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sals.a ® Options Guide Helping You Achieve Results, Quickly Version: NM 16.12.2010 Capture Value Analyze Collaborate Report
sals.a® Options Guide Helping You Achieve Results, Quickly
Version: NM 16.12.2010
Capture
Value
Analyze
Collaborate
Report
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Copyright Copyright 2010 KFPD GmbH. All rights reserved. This document and the applications described in it are copyrighted. No part of this document may be reproduced in any way, including copied, transcribed, sent, stored in electronic data retrieval systems or translated into a different language without the prior written consent of KFPD GmbH. License and Trademark sals.a® is a registered trademark of KFPD GmbH, Frankfurt (Munich Patent No. 30 2008 015 089.0/36). All other trademarks and logos are trademarks of their respective companies. Information sals.a® is constantly expanding its functionality and improving its user experience. This requires us to make changes to the system from time to time. As a consequence KFPD GmbH reserves the right to amend the information provided in this document, without notice. KFPD GmbH gives no guarantee, either express or implied, to the accuracy and or completeness of this document. KFPD GmbH cannot be held responsible for any damage of any kind arising from the use of this document or the information contained therein. Disclaimer sals.a® is a tool for analyzing financial instruments. It is not to be construed as a recommendation to acquire or dispose of financial instruments and securities, nor as a substitute for professional advice which takes into account specific circums-tances. Any actions carried out on the basis of the outputs of sals.a® are the sole responsibility of the user.
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Contents
1. Introduction ................................................................................................................................. 4
2. Coverage ...................................................................................................................................... 5
3. Deal Entry ..................................................................................................................................... 7
3.1 Callable and Multicallable Swaps .......................................................................................... 7
3.2 European Swaptions ............................................................................................................ 12
3.3 Bermudan Swaptions .......................................................................................................... 17
4. Deal Level Analytics .................................................................................................................... 22
5. Scenarios .................................................................................................................................... 24
6. Export to Excel ........................................................................................................................... 24
7. Portfolio Analytics ...................................................................................................................... 24
8. Market Data ............................................................................................................................... 25
9. Reporting .................................................................................................................................... 25
Please note that this guide is designed to deliver specific information on a select number of deal structures.
For more detailed information on how to use sals.a® please refer to the master User Guide at
http://help.kfpsalsa.com/.
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Introduction
Current ProfileWhat is the structure and return on assets
What is the structure and cost of funding
What is the value and effectiveness of
derivatives
What is liquidity, market and
counterparty risk
Are there any obvious outliers
Performance
How has the portfolio evolved over time
Is it in line with target
Is it in line with internal and external
governance
How does it compare to the market and/or
benchmark
Are there any obvious outliers
Decision Support
What are the strategic options
Which is optimal
Which product solution is best
How do we quantify this
Which price is best
Can we communicate with the client to get
buy-in
Reporting
Can we track performance
Can we justify our advice and fees
Does the client have a coherent and
continuous system for risk management
Can we communicate clearly and
consistently with stakeholders
‘What if’
How close is client to limits or an event
such as a covenant breach, collateral call
or refinancing
What are the market change scenarios
Can we quantify the effect of such events
What is the strength of the financial counterparts
Identify Measure Mitigate Manage
1. Introduction sals.a® is a financial planning and risk management tool. sals.a® is used by CFO/Treasurers to optimise their capital structure, WACC and manage financial risks. sals.a® is also used by Banks/Advisors to create and present capital market and hedging solutions.
Investment, Funding and Derivative deals are captured in a single place, providing a portfolio view and reducing operational risk. Valuation can be undertaken on a Deal, Asset class, Portfolio or Enterprise wide basis, supported by market data feeds from Reuters. Simple yet powerful analytics help users understand their capital structure and quantify financial risks such a Market, Liquidity and Counterparty. Customized scenario planning allows the user to understand and quantify change, empowering them to take a proactive approach. Customized reporting allows relevant information to be delivered in a clear and consistent manner. It is also possible to share data and collaborate on-line, connecting stakeholders and enhancing communication. sals.a® is web-based. This provides users with a No Capex / No Installation start which is simple and delivers results quickly. This also allows for scalability and regular updates to be delivered automatically.
