals are not displayed in ANFP.

The Tenor Ladder area is only available in version 5.1 and higher. It is not available in OPICS Analytics version 4.2.

Starting Foreign Exchange Position AnalysisTo access the ANFP, Foreign Exchange Position Analysis workbook, select Position Analyses from the Navigator categories.

Select Foreign Exchange from the category items.


Analysis Area



Analysis CCY

Display only.

Analysis CCY is the ISO currency code that identifies the currency of the cash flows. Analysis CCY is entered in the Points worksheet area. Cash flows analysis may be run for one currency at a time. Analysis CCY must be entered to select the Run Analysis button.

Analysis end date




Refresh cash flow

Drop-down box.

Refresh cash flow specifies whether the cash flow file is updated from the cash flow SQL file when the analysis is run. Refresh cash flow defaults to 'No'.

Base CCY

Display only.

Base CCY is the ISO currency code that identifies the base currency. Base CCY is determined by the yield curve entered in the Yield Curve Area.



NDF position calc.

Drop-down box.

NDF position calc. indicates whether NDF (non-deliverable forward) positions are displayed as of their fixing date or settlement date. NDF position calc. defaults to 'Fixing'.

Cash flow file name




Spot date

Display only.


Last analysis date

Display only.


Tenor



Tenor date

Display only.


CCY Position

Display only.

CCY Position is the currency amount, denominated in analysis currency. CCY Position is displayed for tenor points defined on the tenor ladder worksheet.


Base CCY Position

Display only.

Base CCY Position is the currency amount, denominated in Base CCY. Base CCY Position is displayed for tenor points defined on the tenor ladder worksheet.

CCY NPV

Display only.

CCY NPV is the net present value of the currency amount, denominated in the analysis currency. CCY NPV is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, CCY NPV is calculated using the settlement date of the deal.

Base CCY NPV

Display only.

Base CCY NPV is the net present value of the cash flows, denominated in the base currency. Base CCY NPV is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, Base CCY NPV is calculated using the settlement date of the deal.

CCY P/L

Display only.

CCY P/L is the profit or loss for the FX position, denominated in the analysis currency. CCY P/L compares the initial position at deal entry with the current market value. This value is displayed as an NPV amount based on the yield curve specified in the Points area. CCY P/L is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, CCY P/L is calculated using the settlement date of the deal.

Base CCY P/L

Display only.

Base CCY P/L is the profit or loss for the cash flow, denominated in the base currency. Base CCY P/L compares the initial position at deal entry with the current market value. This value is displayed as an NPV amount based on the yield curve specified in the Points area. Base CCY P/L is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, Base CCY P/L is calculated using the settlement date of the deal.

CCY DV01

Display only.

CCY DV01 is a one basis point shift in the profit/loss (P/L), denominated in the analysis currency. CCY DV01 is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, CCY DV01 is calculated using the fixing date of the deal.

Base CCY DV01

Display only.


Base CCY DV01 is a one basis point shift in the profit/loss (P/L), denominated in the base currency. Base CCY DV01 is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, Base CCY DV01 is calculated using the fixing date of the deal.

CCY Carry

Display only.

CCY Carry is the cost of carry, denominated in the analysis currency. Cost of carry measures the impact on P/L if a position is held for one more day. CCY Carry is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, CCY Carry is calculated using the fixing date of the deal.

Base CCY Carry

Display only.

Base CCY Carry is the cost of carry, denominated in the base currency. Cost of carry measures the impact on P/L if a position is held for one more day. Base CCY Carry is displayed for tenor points defined on the tenor ladder worksheet.

For NDF deals, Base CCY Carry is calculated using the fixing date of the deal.

Points AreaThe Points area is used to display the implied interest rates for the Analysis CCY and Base CCY yield curves, the forward points based on the two yield curves and an area to offset the calculated forward points.


Points Area Layout

Points Area Ranges

Analysis CCY


Analysis CCY is the currency code that identifies the currency of the yield curve and the cash flows of the analysis.


Yield curve id


Yield curve id designates the yield curve used to discount the known cash flows to present values. The currency of the yield curve selected determines the currency of the analysis. Only cash flows denominated in the yield curve currency are selected from the cash flow file for use in the analysis.


Description

Display only.



Shift seq


Shift seq is a sequential number that identifies whether the yield curve is a base yield curve or a shifted curve.


Quote type

Drop-down box.


Base CCY


Base CCY is the ISO currency code that identifies the base currency. Base CCY is determined by the yield curve entered in the Yield Curve Area.


Yield curve id


Yield curve id designates the yield curve used to discount the known cash flows to present values. The currency of the yield curve selected determines the currency of the analysis. Only cash flows denominated in the yield curve currency are selected from the cash flow file for use in the analysis.


Description

Display only.


Shift seq




Quote type

Drop-down box.



Terms

Display only.

Terms specifies whether the Analysis CCY amount is multiplied or divided by the exchange rate to calculate the Base CCY amount.

Tenor


Tenor is a designated maturity period used to calculate forward points. Tenor is entered as 'O/N', 'TOM', 'SPOT', or in the format 'nnX', where nn is the number of days, weeks, months or years and X is D (day), W (week), M (month) or Y (year).

Tenor date

Display only.


Analysis CCY rate

Display only.

Analysis CCY rate is the interest rate calculated from the Analysis CCY yield curve.

Base CCY rate

Display only.

Base CCY rate is the interest rate calculated from the Analysis CCY yield curve.

Spot/Fwd. points

Display only.

Spot/Fwd. points is the spot price and the calculated forward points derived from the Analysis CCY and Base CCY yield curves.

Offset


Offset adjusts the forward points calculation. Adjustments can be positive or negative.

Fwd. points

Display only.

Fwd. points is the calculated forward points, including adjustments from the offset column.


Analysis CCY Yield Curve AreaThe Analysis CCY Yield Curve Area is used to display maturity dates and discount factors for the Analysis CCY yield curve.

Analysis CCY Yield Curve Area Layout

Analysis CCY Yield Curve Area Ranges

CCY

Display only.

CCY is the currency of the yield curve. CCY also displays the currency of the analysis (i.e., cash flows) and the spot rate converting the flows to base currency equivalents.

Yield curve id

Display only.


Shift seq

Display only.




Quote type

Drop-down box.


Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop down box.

Regenerate Curve indicates whether the yield curve is regenerated to include modifications made on the yield curve worksheet.

Maturity

Display only.


Maturity date

Display only.



Rate type

Display only.

Rate type indicates the type of interest rate used in the construction of the yield curve. Valid rate types are 'Cash', 'Futures', 'FRA', 'Swap', 'Bond' and 'Spread'.

Rate type is blank if the tenor point is interpolated

Current rate

Required, Numeric, up to 3.6 digits.

Current rate is the interest rate generated from the yield curve.

Spread


Spread is the amount the current rate is adjusted for analysis. Spread can be DDE linked for real-time analysis.

Par rate


Par rate is the contributing interest rate used to calculate the discount factors for the specified yield curve. If a futures strip is used to create the yield curve, Par rate must be the futures prices (for Rate type 'Future').

DF tdy

Display only.

DF tdy is the discount factor associated with the yield curve generated on the current branch processing date.

DF yst

Display only.

DF yst is the discount factor associated with the yield curve generated on the previous branch processing date.

DF_01 tdy

Display only.

DF_01 tdy is the discount factor of the yield curve after the contributing rates are shifted up one basis point and generated on the current branch processing date.

DF_01 yst

Display only.

DF_01 yst is the discount factor of the yield curve after the contributing rates are shifted up one basis point and generated on the previous branch processing date.


Interpolated

Display only.

Interpolated indicates whether the tenor point is interpolated ('Y' for yes, 'N' for no).

Base CCY Yield Curve AreaThe Base CCY Yield Curve Area is used to display maturity dates and discount factors for the Base CCY yield curve.

Base CCY Yield Curve Area Layout

Base CCY Yield Curve Area Ranges

CCY

Display only.

CCY is the currency of the yield curve. CCY also displays the currency of the analysis (i.e., cash flows) and the spot rate converting the flows to base currency equivalents.

Yield curve id

Display only.



Shift seq

Display only.



Quote type

Display only.


Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop down box.

Regenerate Curve indicates whether the yield curve is regenerated to include modifications made on the yield curve worksheet.

Maturity

Display only.



Maturity date

Display only.


Rate type

Display only.

Rate type identifies the type of interest rate used in the construction of the yield curve. Valid rate types are 'Cash', 'Futures', 'FRA', 'Swap', 'Bond' and 'Spread'.

Rate type is blank if the tenor point is interpolated

Current rate


Current rate is the par rate generated from the yield curve. Current rate can be DDE linked for real-time analysis.

Spread


Spread is the amount the current rate is adjusted for analysis. Spread rate can be DDE linked for real-time analysis.

Par rate

Display only.

Par rate is the contributing interest rate used to calculate the discount factors for the specified yield curve. If a futures strip is used to create the yield curve, Par rate must be the futures prices (for Rate type 'Future').

DF tdy

Display only.

DF tdy is the discount factor associated with the yield curve generated on the current branch processing date.

DF yst

Display only.

DF yst is the discount factor associated with the yield curve generated on the previous branch processing date.

DF_01 tdy

Display only.

DF_01 tdy is the discount factor of the yield curve after the contributing rates are shifted up one basis point and generated on the current branch processing date.


DF_01 yst

Display only.

DF_01 yst is the discount factor of the yield curve after the contributing rates are shifted up one basis point and generated on the previous branch processing date.

Interpolated

Display only.


Rates AreaThe Rates area displays currencies, rates and terms for the currencies in the current branch. Exchange rates can be edited and live currency spot rates can be linked to live data feeds through DDE links.

Rates Area Layout

Rates Area Ranges

CCY

Display only.

CCY is the currency of the spot rate quote against the base currency of the branch.


Price/DDE



Mult./Div.

Display only.


Custom Tenor Ladder AreaThe Custom Tenor Ladder Area is used to define tenor ladders for use in the analysis. Up to fifty tenor rules may be included in the construction of a tenor ladder.

Custom Tenor Ladder Area Layout

Custom Tenor Ladder Area Ranges

Start date

Required.


Start date is the beginning date of the construction of the tenor ladder set. Valid entries are 'O/N', 'TOM', 'SPOT' or a numerical value followed by a 'D' (day), 'M' (month) or 'Y' (year).

Term/End date


Term/End date is the term of the tenor set or the last date for the construction of the tenor ladder set. Valid entries are:

Numerical values followed by a 'D' (day), 'M' (month) or 'Y' (year).

'E' designates the end of the month referred to by the previous tenor rule in the Term/End date column. For example, if the previous tenor is '10 March 2000' and an 'E' is placed in the next tenor rule, the date of that tenor is '31 March 2000'.

'X' designates the end of the year referred to by the previous tenor rule in the Term/End date column. For example, if the previous tenor is '10 November 2000' and an 'X' is placed in the next tenor rule, the date of that tenor is '31 December 2000'.

Tenor day

Optional.

Tenor day is the day of the tenor. The following are valid entries:

Numerical values between '1' and '31' indicate the day of the month (if Term interval is 'Monthly') or day of the week (if Term interval is 'Weekly' and the value entered is less than or equal to '7').

'E' designates the end of the month referred to by the previous tenor rule in the Term/End date column. For example, if the previous tenor is '10 March 2000' and an 'E' is placed in the next tenor rule, the date of that tenor is '31 March 2000'.

Tenor interval

Required. Combo box.

Tenor interval is the date interval of the tenor. Valid tenor intervals are:

Daily,

Weekly,

Monthly,

Annual.

Tenor addition

Optional.

Tenor addition is used to add specific tenors or dates to the construction of the tenor ladder. Valid entries are 'O/N', 'TOM' or 'SPOT', or numerical values followed by a 'D' (Day), 'M' (Month) or 'Y' (Year), or a specific date.

Tenor display

Display only.

Tenor display is the current tenor construction.



Details Area Layout


Tenor

Tenor is a designated maturity value used to group cash flows. Tenor is entered manually in the format nnX where nn is the number of days, months or years and X is 'D' (day), 'W' (week) or 'Y' (year). 'SPOT' also is a valid entry. The template workbook contains a default tenor structure for the analysis.

Tenor date


Br



Deal number



Portfolio


Trader

Trader is the trader who makes the deal.

Product

Product identifies the product module associated with the deal (e.g., 'DPNL' for Deposits and Loans).

The combination of product code and product type identifies a specific financial instrument. For example, 'FXD' is a valid product code for foreign exchange.

Product type

Product type identifies the products within the product module associated with the deal (e.g., 'TD' for time deposits).

The combination of product code and product type identifies a specific financial instrument. For example, 'FX' is a valid type for foreign exchange.

CCY/CTR

CCY/CTR is the currency pair associated with the foreign exchange deal number.

Position

Position is the currency amount, denominated in analysis currency. Position is displayed for tenor points selected on the tenor ladder worksheet.

P/L

P/L is the profit or loss for the FX position, denominated in the analysis currency. This value is displayed as an NPV amount based on the yield curve specified in the Points area. P/L is displayed for tenor points selected on the tenor ladder worksheet.

DV01

DV01 is a one basis point shift in the profit/loss (P/L), denominated in the analysis currency. DV01 is displayed for tenor points selected on the tenor ladder worksheet.

Carry

Carry is the cost of carry, denominated in the analysis currency. Cost of carry measures the impact on P/L if a position is held for one more day. Carry is displayed for tenor points selected on the tenor ladder worksheet.

ANFP: ButtonsThe ANFP, The ANFP, Foreign Exchange Position Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANFP screen.


Processing Buttons

Points

The Points button is used to display the forward points, maturity dates and implied interest rates of Analysis CCY and Base CCY.

Tenor Ladder

The Tenor Ladder button is used to display or build a custom tenor ladder. An operator can enter a specific date or tenor designation by selecting a tenor day, tenor interval, start date and end date.

Calculate

The Calculate button is used to recompute the local currency equivalent of the present valued cash flows of the analysis.

Get Rates

The Get Rates button is used to retrieve rate information.

Construct Ladder

The Construct Ladder button is used to create a tenor ladder according to the start date, end date, tenor day and tenor interval specified by the operator.


ANCT: Cost to Close Analysis

IntroductionThe ANCT, Cost to Close Analysis worksheet is used to evaluate and quantify a portfolio’s profitability using current market rates. A portfolio’s profitability is measured in three ways:

Closed Position NRFF (Net Revenue from Funds) is the locked-in profit or loss for the matched portion between assets and liabilities of a tenor bucket. Closed Position NRFF is calculated by multiplying the matched balance by the spread between the average asset interest rate and the average liability interest rate.

Open Position NRFF is the profit or loss for the unmatched portion of a tenor bucket. Open Position NRFF is made up of two sections. The first is the amount of interest income (for assets) or expense (for liabilities) involved in closing the unmatched notional amounts. The second is the inclusion of the current interest income or interest expense in the unmatched notional amounts.

Total Position NRFF is the sum of Closed Position NRFF and Open Position NRFF. This amount is the total income or expense derived from the current position.

ANCT also calculates two sensitivity measures. The first measure is an average outstanding gap’s sensitivity to a positive one-basis point shift. The second measure is an average outstanding gap’s sensitivity to a negative one-basis point shift calculated using the cumulative number of days of each tenor.

The ANCT workbook differs from other Analytic workbooks in terms of tenor ladder creation. In ANCT, an operator can create a tenor ladder using standard tenors, actual dates or a combination of both. For example, a standard tenor is ‘1M’ or ‘6M’. In ANCT, an operator may specify an actual date, such as ‘15 Jun 1999’. Entering a specific date causes the corresponding tenor date to match the date entered as the tenor. In addition, the tenor designation ‘E’ is available to specify the end of month referred to by the previous tenor date. For example, if the ‘1W’ tenor date is ‘2 Feb 1999’, the ‘E’ tenor designation signals a date of ‘28 Feb 1999’.

ANCT buckets the deal notional amounts in a far to near manner across the tenor bucket structure (as is done in the ANCG, Cumulative Gap Analysis workbook). However, deal notional amounts that mature on a date other than the tenor date of the maturity bucket are pro-rated. The pro-rated notional amount is calculated by multiplying the notional amount by the number of days between the start of the tenor bucket and the deal’s maturity date.

Starting Cost to Close AnalysisTo access the ANCT, Cost to Close Analysis workbook, select the ANCT Excel workbook from the Analytics directory.


Analysis Area



Yield curve id


Yield curve id is the name of the yield curve used to specify the market bid and offered rates. The yield curve range must be entered before Run Analysis is selected. Yield curve id used must be generated with both bid rates and offered rates. These rates are created and maintained on the YCRT, Closing Rate Maintenance screen and on the YCRS, Yield Curve Rate Selection screen.


Shift seq




Description

Display only.


Yield curve CCY





Analysis CCY




Analysis basis

Drop-down box.




Analysis end date




Cash flow file name




Refresh cash flow

Drop-down box.


Spot date

Display only.



Last analysis date

Display only.


Analysis Type

Drop-down box.

Analysis type is the type of gap analysis run. Valid analysis types are:

On-Balance sheet,

Off Balance sheet,

Both.

Totals

Display only.

Totals displays the sum of Closed Position NRFF, Open Position NRFF, Total Position NRFF, Sensitivity to 1% rate change, and Yield Curve sensitivity.

Tenor



Tenor also can be entered as a specific date. For example, July 15, 1999 can be entered as '15 Jul 1999' or '7/15/99'.

‘E’ is a valid tenor. ‘E’ specifies the end of the month referred to by the previous tenor date. For example, if the ‘1W’ tenor date is ‘2 Feb 1999’ and an ‘E’ tenor is displayed after ‘1W’ tenor, ‘28 Feb 1999’ is used as the tenor date.

A default set of tenors is provided in the analysis.

Tenor date

Display only.


Market bid rate

Display only.

Market bid rate is the bid par rate from the designated yield curve.


Market offered rate

Display only.

Market offered rate is the offered par rate from the designated yield curve.

Net Avg. Gap Outstanding

Display only.

Net avg. gap outstanding is the gap associated with the netting of the average assets outstanding and the average liabilities outstanding.

Average breakeven rate

Display only.

Average breakeven rate is the rate required to break even due to a rate mismatch for a given tenor.

Average market rate

Display only.

Average market rate is the weighted average of the market rates at which the outstanding gap is closed.

Closed Position NRFF

Display only.

Closed Position NRFF is the locked-in profit or loss associated with the matched portion between assets and liabilities of a tenor bucket. Closed Position NRFF is calculated by multiplying the matched balance by the spread between the average asset interest rate and the average liability interest rate.

Open Position NRFF

Display only.

Open Position NRFF is the profit or loss associated with the unmatched portion of a tenor bucket. Open Position NRFF is made up of the amount of interest income (for assets) or expense (for liabilities) involved in closing the unmatched notional amounts and the inclusion of the current interest income or interest expense in the unmatched notional amount.

Total Position NRFF

Display only.

Total Position NRFF is the sum of Closed Position NRFF and Open Position NRFF. Total Position NRFF is the total income or expense derived from the current position.

Sensitivity to 1% rate change

Display only.

Sensitivity to 1% rate change is the average outstanding gap’s sensitivity to a positive one-basis point shift.


Discounted EAR

Display only.

Discounted EAR is the net present value of the gap sensitivity to 1% change in the interest rates.

Yield curve sensitivity

Display only.

Yield curve sensitivity is the average outstanding gap’s sensitivity to a negative one-basis point shift, calculated using the cumulative number of days of each tenor.

Net change

Display only.

Net change is the difference between Outstanding Gap at month end for the current tenor and Outstanding Gap at month end for the following tenor.

Outstanding Gap at month end

Display only.

Outstanding Gap at month end is the non-averaged cumulative asset or liability gap at the end of the tenor period.

Bid Yield Curve AreaThe Bid Yield Curve Area is used to display information for the yield curve used in the cash flow analysis. Maturity dates and discount factors for the selected yield curve are displayed in this area.

Bid Yield Curve Area Layout


Bid Yield Curve Area Display Ranges

CCY

CCY is the currency of the yield curve. CCY also determines the currency of the analysis (i.e., cash flows) and the spot rate converting the flows to base currency equivalents.

Yield curve id

Yield curve id identifies the yield curve used to discount the known cash flows to present values.

Shift seq.

Shift seq. is the sequence number assigned by OPICS to the yield curve. Shift seq defaults to ‘000’ for the base (unshifted) curve. Shift sequence is displayed when a yield curve is selected.

Description

Description is the text that describes the yield curve. The yield curve description is displayed when a yield curve is retrieved from the database.

Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate



Discount factor_01


Zero coupon_01


Offer Yield Curve AreaThe Offer Yield Curve Area is used to display information for the yield curve used in the cash flow analysis. Maturity dates and discount factors for the selected yield curve are displayed in this area.

Offer Yield Curve Area Layout

Offer Yield Curve Area Display Ranges

CCY


Yield curve id


Shift seq




Description


Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01




Details Area Layout


Tenor


Tenor date


Br



Deal number



Portfolio


Trader


Product


Product type


Sec id

Sec id identifies the security associated with the cash flow.

Date


Receipts


Payments



Chapter 6 Risk Reporting


IntroductionThe Analytics workbooks and OPICS screen used to report market and credit risk in a group of exposures are:

The ANVR, Value at Risk workbook is used to calculate and display market risk based on selected cash flows and volatility/correlation data imported from external sources.

The ANEX, Exposure Analysis workbook is used to calculate and display credit equivalent exposure and gross exposure for active or pending OPICS deals.

The ANSA, Scenario Analysis workbook is used to measure interest rate sensitivity for selected cash flows for yield curve rate shift scenarios.

The ANTS, Tenor Sensitivity Analysis workbook is used to calculate and display the effects of an interest rate shock to one or more tenor points

The RPRA, FX Risk Position Report screen is used to display currency exposure based on on-balance and off-balance positions in currencies other than the branch base currency.


ANVR: Value at Risk

IntroductionThe ANVR, Value at Risk workbook is used to calculate and display market risk based on selected cash flows and volatility/correlation data imported from external sources. Value at Risk calculates market risk using a parametric risk measurement approach similar to JP Morgan's Risk Metrics™ methodology.

Cash flows may be accessed from all OPICS modules except FX Teller, FX Drafts, Precious Metals and Equities.


ANVR Worksheets

Analysis

The Analysis worksheet is used to calculate and display the correlated and uncorrelated maximum expected losses (within a specified confidence level) over a 1 day (or longer) holding period for a group of exposures.

Mapping

The Mapping worksheet is used to associate OPICS maturities and systems with Value at Risk dataset asset maturities.

Convert File Base CCY

The Convert File Base CCY worksheet is used to convert correlation and volatility files from one currency to another.

Correlation and Volatility File Header

The Correlation and Volatility File Header worksheet is used to identify the correlation and volatility files used in the analysis.

Starting Value at RiskTo access the ANVR, Value at Risk workbook, select Risk Reports from the Navigator categories.

Select DEaR/VaR from the category items.

Selecting ANVR WorksheetsSelect one of the following tabs at the bottom of the ANVR, Value at Risk workbook:

VaR Analysis,

Mapping,

Convert CCY,

File Header.


ANVR: VaR Analysis

IntroductionThe VaR Analysis worksheet is used to calculate and display the correlated and uncorrelated maximum expected losses (within a specified confidence level) over a one day (or longer) holding period for a group of exposures.

Correlated risk is calculated using the following:

the mapping structure defined on the Mapping worksheet,

the data in the cash flow file correlated with other assets,

volatility factors and the correlation matrix from the correlation and volatility file header.

Uncorrelated risk is calculated using the following:

the mapping structure defined on the Mapping worksheet,

the data in the cash flow file,

the volatility factors from the correlation and volatility file header.

Uncorrelated risk is more conservative than correlated risk.

Starting VaR AnalysisTo access the ANVR, Value at Risk workbook, select Risk Reports from the Navigator categories. Select DEaR/VaR from the category items.

Select the VaR Analysis tab at the bottom of the ANVR, Value at Risk workbook.


Analysis Area



Cash flow file name




Refresh cash flow

Drop-down box.


VaR dataset name



VaR dataset name is the name of the header file that references the correlation and volatility files required to generate market risk measures. VaR dataset name includes the location and name of the header file.

Ctrl + F2 lists valid VaR datasets. The data must be previously entered using the Correlation and Volatility File Header worksheet in the ANVR, Value at Risk Analysis workbook. To enter an item into the range, select it from the list.

Include initial cash flows

Drop-down box.

Include initial cash flows indicates whether to include or exclude initial cash flows for Fixed Income and Deposit and Loans deals in the value at risk calculation.

Description

Display only.

Description is text that describes the VaR dataset file.

Confidence interval

Display only.

Confidence interval is the statistical level of certainty that the actual result is within the interval specified by the calculated results, based on the current dataset volatilities.

Analysis CCY

Display only.

Analysis CCY is the currency of the correlated and uncorrelated risk.


Data type

Display only.

Data type is the standard used to calculate risk. Valid data types are:

RM JP Morgan's Risk Metrics™

B.I.S Bank for International Settlements capital adequacy standard

Other Operator defined.

File date

Display only.

File date is the date of the data in the correlation and volatility file header.

(Uncorrelated Risk) VaR term


(Uncorrelated Risk) VaR term is the number of days for which uncorrelated value at risk is calculated. VaR term is entered in the format 'xxxD', where xxx is the number of days and D is the tenor.


The first VaR term is based on the number of days specified in the data file used to generate the market risk measure. Subsequent VaR terms must be greater than the first VaR term.

(Uncorrelated Risk) Confidence interval


(Uncorrelated) Confidence interval is the statistical level of certainty that the actual uncorrelated risk is within the interval specified by the calculated results. Confidence interval is entered as a number between '0' and '100'.

(Correlated Risk) VaR term


(Correlated) VaR term is the number of days for which correlated value at risk is calculated. VaR term is entered in the format 'xxxD', where xxx is the number of days and D is the tenor.

The first VaR term is based on the measurement days of the data file used to create the risk number. Subsequent VaR terms must be greater than the first VaR term.

(Correlated Risk) Confidence interval


(Correlated) Confidence interval is the statistical level of certainty that the actual correlated risk is within the interval specified by the calculated results. Confidence interval is entered as a number between '0' and '100'.

Details AreaThe Details area is used to display the risk details for a selected confidence interval.

Details Area Layout



Cash flow file name

Cash flow file name is the name of the file containing the cash flows included in the analysis. Cash flow file name includes the location and name of the file.

VaR dataset name


Description


Confidence interval


Analysis CCY

Analysis CCY is the currency of the correlated and uncorrelated risk.

Data type

Data type is the standard used to calculate risk.

Valid data types are:




File date


Totals

Totals is the total risk for the financial instrument in the corresponding column.

Tenor

Tenor is a designated maturity value of the calculated value at risk.

Tenor date

Tenor date is the date of the specified tenor.


Foreign exchange

Foreign exchange is the summary spot foreign exchange risk for the specified tenor.

Money market

Money market is the summary money market risk for the specified tenor.

Fixed income

Fixed income is the summary fixed income risk for the specified tenor.

Repos

Repos is the summary repo risk for the specified tenor.

Internal deals

Internal deals is the summary internal deal risk for the specified tenor.

Swaps

Swaps is the summary swap risk for the specified tenor.

FRAs

FRAs is the summary FRA risk for the specified tenor.

Options

Options is the summary of over the counter and exchange traded option risk for the specified tenor.

Futures

Futures is the summary futures risk for the specified tenor.

Fees

Fees is the summary fee risk for the specified tenor.

Equity

Reserved for future use.

Commodities


Other

Other is the summary risk of other (not itemized) financial instruments for the specified tenor.

Totals

Totals is the total risk for the specified tenor.


Graph AreaThe Graph area is used to display a graph of the value at risk analysis. Graphs may be printed and displayed in different formats.

Graph Area Layout


ANVR: Mapping

IntroductionThe ANVR, Mapping worksheet is used to enter and maintain static data required to map OPICS deals to asset class and maturity structures in the correlation and volatility files.

The asset class and maturity structures must be consistent with the Risk Metrics correlation and volatility files.

Starting MappingTo access the ANVR, Value at Risk workbook, select Risk Reports from the Navigator categories. Select DEaR/VaR from the category items.

Select the Mapping tab at the bottom of the ANVR, Value at Risk workbook.

Mapping Area

Mapping Area Layout

Mapping Area Ranges

CCY



CCY is the currency or commodity for which correlation and volatility data is entered.

Default currency/commodity codes are:

CAD Canadian dollar ITL Italian lira

USD US dollar NLG Dutch guilder

ATS Austrian schilling NOK Norwegian kroner

BEF Belgian franc PTE Portuguese escudo

CHF Swiss franc SEK Swedish krona

DEM Deutsche mark XEU ECU

DKK Danish kroner AUD Australian dollar

ESP Spanish peseta HKD Hong Kong dollar

FIM Finnish mark JPY Japanese yen

FRF French franc NZD New Zealand dollar

GBP Sterling SGD Singapore dollar

IEP Irish punt ALU Aluminum

COP Copper GAS Natural gas

GLD Gold HTO NY #2 heating oil

NIC Nickel PLA Platinum

SLV Silver UNL Unleaded gas

WTI WTI crude oil ZNC Zinc

OPICS mty


OPICS mty is the tenor for which correlation and volatility data is entered. OPICS mty is the designated maturity for the value at risk calculation.

Asset maturity


Asset maturity is a code that references the correlation and volatility data for the specified currency/commodity and tenor.

Default OPICS tenors (maturities) and their corresponding asset maturity codes include the following:

Maturity FX Money Mkt. Swaps Bonds Equities Commodities

Spot XS SE C00

1M R030

3M R090 C03

6M R180 C06

12M R360 C12

15M C15

18M C18

2Y S02 Z02 C24


27M C27

3Y S03 Z03 C36

4Y S04 Z04

5Y S05 Z05

7Y S07 Z07

9Y S09 Z09

10Y S10 Z10

15Y Z15

20Y Z20

30Y Z30

OPICS SYST


OPICS SYST identifies the database table where deals of the specified currency/commodity are maintained in OPICS.

Default entries for OPICS SYST are:

SYST Module

FXDH Foreign Exchange

SECM Fixed Income

OTDT OTC

ETDH Exchange Traded

FXIH Internal Deals

FEES Fees

RPRH Repo/Reverse

SWDH Swaps

SWOP Swap Options

CPFL Caps/Floors

DLDT Deposit and Loans

FFDH Futures

FRDT FRAs

ACCT Call and Notice

Contract code


Contract code identifies the security underlying futures contracts.

Beta



ANVR: Convert File Base CCY

IntroductionThe Convert File Base CCY worksheet is used to convert correlation and volatility files from one currency to another.

Starting Convert File Base CCYTo access the ANVR, Value at Risk workbook, select Risk Reports from the Navigator categories. Select DEaR/VaR from the category items.

Select the Convert CCY tab at the bottom of the ANVR, Value at Risk workbook.

Convert File Base CCY Area

Convert File Base CCY Area Layout

Convert File Base CCY Area Ranges

(Source) VaR dataset name



(Source) VaR dataset name is the name of the header file that references the correlation and volatility files to convert to a different currency. VaR dataset name includes the location and name of the header file.


(Source) Description

Display only.

(Source) Description is text that describes the VaR dataset file.

File date

Display only.


File base CCY

Display only.

File base CCY is the base currency of the correlation and volatility files.

(Source) Volatility File path/name

Display only.

(Source) Volatility File path/name is the name of the volatility file to convert to a different currency. Volatility File path/name includes the location and name of the volatility file.

(Source) Correlation File path/name

Display only.

(Source) Correlation File path/name is the name of the correlation file to convert to a different currency. Correlation File path/name includes the location and name of the volatility file.

Holding Period

Display only.

Holding Period is the holding period used to calculate the imported volatility numbers.

The Risk Metrics™ trading day dataset, the Risk Metrics™ investing dataset and the Regulatory dataset use a one day holding period.

Data type

Display only.






Confidence interval

Display only.



Display only.

Last maintenance date is the date the file header is created for the correlation and volatility files.

(Conversion) VaR dataset name


(Conversion) VaR dataset name is the name of the header file that references the converted correlation and volatility files. VaR dataset name includes the location and name of the header file.

(Conversion) Description


(Conversion) Description is the text description of the VaR dataset file.

Analysis CCY


Analysis CCY is the new (conversion) base currency of the correlation and volatility files.


(Conversion) Volatility File path/name


(Conversion) Volatility File path/name is the name of the converted volatility file. Volatility File path/name includes the location and name of the volatility file.

(Conversion) Correlation File path/name

Required. Alphanumeric, up to 50 characters

(Conversion) Correlation File path/name is the name of the converted correlation file. Correlation File path/name includes the location and name of the correlation file.


ANVR: Correlation and Volatility File Header

IntroductionThe Correlation and Volatility File Header worksheet is used to enter and maintain static data about the correlation and volatility files used for value at risk calculations (e.g., location, currency).

Correlation and volatility files must be in a comma delimited format with the structure of RiskMetrics correlation and volatility files.

Starting Correlation and Volatility File HeaderTo access the ANVR, Value at Risk workbook, select Risk Reports from the Navigator categories. Select DEaR/VaR from the category items.

Select the File Header tab at the bottom of the ANVR, Value at Risk workbook.

Correlation and Volatility File Header Area

Correlation and Volatility File Header Area Layout

Correlation and Volatility File Header Area Ranges

VaR dataset name





Description



File date


File date is the date of the data in the correlation and volatility file header. File date defaults to the branch processing date.


File base CCY


File base CCY is the base currency of the correlation and volatility files. File base CCY defaults to 'USD'.


Volatility File path/name


Volatility File path/name is the name of the volatility file required to generate market risk measures. Volatility File path/name includes the location and name of the volatility file.

Ctrl + F2 lists valid volatility file names. To enter an item into the range, select it from the list.

Correlation File path/name


Correlation File path/name is the name of the correlation file required to generate market risk measures. Correlation File path/name includes the location and name of the correlation file.

Ctrl + F2 lists valid Correlation File path/names. To enter an item into the range select it from the list.

Holding Period


Holding Period is the holding period used to calculate the imported volatility numbers. Holding period is entered in the format 'xxxD', where xxx is the number of days.

The Risk Metrics™ trading day dataset, the Risk Metrics™ investing dataset and the Regulatory dataset use a one day holding period.


Data type

Drop-down box.





Confidence interval

Required. Alphanumeric, up to 2.2 characters.


Confidence interval defaults to '95'.


Display only.

Last maintenance date is the date the file header is created for the correlation and volatility file.

ANVR: ButtonsThe ANVR, Value at Risk workbook screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANVR screen.

Processing Buttons

Asset

The Asset button is used to display a graph of the risk analysis details by asset class.

Maturity

The Maturity button is used to display a graph of the risk analysis details by maturity ladder.

Asset/Maturity

The Asset/Maturity button is used to display a graph of the risk analysis details by both asset class and maturity ladder.

Convert

The Convert button is used to convert a correlation and volatility file. To convert the file, enter the VaR dataset name, analysis currency, volatility file path/name and correlation file path/name for the converted file. Select the Convert button.


ANEX: Exposure Analysis

IntroductionThe ANEX, Exposure Analysis workbook is used to calculate and display credit equivalent exposure and gross exposure for active or pending OPICS deals.

Exposures are summarized using operator specified criteria.

Counterparty risk weighting factors may be specified for each customer to calculate the 'risk-weighted exposure' to the customer (from the credit equivalent exposure).

Exposure analysis may include exposure flows from deals entered using the following OPICS modules:

Deposits and Loans (asset deals),

Foreign Exchange,

Fixed Income (security positions),



Swaps,

OTC Options (FX purchases, FX sales, fixed income purchases),

Swap Options (purchased deals, sold putable deals and sold put/call deals that settle as swap transactions when exercised),

Caps and Floors (purchased deals),

Call and Notice (asset accounts).

Starting Exposure AnalysisTo access the ANEX, Exposure Analysis workbook, select Risk Reports from the Navigator categories.

Select Credit Risk from the category items.


Analysis Area



Exposure flow file name


Exposure flow file name is the name of the file containing the exposure flows included in the analysis. Exposure flow file name includes the location and name of the file.

Ctrl + F2 lists valid exposure flow files. The data must be previously entered using the Exposure Flow worksheet in the ACFS, Cash Flow Selection workbook. To enter an item into the range, select it from the list.

Refresh cash flow

Drop-down box.

Refresh cash flow specifies whether the exposure flow file is updated from the exposure flow SQL file when the analysis is run.

Report CCY


Report CCY is the currency in which exposure amounts are denominated.

Report CCY defaults to the base currency for the branch.


Rating agency 1


Rating agency 1 is the rating agency that assigns the customer credit rating.


Rating agency 2


Rating agency 2 is the rating agency that assigns the customer credit rating.


Last analysis date

Display only.


Number of customers

Display only.

Number of customers is the total number of customers for whom exposure is calculated.

Customer

Display only.

Customer is the name of the customer for whom exposure is calculated based on the exposure flows contained in the specified exposure flow file.

Customer number

Display only.

Customer number is the customer number on each exposure flow in the exposure flow file.

Risk weighting


Risk weighting is a percentage multiplied by credit exposure amounts to calculate risk weighted exposure amounts.

Risk weighting is entered as a percentage (e.g., '50' for 50.00%).

Risk weighting defaults to '100.00'. Risk weighting may be amended after the exposure analysis is run.

Agency 1 rating


Agency 1 rating is the customer credit rating assigned by Rating Agency 1.


Customer credit ratings are maintained using the CRDR, Customer Credit Rating Maintenance screen.

Agency 2 rating


Agency 2 rating is the customer credit rating assigned by Rating Agency 2.

Customer credit ratings are maintained using the CRDR, Customer Credit Rating Maintenance screen.

(Committed Deals) Gross exposure

Display only.

(Committed Deals) Gross exposure is the total gross exposure for all active and forward-valued deals with the specified customer (from the exposure flow file).

(Committed Deals) Credit equivalent exposure

Display only.

(Committed Deals) Credit equivalent exposure is the total credit equivalent exposure for all active and forward-valued deals with the specified customer (from the exposure flow file).

(Committed Deals) Risk weighted exposure

Display only.

(Committed Deals) Risk weighted exposure is the product of the risk weighting and credit equivalent exposures for active and forward-valued deals for the specified customer.

(Utilized Deals) Gross exposure

Display only.

(Utilized Deals) Gross exposure is the total gross exposure for all currently active deals for the specified customer (from the exposure flow file).

(Utilized Deals) Credit equivalent exposure

Display only.

(Utilized Deals) Credit equivalent exposure is the total credit equivalent exposure for all currently active deals for the specified customer (from the exposure flow file).

(Utilized Deals) Risk weighted exposure

Display only.

(Utilized Deals) Risk weighted exposure is the product of Risk weighting and Credit equivalent exposure for Customer.

Country/ult


Country/ult is the code of the customer's country of ultimate risk.


Country codes are defined using the COUN, Country Code Maintenance screen.

A customer's country of ultimate risk is assigned using the CUST, Customer Static Data screen.

Country/res


Country/res is the code of the customer's country of residence.

Country codes are defined using the COUN, Country Code Maintenance screen.

A customer's country of residence is assigned using the CUST, Customer Static Data screen.

SIC


SIC is a standard industry code that identifies the customer's type of business.

Standard industry codes are defined using the SICO, Standard Industry Codes screen.

A customer's standard industry code is assigned using the CUST, Customer Static Data screen.

Details AreaThe Details area is used to display individual exposures for deal with a specified customer.

Details Area Layout


Customer

Customer is the name of the customer for whom exposure flows are displayed.


Customer number

Customer number is the number of the customer for whom exposure flows are displayed.

CCY

CCY is the currency in which the exposure amounts are denominated.

Branch

Branch is the branch where the deal is made. Branch identifies an operational unit within an organization that maintains its own set of books.


Product code

Product code identifies the product module of the deal (e.g., 'DPNL' for Deposits and Loans).

Product type

Product type identifies the products within the product module of the deal (e.g., 'TD' for time deposits).

Deal number

Deal number is the number of the deal.

Security id/Account no

Security id/Account no is the security associated with the cash flow or the number of the customer's account.

Gross exposure

Gross exposure is the total gross exposure for the deal.

Credit equivalent exposure

Credit equivalent exposure is the total credit equivalent exposure for the deal.

Maturity date

Maturity date is the date the deal matures.

Start date

Start date is the date the deal takes value.

Summary AreaThe Summary area is used to display summary statistics for exposure flows based on specified criteria.


Summary Area Layout

Summary Area Ranges

Summarize by

Drop-down box.

Summarize by specified how exposures are aggregated (e.g., MTY, Country/ult).