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Coverage
AUD CAD CHF CNY CZK DKK EUR GBP
HKD HUF IDR INR JPY KRW NOK NZD
PLN RUB SEK THB TRY USD ZAR
Aluminium Brent Copper Gasoil Lead
Nickel Steel Tin Zinc
Cash Fixed income Interco MM Term
Annuity Asset Bank Bond-FRN Gov’t Interco MM Overdraft
Constant Maturity
Swaps
Futures Indexed
- Inflation *
Structured
- Cross currency- Inverse floater- Ladder- Leveraged- Portfolio/Macro *- Range accrual
Options
- Bermudan
- Callable- Cancellable- European
Vanilla
- Amortising- Cap- Collar- Digital- Floor- In arrears- IRS- Knock in/out- Rollercoaster- Spread
2. Coverage sals.a® covers the Interest Rate, Foreign Exchange and Commodity asset classes. Investment, Funding and Derivative deals are captured in a single place, providing a portfolio view and reducing operational risk. Valuation and analysis can be undertaken on a Deal, Asset class, Portfolio or Enterprise wide basis, supported by market data feeds from Reuters.
sals.a® covers the following Swaps and Options: Interest Rate Swap (IRS) Interest Rate Swap is an agreement between two parties to swap interest rates over a pre-defined period on a pre-defined underlying amount. It involves the exchange of interest cash flow’s only rather than principal and is typically used to move between fixed and floating rates (although fixed to fixed and floating to floating variations exist). European Swaption A European Swaption is an option granting its owner the one-time right to enter into an underlying swap at a pre-defined strike on its expiry/exercise date. Bermudan Swaption A Bermudan Swaption is an option granting its owner multiple rights to enter into an underlying swap at a pre-defined strike price on its expiry/exercise dates. Single Callable Swap A Single Callable swap is an interest rate swap which can be cancelled only on a single pre-defined
Rates, Investment
Rates, Funding
Rates, Derivative
* beta
Currency
Commodity
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Coverage
date in the future. Multicallable Swap A Multicallable swap is an interest rate swap which can be exercised on a number of pre-defined dates before the expiry date. Payer Swaption A payer Swaption is an option to pay fixed and receive floating rate on a swap (such as locking in funding costs). Receiver Swaption A Receiver Swaption is an option to receive fixed and pay floating rate on a swap (such as locking in deposit returns). Please note that we can customize your currency and product coverage, subject to volume.
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Deal Entry
3. Deal Entry To enter a deal first select the Add... button on the dashboard and the following pop-up will open.
3.1 Callable and Multicallable Swaps It is possible to add Callable and Multicallable swaps using the Generic IRS/CCS deal structure. The General Data tab contains information on:
Analytic Description
Counterparty name Counterparty with which the deal was traded.
Deal linked to Allows you to link a derivative and underlying.
Fair swap rate Fair value of underlying swap in %. Often referred as “par coupon of fixed-floating interest rate swap”. Calculated automatically. Notice that the result shows the fixed rate of the underlying swap when mark-to-market value is zero. Therefore, call right(s) mark-to-market value is not included.
Limit Optional. If selected then the agreed limited with the Counterparty or internally. Some clients enter thresholds in this box and then cross-refer to NPV. If omitted then initial nominal is applied.
Maturity date The date on which the deal matures.
Name The name by which you want the deal to be identified.
Nominal exchange Nominal cash flow occurrence. Never is default.
NPV Net Present Value (or mark-to-market) of Callable Swap, including the vanilla swap value and call rights value. Press calculate to refresh it. Due to pricing complexity for Multicallable Swaps the result calculation may take slightly longer.
Portfolio name The portfolio into which the deal is to be saved.
Trade date The date on which deal was traded.
User ID1 A user defined field for internal reference e.g. a credit rating or booking location. Used for deal grouping in the Secondary Filter.
User ID2 A user defined field for internal reference e. g. a credit rating or booking location. Used for deal grouping in the Secondary Filter.
Value date The date on which the deal becomes active.
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Deal Entry
The Deal Details tab contains information on the interest conditions:
Analytic Description
Currency Currency of the deal.
Generic schedule Determines whether leg of derivative is fixed or floating rate.
Margin (Spread) The margin to be applied to the drawn element of the deal.
Nominal The initial nominal, balance or notional of the deal.
Payment frequency The frequency with which interest and principal is applied or exchanged.
It is possible to synchronise both legs of a Derivative by pressing the button
The Amortization tab contains information on the amortization conditions:
Analytic Description
Amortizing by frequency
Optional. Amortization frequency can be different from payment frequency.
Amortization by amount
Optional. Needs specification if amortization amount is different from default amortizing structure.
Amortization by % Optional. Needs specification if amortization amount is different from default amortizing structure. Entered as a percentage of the initial nominal.
Amortization type, by amount or %
Optional. Needs specification if amortization amount is determined by %. Per Annum: Amortization amount in % is calculated as annual amount. Absolute: Amortization amount in % is calculated as amount per payment.
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Deal Entry
Amortization start date
Optional. First irregular amortization date.
Residual nominal % Optional. Residual nominal balance amount after last amortization amount. Entered as a percentage of the initial nominal.