Minimum risk weight


Minimum risk weight is the minimum customer risk weight required to include an exposure in the statistics summary. Only exposures with a risk weight greater than or equal to the minimum risk weight and less than or equal to the maximum risk weight are included in the summary.

Minimum risk weight is entered as a percentage (e.g., '50' for a minimum risk weighting of 50.00 %).

Minimum risk weight is displayed only if Summarize by is 'Risk weighting'.

Maximum


Maximum is the maximum maturity or risk weight required to include an exposure in the statistics summary.

Maximum must be entered if Summarize by is 'MTY' or 'Risk weighting'.


If Summarize by is 'MTY', Maximum is displayed as 'Maximum MTY'. Only exposures with a maturity less than or equal to the entered maximum are included in the summary. Maximum MTY is entered as a tenor period in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month) or Y (year).

If Summarize by is 'Risk weighting', Maximum is displayed as 'Maximum risk weight'. Only exposures with a risk weight greater than or equal to the minimum risk weight and less than or equal to the maximum risk weight are included in the summary. Maximum risk weight is entered as a percentage (e.g., '50' for a maximum risk weight of 50.00 %).

Increment


If Summarize by is 'MTY', Increment is displayed as 'MTY increment'. MTY increment is the period of time used to create aggregation points between the branch processing date and the maximum maturity. MTY increment is entered as a tenor period in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month)or Y (year). The MTY increment format must equal the format of the maximum maturity (e.g., if Maximum MTY is '24M', MTY increment must be entered in the format 'nnM', where nn is the number of months).

If Summarize by is 'Risk weighting', Increment is the value used to create aggregation points between the minimum risk weight and the maximum risk weight.

Increment must be entered if Summarize by is 'MTY' or 'Risk weighting'.


(Summarize by column heading)

The left most column heading corresponds with the Summarize by entry. The following table contains the Summarize by entries and the corresponding headings for the left most column.

Summarize by Column Heading

MTY MTY

Country/ult Country/ult

Country/res Country/res

Agency 1 rating Agency rating

Agency 2 rating Agency rating

SIC SIC

Risk weighting Values between*

* Values between is the number of aggregation points between the minimum risk weight and the maximum risk weight created using the increment value.

(Committed Deals) Gross exposure

(Committed Deals) Gross exposure is the total gross exposure for all active and forward-valued deals included in the specified aggregation.

If Summarize by is 'MTY', (Committed Deals) Gross exposure is the total gross exposure for all active and forward-valued deals maturing on or before the MTY increment and after the previous MTY increment.


(Committed Deals) Credit equivalent exposure

(Committed Deals) Credit equivalent exposure is the total credit equivalent exposure for all active and forward-valued deals included in the specified aggregation.

If Summarize by is 'MTY', (Committed Deals) Credit equivalent exposure is the total credit equivalent exposure for all active and forward-valued deals maturing on or before the MTY increment and after the previous MTY increment.

% of equivalent exposure

% of equivalent exposure specifies what percentage the (committed deals) credit equivalent exposure for the specified aggregation is of the total credit equivalent exposure for all deals included in the summary. % of equivalent exposure is calculated by dividing the total credit equivalent exposure for all deals by the (committed deals) credit equivalent exposure.

(Utilized Deals) Gross exposure

(Utilized Deals) Gross exposure is the total gross exposure for all active deals included in the specified aggregation.

If Summarize by is 'MTY', (Utilized Deals) Credit equivalent exposure is the total credit equivalent exposure for all active deals maturing on or before the MTY increment and after the previous MTY increment.

(Utilized Deals) Credit equivalent exposure

(Utilized) Credit equivalent exposure is the total credit equivalent exposure for all active deals included in the specified aggregation.

If Summarize by is 'MTY', (Utilized Deals) Credit equivalent exposure is the total credit equivalent exposure for all active deals maturing on or before the MTY increment and after the previous MTY increment.

Graph AreaThe Graph area is used to display a pie chart of the percentage of equivalent exposure associated with each summary aggregation point.


Graph Area Layout


ANSA: Scenario Analysis

IntroductionThe ANSA, Scenario Analysis workbook is used to measure interest rate sensitivity for selected cash flows for yield curve rate shift scenarios. Scenario Analysis aggregates known and unknown cash flows based on a selected yield curve and displays a net cash flow amount by tenor. Cash flows are discounted based on an adjusted yield curve to calculate interest rate sensitivity.

Yield curve shifts may be parallel or nonparallel and may pivot at any tenor point on the yield curve tenor ladder.

A scenario analysis may be run only if a primary yield curve and an adjusted yield curve (with associated discount factors) are generated.

Scenario Analysis displays a graph of net cash flow amounts and interest rate sensitivity by tenor.

Starting Scenario AnalysisTo access the ANSA, Scenario Analysis workbook, select Risk Reports from the Navigator categories.

Select Scenario from the category items.

Analysis Area




Yield curve id


Yield curve id is the name of the primary yield curve used to discount known cash flows to present values. Only cash flows denominated in the yield curve currency are included in the analysis.


Shift seq


Shift seq is a sequential number that identifies the primary yield curve as a base yield curve or a shifted curve.


Quote type

Drop-down box.

Quote type specifies whether the primary yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O). Discount factors must be previously generated for the specified quote type.

Description

Display only.

Description is text that describes the primary yield curve.

Adjusted yield curve id


Adjusted yield curve id is a base or shifted yield curve used to discount known cash flows to present values. The currency of the adjusted yield curve must equal the currency of the primary yield curve. Adjusted yield curve id must be entered before the analysis is run.


Shift seq


Shift seq is a sequential number that identifies the adjusted yield curve as a base yield curve or a shifted curve.


Quote type

Drop-down box.


Quote type specifies whether the adjusted yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O). Discount factors must be previously generated for the specified quote type.

Description

Display only.

Description is text that describes the adjusted yield curve.

Yield curve CCY




Analysis CCY




CCY spot


CCY spot is the spot rate of exchange between the yield curve currency and the branch base currency.

If the yield curve currency equals the base currency, CCY spot is '1'.

If the yield curve currency does not equal the base currency and CCY spot is not entered, CCY spot is based on the information entered in the Rates area.

Analysis end date




Cash flow file name


Cash flow file name is the name of the file containing the cash flows included in the analysis. Cash flow file name includes the location and name of the file. Cash flow files are located in the OPXANA\user id directory.



Refresh cash flow

Drop-down box.


Cashflow types

Drop-down box.


Spot date

Display only.


Last analysis date

Display only.


Bucketing method

Drop-down box.

Bucketing method specifies how cash flows are grouped by tenor.

The NPV/Sensitivity method divides into subtotals the amount of a payment/receipt occurring between two tenor dates. A subtotal is assigned to each tenor date. The net present value and sensitivity of the subtotal amounts equals the net present value and sensitivity of the original amount.

The Aggregate method assigns a payment/receipt occurring between two tenor dates to the later tenor date.

Totals

Display only.

Totals displays totals for the following columns:

NPV of cash flow,

NPV in local currency,

Adjusted NPV of cash flows,

Adjusted NPV in local currency,

Sensitivity of NPV of cash flows,

Sensitivity of NPV in local currency.


Tenor




Tenor date


Net cash flow

Net cash flow is the net amount of known/unknown cash flows based on the primary yield curve. The net cash flows are apportioned to the selected tenor based on the cash flow bucketing method.

NPV of net cash flow

NPV net cash flow is the net present value (discounted to the spot or branch processing date depending on the primary yield curve) of the calculated net cash flows.



Adjusted net cash flow

Adjusted net cash flow is the net amount of known and unknown cash flows based on the adjusted yield curve. The net cash flows are apportioned to the selected tenor based on the cash flow bucketing method.

Adjusted NPV net cash flow

Adjusted NPV net cash flow is the net present value (discounted to the spot or branch processing date depending on the adjusted yield curve) of the calculated net cash flows.

Adjusted NPV in local currency

Adjusted NPV in local currency is the local currency equivalent value of the Adjusted NPV net cash flow amount. The local equivalent is converted at the CCY spot rate.

Sensitivity of net cash flows

Sensitivity of net cash flows is the difference between the net cash flows (primary yield curve) and the adjusted net cash flows (adjusted yield curve).

Sensitivity of NPV of cash flows

Sensitivity of NPV of cash flows is the difference between the NPV of net cash flows (primary yield curve) and the adjusted NPV net cash flows (adjusted yield curve).


Sensitivity of NPV in local currency

Sensitivity of NPV in local currency is the difference between the NPV in local currency (primary yield curve) and the adjusted NPV in local currency (adjusted yield curve).

Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the primary yield curve used in the scenario analysis.



CCY

CCY is the currency of the primary yield curve and the cash flows used in the analysis.

Yield curve id

Yield curve id is the name of the primary yield curve used to discount the known cash flows to present values.

Shift seq




Quote type

Quote type specifies whether the primary yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O).

Description


Last date


Financial center

Financial center identifies the holiday calendar used to generate the primary yield curve.

Day rule

Day rule is the business day convention used to generate the primary yield curve ('P' for preceding, 'S' for succeeding, 'M' for modified).

Spot days

Spot days is the spot number of days used to generate the primary yield curve.

Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01

Discount factor_01 is the discount factor of the primary yield curve after the contributing rates are shifted up one basis point.

Zero coupon_01

Zero coupon_01 is the zero coupon rate of the primary yield curve after contributing rates are shifted up one basis point.


Adjusted Yield Curve AreaThe Adjusted Yield Curve area is used to display maturity dates and discount factors for the adjusted yield curve used in the scenario analysis.

Adjusted Yield Curve Area Layout

Adjusted Yield Curve Area Display Ranges

CCY

CCY is the currency of the adjusted yield curve and the cash flows used in the analysis.

Yield curve id

Yield curve id is the name of the adjusted yield curve used to discount the known cash flows to present values.

Shift seq

Shift seq is a sequential number that identifies the adjusted yield curve as a base yield curve or a shifted curve.



Quote type

Quote type specifies whether the adjusted yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O).

Description

Description is text that describes the adjusted yield curve.

Last date


Financial center

Financial center identifies the holiday calendar used to generate the adjusted yield curve.

Day rule

Day rule is the business day convention used to generate the adjusted yield curve ('P' for preceding, 'S' for succeeding, 'M' for modified).

Spot days

Spot days is the spot number of days used to generate the adjusted yield curve.

Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01

Discount factor_01 is the discount factor of the adjusted yield curve after the contributing rates are shifted up one basis point.

Zero coupon_01

Zero coupon_01 is the zero coupon rate of the adjusted yield curve after contributing rates are shifted up one basis point.



Rates Area Layout

Rates Area Ranges

CCY

Display only.


Price/DDE



Mult./Div.

Display only.



Graph AreaThe Graph area is used to display a graph of the scenario analysis. Graphs may be printed and displayed in different formats.

Graph Area Layout



Details Area Layout


Tenor


Tenor date


Br



Deal number


Portfolio



Trader


Product


Product type


Security id


Date


Receipts


Payments


ANSA: ButtonsThe ANSA, Scenario Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANSA screen.

Processing Buttons

Get CCY


Net

The Net button is used to display a graph of net cash flows.

NPV

The NPV Button is used to display a graph of the NPV of net cash flows.

Local NPV

The Local NPV button is used to display a graph of the NPV of net cash flows in local currency.


ANTS: Tenor Sensitivity Analysis

IntroductionThe ANTS, Tenor Sensitivity Analysis workbook is used to calculate and display the effects of an interest rate shock to one or more tenor points. The effects of tenor shifts are displayed only for the affected tenor.

ANTS displays the aggregated cash flow payments/receipts and net cash flows for each tenor. Cash flows are bucketed based on the specified aggregation method.

Cash flows are discounted using discount factors calculated for the cash flow date from the specified yield curve.

Starting Tenor Sensitivity AnalysisTo access the ANTS, Tenor Sensitivity Analysis workbook, select Risk Reports from the Navigator categories.

Select Tenor Sensitivity from the category items.

Analysis Area




Yield curve


Yield curve is the name of the yield curve used to discount known cash flows to present values. Only cash flows denominated in the yield curve currency are included in the analysis.


Shift seq




Quote type

Drop-down box.


Description

Display only.


Yield curve CCY




Analysis CCY




Analysis end date





Cashflow types

Drop-down box.


Cash flow file name


Cash flow file name is the name of the file containing the cash flows included in the analysis. Cash flow file name includes the location and name of the file. Cash flow files are located in the OPXANA\user id directory.


Refresh cash flow

Drop-down box.


Spot date

Display only.


Last analysis date

Display only.


Totals

Display only.

Totals displays totals for the following columns:

Receipts,

Payments,

Net cash flow,

NPV of cash flow,

Sensitivity.


Tenor



Tenor points only may be included up to the maximum tenor point of the yield curve specified in the yield curve id field.

Tenor date

Display only.


Receipts

Display only.

Receipts is the total of cash inflows for the specified tenor period.

Payments

Display only.

Payments is the total of cash outflows for the specified tenor period.

Net cash flow

Display only.

Net cash flow is the net amount of payments and receipts.

NPV of net cash flow

Display only.

NPV net cash flow is the net present value (discounted to the spot or branch processing date, depending on the yield curve) of the calculated net cash flows.

Tenor shift


Tenor shift is the interest rate shock amount applied to the specified tenor to calculate the tenor sensitivity. Tenor shifts are applied to the base zero coupon rate. Basis point shifts are entered in decimal format. (e.g., a one-point basis shift is entered as '.01').

Sensitivity

Display only.

Sensitivity is the difference between the base NPV cash flow and the NPV calculated when the tenor shift is applied to the specified tenor period.


Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the primary yield curve used in the scenario analysis.



CCY

CCY is the currency of the primary yield curve and the cash flows used in the analysis.

Yield curve id

Yield curve id is the name of the primary yield curve used to discount the known cash flows to present values.

Shift seq




Quote type

Quote type specifies whether the primary yield curve calculation is based on the mid rate (M), bid rate (B) or the offered rate (O).

Description


Last date


Financial center

Financial center identifies the holiday calendar used to generate the primary yield curve.

Day rule

Day rule is the business day convention used to generate the primary yield curve ('P' for preceding, 'S' for succeeding, 'M' for modified).

Spot days

Spot days is the spot number of days used to generate the primary yield curve.

Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01

Discount factor_01 is the discount factor of the primary yield curve after the contributing rates are shifted up one basis point.

Zero coupon_01

Zero coupon_01 is the zero coupon rate of the primary yield curve after contributing rates are shifted up one basis point.


Graph AreaThe Graph area is used to display a graph of the scenario analysis. Graphs may be printed and displayed in different formats.

Graph Area Layout



Details Area Layout


Tenor


Tenor date


Br



Deal number


Portfolio



Trader


Product


Product type


Security id


Date


Receipts


Payments


ANTS: ButtonsThe ANTS, Tenor Sensitivity Analysis screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the ANTS screen.

Processing Buttons

NPV

The NPV button is used to display a graph of the NPV of net cash flows.

Sensitivity

The Sensitivity button is used to display a graph of the tenor sensitivity.

NPV/Sensitivity

The NPV/Sensitivity button is used to display a scaled graph of both the NPV of cash flows and sensitivities.


RPRA: FX Risk Position Report

IntroductionThe RPRA, FX Risk Position Report screen is used to generate foreign exchange risk position reports. To display or print reports, use the RSYS, OPICS Report Print Management screen. Refer to the System Administration manual for further information about RSYS.

The RPRA, FX Risk Position Report screen is used to produce the following report:

Foreign Exchange Risk Position Report.

The RPRA, FX Risk Position Report screen menu has one item: Risk Analysis Reports.

RPRA Reports

Foreign Exchange Risk Position Report

The Foreign Exchange Risk Position Report is used to display currency exposure based on on-balance and off-balance positions in currencies other than the branch base currency.

Starting FX Risk Position ReportTo access the RPRA, FX Risk Position Report screen, select RPRA from the OPICS System Menu, or use Fast-path.


RPRA Screen Layout

RPRA Screen Fields

Report name


Report name is the name of the generated report. Report name is entered in the format 'RbcRXXXX', where bc is the branch for which the report is run and XXXX is the four-letter report identifier.

Input file name


Input file name is the name of the data file used to generate the report.

Report heading


Report heading is the full name of the report.

Number of columns


Number of columns is the number of columns displayed on the report.


Fixed income treatment

Option box.

Fixed income treatment is the accounting treatment for fixed income positions in the report.

Selecting RPRA ReportsSelect Risk Analysis Reports from the RPRA, FX Risk Position Report screen menu.

Select the following report:

FX Risk Position Report.


RPRA: RbcRFXRP - Foreign Exchange Risk Position Report

IntroductionThe Foreign Exchange Risk Position Report is used to display exposures based on on-balance and off-balance positions is currencies other than the branch base currency.

The Foreign Exchange Risk Position Report accesses cash flows from all OPICS modules.

RPRA Display Fields

CCY

CCY is the currency in which the exposure amounts are denominated.

Level

Level is the aggregation level of the analysis. The aggregation level identifies the source of the cash flows included in the corresponding calculations.

Level 1 includes nostro balances and on-balance transactions that have taken value before the branch processing date. Transaction types include general ledger transactions and deals from the following modules:

Deposits and Loans,

Call and Notice,


Fixed Income,

Fees,

Financial Futures (mark-to-market),

Swaps (hedge and trading),

Forward Rate Agreements (hedge and trading),

Caps and Floors (trading).

Level 2 includes foreign exchange transactions that have not settled, including the following:

FX Spot,

FX Forwards,

FX Swaps,

Currency Swaps (exchange).

Level 3 includes the mark-to-market value (spot date) of forward valued deals from the following modules:

Deposits and Loans,

Call and Notice,



Fixed Income,

Fees,

Swaps,

Forward Rate Agreements.

Level 4 includes spot date delta equivalent or mark-to-market values of outstanding options from the following modules:

OTC Options (FX, Bond)

Caps and Floors,

Swap Options.

Net

Net is the sum of the assets and liabilities for the aggregation level.

Cumulative net

Cumulative net is the sum of the present aggregation level and the previous aggregation levels.

Levels 1_2_4 Total

Levels 1_2_4 Total is the sum of the assets and liabilities for all aggregation levels except level 3.


Chapter 7 Pricers


IntroductionThe following Analytics workbooks are used to price financial instruments processed by OPICS:

The PRFR, FRA Pricer workbook is used to calculate forward-forward rates for standard maturity, future dated and broken dated forward rate agreements based on a strip of short-term interest rate futures contracts or a specified yield curve.

The PRSW, Interest Rate Swap Pricer workbook is used to price generic and customized swaps (proposed and existing deals).

The PROT, OTC Pricer workbook is used to price plain, bond and exotic over the counter options.

The PRFX, Forward Point Pricer workbook is used to calculate forward points for proposed and existing foreign exchange deals based on the spot rate and yield curves for a specified currency pair.

The PRCF, Cap, Floor and Collar Pricer workbook is used to calculate cap, floor and collar market values.

The PRES, Euro Strip Pricer workbook is used to calculate cash money market yields using stub rates and strips of eurodollar deliveries.

The PRFI, Fixed Income Pricer workbook is used to price and evaluate periodic interest, floating rate and NPV securities.


PRFR: FRA Pricer

IntroductionThe PRFR, FRA Pricer workbook is used to calculate forward-forward rates for standard maturity, future dated and broken dated forward rate agreements.

The PRFR, FRA Pricer workbook is integrated into the OPICS data structure and may be used to display OPICS forward rate agreements and to map pricer information to the FRDE, Forward Rate Agreement Entry screen.

PRFR Worksheets

Pricer - Euro Strip

The Pricer - Euro Strip worksheet is used to calculate forward-forward rates for standard maturity, future dated and broken dated forward rate agreements based on a strip of short-term interest rate futures contracts.

Pricer - Yield Curve

The Pricer - Yield Curve worksheet is used to calculate forward-forward rates for standard maturity, future dated and broken dated forward rate agreements based on a specified yield curve.

Starting FRA PricerTo access the PRFR, FRA Pricer workbook, select Pricers from the Navigator categories.

Select FRA - Euro Strip or FRA - Yield Curve from the category items.

Selecting PRFR WorksheetsSelect one of the following tabs at the bottom of the PRFR, FRA Pricer workbook:

Euro Strip,

Yield Curve.


PRFR: Euro Strip

IntroductionThe Pricer - Euro Strip worksheet is used to calculate forward-forward rates for standard maturity, future dated and broken dated forward rate agreements based on a strip of short-term interest rate futures contracts.

Starting Pricer - Euro StripTo access the PRFR, FRA Pricer workbook, select Pricers from the Navigator categories. Select FRA - Euro Strip or FRA - Yield Curve from the category items.

Select the Euro Strip tab at the bottom of the PRFR, FRA Pricer workbook.

Pricer - Euro Strip Area

Pricer - Euro Strip Area Layout

Pricer - Euro Strip Area Ranges

Contract

Display only.


Contract is the futures contract used to calculate forward rate agreement prices. Contract is the futures contract entered in the Futures Contract Maintenance area.

Trade date


Trade date is the current date. Trade date defaults to the branch processing date.

Futures Prices

Futures Prices displays delivery codes, current prices and net change for the specified futures contract and the stub rate used for FRA pricing calculations.

Dlvy

Display only.

Dlvy is the delivery code for the specified futures contract.

Price

Display only.

Price is the last price of the futures contract for the specified contract delivery.

Change

Display only.

Change is the net change between the last price and the previous closing price.

FRA Rates

FRA Rates is the main pricing area of the Pricer - Euro Strip worksheet. FRA Rates is a matrix with FRA start tenors on the vertical axis and FRA terms on the horizontal axis.

(Start) Tenor


(Start) Tenor is the starting tenor for FRA pricing. Tenor is entered in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month) or Y (year).

(Start) Date

Display only.

(Start) Date is the starting date for the specified tenor. Start date is calculated from the current spot date and the tenor period.

Term

Optional.

Term is the period for FRA pricing. Term is entered in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month) or Y (year).

Term defaults to '3M', '6M', '9M', '12M' and '15M'.


Futures dated FRA rates

Futures dated FRA rates displays the FRA rates calculated for the delivery dates of the specified futures contract.

Start Tenor

Display only.

Start Tenor is the delivery code for the futures contract and is used to calculate the start date of the FRA.

Term

Display only.


Term defaults to '3M', '6M', '9M' and '12M'.

Start date

Display only.

Start date is the interest start date of the specified futures contract delivery.

Broken dated FRA rates

Broken dated FRA rates is used to enter start and end tenor periods and the start date for the FRA.

(Tenor) Start


(Tenor) Start is the starting monthly tenor for the broken dated FRA calculation. (Tenor) Start is entered in the format 'nn', where nn is the number of months.

(Tenor) End


(Tenor) End is the ending monthly tenor for the broken dated FRA calculation. (Tenor) End is entered in the format 'nn', where nn is the number of months.

(Tenor) Day


(Tenor) Day is the day of the starting tenor month to begin calculations. Day may be entered as a number between '1' and '31' or as 'E' (end of month).

(Date) Start

Display only.

(Date) Start is the interest start date of the broken dated FRA.


(Date) End

Display only.

(Date) End is the interest end date of the broken dated FRA.

Rate

Display only.

Rate is the FRA rate for the broken date period.

Hedge AreaThe Hedge area is used to calculate the number of futures contracts required to offset a FRA contract entered at the specified rate, regardless of long or short FRA positions or hedges. FRA hedging information may be mapped to the FRDE, Forward Rate Agreement Entry screen.

Hedge Area Layout

Hedge Area Ranges

Customer


Customer is the customer of the forward rate agreement for which the hedge information is mapped to the FRDE, Forward Rate Agreement Entry screen.

Customer is the counterparty with whom the deal is made.

Product code



Product code identifies the product module of the forward rate agreement for which hedge information is mapped (e.g., 'FRA' for Forward Rate Agreements).

Product type


Product type is the product type of the forward rate agreement for which hedge information is mapped. Product type identifies the products within the product module (e.g., 'FB' for bought forward rate agreements).

Rate code


Rate code is the rate code of the forward rate agreement for which hedge information is mapped to the FRDE screen.

Rate code identifies the parameters associated with the deal rate (e.g., rate source, rate type, designated maturity).

Ctrl + F2 lists valid rate codes. The data must be previously entered using the RATE, Interest Rate Information screen. To enter an item into the range, select it from the list.

Contract

Display only.

Contract is the futures contract used to price FRAs.

Start date


Start date is the interest start date of the FRA.

End date


End date is the interest end date of the FRA.

Notional amount


Notional amount is the amount (denominated in the currency of the futures contract) of the FRA.

Days

Display only.

Days is the number of days between the start date and end date of the FRA.

FRA rate

Display only.

FRA rate is the rate (corresponding with the specified start and end dates) of the FRA.


Dlvy

Display only.

Dlvy is the delivery code for the futures contract.

Date

Display only.

Date is the interest start date of the futures contract delivery.

Days

Display only.

Days is the number of days from the FRA term that fall within the futures delivery interest earning period.

Hedge

Display only.

Hedge is the number of futures contracts, for the designated delivery, used to hedge the FRA. Hedge does not indicate whether the FRA is bought or sold or whether the hedge is buying or selling.

Price

Display only.

Price is the price used to calculate the FRA rate and hedge.

Rate

Display only.

Rate is the stub rate or the price of the futures contract converted to a rate, depending on the specified delivery.

Override


Override is the amended price of the futures delivery used to the recalculate the FRA rate.

Futures Contract Maintenance AreaThe Futures Contract Maintenance area is used to enter futures contract information used to calculate FRA rates.


Futures Contract Maintenance Area Layout

Futures Contract Maintenance Area Ranges

Contract


Contract is the futures contract used to price and hedge the FRAs.


CCY


CCY is the currency of the futures contract.


Tick size


Tick size is the minimum price movement for the futures contract.

Tick value



Tick value is the amount of a one tick shift in the specified futures contract, denominated in the currency of the contract.

Spot


Spot is the spot number of days for the currency.

Day rule

Drop-down box.

Day rule is the business day convention used to adjust dates that fall on non-business days ('P' for preceding, 'S' for succeeding, 'M' for modified).

Basis

Drop-down box.

Basis is the interest rate basis for the futures contract. Valid bases are:



Dlvy code


Dlvy code specifies when the futures contract is delivered.

Start date


Start date is the interest start date of the futures contract.

Futures Price Maintenance AreaThe Futures Price Maintenance area is used to enter futures prices and to link prices to DDE live data feeds.


Futures Price Maintenance Area Layout

Futures Price Maintenance Area Ranges

Contract

Display only.

Contract is the futures contract used to calculate FRA prices.

Stub rate


Stub rate is the rate used to price FRAs when the term of the FRA begins before the first futures contract delivery interest start date.

Dlvy code

Display only.

Dlvy code specifies when the futures contract is delivered.

Start date

Display only.

Start date is the futures interest start date.


Price/DDE


Price/DDE is the price for the futures contract. Price/DDE may be an entered price or a link to a DDE live data feed.

Net change


Net change is the difference between the previous day's closing price and the current price.


PRFR: Pricer - Yield Curve

IntroductionThe Pricer - Yield Curve worksheet is used to calculate forward-forward rates for standard maturity and broken dated forward rate agreements based on a specified yield curve.

Starting Pricer - Yield CurveTo access the PRFR, FRA Pricer workbook, select Pricers from the Navigator categories. Select FRA - Euro Strip or FRA - Yield Curve from the category items.

Select the Yield Curve tab at the bottom of the PRFR, FRA Pricer workbook.

Pricer - Yield Curve Area

Pricer - Yield Curve Area Layout

Pricer - Yield Curve Area Ranges

Yield curve id

Display only.

Yield curve id is the name of the yield curve used to calculate FRA rates.


Shift seq

Display only.



Quote type

Drop-down box.


CCY



Basis

Drop-down box.

Basis is the interest rate basis for the currency.

Valid bases are:



Description

Display only.


Trade date


Trade date is the current date. Trade date defaults to the branch processing date.

FRA Rates

FRA Rates is the main pricing area of the Pricer - Yield Curve worksheet. FRA Rates is a matrix with FRA start tenors on the vertical axis and FRA terms on the horizontal axis.

(Start) Tenor


(Start) Tenor is the starting tenor for FRA pricing. Tenor is entered in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month) or Y (year).


(Start) Date

Display only.

(Start) Date is the starting date for the specified tenor. Start date is calculated from the current spot date and the tenor period.

Term

Optional.


Term defaults to '3M', '6M', '9M', '12M' and '15M'.

Broken dated FRA rates

Broken dated FRA rates is used to enter start and end tenor periods and the start date for the FRA.

(Tenor) Start


(Tenor) Start is the starting monthly tenor for the broken dated FRA calculation. (Tenor) Start is entered in the format 'nn', where nn is the number of months.

(Tenor) End


(Tenor) End is the ending monthly tenor for the broken dated FRA calculation. (Tenor) End is entered in the format 'nn', where nn is the number of months.

(Tenor) Day


(Tenor) Day is the day of the starting tenor month to begin calculations. Day may be entered as a number between '1' and '31' or as 'E' (end of month).

(Date) Start

Display only.

(Date) Start is the interest start date of the broken dated FRA.

(Date) End

Display only.

(Date) End is the interest end date of the broken dated FRA.

Rate

Display only.

Rate is the FRA rate for the broken date period.


Mapping Information AreaThe Mapping Information area is used to map FRA pricing information to the FRDE, Forward Rate Agreement Entry screen.

Mapping Information Area Layout

Mapping Area Ranges

Customer


Customer is the customer of the forward rate agreement for which pricing information is mapped to the FRDE, Forward Rate Agreement Entry screen.


Product


Product is the product of the forward rate agreement for which pricing information is mapped.

Product identifies the product module (e.g., 'FRA' for Forward Rate Agreements).

Product type


Product type is the product type of the forward rate agreement for which pricing information is mapped.


Product type identifies the products within the product module (e.g., 'FB' for bought forward rate agreements).

Rate code


Rate code is the rate code of the forward rate agreement for which pricing information is mapped.



Start date


Start date is the first day of the interest period for the forward rate agreement.

End date


End date is the last day of the interest period for the forward rate agreement.

Notional amount


Notional amount is the notional amount of the forward rate agreement for which pricing information is mapped.

Notional amount is the amount (denominated in the currency of the yield curve) of the FRA.

Days

Display only.

Days is the number of days between the start date and end date of the forward rate agreement interest period.

FRA rate

Display only.

FRA rate is the rate (corresponding with the specified start and end dates) of the forward rate agreement.





CCY


Yield curve id

Yield curve id is the name of the yield curve used to calculate FRA rates.

Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01


PRFR: ButtonsThe PRFR, FRA Pricer – Euro Strip and FRA Pricer – Yield Curve screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the PRFR screen.

Processing Buttons

Contracts

The Contracts button is used to display the Futures Contract Maintenance area.


Hedge

The Hedge button is used to Hedge a deal. To Hedge a deal, select a rate cell in the Pricer area and select the OK button.

To Recalculate FRA Rates

Select the gray button in the upper right corner of the FRA Rates section to recalculate the FRA rates.

To Recalculate Futures Dated FRA Rates

Select the gray button in the upper right corner of the Futures dated FRA rates section to recalculate futures dated FRA rates.

To Recalculate Broken Dated FRA Rates

Select the gray button in the upper right corner of the Broken dated FRA rates section to recalculate the broken dated FRA rates.

Recalculate

The Recalculate button is used to generate a new FRA rate and associated futures equivalent position.

Map Deal

The Map Deal button is used to enter the hedge information on the FRDE, Forward Rate Agreement Entry screen.


PRSW: Interest Rate Swap Pricer

IntroductionThe PRSW, Interest Rate Swap Pricer workbook is used to price generic and customized swaps (proposed and existing deals). Swap prices are calculated based on an NPV valuation methodology.

Swap pricing includes solving for fixed rates, floating rates or spread rates.

Yield curve information may be regenerated using the Yield Curve area.

Schedules created using PRSW may be recalculated at any time.

PRSW Worksheets

Custom Interest Rate Swap

The Custom Interest Rate Swap worksheet is used to create and value customized swaps.

Standard Interest Rate Swap

The Standard Interest Rate Swap worksheet is used to value vanilla swaps.

Currency Interest Rate Swap

The Currency Interest Rate Swap worksheet is used to value standard interest rate currency swaps.

Starting Interest Rate Swap PricerTo access the PRSW, Interest Rate Swap Pricer workbook, select Pricers from the Navigator categories.

Select Swaps from the category items.

Selecting PRSW WorksheetsSelect one of the following tabs at the bottom of the PRSW, Interest Rate Swap Pricer workbook:

Custom,

Standard,

Currency.


PRSW: Custom Interest Rate Swap

IntroductionThe Custom Interest Rate Swap worksheet is used to create and value customized swaps.

Starting Custom Interest Rate SwapTo access the PRSW, Interest Rate Swap Pricer workbook, select Pricers from the Navigator categories. Select Swaps from the category items.

Select the Custom tab at the bottom of the PRSW, Interest Rate Swap Pricer workbook.

Custom Interest Rate Swap Area

Custom Interest Rate Swap Area Layout

Custom Interest Rate Swap Area Ranges

Branch


Branch is the current OPICS branch. Branch identifies an operational unit within an organization that maintains its own set of books.



Swap value

Display only.

Swap value is the current value of the swap.

Deal number


Deal number is the number of the swap deal.

Deal date


Deal date is the date the deal is made. Deal date defaults to the current branch processing date. Deal date must be less than or equal to the start date and the branch processing date.


Solve for

Drop-down box.

Solve for specifies which part of the swap price to calculate. Valid values for Solve for are:

Market Value,

Fixed Rate,

Float Rate,

Spread Rate.

Market Value solves for the market value of the swap by calculating the sum of each leg's NPV amount.

Fixed Rate solves for the swap fixed rate, resulting in an NPV market value that equals the swap value.

Float Rate solves for the current floating rate, resulting in an NPV market value that equals the swap value.

Spread Rate solves for the current spread over floating rate, resulting in an NPV market value that equals the swap value.

Start date


Start date is the first day of the term of the swap deal.


Maturity date


Maturity date is the date the swap deal matures.



CCY


CCY is the currency of the yield curve and the swap (or pay/receive leg of the swap).


Notional Amount


Notional Amount is the currency amount of the swap pay/receive leg.

Yield curve


Yield curve is the name of the yield curve used to discount the pay/receive swap leg scheduled payments to present values.


Shift seq




Quote type

Drop-down box.


Fix/float

Drop-down box.

Fix/float specifies whether the interest rate for the pay/receive swap leg is fixed or floating.

Pay cycle

Drop-down box.

Pay cycle specifies the period the interest is paid or received. The following are valid cycles:

Annual,

Semi-annual,


Quarterly,

Monthly,

Maturity.

Payment day


Payment day is the day of the month payments are made. Payment day defaults to the swap start date.

Reset cycle

Drop-down box.

Reset cycle specifies the period when the interest rate is reset. The following are valid cycles:

Annual,

Semi-annual,

Quarterly,

Monthly.

Rate revision day


Rate revision day is the day of the month the interest rate is reset. Rate revision day defaults to the start date of the swap.

First/Last

Drop-down box.

First/Last identifies the reset and interest settlement method for the interest payment. First/Last may be 'First', 'Last', or 'FRA'.

'First' indicates the rate is reset before the start of the interest payment period and settles at the end of the interest payment period.

'Last' indicates the rate is reset at the end of the interest payment period and settles at the end of the interest payment period.

'FRA' indicates the rate is reset at the beginning of the interest payment period and settles at the beginning of the interest payment period.

Rate code



Interest rate



Interest rate is the rate used to calculate the interest amount paid or received on the payment date of the swap leg. rate may be entered as a number with a decimal (e.g., 99999.99999999) or as a whole number and a fraction, where Analytics calculates the decimal amount (e.g., 12 7/8). The denominator of the fraction must be 2, 4, 8, 16, 32 or 64.

The sum of the interest rate and the spread rate is used to calculate the interest paid or received on the payment date.

Basis

Drop-down box.

Basis is the basis used to calculate interest.

The following are valid values for Basis:

Actual/Actual ACT365

Actual/365 A365

Actual/360 A360

BOND 30/360

EBOND (Eurobond) 30E/360.

Actual/Actual (ACT365)

Actual/Actual is the number of days in the calculation period, divided by 365. If any portion of the calculation is in a leap year, Actual/Actual is the sum of (A) the number of days in that portion of the calculation period in the leap year divided by 366 and (B) the number of days in that portion of the calculation period in a non-leap year divided by 365.

Actual/365 (A365)

Actual/365 is the number of days in the calculation period divided by 365.

Actual/360 (A360)

Actual/360 is the actual number of days in the calculation period divided by 360.

BOND (30/360)

BOND is the number of days in the calculation period divided by 360, where the number of days is calculated on the basis of a year of 360 days with 12 30-day months (unless the last day of the calculation period is the 31st day of a month but the first day of the calculation period is a day other than the 30th or 31st day of a month, in which case, the month that includes that last day is not shortened to a 30-day month).

EBOND (30E/360)

EBOND is the number of days in the calculation period divided by 360, where the number of days is calculated on the basis of a year of 360 days with 12 30-day months, without regard to the date of the first or last day of the calculation period.

Cap rate


Cap rate is the maximum interest rate for a floating swap leg. If the interest rate greater than the cap rate, interest is calculated based on the cap rate.

Floor rate



Floor rate is the minimum interest rate for a floating swap leg. If the interest rate is less than the floor rate, interest is calculated based on the floor rate.

Spread rate


Spread rate is the amount the interest rate is increased or decreased based on the amount of the spread. Spread rate may be entered as a number with a decimal (e.g., 99999.99999999) or as a whole number and a fraction, where Analytics calculates the decimal amount (e.g., 12 7/8). The denominator of the fraction must be 2, 4, 8, 16, 32 or 64.


Int. exch. rate


Int. exch. rate is the exchange rate used to convert the interest payment amount to the notional currency of the deal.

Terms

Drop-down box.

Terms specifies whether the interest amount is multiplied or divided by the exchange rate.

Date conv

Drop-down box.

Date conv specifies the convention used to adjust generated payment schedule dates that fall on non-business days.

The following are valid business day conventions:

Preceding previous valid business day,

Succeeding next valid business day,

Modified modified following valid business day.

Schedules AreaThe Schedules area is used to edit swap interest payment schedules and revalue swaps based on the new schedule information.


Schedules Area Layout

Schedules Area Ranges

Pay/receive

Display only.

Pay/receive indicates whether the interest for the schedule record is paid or received.

Fix/float

Display only.

Fix/float indicates whether the interest rate for the schedule record is fixed or floating.

CCY

Display only.

CCY is the currency of the schedule record.

First/last

Display only.

First/last identifies the reset and interest settlement method for the interest payment. First/Last may be 'First', 'Last', or 'FRA'.





Compounding

Display only.

Compounding indicates whether the swap leg schedule record is compounding the interest from the previous schedule.

Interest start date


Interest start date is the first day of the term of the interest period.

Interest end date


Interest end date is the last day of the term of the interest period.

Rate refix date


Rate refix date is the date the interest rate is revised.

Notional amount


Notional amount is the currency amount of the schedule record.

Interest rate


Interest rate is the rate used to calculate the interest amount paid or received on the payment date of the schedule record.

Cap rate


Cap rate is the maximum interest rate for a floating schedule record.

Floor rate


Floor rate is the minimum interest rate for a floating schedule record.

Spread



Spread is the amount the interest rate is increased or decreased based on the amount of the spread.

Rate code



Payment date


Payment date is the date the scheduled interest payment is made.

Payment amount

Display only.

Payment amount is the calculated interest payment amount denominated in the currency of the swap.

Discount factor

Display only.

Discount factor is the factor used to present value the payment amount.

NPV

Display only.

NPV is the present value of the interest payment amount.

Spot rate

Display only.

Spot rate is the spot rate of exchange between the branch base currency and the notional currency of the deal.

Spot terms

Display only.

Spot terms indicates whether the interest amount is multiplied (M) or divided (D) by the spot rate.


Display only.

NPV in local currency is the net present value of the interest payment converted to base currency.

Yield Curve - Pay Leg AreaThe Yield Curve -Pay Leg area is used to display maturity dates and discount factors for the yield curve used to price the swap pay leg and to edit the par rates used to generate the yield curve's discount factors.


Yield Curve - Pay Leg Area Layout

Yield Curve - Pay Leg Area Ranges

CCY

Display only.

CCY is the currency of the yield curve used to value the swap pay leg schedule records.

Yield curve id

Display only.

Yield curve id is the name of the yield curve used to discount the swap pay leg scheduled payments to present values.

Shift seq

Display only.



Quote type

Display only.



Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop-down box.

Regenerate Curve specifies whether the pricer regenerates discount factors for the yield curve using the specified par rates. If 'No' is selected, the swap is priced using the existing discount factors.

Maturity

Display only.


Maturity date

Display only.


Rate type

Display only.

Rate type identifies the type of interest rate used to generate the yield curve. Rate type is blank if the tenor point is interpolated.


Current Rate


Current Rate is the interest rate generated from the yield curve.

Spread


Spread is the amount the current rate is adjusted for analysis.

Par Rate


Par Rate is the contributing interest rate used to calculate the discount factors for the specified yield curve. If a futures strip is used to create the yield curve, Par Rate must be the futures prices (for Rate type 'Future').

DF TDY

Display only.

DF TDY is the discount factor associated with the maturity generated today.

DF YST

Display only.

DF YST is the discount factor associated with the maturity generated yesterday.

DF_01 TDY

Display only.

DF_01 TDY is the discount factor of the yield curve after the contributing rates are shifted up one basis point and generated today.

DF_01 YST

Display only.

DF_01 YST is the discount factor of the yield curve after the contributing rates are shifted up one basis point and generated yesterday.

Interpolated

Display only.


Yield Curve - Receive Leg AreaThe Yield Curve -Receive Leg area is used to display maturity dates and discount factors for the yield curve used to price the swap receive leg and to edit the par rates used to generate the yield curve's discount factors


Yield Curve - Receive Leg Area Layout

Yield Curve - Receive Leg Area Ranges

CCY

Display only.


Yield curve id

Display only.


Shift seq

Display only.



Quote type

Display only.



Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop-down box.


Maturity

Display only.


Maturity date

Display only.


Rate type

Display only.



Current Rate



Spread



Par Rate



DF TDY

Display only.


DF YST

Display only.


DF_01 TDY

Display only.


DF_01 YST

Display only.


Interpolated

Display only.



PRSW: Standard Interest Rate Swap

IntroductionThe Standard Interest Rate Swap worksheet is used to value vanilla swaps.

Starting Standard Interest Rate SwapTo access the PRSW, Interest Rate Swap Pricer workbook, select Pricers from the Navigator categories. Select Swaps from the category items.

Select the Standard tab at the bottom of the PRSW, Interest Rate Swap Pricer workbook.

Standard Interest Rate Swap Area

Standard Interest Rate Swap Area Layout

Standard Interest Rate Swap Area Ranges

Deal date


Deal date is the date the deal is made. Deal date defaults to the branch processing date. Deal date must be less than or equal to the branch processing date and the start date.



Swap value

Display only.


Start date




Maturity date




Solve for

Drop-down box.


Market Value,

Fixed Rate,

Float Rate,

Spread Rate.





Pay/reset cycle

Drop-down box.

Pay/reset cycle specifies the period the interest is paid/received and the period when the interest rate is reset. The following are valid cycles:

Annual,

Semi-annual,


Quarterly,

Monthly,

Maturity.

First/Last

Drop-down box.





CCY


CCY is the currency of the yield curve and the swap (or swap leg).


Notional Amount


Notional Amount is the currency amount of the swap leg.

Yield curve


Yield curve is the name of the yield curve used to discount the swap leg scheduled payments to present values.


Shift seq




Quote type

Drop-down box.



Fix/float

Drop-down box.


Rate code



Interest rate




Spread rate


Spread rate is the amount the interest rate is increased or decreased based on the amount of the spread.

Basis

Drop-down box.




Actual/365 A365

Actual/360 A360

BOND 30/360




Actual/365 (A365)



Actual/360 (A360)


BOND (30/360)


EBOND (30E/360)


Date conv

Drop-down box.



D no date adjustment,

S next valid business day,

P previous valid business day,

M modified following valid business day,

EMD end of month no date adjustment,

EMS end of month next valid business day,

EMP end of month previous valid business day,

2PW two business days before third Wednesday,

SCD strip of cash deposits,

3W third Wednesday,

EMN end of month ignore leap years.

Date dir

Drop-down box.

Date dir is the direction in which schedule generation dates are calculated. Date dir may be 'VF' (forward from value date) or 'MB' (backward from maturity date).

Swap type

Display only.

Swap type indicates whether the individual pricing the swap is paying or receiving the fixed rate leg. Swap type is determined by other ranges and is required to map a swap to the deal ticket.


Customer



Ctrl + F2 lists valid customers. The data must be previously entered using the CUST, Customer Static Data screen. To enter an item into the field, select it from the list.

Portfolio


Portfolio identifies a trader, department or group of related traders. Portfolio defaults to the value on the trader record entered using the TRAD, Trader Identification screen.

Ctrl + F2 lists valid portfolios. The data must be previously entered using the PORT, Portfolio Identification Maintenance screen. To enter an item into the field, select it from the list.

Broker


Broker is the code of the broker involved in the deal or the deal source code that identifies how the deal is arranged (e.g., telex, phone, REUTERS).

Ctrl + F2 lists valid brokers. The data must be previously entered using the CUST, Customer Static Data screen. To enter an item into the field, select it from the list.





Pay/receive

Display only.


Fix/float

Display only.


CCY

Display only.


First/last

Display only.






Compounding

Display only.

Compounding indicates whether the swap leg schedule record is compounding the interest from the previous schedule.

Interest start date



Interest end date



Rate refix date



Notional amount



Interest rate


Interest rate is the rate used to calculate the interest amount paid or received on the payment date of the swap leg.

Cap rate


Cap rate is the maximum interest rate for a floating swap leg.

Floor rate


Floor rate is the minimum interest rate for a floating swap leg.

Spread




Rate code



Payment date



Payment amount

Display only.


Discount factor

Display only.


NPV

Display only.


Spot rate

Display only.

Spot rate is the spot rate of exchange branch base currency and the notional currency of the deal.

Spot terms

Display only.



Display only.


Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used to price the swap pay leg and to edit the par rates used to generate the yield curve's discount factors.



Yield Curve Area Ranges

CCY

Display only.


Yield curve id

Display only.


Shift seq

Display only.



Quote type

Display only.



Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop-down box.


Maturity

Display only.


Maturity date

Display only.


Rate type

Display only.



Current Rate



Spread



Par Rate



DF TDY

Display only.


DF YST

Display only.


DF_01 TDY

Display only.


DF_01 YST

Display only.


Interpolated

Display only.



PRSW: Currency Interest Rate Swap

IntroductionThe Currency Interest Rate Swap worksheet is used to value standard interest rate currency swaps.

Starting Currency Interest Rate SwapTo access the PRSW, Interest Rate Swap Pricer workbook, select Pricers from the Navigator categories. Select Swaps from the category items.

Select the Currency tab at the bottom of the PRSW, Interest Rate Swap Pricer workbook.

Currency Interest Rate Swap Area

Currency Interest Rate Swap Area Layout

Currency Interest Rate Swap Area Ranges

Deal date


Deal date is the date the deal is made. Deal date defaults to the current branch processing date. Deal date must be less than or equal to the start date and the branch processing date.



Swap value

Display only.


Start date




Maturity date




Solve for

Drop-down box.


Market Value,

Fixed Rate,

Float Rate,

Spread Rate.





Pay/reset cycle

Drop-down box.

Pay/reset cycle specifies the period when the interest is paid/received and the interest rate is reset. The following are valid cycles:

Annual,

Semi-annual,


Quarterly,

Monthly,

Maturity.

First/Last

Drop-down box.





CCY


CCY is the currency of the yield curve and the swap (or pay/receive leg of the swap).


Notional Amount


Notional Amount is the currency amount of the swap pay/receive leg.

Yield curve


Yield curve is the name of the yield curve used to discount the pay/receive swap leg scheduled payments to present values.


Shift seq




Quote type

Drop-down box.



Fix/float

Drop-down box.


Rate code



Interest rate




Spread rate


Spread rate is the amount the interest rate is increased or decreased based on the amount of the spread.

Basis

Drop-down box.




Actual/365 A365

Actual/360 A360

BOND 30/360




Actual/365 (A365)



Actual/360 (A360)


BOND (30/360)


EBOND (30E/360)


Date conv

Drop-down box.



D no date adjustment,

S next valid business day,

P previous valid business day,

M modified following valid business day,

EMD end of month no date adjustment,

EMS end of month next valid business day,

EMP end of month previous valid business day,

2PW two business days before third Wednesday,

SCD strip of cash deposits,

3W third Wednesday,

EMN end of month ignore leap years.

Date dir

Drop-down box.

Date dir is the direction in which schedule generation dates are calculated. Date dir may be 'VF' (forward from value date) or 'MB' (backward from maturity date).

Int. exch. rate


Int. exch. rate is the exchange rate used to convert the interest payment amount to the notional currency of the deal.


Terms

Drop-down box.

Terms specifies whether the interest amount is multiplied or divided by the exchange rate.

Exch. Principle

Drop-down box.

Exch. Principle specifies whether initial, final or both exchanges of currency principle are included when generating a swap schedule and pricing a swap.

Swap type

Display only.

Swap type indicates whether the individual pricing the swap is paying or receiving the fixed rate leg. Swap type is determined by other ranges and is required to map a swap to the deal ticket.

Customer




Portfolio


Portfolio identifies a trader, department or group of related traders. Portfolio defaults to the value on the trader record entered using the TRAD, Trader Identification screen.

Ctrl + F2 lists valid portfolios. The data must be previously entered using the PORT, Portfolio Identification Maintenance screen. To enter an item into the field, select it from the list.

Broker








Pay/receive

Display only.


Fix/float

Display only.


CCY

Display only.


First/last

Display only.






Compounding

Display only.

Compounding indicates whether the schedule record is compounding the interest from the previous schedule.

Interest start date



Interest end date



Rate refix date



Notional amount



Interest rate


Interest rate is the rate used to calculate the interest amount paid or received on the payment date of the schedule record.

Cap rate


Cap rate is the maximum interest rate for a floating swap leg.

Floor rate


Floor rate is the minimum interest rate for a floating swap leg.

Spread




Rate code



Payment date



Payment amount

Display only.


Discount factor

Display only.


NPV

Display only.


Spot rate

Display only.

Spot rate is the spot rate of exchange branch base currency and the notional currency of the deal.

Spot terms

Display only.



Display only.


Yield Curve - Pay Leg AreaThe Yield Curve -Pay Leg area is used to display maturity dates and discount factors for the yield curve used to price the swap pay leg and to edit the par rates used to generate the yield curve's discount factors.


Yield Curve - Pay Leg Area Layout

Yield Curve - Pay Leg Area Ranges

CCY

Display only.


Yield curve id

Display only.


Shift seq

Display only.



Quote type

Display only.



Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop-down box.


Maturity

Display only.


Maturity date

Display only.


Rate type

Display only.



Current Rate



Spread



Par Rate



DF TDY

Display only.


DF YST

Display only.


DF_01 TDY

Display only.


DF_01 YST

Display only.


Interpolated

Display only.


Yield Curve - Receive Leg AreaThe Yield Curve -Receive Leg area is used to display maturity dates and discount factors for the yield curve used to price the swap receive leg and to edit the par rates used to generate the yield curve's discount factors.


Yield Curve - Receive Leg Area Layout

Yield Curve - Receive Leg Area Ranges

CCY

Display only.


Yield curve id

Display only.


Shift seq

Display only.



Quote type

Display only.



Description

Display only.


Last date

Display only.


Financial center

Display only.


Day rule

Display only.


Spot days

Display only.


Regenerate Curve

Drop-down box.


Maturity

Display only.


Maturity date

Display only.


Rate type

Display only.



Current Rate



Spread



Par Rate



DF TDY

Display only.


DF YST

Display only.


DF_01 TDY

Display only.


DF_01 YST

Display only.


Interpolated

Display only.


PRSW: ButtonsThe PRSW, Interest Rate Swap Pricer, Custom Interest Rate Swap, Standard Interest Rate Swap and Currency Interest Rate Swap screen buttons are used to perform OPICS functions and Analytics screen processing.

The following buttons perform functions and processing specific to the PRSW screen.


Processing Buttons

Yield Curve Pay

The Yield Curve Pay button is used to display the Yield Curve - Pay Leg area.

Yield Curve Rec.

The Yield Curve Rec. button is used to display the Yield Curve - Receive Leg area.

Value

The Value button is used to calculate the current price of the swap.

Create Sched.

The Create Sched. button is used to generate default swap schedules used to value the swap.

Revalue

The Revalue button is used to recalculate the swap value based on new schedule information.

Map Deal

The Map Deal button is used to enter the displayed swap deal on the appropriate tab of the SWVE, Vanilla Swap Deal Entry screen.


PROT: OTC Pricer

IntroductionThe PROT, OTC Pricer workbook is used to price standard, bond and exotic over the counter options. Price estimates are calculated based on different option pricing models, depending on the specific option.

PROT Worksheets

OTC Currency Option Pricer

The OTC Currency Option Pricer worksheet is used to price standard over the counter currency options.

OTC Bond Option Pricer

The OTC Bond Option Pricer worksheet is used to price over the counter bond options.

OTC Barrier Options Pricer

The OTC Barrier Options Pricer workbook is used to price over the counter barrier options.

Starting OTC PricerTo access the PROT, OTC Pricer workbook, select Pricers from the Navigator categories.

Select OTC Options from the category items.

Selecting PROT WorksheetsSelect one of the following tabs at the bottom of the PROT, OTC Pricer workbook:

Currency,

Bond,

Barrier.


PROT: OTC Currency Option Pricer

IntroductionThe OTC Currency Option Pricer worksheet is used to price standard over the counter currency options.

Starting OTC Currency Option PricerTo access the PROT, OTC Pricer workbook, select Pricers from the Navigator categories. Select OTC Options from the category items.

Select the Currency tab at the bottom of the PROT, OTC Pricer workbook.

OTC Currency Option Pricer Area

OTC Currency Option Pricer Area Layout

OTC Currency Option Pricer Area Ranges

Deal number




Style

Drop-down box.

Style specifies whether the option is European (exercised on the expiration date) or American (exercised any time between the deal date and expiration date).

Deal date


Deal date is the date the deal is made. Deal date defaults to the current branch processing date. Deal date must be less than or equal to the branch processing date.


Model

Drop-down box.

Model is the model used to price the option, based on the option style.

Expiration date


Expiration date is the date the option expires.


Volatility


Volatility is a measure of the price variation for the financial instrument underlying the option.

A volatility must be entered to calculate the premium value of an option. If Volatility is not entered, an implied volatility may be calculated.

Volatility may be entered or selected using the up or down arrow (spinner).

Settlement date


Settlement date is the date funds are paid or received for the option.


CCY


CCY is the primary currency purchased or sold when the option is exercised.

(CTR) CCY is the counter currency of the option.



Delta

Display only.

Delta is the sensitivity of the option premium to a change in the price of the underlying financial instrument.

Call/Put


Call/Put identifies the priced option as a call or put option.

(CTR) Call/Put is the opposite of (CCY) Call/Put.

Forward delta

Display only.

Forward delta is the delta value of the option on the expiration date.

Strike


Strike is the price at which the option may be exercised.

Gamma

Display only.

Gamma is the option's delta sensitivity to a small change in the price of the underlying financial instrument.

Spot


Spot is the spot rate of exchange between the currency and the counter currency.

Theta

Display only.

Theta is the sensitivity of the option premium to a one day decrease in the option's time to expiration.

Forward value


Forward value is the forward exchange rate for the term of the option.

Vega

Display only.

Vega is the sensitivity of the option premium to a change in the volatility of the underlying financial instrument.


Rate


Rate is the annualized rate of interest for the currency and the counter currency. Rate is used to calculate the forward rate of the deal.

Rho (domestic)

Display only.

Rho (domestic) is the change in the option price based on a one percent change in the domestic interest rate.

Rho (foreign)

Display only.

Rho (foreign) is the change in the option price based on a one percent change in the foreign interest rate.

Principal


Principal is the currency amount purchased or sold when the option is exercised.

Principal is entered as a number (e.g., 9999999999999.99) or as an amount followed by a suffix ('B' for billions, 'M' for millions, 'T' for thousands). For example, one million is entered '1000000' or '1M'.

Prem %


Prem % is the percentage of the option's principal amount paid as a premium.

Prem % must be entered to calculate the implied volatility (using the Calc Implied button).

Premium

Display only.

Premium is the currency amount of the option's premium. Premium is the price of the option.

Hedge

Display only.

Hedge is product of the delta and the principal amount.

Mapping Information AreaThe Mapping Information area is used to map over the counter currency option pricing information to the OTDE, OTC Options Deal Entry screen.



Mapping Information Area Ranges

Customer



Product


Product identifies the product module (e.g., 'OTC' for OTC Options).

Product type


Product type identifies the products within the product module (e.g., 'OT' for OTC Options).

Purchase/sale

Drop-down box.

Purchase/sale identifies the deal as a purchase or a sale.



Rates Area Layout

Rates Area Ranges

CCY1

Display only.


CCY2

Display only.


Terms

Display only.

Terms specifies whether the CCY1 spot rate is multiplied or divided by the exchange rate to calculate the counter currency amount.

Spot


Spot is the spot rate of exchange between CCY1 and CCY2 of the currency pair. Spot may be entered as a spot rate or a link to a DDE live data feed.


PROT: OTC Bond Option Pricer

IntroductionThe OTC Bond Option Pricer worksheet is used to price over the counter bond options.

Starting OTC Bond Option PricerTo access the PROT, OTC Pricer workbook, select Pricers from the Navigator categories. Select OTC Options from the category items.

Select the Bond tab at the bottom of the PROT, OTC Pricer workbook.

OTC Bond Option Pricer Area

OTC Bond Option Pricer Area Layout

OTC Bond Option Pricer Area Ranges

Deal number




Style

Display only.

Style specifies whether the option is European (exercised on the expiration date) or American (exercised any time between the deal date and expiration date).

Deal date




Model

Display only.

Model is the model used to price the option.

Value date


Value date is the settlement date of the premium.


Volatility





Expiration date




Settlement date


Settlement date is the date funds are paid or received for the option.



Delta

Display only.


CCY


CCY is the primary currency purchased or sold when the option is exercised.


Gamma

Display only.

Gamma is the option's delta sensitivity to a small change in the price of the underlying financial instrument.

Call/Put


Call/Put identifies the priced option as a call or put option.

Theta

Display only.

Theta is the sensitivity of the option premium to a one day decrease in the expiration of the option.

Strike price


Strike price is the price at which the option may be exercised.

Vega

Display only.

Vega is the sensitivity of the option premium to a change in the volatility of the underlying financial instrument.

Bond Price


Bond Price is the current price of the specified security.

Rho

Display only.

Rho is the change in the option price based on a one percent change in the interest rate.


Forward Value


Forward Value is the price of the specified security id.

Security id


Security id identifies the security underlying the option.

Ctrl + F2 lists valid security identifiers. The data must be previously entered using the SEMM, Security Master Maintenance screen. To enter an item into the range, select it from the list.

Principal


Principal is the currency amount purchased or sold when the option is exercised.

Principal is entered as a number (e.g., 9999999999999.99) or as an amount followed by a suffix ('B' for billions, 'M' for millions, 'T' for thousands). For example, one million is entered '1000000' or '1M'.

Prem %


Prem % is the percentage of the option's principal amount paid as a premium.

Prem % must be entered to calculate the implied volatility (using the Calc Implied button).

Premium

Display only.

Premium is the currency amount of the option's premium. Premium is the price of the option.

Mapping Information AreaThe Mapping Information area is used to map over the counter bond option pricing information to the OTDE, OTC Options Deal Entry screen.




Customer



Product


Product identifies the product module (e.g., 'OTC' for OTC Options).

Product type


Product type identifies the products within the product module (e.g., 'OT' for OTC Options).

Purchase/sale

Drop-down box.

Purchase/sale identifies the deal as a purchase or a sale.


PROT: OTC Barrier Options Pricer

IntroductionThe OTC Barrier Options Pricer workbook is used to price over the counter barrier options.

Starting OTC Barrier Options PricerTo access the PROT, OTC Pricer workbook, select Pricers from the Navigator categories. Select OTC Options from the category items.

Select the Barrier tab at the bottom of the PROT, OTC Pricer workbook.

OTC Barrier Options Pricer Area

OTC Barrier Options Pricer Area Layout

OTC Barrier Options Pricer Area Ranges

Deal date





Barrier type

Drop-down box.

Barrier type specifies whether the barrier is a 'knock in' barrier or a 'knock out' barrier.

Expiration date




Volatility




Option type

Drop-down box.

Option type identifies the option as a call or put option.

Delta

Display only.


Strike


Strike is the price at which the option may be exercised.

Probability of breaching barrier

Display only.

Probability of breaching barrier is the probability of the foreign exchange rate breaching the option barrier.

Spot


Spot is the spot rate of exchange between the currency and the counter currency.


Barrier


Barrier is the level at which the option becomes active (knock in), or the level at which the option becomes invalid (knock out).

Rebate


Rebate is the value of the option when the barrier is breached.

Domestic rate


Domestic rate is the domestic rate of interest for the option.

Foreign rate


Foreign rate is the foreign rate of interest for the option.

Premium (in points)

Display only.

Premium (in points) is the amount of the option premium, in points.

PROT: ButtonsThe PROT, OTC Pricer, OTC Currency Option Pricer and OTC Bond Option Pricer screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the PROT screen.

Processing Buttons

Calc. Premium

The Calc. Premium button is used to calculate a premium. To calculate a premium, enter the option information and select the Calc. Premium button.

Calc. Implied

The Calc. Implied button is used to calculate implied volatility. Enter the option information and select the Calc. Implied button. The premium percent must be entered to calculate implied volatility of an option.

Get Rates

The Get Rates button is used to display the rates for the specified currency pair.

Map Deal

The Map Deal button is used to enter the displayed over the counter option deal on the OTDE, OTC Options Entry screen.


Options

The Options button is used to display the OTC Currency Option Pricer or the OTC Bond Option Pricer area.

Get CCY



PRFX: Forward Point Pricer

IntroductionThe PRFX, Forward Point Pricer workbook is used to calculate forward points for proposed and existing foreign exchange deals based on the spot rate and yield curves for a specified currency pair.

PRFX Worksheets

Pricer

The Pricer worksheet is used to calculate forward points for a specified currency pair.

Rates Through Points

The Rates Through Points worksheet is used to calculate rates for one currency in a currency pair based on the rates and forward points for the other currency in the currency pair.

Starting Forward Point PricerTo access the PRFX, Forward Point Pricer workbook, select Pricers from the Navigator categories.

Select FX Forwards from the category items.

Selecting PRFX WorksheetsSelect one of the following tabs at the bottom of the PRFX, Forward Point Pricer workbook:

Forward Points,

Rates Through Points.


PRFX: Pricer

IntroductionThe Pricer worksheet is used to calculate forward points for a specified currency pair.

Starting PricerTo access the PRFX, Forward Point Pricer workbook, select Pricers from the Navigator categories. Select FX Forwards from the category items.

Select the Forward Points tab at the bottom of the PRFX, Forward Point Pricer.

Pricer Area

Pricer Area Layout

Pricer Area Ranges

CCY1




Ctrl + F2 lists valid currencies. The data must be previously entered using the CCYP, Default CCY Pair Terms screen. To enter an item into the range, select it from the list.

Yield curve id


Yield curve id is the name of the yield curve used to calculate forward points for CCY1.


Description

Display only.


Shift seq




Quote type

Drop-down box.


CCY2




Yield curve id


Yield curve id is the name of the yield curve used to calculate forward points for CCY2.


Description

Display only.



Shift seq




Quote type

Drop-down box.


Terms

Display only.


Broken date


Broken date is the date used to calculate forward points. Broken date cannot equal the tenor date.


Tenor



Tenor date

Display only.


CCY1 rate


CCY1 rate is the zero coupon rate (associated with the CCY1 yield curve) for the specified tenor.

CCY2 rate




Spot/Fwd. points


Spot/Fwd. points is the spot rate for the specified currency pair and the calculated forward points.

Bid offset


Bid offset adjusts the forward points calculation to offer a market spread of the forward spread.

Ask offset


Ask offset adjusts the forward points calculation to offer a market spread of the forward spread.

Bid points

Display only.

Bid points are the bid forward points for the specified tenor.

Ask points

Display only.

Ask points are the ask forward points for the specified tenor.

CCY1 Yield Curve AreaThe CCY1 Yield Curve Area is used to display maturity dates and discount factors for the yield curve used in the forward points calculation for CCY1.


CCY1 Yield Curve Area Layout

CCY1 Yield Curve Area Display Ranges

CCY


Yield curve id

Yield curve id is the name of the yield curve used to calculate forward points.

Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01


CCY2 Yield Curve AreaThe CCY2 Yield Curve Area is used to display maturity dates and discount factors for the yield curve used in the forward points calculation for CCY2.


CCY2 Yield Curve Area Layout

CCY2 Yield Curve Area Display Ranges

CCY


Yield curve id

Yield curve id is the name of the yield curve used to calculate forward points.

Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01




Rates Area Layout

Rates Area Ranges

CCY1

Display only.


CCY2

Display only.


Terms

Display only.


Spot


Spot is the spot rate of exchange between CCY1 and CCY2 of the currency pair. Spot may be an entered spot rate or a link to a DDE live data feed.


Mapping Information AreaThe Mapping Information area is used to map currency pair information to the FXDE, Foreign Exchange Deal Entry screen.



CCY1

Display only.


CCY1 is a currency in the currency pair. CCY1 is mapped to the FXDE, Foreign Exchange Deal Entry screen as the currency of the deal.

Purchase/Sale

Drop-down box.

Purchase/Sale specifies whether the deal is a purchase or sale.

CCY2

Display only.

CCY2 is a currency in the currency pair. CCY2 is mapped to the FXDE, Foreign Exchange Deal Entry screen as the counter currency of the deal.


Spot rate


Spot rate is the spot rate of exchange between the currency (CCY1) and the counter currency (CCY2) of the deal.

Amount


Amount is the notional amount of the deal.

Spot/Fwd. points



Customer



Ctrl + F2 lists valid customers. The data must be previously entered using the CUST, Customer Static Data screen. To enter an item into the range, select it from the list.

Value date


Value date is the date for which the forward points are calculated.

Broker





PRFX: Rates Through Points

IntroductionThe Rates Through Points worksheet is used to calculate rates for one currency in a currency pair based on the rates and forward points for the other currency in the currency pair.

Starting Rates Through PointsTo access the PRFX, Forward Points Pricer workbook, select Pricers from the Navigator categories. Select FX Forwards from the category items.

Select the Rates Through Points tab at the bottom of the PRFX, Forward Points Pricer workbook.

Rates Through Points Area

Rates Through Points Area Layout

Rates Through Points Area Ranges

CCY1





CCY2




Terms

Display only.

Terms specifies whether the rate is multiplied by or divided into the foreign currency amount to calculate the local currency amount.

CCY


CCY is the currency of the specified yield curve. CCY must equal CCY1 or CCY2.


Yield curve id


Yield curve id is the name of the yield curve used calculate rates from forward points.

Ctrl + F2 lists valid yield curves. The data must be previously entered using the YCHD, Yield Curve Header Maintenance screen. To enter an item into the field, select it from the list.

Description

Display only.


Shift seq




Quote type

Drop-down box.



Broken date


Broken date is the date for which the rates are calculated. Broken date cannot equal the tenor date.


Tenor



Tenor date

Display only.


CCY1 rate



CCY2 rate



Spot/Fwd. points



Yield Curve AreaThe Yield Curve Area is used to display maturity dates and discount factors for the yield curve used to calculate rates.




CCY


Yield curve id

Yield curve id is the name of the yield curve used to calculate rates.

Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01




Rates Area Layout

Rates Area Ranges

CCY1

Display only.


CCY2

Display only.


Terms

Display only.


Spot


Spot is the spot rate of exchange between CCY1 and CCY2 of the currency pair. Spot may be an entered spot rate or a link to a DDE live data feed.


PRFX: ButtonsThe PRFX, Pricer and Rates Through Points screen buttons are used to perform OPICS functions and Analytics screen processing.

The following buttons perform functions and processing specific to the PRFX screen.

Processing Buttons

CCY1 Yield Curve

The CCY1 Yield Curve button is used to display the CCY1 Yield Curve area. Forward points must be calculated before the CCY1 yield curve information can be displayed.

CCY2 Yield Curve

The CCY2 Yield Curve button is used to display the CCY1 Yield Curve area. Forward points must be calculated before the CCY2 yield curve information can be displayed.

Calc. Fwd. Points

The Calc. Fwd. Points button is used to calculate forward points for the specified currency pair.

Recalculate

The Recalculate button is used to recalculate forward points for the specified currency pair.

Map Deal

The Map Deal button is used to map a deal. Select a cell and select the OK button.

Get CCY


Rates Through Pts.

The Rates Through Pts. button is used to display the Rates Through Points area.


PRCF: Cap, Floor and Collar Pricer

IntroductionThe PRCF, Cap, Floor and Collar Pricer workbook is used to calculate cap, floor and collar market values. Market values are based on combinations of yield curves, rate revision methods and reset cycles.

The PRCF, Cap, Floor and Collar Pricer is integrated into the OPICS data structure and may be used to display OPICS cap, floor and collar deals and to map pricer information to the CCDE, Caps and Floors Deal Entry screen.

Starting Cap, Floor and Collar PricerTo access the PRCF, Cap, Floor and Collar Pricer workbook, select Pricers from the Navigator categories.

Select Caps, Floors from the category items.

Pricer Area

Pricer Area Layout


Pricer Area Ranges

Branch


Branch is the branch where the deal is entered. Branch identifies an operation unit within an organization that maintains its own set of books.


Cap/floor/collar

Drop-down box.

Cap/floor/collar identifies the deal as a cap, floor or collar.

Deal number


Deal number is the number of the cap, floor or collar deal.

Volatility


Volatility is the variability of the financial instrument underlying the cap, floor or collar.


Deal date


Deal date is the date the deal is made. Deal date defaults to the current branch processing date. Deal date must be less than or equal to the branch processing date and the start date.


Start date


Start date is the first day of the term of the deal. Start date must be greater than or equal to the deal date.

Start date may be entered as a calendar date or as a tenor period. Tenor periods are entered in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month) or Y (year), or as 'SPOT', 'TOM' or 'O/N'.

Start date defaults to the spot date of the specified yield curve.


Purchase/sale

Drop-down box.


Purchase/sale identifies the cap, floor or collar as a purchase or sale.

Maturity date


Maturity date is the date the cap, floor or collar matures. Maturity date may be entered as a calendar date or as a tenor period. Tenor periods are entered in the format 'nnX', where nn is the number of days, months or years and X is D (day), M (month) or Y (year), or as 'SPOT', 'TOM' or 'O/N'.

If Maturity date is entered as a tenor period, the maturity date is calculated from the specified start date.

Ctrl + F2 displays a calendar with a list of valid business days. Select a date from the calendar to enter it into the range.

Notional amount


Notional amount is the currency amount of the cap, floor or collar deal.

Notional amount can be entered as a number (e.g., 999999999999999.99) or as an amount followed by a suffix (e.g., 'B' for billions, 'M' for millions, 'T' for thousands). For example, one million is entered as '1000000' or '1M'.

Notional amount defaults to 1,000,000.

Cap strike rate


Cap strike rate is the maximum rate used to calculate the settlement amount on a reset date during the life of the cap (or cap portion of a collar).

CCY


CCY is the currency of the cap, floor or collar deal.


Floor strike rate


Floor strike rate is the minimum rate used to calculate a settlement amount on a reset date during the life of the floor (or floor portion of the collar).

Yield curve id


Yield curve id is the name of the yield curve used to calculate forward rates and risk-free interest rates.

Ctrl + F2 lists valid yield curves. The data must be previously entered using the YCHD, Yield Curve Header Maintenance screen. To enter an item into the field, select it from the list.


Shift seq

Display only.



Market price (in % par)

Display only.

Market price (in % par) is the market value of the cap, floor or collar as a percent of the notional amount.

Market value

Display only.

Market value is the market value of the cap, floor or collar in the specified currency.

Quote type

Drop-down box.


Reset cycle

Drop-down box.

Reset cycle specifies the period when the index rate is reset.

The following are valid cycles:

Annual,

Semi-annual,

Quarterly,

Monthly.

Rate revision day


Rate revision day is the day of month the interest rate is reset. Rate revision day is entered in the format 'nn', where nn is a number between '01' and '31'. Rate revision day defaults to the start date day of month.

First/Last

Drop-down box.






Rate code




Customer




Basis

Drop-down box.

Basis is the basis used to calculate interest. Valid bases are:



Product code


Product code identifies the product module (e.g., 'CPFL' for Caps and Floors).

Ctrl + F2 lists valid products. The data must be previously entered using the PROD, Product Information screen. To enter an item into the field, select it from the list.

Product Type


Product Type is a sub-classification of the product. The product type range is used in mapping deals to the CCDE (Caps and Floors deal entry) deal entry screen in OPICS from QUIP

Ctrl + F2 lists valid product types. The data must be previously entered using the TYPE, Type Information Maintenance screen. To enter an item into the range, select it from the list.

Schedules AreaThe Schedules area is used to edit cap, floor and collar interest payment schedules and revalue caps, floors and collars based on the new schedule information.




Cap

Display only.

Cap is the total market price percent in par and the total market value for the cap deal.

Floor

Display only.

Floor is the total market price percent in par and the total market value for the floor deal.

Collar

Display only.

Collar is the total market price in percent of par and the total market value for the collar deal.

Type

Display only.

Type specifies whether the schedule is for a caplet or floorlet.

Start date



Start date is the first day of the term of the interest payment schedule.

End date


End date is the last day of the term of the interest payment schedule.

Days to maturity

Display only.

Days to maturity is the number of days from the branch processing date to the end date.

Notional amount

Required. Numeric, up to 12 digits, including up to 2 decimals.

Notional amount is the total currency amount of the cap, floor or collar deal.

Notional amount can be entered as a number (e.g., 999999999999999.99) or as an amount followed by a suffix (e.g., 'B' for billions, 'M' for millions, 'T' for thousands). For example, one million is entered as '1000000' or '1M'.

Forward rate


Forward rate is the calculated forward interest rate.

Strike rate


Strike rate is the maximum rate used to calculate an interest payment amount during the life of the caplet or floorlet.

Volatility


Volatility is the variability of the financial instrument underlying the cap, floor or collar deal.

Price (in % par)

Display only.

Price (in % par) is the market value of the caplet or floorlet as a percent of the notional amount.

Price (in CCY)

Display only.

Price (in CCY) is the market value of the caplet or floorlet in the currency of the deal.

Yield Curve AreaThe Yield Curve Area is used to display maturity dates and discount factors for the yield curve used to price the cap, floor or collar deal.




CCY


Yield curve id

Yield curve id is the name of the yield curve used to price the cap, floor or collar deal.

Shift seq



Quote type


Description



Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01


PRCF: ButtonsThe PRCF, Caps, Floor and Collar Pricer screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the PRCF screen.

Processing Buttons

Value

The Value button is used to calculate the current price for the cap, floor or collar.


Map Deal

The Map Deal button is used to map a deal. Enter the customer, product and product type and select the Map Deal button.

Revalue

The Revalue button is used to recalculate the price of the cap, floor or collar deal based on the displayed schedule information.


PRES: Euro Strip Pricer

IntroductionThe PRES, Euro Strip Pricer workbook is used to calculate cash money market yields using stub rates and strips of eurodollar deliveries. Money market rates are calculated for specified cash maturity periods.

Starting Euro Strip PricerTo access the PRES, Euro Strip Pricer workbook, select Pricers from the Navigator categories.

Select Euro Strip from the category items.

Pricer Area

Pricer Area Layout

Pricer Area Ranges

Contract


Contract is the short-term interest rate futures contract used to calculate implied interest rates.



Basis

Drop-down box.

Basis is the basis used to calculate money market rates. Valid bases are:



CCY


CCY is the currency of the futures contract.


Euro Strip

Mty

Display only.

Mty is a tenor period or futures delivery code for which rates are calculated.

Date

Display only.

Date is the date associated with the specified tenor period or the date of the specified delivery.

Rate

Display only.

Rate is the calculated euro strip rate for the specified maturity (Mty).

Cash Rates

Mty

Display only.

Mty is a tenor period or futures delivery code for which rates are calculated.

Date

Display only.

Date is the date associated with the specified tenor period or the date of the specified delivery.

Rate/price/DDE



Rate/price/DDE is the price of the futures contract. Rate/price/DDE may be an entered price or a link to a DDE live data feed.

Rate

Display only.

Rate is the calculated annual money market rate for the specified maturity (Mty).

PRES: ButtonsThe PRES, Euro Strip Pricer screen buttons are used to perform OPICS functions and Analytics screen processing.

The following menus and buttons perform functions and processing specific to the PRES screen.

Processing Buttons

Get Contract

The Get Contract button is used to display a previously entered futures contract.

Calc Rates

The Calc Rates button is used to calculate money market rates based on the futures contract rates and prices.

Load Rates

The Load Rates button is used to save the calculated money market rates in OPICS.


PRFI: Fixed Income Pricer

IntroductionThe PRFI, Fixed Income Pricer workbook is used to price and evaluate periodic interest, floating rate and NPV securities. Price estimates are calculated based on bond calculation methods (and generated payment schedules for some bonds).

Starting Fixed Income PricerTo access the PRFI, Fixed Income Pricer workbook, select Pricers from the Navigator categories.

Select Fixed Income from the category items.

Bond Pricer Area

Bond Pricer Area Layout

Bond Pricer Area Ranges

Security id


Security id identifies the security.


Ctrl + F2 lists valid security identifiers. The data must be previously entered using the SEMM, Security Master Maintenance screen. To enter an item into the range, select it from the list.

Calculation rule

Drop-down box.

Calculation rule identifies the methodology used to price the security and the type of schedule generated for the security. Valid calculation rules are:

AJU Adjustabono,

BDE Bonde,

RPI Regular periodic interest,

OFL Odd first/last coupon (also used for RPI securities),

ZCO Zero coupon security,

TBL T-bill (< 180 days),

DIS T-bill/discount security (>180 days),

IAM Interest at maturity,

FRS Floating Rate Security (OPICS),

GCA Canadian Government,

NPV Net Present Value security (OPICS),

YC-NPV Net Present Value using yield curve,

YC-FRS Floating Rate Security using yield curve.

Trade date


Trade date is the date the security is being priced on. Trade date must be less than or equal to the branch processing date.

Trade date defaults to the branch processing date.

Amount


Amount is the currency amount of the security. If Amount is not entered, the security amount is calculated automatically based on the specified quantity. If Amount and Quantity are not entered, Amount defaults to the specified denomination in the Reference Data area.

Settlement date


Settlement date is the date funds are paid or received.



Prin CCY


Prin CCY is the currency in which the security is denominated.


Value date


Value date is the date the security begins to accrue interest.


Coupon/discount


Coupon/discount is the rate of discount for the security. If Calculation rule is 'FRS', 'NPV' or 'YC', Coupon/discount is the rate used to calculate interest for the security.

Coupon/discount is entered as a number with a decimal (e.g., 99999.99999999) or as a whole number and a fraction, where Analytics calculates the decimal amount (e.g., 12 7/8). The denominator of the fraction must be 2, 4, 8, 16, 32 or 64.

Maturity date


Maturity date is the final principal payment date and the interest period end date for the security.


Rate code



Rate code is used when the 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.


Cap rate


Cap rate is the maximum rate used to calculate interest for the security. If the coupon/discount rate is greater than the cap rate, the cap rate is used to calculate interest for the security.

Cap rate is used when the 'FRS', 'NPV', 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.


Floor rate


Floor rate is the minimum rate used to calculate interest for the security. If the coupon/discount rate is less than the floor rate, the floor rate is used to calculate interest for the security.

Floor rate is used when the 'FRS', 'NPV', 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.

First coupon date


First coupon date is the date the first interest payment is due, if the interest payment date does not correspond with the interest cycle.

First coupon date is used when the 'OFL' calculation rule is used to price the security.


Spread rate




Spread rate is used when the 'FRS', 'NPV', 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.

Last coupon date

Date format.

Last coupon date is the first day of the term of the last interest period, if the last interest period is longer or shorter than the standard interest period.

Last coupon date is used when the 'OFL' calculation rule is used to price the security.

Last coupon date must be entered if Calculation rule is 'OFL'.


Pay/refix freq

Drop-down box.

Pay/refix freq specifies the period the interest payment is paid or received. Valid periods are:

A - Annually,

S - Semiannually,

Q - Quarterly,


M - Monthly,

182 - every 182 days,

91 - every 91 days,

28 - every 28 days.

If Calculation rule is 'DIS' or 'TBL', Pay/refix freq does not apply.

Basis

Drop-down box.


Valid bases are:

Actual/Actual ACTUAL


Actual/365 A365

Actual/360 A360

BOND 30/360


Actual/Actual (ACTUAL)

Actual/Actual is 1 divided by the annual frequency of coupon payments indicated by the interest cycle. The basis for accrued interest is the actual number of accrued days divided by the actual number of days in the coupon period times the annual frequency of coupon payments.


Actual/Actual is the number of days in the calculation period divided by 365. If any portion of the calculation is in a leap year, Actual/Actual is the sum of (A) the number of days in that portion of the calculation period in the leap year divided by 366 and (B) the number of days in that portion of the calculation period in a non-leap year divided by 365.

Actual/365 (A365)


Actual/360 (A360)


BOND (30/360)


EBOND (30E/360)



Initial index rate


Initial index rate is the current rate of inflation as of the value date of the security.

Price

Numeric, up to 12.8 digits.

Price is the price of the security.

Price may be entered as a number with a decimal (e.g., 99999.99999999) or as a whole number and a fraction, where Analytics calculates the decimal amount (e.g., 12 7/8). The denominator of the fraction must be 2, 4, 8, 16, 32 or 64.

If Price is not entered, the price is calculated based on the specified yield or discount rate.

Price must be entered if Yield and Coupon/discount are not entered.

Yield curve id


Yield curve id is the name of the yield curve used to discount security payments to present values.

Yield curve id must be entered if Calculation rule is 'YC-FRS' or 'YC-NPV'.


Yield


Yield is the yield used to calculate the price of the security.

Yield may be entered as a number with a decimal (e.g., 99999.99999999) or as a whole number and a fraction, where Analytics calculates the decimal amount (e.g., 12 7/8). The denominator of the fraction must be 2, 4, 8, 16, 32 or 64.

Yield may not be entered for discounted securities with a calculation rule of 'TBL'.

Yield must be entered if Price and Coupon/discount are not entered.

Shift seq




Quantity


Quantity is the number of securities to price. Quantity defaults to '1'.


Quote type

Drop-down box.


Customer



Ctrl + F2 lists valid customers. The data must be previously entered using the CUST, Customer Static Data screen. To enter an item into the range, select it from the list.

Description

Display only.


Clean price

Display only.

Clean price is the calculated price of the security, not including interest accrued during the current interest period.

Duration

Display only.


Dirty price

Display only.

Dirty price is the calculated price of the security, including interest accrued during the current interest period.

Modified duration

Display only.


Yield to maturity

Display only.

Yield to maturity is the yield at which the net present value of the security's cash flows equals the security price.

Convexity

Display only.



Yield to call

Display only.

Yield to call is the yield at which the net present value of the security's cash flows (including the call dated cash flows) equals the call price of the security. Yield to call is displayed only if the security schedule includes call dates and prices.

PVBP

Display only.


Yield to put

Display only.

Yield to put is the yield at which the net present value of the security's cash flows (including the put dated cash flows) equals the put price of the security. Yield to put is displayed only if the security schedule includes put dates and prices.

Accrued days

Display only.

Accrued days is the number of days since the last interest payment.

Current yield

Display only.

Current yield is the security's yield, regardless of the time value of money.

Accrued interest

Display only.

Accrued interest is the amount of interest accrued for the security.

Simple yield

Display only.

Simple yield is the security's yield, based on the current yield and the capital gain or loss at the security's maturity.

Proceeds

Display only.

Proceeds is the invoice price of the security based on the specified settlement date, quantity and dirty price.

Discount rate

Display only.

Discount rate is the annual rate of interest for the security.


Quantity

Display only.

Quantity is the number of securities priced.

Schedules AreaThe Schedules area is used to edit security interest and principal payment schedules, and to revalue securities based on the new schedule information.



Value

Display only.

Value is the net present value of the schedule payments, in the currency of the security.

CCY

Display only.

CCY is the currency in which interest and principal payment amounts are denominated.

Interest start date





Interest end date



Rate refix date


Rate refix date is the date the interest rate is refixed.

Basis


Basis is the basis used to calculate interest. Valid interest bases are:


Actual/365 A365

Actual/360 A360

BOND 30/360



Actual/Actual is the number of days in the calculation period divided by 365. If any portion of the calculation is in a leap year, Actual/Actual is the sum of (A) the number of days in that portion of the calculation period in the leap year divided by 366 and (B) the number of days in that portion of the calculation period in a non-leap year divided by 365.

Actual/365 (A365)


Actual/360 (A360)


BOND (30/360)


EBOND (30E/360)


Principal amount



Principal amount is the notional principal amount of the security.

Interest rate


Interest rate is the rate used to calculate interest.

Cap rate


Cap rate is the maximum rate used to calculate interest for the security. If the coupon/discount rate is greater than the cap rate, the cap rate is used to calculate interest for the security.

Cap rate is used when the 'FRS', 'NPV', 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.

Floor rate


Floor rate is the minimum rate used to calculate interest for the security. If the coupon/discount rate is less than the floor rate, the floor rate is used to calculate interest for the security.

Floor rate is used when the 'FRS', 'NPV', 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.

Spread rate




Spread rate is used when the 'FRS', 'NPV', 'YC-FRS' or 'YC-NPV' calculation rule is used to price the security.

Payment date


Payment date is the date the payment is due.

Call date


Call date is the earliest date the security can be called. Call date must be greater than the value date and less than the maturity date.



Call price


Call price is the price at which the security can be called. Call price must be greater than zero.

Call price may be entered only if Call date is entered.

Put date


Put date is the earliest date the security can be sold. Put date must be greater than value date and less than maturity date.

Ctrl + F2 displays valid business days. To enter a date into the range, select it from the calendar.

Put price


Put price is the price at which the security can be sold. Put price may be entered only if Put date is entered.

Interest pay amount

Display only.

Interest pay amount is the calculated interest payment amount due on the payment date.

Principal pay amount

Display only.

Principal pay amount is the principal payment amount due on the payment date.

Cash flow amount

Display only.

Cash flow amount is the total cash flow amount (principal and interest) on the payment date.

Discount factor

Display only.

Discount factor is the factor used to discount the payment to a spot value.

NPV

Display only.

NPV is the net present value of the payment amount.

Reference Data AreaThe Reference Data area is used to specify default values and to display general information about the security.


Reference Data Area Layout

Reference Data Area Ranges

OPICS

Security id

Display only.

Security id identifies the priced security.

Issue date

Display only.

Issue date is the date the security is issued.

Denomination

Display only.

Denomination is the value of one unit of the security.

Issuer

Display only.



Value date

Display only.

Value date is the date the security begins to accrue interest.

Par value

Display only.

Par value is the nominal (face) value of the security. Par value must be greater than zero and less than 999,999,999,999.99.

Guarantor

Display only.

Guarantor is the guarantor of the security.

Maturity date

Display only.


Redemption amount

Display only.

Redemption amount is the value of the security when it is redeemed.

Call date

Display only.

Call date is the earliest date the security can be called.

Call price

Display only.

Call price is the price at which the security can be called.

Financial center

Display only.

Financial center identifies the financial center of the security payments used for validation against the holiday calendar.

Put date

Display only.

Put date is the earliest date the security can be sold.

Put price

Display only.


Put price is the price at which the security can be sold.

EMTA rule

Display only.

EMTA rule specifies security proceeds are calculated using the Emerging Markets Trading Association rule, where the security price is multiplied by the outstanding principal balance.

Credit rating

Display only.

Credit rating is the security credit rating assigned by the rating agency.

Rating agency

Display only.

Rating agency is the rating agency that assigns the security credit rating.

Int exchg term

Display only.

Int exchg term indicates whether the interest currency must be multiplied or divided.

Price rounding rule

Display only.

Price rounding rule specifies whether the calculated security price is rounded up a whole number, down a whole number or truncated (shortened) to a whole number with two decimals.

Price no. dec


Price no. dec is the number of decimals to which the price is calculated. The maximum number of decimals is 8.

Interest payment rule

Display only.

Interest payment rule specifies the convention used to adjust generated payment schedule dates that fall on non-business days ('P - Preceding', 'S - Succeeding', 'M - Modified' or 'D - Default').

Rate rounding rule

Display only.

Rate rounding rule specifies whether the calculated rate is rounded up a whole number, down a whole number or truncated (shortened) to a whole number with two decimals.

Rate no. dec.



Rate no. dec. is the number of decimals to which the rate is calculated. The maximum number of decimals is 8.

Interest end date rule

Display only.

Interest end date rule specifies the convention used to adjust generated interest end dates that fall on non-business days ('P - Preceding', 'S - Succeeding', 'M - Modified' or 'D - Default').

Default

Denomination


Denomination is the value of one unit of the security. Denomination defaults to '1000'.

Par value


Par value is the default nominal (face) value of the security.

Redemption amount


Redemption amount is the default value of the security when it is redeemed.

Call date


Call date is the default date the security can be called.


Call price


Call price is the default price at which the security can be called. Call price must be greater than zero.

Financial center

Display only.

Financial center identifies the default financial center of the security payments used for validation against the holiday calendar.

Put date


Put date is the default date the security can be sold.



Put price


Put price is the default price at which the security can be sold.

EMTA rule

Drop-down box.

EMTA rule default specifies whether security proceeds are calculated based on the Emerging Markets Trading Association rule, where the security price is multiplied by the outstanding principal balance.

Price rounding rule

Drop-down box.

Price rounding rule default specifies whether the calculated security price is rounded up a whole number, down a whole number or truncated (shortened) to a whole number with two decimals.

Price no. dec

Display only.

Price no. dec is the default number of decimals to which the price is calculated. The maximum number of decimals is 8.

Interest payment rule

Display only.

Interest payment rule specifies the default convention used to adjust generated payment schedule dates that fall on non-business days ('P - Preceding', 'S - Succeeding', 'M - Modified' or 'D - Default').

Rate rounding rule

Display only.

Rate rounding rule default specifies whether the calculated rate is rounded up a whole number, down a whole number or truncated (shortened) to a whole number with two decimals.

Rate no. dec.

Display only.

Rate no. dec. is the default number of decimals to which the rate is calculated. The maximum number of decimals is 8.

Interest end date rule

Display only.

Interest end date rule specifies the default convention used to adjust generated interest end dates that fall on non-business days ('P - Preceding', 'S - Succeeding', 'M - Modified' or 'D - Default').


Yield Curve AreaThe Yield Curve area is used to display maturity dates and discount factors for the yield curve used to price the security.



CCY


Yield curve id

Yield curve id is the name of the yield curve used to discount the security payments to present values.

Shift seq




Quote type


Description


Last date


Financial center


Day rule


Spot days


Maturity


Maturity date


Discount factor


Zero coupon rate


Discount factor_01


Zero coupon_01



PRFI: ButtonsThe PRFI, Fixed Income Pricer screen buttons are used to perform OPICS functions and Analytics screen processing.

The following buttons perform functions and processing specific to the PRFI screen.

Processing Buttons

Reference Data

The Reference Data button is used to display the Reference Data area.

Value

The Value button is used to price the entered security.

Get Security

The Get Security button is used to display a previously entered security.

Map Deal

The Map Deal button is used to map a security. Select the Map Deal button to enter the displayed security on the FIDE, Fixed Income Deal Entry screen.


Chapter 8 Batch Tasks


ANBM: Analytics Batch Manager Workbook

IntroductionThe ANBM, Analytics Batch Manager Workbook is used to process a standard set of analyses (including cash flows, yield curves, risk workbooks, etc.) at a specific time during the day. The workbook also saves the results of each job step.

Refer to the Batch and Online Processes manual for further information about the BBFT parameters used to run ANBM through OPAN.

Starting Analytics Batch Manager WorkbookTo access the ANBM, Analytics Batch Manager Workbook, select ANBM from the Navigator on the OPXMAIN screen or by choosing File/Open in Excel.

ANBM Screen Layout

ANBM Screen Fields

Job Steps

Display only.

Job Steps determines the order in which the respective job steps are performed.


Valid values are:

Workbook path/name

Identifies the name of the analysis workbook to be processed.

Worksheet name Identifies worksheets in a workbook to be processed in the batch step.

Custom Macro Designates custom macros to be activated in the batch process.

Options

Display only.

Options determines whether the batch is saved and printed.

Valid values are:

Save workbook Saves the results of the workbook

Print Analysis Prints the results of the workbook

Processing results

Display only.

Processing results displays the status of workbooks being processed.

Valid values are:

Date: Displays the last date and time the workbook is processed.

Start time: Indicates the batch step start time.

End time: Indicates the batch step end time.

Result message: Indicates whether the Analytics job step completes successfully.

ANBM Display Fields

Br

Br is the current branch. Br identifies an operational unit within an organization that maintains its own set of books. Each OPICS branch has its own deal information and accounting records.

Br is maintained using the BRRD, Branch Reference Data screen.

Br date

Br date is the current transaction entry date for the branch.

The branch processing date is automatically updated at the end of the nightly batch.

The branch processing date may be changed using the BRRD screen or the NET1, Network Administration screen.

User id

User id is the operator to whom the parameters apply.


Index

A

Accounting type · 66, 81Accrued days · 436Accrued interest · 436Active Call Date · 150, 162Active Call Price · 150, 162Active Macro · 32Active Put Date · 150, 163Active Put Price · 150, 163Adjust Fixed Income flows for withholding tax · 77Adjusted net cash flow · 292Adjusted NPV in local currency · 292Adjusted NPV net cash flow · 292Adjusted Yield Curve Area Layout · 295Adjusted yield curve id · 289Agency 1 rating · 150, 156, 162, 168, 280Agency 2 rating · 150, 156, 162, 168, 280Agency rating · 284Amount · 408, 430Analysis · 123, 257Analysis Area Layout · 100, 111, 148, 173, 182, 192, 203, 213, 223, 244, 259, 278, 288, 301Analysis basis · 174, 204, 245Analysis CCY · 101, 112, 127, 138, 174, 193, 204, 223, 227, 245, 260, 262, 272, 289, 302Analysis CCY rate · 229Analysis CCY Yield Curve Area Layout · 230Analysis end date · 101, 112, 127, 138, 174, 193, 205, 214, 223, 245, 290, 302Analysis Type · 205, 246Analytics Menus · 4Analytics Navigator · 5Append · 96Applies to · 95Ask offset · 401Ask points · 401Ask price · 152, 164Ask yield · 152, 164Asset · 275Asset Cumulative · 207Asset Cumulative avg rate · 207Asset maturity · 267


Asset/Maturity · 275Assets · 206Average breakeven rate · 247Average Current Yield · 157, 169Average market rate · 247Average rate · 176, 177, 206Average Remaining Life · 157, 169

B

Bankname · 34Barrier · 395Barrier type · 394Base CCY · 223, 228Base CCY Carry · 226Base CCY DV01 · 225Base CCY NPV · 225Base CCY P/L · 225Base CCY Position · 225Base CCY rate · 229Base CCY Yield Curve Area Layout · 233Basis · 325, 329, 341, 356, 368, 420, 427, 433, 438Beepduration · 34Beepon · 34Beepvalue · 34Beta · 269Bid · 49Bid offset · 401Bid points · 401Bid price · 152, 164Bid yield · 152, 164Bid Yield Curve Area Layout · 249Bond Price · 390Bond Pricer Area Layout · 429Br · 108, 115, 134, 145, 180, 190, 200, 210, 219, 240, 253, 299, 308, 451Br date · 451Branch · 34, 43, 45, 49, 51, 65, 72, 80, 90, 282, 337, 417Branchname · 34BrDate · 34Break even rate · 177Broken date · 400, 411Broker · 358, 370, 408Bucketing method · 102, 291

C

Calc Implied Rates · 201Calc Rates · 428Calc Source Rate · 201Calc. Fwd. Points · 415Calc. Implied · 395Calc. Premium · 395Calculate · 122, 242Calculation rule · 430


Call date · 440, 442, 444Call price · 440, 442, 444Call/Put · 384, 390Cap · 421Cap rate · 341, 344, 360, 372, 431, 439Cap strike rate · 418Cap/floor/collar · 417Carry · 241Cash flow amount · 440Cash flow file name · 64, 71, 101, 127, 138, 148, 161, 174, 182, 193, 205, 214, 224, 245, 259, 262, 290, 303Cash Flow Selection · 61Cash Flow Selection Area Layout · 64Cashflow types · 128, 139, 290, 303CCY · 45, 49, 52, 65, 72, 80, 90, 104, 106, 117, 120, 130, 132, 141, 143, 150, 154, 156, 162, 166, 168, 178,

186, 208, 216, 220, 221, 230, 233, 237, 249, 251, 267, 282, 293, 295, 297, 305, 313, 324, 329, 333, 339, 343, 346, 349, 355, 359, 362, 367, 371, 374, 377, 383, 390, 402, 404, 410, 412, 418, 423, 427, 437, 446

CCY amount · 220CCY Carry · 226CCY DV01 · 225CCY NPV · 225CCY P/L · 225CCY Position · 224CCY spot · 101, 193, 290CCY Spot · 112, 196CCY/CTR · 241CCY/CTR pair date · 197CCY1 · 183, 189, 195, 198, 387, 398, 406, 407, 409, 414CCY1 Basis · 196CCY1 rate · 188, 400, 411CCY1 Yield Curve · 415CCY1 Yield Curve Area Layout · 402CCY2 · 183, 187, 189, 196, 198, 387, 399, 406, 407, 410, 414CCY2 Basis · 196CCY2 rate · 188, 400, 411CCY2 Yield Curve · 415CCY2 Yield Curve Area Layout · 404Change · 319Chart Type · 55, 146Clean price · 435Clear · 122Client Dictionary · 14Client Dictionary Area Layout · 26Close out rate · 206Closed Position NRFF · 247Collar · 421Combo box values · 95Combos · 14Combos Area Layout · 27Combos Item · 27Combos Value · 28Commodities · 264Complex strip equivalent · 140Composite Curves · 41Compounding · 344, 360, 372Confidence interval · 260, 262, 272, 275Configuration · 14


Configuration Area Layout · 33Construct Ladder · 242Contract · 195, 318, 322, 324, 326, 426Contract code · 67, 74, 83, 269Contract delivery · 129, 132, 139, 143, 145Contracts · 335Contributing rate · 53, 176, 177, 178Conversion factor · 132Convert · 276Convert File Base CCY · 257Convert File Base CCY Area Layout · 270Convexity · 153, 158, 165, 170, 435Correlated Risk Confidence interval · 261Correlated Risk VaR term · 261Correlation and Volatility File Header · 257Correlation and Volatility File Header Area Layout · 273Correlation File path/name · 271, 272, 274Cost center · 65, 73, 80Counter CCY · 68, 83Country/res · 88, 281, 284Country/ult · 88, 281, 284Coupon rate · 149, 156, 157, 162, 168, 169Coupon/discount · 431Create Sched. · 380Credit equivalent exposure · 280, 282, 285Credit rating · 88, 443Criteria Selection Screen Layout · 69, 91Ctrl + F1 Function Key · 10Ctrl + F2 Function Key · 10Cumulative net · 314Cumulative net cash flow · 103, 114, 215Cumulative position exposure · 194Currency Interest Rate Swap · 336Currency Interest Rate Swap Area Layout · 365Current price · 152, 164Current rate · 232, 235Current Rate · 348, 351, 364, 376, 379Current results · 176, 177, 178Current yield · 152, 164, 436Curve id · 46Custom Interest Rate Swap · 336Custom Interest Rate Swap Area Layout · 337Custom Tenor Ladder Area Layout · 120, 238Customer · 66, 73, 81, 87, 279, 282, 321, 331, 358, 370, 386, 392, 408, 420, 435Customer group · 66, 81Customer group id · 88Customer number · 279, 282

D

Data type · 260, 262, 271, 275Date · 50, 52, 109, 116, 135, 146, 181, 191, 197, 201, 210, 220, 254, 300, 309, 319, 323, 330, 427Date conv · 342, 357, 369Date dir · 357, 369Datemask · 34


Day · 320, 330Day rule · 105, 118, 130, 142, 179, 208, 217, 231, 234, 250, 252, 294, 296, 306, 325, 334, 347, 350, 363,

375, 378, 403, 405, 413, 424, 447Days · 322, 323, 332Days to maturity · 422Deal date · 68, 83, 338, 353, 365, 366, 383, 389, 393, 417Deal number · 65, 80, 108, 115, 134, 145, 181, 190, 200, 210, 219, 240, 253, 282, 299, 308, 338, 382, 388,

417Deal status · 67, 82Deletetemp · 34Delivery date · 132, 139, 144, 145Delta · 384, 390, 394Denomination · 442, 444Deposits · 181, 211Deposits duration · 177Description · 30, 43, 46, 50, 52, 64, 72, 79, 87, 101, 104, 112, 118, 127, 130, 138, 141, 174, 179, 183, 184,

186, 187, 204, 208, 214, 217, 228, 231, 234, 244, 249, 251, 260, 262, 271, 272, 274, 289, 294, 296, 302, 306, 329, 333, 347, 350, 363, 375, 378, 399, 402, 404, 410, 412, 424, 435, 447

Details · 123Details Area Layout · 134Details Area Layout · 108, 115, 145, 180, 190, 200, 209, 219, 240, 253, 262, 281, 299, 308DF tdy · 232, 235DF TDY · 348, 351, 364, 376, 379DF yst · 232, 236DF YST · 348, 351, 364, 376, 379DF_01 tdy · 232, 236DF_01 TDY · 348, 351, 364, 376, 379DF_01 yst · 233, 236DF_01 YST · 348, 351, 364, 376, 379Directories · 35Dirty price · 435Discount factor · 54, 105, 119, 131, 142, 179, 209, 217, 250, 252, 294, 296, 306, 334, 345, 361, 373, 403,

405, 413, 424, 440, 447Discount factor_01 · 105, 119, 131, 142, 179, 209, 217, 250, 252, 294, 296, 306, 334, 403, 405, 413, 424,

448Discount rate · 437Discount to Spot · 49Discounted EAR · 248Dlvy · 319, 323Dlvy code · 325, 326Domestic rate · 395Drop-down Box · 8DropDown Values · 61DropDown Values Area Layout · 94Duration · 153, 157, 165, 169, 435DV01 · 241

E

Edit Cell · 95Edit Query · 96EMTA rule · 443End · 320, 321, 330End date · 322, 332, 422Equity · 264


Equivalent contracts · 129ETMA rule · 445Euro amount · 220Exch. Principle · 370Expiration date · 383, 389, 394Exposure flow file name · 87, 278Exposure Flow Selection · 61Exposure Flow Selection Area Layout · 87Expression · 46, 70, 93

F

Fees · 264Field · 95File base CCY · 271, 274File date · 260, 263, 271, 274Financial center · 105, 118, 130, 142, 179, 208, 217, 231, 234, 249, 251, 294, 296, 306, 334, 347, 350, 363,

375, 378, 403, 405, 413, 424, 442, 445, 447Financial Futures selection by · 77First coupon date · 432First/last · 343, 359, 372First/Last · 340, 355, 367, 420Fix/float · 339, 343, 356, 359, 368, 371Fixed income · 263Fixed income treatment · 312Floor · 421Floor rate · 342, 344, 360, 373, 432, 439Floor strike rate · 418Foreign exchange · 263Foreign Exchange Risk Position Report · 310Foreign exchange selection by · 76Foreign rate · 395Forward delta · 384Forward period · 53Forward rate · 54, 422Forward value · 384Forward Value · 391FRA rate · 323, 332FRAs · 263Function Keys · 10Futures · 146, 264Futures Area Layout · 131, 143Futures contract · 127, 132, 138, 143Futures Contract Maintenance Area Layout · 324Futures dated FRA rates · 320Futures Equivalent Analysis - Bond Equivalent · 124Futures Equivalent Analysis - Euro Equivalent · 124Futures Equivalent Position - Bond Equivalent Area Layout · 126Futures Equivalent Position - Euro Equivalent Area Layout · 137Futures Price Maintenance Area Layout · 326Fwd pts. · 188Fwd. points · 229


G

Gamma · 384, 390Gap Balance · 206Gap net rate · 207Generate Query · 95Get CCY · 109, 123, 146, 159, 171, 191, 202, 300, 396, 415Get contract · 201Get Contract · 428Get Futures · 146Get Rates · 242, 395Get Security · 448Global values · 68, 83, 89Graph · 122Graph Area Layout · 55, 107, 133, 144, 159, 171, 199, 218, 265, 286, 298, 307Graph Type · 109Gross exposure · 280, 282, 284, 285Guarantor · 442

H

Headings Value · 25, 26Hedge · 323, 335, 385Hedge Area Layout · 321Hedge portfolio · 184Help · 19Holding Period · 271, 275

I

Implied Rates · 201Implied Rates Area Layout · 195Include Call and Notice account balance · 77Include Foreign Exchange Net Settlements · 77Include initial cash flows · 260Increment · 156, 168, 284Initial index rate · 434Input file name · 311Inquiry · 55Instrument · 64, 72, 79, 89Int exchg term · 443Int. exch. rate · 342, 370Interest end date · 344, 360, 372, 438Interest End date · 344, 360, 372Interest end date rule · 444, 446Interest pay amount · 440Interest payment rule · 443, 445Interest rate · 341, 356, 368, 439Interest start date · 344, 360, 372, 438Internal deals · 263Interpolated · 53, 233, 236, 349, 352, 364, 377, 380Interval (in sec.) · 31Introduction · 14Investment type · 67, 74, 83


Investment Type · 150, 162Issue date · 441Issuer · 149, 156, 162, 168, 442

J

Job Steps · 450

L

Last analysis date · 102, 113, 128, 139, 149, 161, 175, 194, 205, 214, 224, 246, 279, 291, 303Last coupon date · 432Last date · 105, 118, 130, 142, 179, 208, 217, 231, 234, 249, 251, 294, 296, 306, 334, 347, 350, 363, 375,

378, 403, 405, 413, 424, 447Last maintenance date · 43, 272, 275Last Maintenance date · 47Level · 313Levels 1_2_4 Total · 314Liabilities · 206Liability Cumulative · 207Liability Cumulative avg rate · 207Liquidity rank · 153, 156, 165, 168Liquidity value · 153, 158, 165, 170Literals Value · 24, 26Load Rates · 428Loan duration · 177Loans · 181, 210local CCY, percent of · 157, 169Local NPV · 300Long amount · 151, 163Long position amount (local currency) · 151, 163Long position avg. yield · 151, 163Long position avg. price · 151, 163Long position avg. yield · 157, 169Long quantity · 151, 163Lookup · 19, 70, 92

M

Macro name · 32Map Deal · 335, 380, 396, 415, 425, 448Mapping · 257Mapping Area Layout · 266Mapping Information Area Layout · 331, 386, 392, 407Market bid rate · 246Market offered rate · 247Market price (in % par) · 419Market value · 419Matched balance · 206Maturity · 53, 105, 118, 130, 142, 179, 208, 217, 231, 235, 250, 252, 275, 294, 296, 306, 334, 347, 350, 363,

375, 378, 403, 405, 413, 424, 447Maturity date · 67, 73, 82, 91, 105, 130, 142, 150, 162, 179, 208, 217, 232, 235, 250, 252, 282, 294, 296,

306, 334, 339, 347, 351, 354, 363, 366, 376, 379, 403, 405, 413, 418, 424, 431, 442, 447Maximum · 283


Maximum value · 155, 167Merge styles · 19Mid · 49Minimum risk weight · 283Minimum timer (in sec.) · 19Minimum value · 155, 167Model · 383, 389Modified duration · 153, 157, 165, 169, 435Money market · 263Mty · 196, 197, 427MTY · 284Mult./Div. · 106, 120, 154, 166, 221, 237, 297

N

Navigator · 14, 19Navigator Area Layout · 29Navigator Category · 29NDF position calc. · 224Net · 300, 314Net Avg. Gap Outstanding · 247Net cash flow · 103, 114, 128, 139, 185, 194, 215, 292, 304Net change · 248, 327Next Call Date · 150, 162Next Put Date · 150, 163Notional amount · 176, 177, 322, 332, 344, 360, 372, 418, 422Notional Amount · 339, 355, 367NPV · 300, 309, 345, 361, 373, 441NPV deposits · 177NPV in local currency · 103, 114, 292, 345, 361, 373NPV in source currency · 194NPV loans · 176NPV net cash flow · 103, 194NPV of cash flow · 114, 215NPV of net cash flow · 292, 304NPV open · 178NPV/Sensitivity · 309Number of columns · 311Number of customers · 279Number of issues · 149, 157, 161, 169

O

Offer · 49Offer Yield Curve Area Layout · 251Offset · 188, 229Open position amount · 151, 164Open position amount (local currency) · 152, 164Open position amount local CCY · 157, 169Open position avg. price · 152, 164Open position avg. yield · 152, 164Open position avg. yield · 157, 169Open Position NRFF · 247Open position quantity · 151, 164


Opening Custom Workbooks · 8Operator · 69, 91OPICS Dictionary · 14OPICS Dictionary Area Layout · 24OPICS mty · 267OPICS SYST · 268Option type · 68, 75, 83, 394Options · 263, 396, 451OPXArea · 21OPXButtonBar · 21OPXHeadingArea · 21OPXHeadingRange · 21OPXHeadingWorkbook · 21OPXInDate · 21OPXInFmat1-68 · 21OPXInText · 21OPXInTextWrap · 21OPXInTime · 23OPXLiteralCenter · 22OPXLiteralCenterWrap · 23OPXLiteralDateLeft · 22OPXLiteralLeft · 22OPXLiteralLeftWrap · 22OPXLiteralRight · 22OPXLiteralRightWrap · 23OPXOutDate · 22OPXOutFmat1-68 · 22OPXOutText · 22OPXOutTextWrap · 22OPXOutTime · 23OPXProtected · 22Or · 70, 92OTC Barrier Options Pricer · 381OTC Barrier Options Pricer Area Layout · 393OTC Bond Option Pricer · 381OTC Bond Option Pricer Area Layout · 388OTC Currency Option Pricer · 381OTC Currency Option Pricer Area Layout · 382Other · 264Outstanding Gap at month end · 248Override · 323

P

P/L · 241Paper size (default) · 19Par rate · 232, 235Par Rate · 348, 351, 364, 376, 379Par value · 442, 444Paste value · 70, 92Pay cycle · 339Pay/receive · 343, 359, 371Pay/refix freq · 432Pay/reset cycle · 354, 366Payment amount · 73, 345, 361, 373


Payment date · 72, 345, 361, 373, 439Payment day · 340Payments · 103, 109, 113, 116, 135, 146, 191, 194, 201, 215, 254, 300, 304, 309percent of equivalent exposure · 285Points · 191, 242Points Area Layout · 186, 227Points/DDE · 197Portfolio · 66, 73, 81, 109, 115, 134, 145, 181, 190, 200, 210, 219, 241, 254, 299, 308, 358, 370Position · 241Prem % · 385, 391Premium · 385, 391Premium (in points) · 395Price · 319, 323, 434Price (in % par) · 422Price (in CCY) · 423Price no. dec · 443, 445Price rounding rule · 443, 445Price/DDE · 106, 120, 132, 154, 166, 189, 198, 221, 237, 297, 327Pricer · 397Pricer - Euro Strip · 317Pricer - Euro Strip Area Layout · 318Pricer - Yield Curve · 317Pricer - Yield Curve Area Layout · 328Pricer Area Layout · 398, 416, 426Primary yield curve · 45Prin CCY · 431Principal · 385, 391Principal amount · 439Principal pay amount · 440Print · 123Probability of breaching barrier · 394Proceeds · 436Processing results · 451Product · 109, 115, 135, 146, 181, 191, 201, 210, 220, 241, 254, 300, 309, 331, 386, 392Product code · 65, 80, 90, 282, 322, 420Product type · 65, 80, 90, 109, 116, 135, 146, 181, 191, 201, 210, 220, 241, 254, 282, 300, 309, 322, 331,

386, 392Product Type · 420Protection · 19Purchase/sale · 386, 392, 418Purchase/Sale · 407Put date · 440, 443, 445Put price · 440, 443, 445PV 1 basis pt. sensitivity · 128, 139PVBP · 132, 153, 165, 436PVBP local CCY · 153, 158, 165, 170

Q

QSQL Screen Layout · 71, 93Quantity · 434, 437Quote type · 52, 100, 104, 112, 118, 126, 130, 137, 141, 173, 179, 183, 184, 187, 204, 208, 213, 216, 228,

229, 231, 234, 288, 289, 293, 295, 302, 306, 329, 333, 339, 347, 350, 356, 363, 368, 375, 378, 399, 400, 402, 404, 410, 412, 419, 424, 435, 447


R

Range name · 95Rate · 181, 197, 211, 321, 323, 330, 385, 427, 428Rate code · 68, 74, 83, 322, 332, 340, 345, 356, 361, 368, 373, 420, 431Rate no. dec. · 444, 446Rate refix date · 344, 360, 372, 438Rate revision day · 340, 419Rate rounding rule · 444, 445Rate type · 232, 235, 348, 351, 364, 376, 379Rate/price/DDE · 197, 428Rates · 122Rates Area Layout · 198Rates Area Layout · 106, 119, 154, 166, 189, 221, 237, 297, 387, 406, 414Rates Through Points · 397Rates Through Points Area Layout · 409Rates Through Pts. · 415Rating agency · 88, 443Rating agency 1 · 149, 161, 279Rating agency 2 · 149, 161, 279Rating CCY · 89Rating term · 89Rebate · 395Recalculate · 147, 335, 415Receipts · 103, 109, 113, 116, 135, 146, 191, 194, 201, 215, 254, 300, 304, 309Redemption amount · 442, 444Reference Data · 448Reference Data Area Layout · 441Refresh cash flow · 102, 128, 139, 149, 161, 175, 183, 193, 205, 214, 223, 245, 259, 278, 290, 303Refresh sett. flow · 113Regenerate Curve · 231, 235, 347, 350, 363, 375, 378Remaining Life · 152, 165Report CCY · 184, 278Report heading · 311Report name · 311Repos · 263Reset cycle · 340, 419Revalue · 380, 425Rho · 390Rho (domestic) · 385Rho (foreign) · 385Risk adjusted flow · 185Risk weighted exposure · 280Risk weighting · 279Run Analysis · 122Run Query · 96

S

Save · 96Saving a Custom Workbook · 8Scenario id · 43, 46Scenario/curve id · 53Schedules Area Layout · 343, 359, 371, 421, 437Sec id · 66, 73, 81, 254


Security · 4Security id · 109, 132, 135, 146, 150, 162, 181, 201, 210, 220, 300, 309, 391, 429, 441Security Id · 116Security id/Account no · 282Select Flows · 122Selection · 96Sensitivity · 176, 177, 304, 309Sensitivity of net cash flows · 292Sensitivity of NPV in local currency · 292Sensitivity of NPV of cash flows · 292Sensitivity to 1% rate change · 247Sett. Account · 116Sett. flow file name · 112Sett. Means · 116Settings · 14, 61Settings Area Layout · 18, 76Settle date · 67, 82Settlement account · 81Settlement date · 74, 383, 389, 430Settlement flow file name · 79Settlement Flow Selection Area Layout · 79Settlement means · 81Sheet name · 30Shift Scenarios · 41Shift seq · 46, 49, 52, 100, 104, 111, 126, 130, 137, 141, 173, 179, 183, 184, 186, 187, 204, 208, 213, 216,

228, 231, 234, 244, 251, 288, 289, 293, 295, 302, 305, 329, 333, 339, 346, 350, 355, 362, 367, 374, 378, 399, 400, 402, 404, 410, 412, 419, 423, 434, 447

Shift seq. · 118, 249Shift type · 46, 50, 52Shift vectors · 43Short amount · 151, 163Short position amount (local currency) · 151, 163Short position avg. price · 151, 163Short position avg. yield · 151, 163Short position avg. yield · 157, 169Short quantity · 151, 163SIC · 88, 281, 284SIC of issuer · 150, 156, 162, 168Signing Off Analytics · 11Simple yield · 436Simulated Flows · 95Simulated Flows Area Layout · 71Solve for · 338, 354Source rate CCY · 193Source rates · 196Spot · 325, 384, 387, 394, 406, 414Spot date · 53, 102, 113, 128, 139, 175, 193, 205, 214, 224, 245, 290, 303Spot days · 105, 118, 130, 142, 179, 208, 217, 231, 234, 250, 252, 294, 296, 306, 334, 347, 350, 363, 375,

378, 403, 405, 413, 424, 447Spot rate · 345, 361, 373, 408Spot risk · 185Spot terms · 345, 361, 373Spot/Fwd. points · 188, 229, 401, 408, 411Spread · 206, 232, 235, 345, 348, 351, 361, 364, 373, 376, 379Spread rate · 342, 356, 368, 432, 439Stack equivalent · 140


Standard Interest Rate Swap · 336Standard Interest Rate Swap Area Layout · 353Standard Workbook Sections · 5Start · 320, 330Start date · 90, 120, 238, 282, 320, 322, 325, 326, 332, 338, 354, 366, 417, 422Start Tenor · 320Status · 32Strike · 384, 394Strike price · 390Strike rate · 422Strip bucketing · 139Strip equivalent · 140Stub rate · 326Style · 383, 389Styles · 14Styles Area Layout · 20Summarize by · 155, 167, 283Summarize by column heading · 284Summary Area Layout · 155, 167, 283Swap type · 358, 370Swap value · 338, 354, 366Swaps · 263Systemname · 34

T

Tenor · 102, 108, 113, 128, 134, 176, 180, 185, 187, 190, 194, 200, 205, 210, 215, 219, 224, 229, 240, 246, 253, 263, 291, 299, 304, 308, 319, 329, 400, 411

Tenor addition · 121, 239Tenor date · 53, 102, 108, 113, 128, 134, 176, 180, 185, 187, 190, 194, 200, 206, 210, 215, 219, 224, 229,

240, 246, 253, 263, 291, 299, 304, 308, 400, 411Tenor day · 121, 239Tenor display · 121, 239Tenor interval · 121, 239Tenor Ladder · 122, 242Tenor shift · 304Tenors · 43Term · 319, 320, 330Term/End date · 121, 238Terms · 184, 187, 189, 196, 198, 229, 342, 370, 387, 400, 406, 410, 414Text Box · 9Theta · 384, 390Tick size · 324Tick value · 144, 325Time · 50Timers · 14Timers Area Layout · 31To Recalculate Broken Dated FRA Rates · 335To Recalculate FRA Rates · 335To Recalculate Futures Dated FRA Rates · 335Total liquidity rank · 158, 170Total Position NRFF · 247Total sensitivity · 129, 140Totals · 102, 175, 194, 215, 246, 263, 264, 291, 303Trade date · 319, 329, 430


Trader · 66, 73, 80, 109, 115, 135, 145, 181, 190, 200, 210, 220, 241, 254, 300, 309Type · 422

U

Uncorrelated Risk Confidence interval · 261Uncorrelated Risk VaR term · 261Undo paste · 70, 92Unhedged CCY position · 185Unrealized Gain/Loss · 152, 164Unrealized Gain/Loss (local currency) · 152, 157, 165, 169User id · 451Userid · 33

V

Value · 380, 425, 437, 448Value date · 66, 73, 82, 389, 408, 431, 442Values · 70, 92Values between · 156, 168, 284VaR dataset name · 260, 262, 270, 272, 274Vega · 384, 390Version · 34Volatility · 383, 389, 394, 417, 422Volatility File path/name · 271, 272, 274

W

Workbook · 30Workbook name · 30, 32Workbook Objects · 8Working in Multiple Workbooks · 8Worksheet name · 32

Y

YCIQ Area Layout · 51YCPX Area Layout · 48YCSM Area Layout · 45YCSS Area Layout · 42Yield · 434Yield calc. date · 175Yield curve · 54Yield curve · 302, 339, 355, 367Yield Curve · 122Yield Curve - Pay Leg Area Layout · 346, 374Yield Curve - Receive Leg Area Layout · 349, 377Yield Curve Area Layout · 104, 117, 129, 141, 178, 207, 216, 293, 305, 333, 362, 412, 423, 446Yield curve CCY · 101, 112, 127, 138, 174, 204, 214, 244, 289, 302Yield curve id · 49, 52, 100, 104, 111, 117, 126, 130, 137, 141, 173, 178, 183, 184, 186, 187, 203, 208, 213,

216, 227, 228, 230, 234, 244, 249, 251, 288, 293, 295, 305, 328, 333, 346, 349, 362, 374, 377, 399, 402, 404, 410, 412, 418, 423, 434, 447

Yield Curve Inquiry · 41


Yield Curve Pay · 380Yield Curve Rec. · 380Yield curve sensitivity · 248Yield to call · 436Yield to maturity · 435Yield to put · 436

Z

Zero coupon · 119Zero coupon rate · 53, 105, 131, 142, 179, 209, 217, 250, 252, 294, 296, 306, 334, 403, 405, 413, 424, 447Zero coupon_01 · 105, 119, 131, 142, 180, 209, 217, 250, 252, 294, 296, 306, 334, 403, 405, 413, 424, 448


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