Residual nominal amount
Optional. Residual nominal balance amount after last amortization amount.
It is possible to synchronise both legs of a Derivative by pressing the button
The Conventions tab contains information on the prevailing conventions:
Analytic Description
Business Day Convention (old Date Rolling)
Payment date adjustment convention which specifies how payment dates are modified according to weekends and location based (national) holidays.
Coupon curve Curve used when calculating forward rates.
Day count convention The basis on which interest cash flow is accrued. sals.a® will automatically apply the convention relevant to your default currency if GBP or EUR.
Discount curve Curve used when calculating discount factors.
Extend first period Optional. If selected, then first accrual period is extended in case of non-standard first payment date.
Extend last period Optional. If selected, then last accrual period is extended in case of non-standard penultimate payment date.
First regular payment date
Optional. Required if first payment date is non-standard basis.
Fixing lag days Allows users to accommodate any lag in fixings. Please use a + or – sign.
Fixing lag type Whether lag is based on work days or calendar days.
Fixing type Determines whether the reset rate is fixed at the start or in arrears.
Payment day Optional. Required if first or last payment days are different to other payments during the life of the deal.
Reset frequency Optional. Required if reset rate frequency is different from payment frequency.
Reference rate Tenor of reference rate.
Reinvest coupons Optional. Required if interest is to be reapplied rather than distributed.
Round interest payments
Optional. Select if accrual periods are equal and business day convention are ignored in interest cash flow calculation. Default setting for annuity loan. Also referred as bond equivalent basis.
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Deal Entry
It is possible to synchronise both legs of a Derivative by pressing the button
The Call Details tab contains information on Derivatives which have optionality:
Analytic Description
Asset / Liability Assign as an asset or liability.
Callable Selected if the swap is callable. Otherwise vanilla swap.
Execute Option Forward rates = option is exercised on beneficial market conditions. Always = option is exercised on all market conditions. Cash settlement = only offset payment is made on exercise date (underlying swap is never activated).
First option date First date on which the option can be exercised.
Hedge Indicates whether the deal is part of a hedging structure. Used for deal grouping in the Secondary Filter.
Holiday Calendar Select the appropriate location to determine how payment dates are adjusted in the event of holidays.
Last option date Last call date on which the option can be exercised. Notice that it equals the first option date if it is single Callable swap.
Option frequency Frequency with which the option can be exercised.
Position Short = the counterparty has the right to call. Long = the holder has the right to call.
Volatility 0% applies market volatility for EUR, USD, JPY, GBP and CHF. Other currencies require manual input. To display the Volatility see 4.0.
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Deal Entry
The Notes tab allows you to enter key information on the deal, such as the relevant terms from a facility agreement or ISDA.
Please note that Portfolio views and valuations are constructed by consolidating what is entered at the indi-
vidual deal level.
Please note that prices are updated up to 5 times daily. In some cases this might require you to manually
adjust a field such as Volatility.
Please note that if you are experiencing trouble displaying information, selecting the Calculate button often
refreshes your data.
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Deal Entry
3.2 European Swaptions To enter a European please select the European Swaptions deal structure. The General Data tab contains information on:
Analytic Description
Buy / Sell Buy = client owns a right call. Sell = counterparty owns a right call.
Counterparty name Counterparty with which the deal was traded.
Deal linked to Allows you to link a derivative and underlying.
Fair swap rate Fair value of underlying swap in %. Often referred as “par coupon of fixed-floating interest rate swap”. Calculated automatically. Notice that the result shows the fixed rate of the underlying swap when mark-to-market value is zero.
Limit Optional. If selected then the agreed limited with the Counterparty or internally. Some clients enter thresholds in this box and then cross-refer to NPV. If omitted then initial nominal is applied.
Maturity date The date on which the deal matures.
Name The name by which you want the deal to be identified.
Nominal The initial nominal, balance or notional of the deal.
NPV Mark-to-market of European Swaption. Calculated automatically. Press calculate to refresh it.
Option Maturity Date Exercise / call date of the option.
Periodize Premium Optional. If selected then total premium is divided equally to each payment date.
Portfolio name The portfolio into which the deal is to be saved.
Premium Optional. Total fees related to the deal.
Show Premium Leg 2 Optional. If selected then premium is accounted in 2nd (pay leg).
Trade date The date on which deal was traded.
User ID1 A user defined field for internal reference e.g. a credit rating or booking location. Used for deal grouping in the Secondary Filter.
User ID2 A user defined field for internal reference e.g. a credit rating or booking location. Used for deal’s grouping in the Secondary Filter.
Value date The date on which the deal becomes active.
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Deal Entry
The Deal Details tab contains information on the interest conditions:
Analytic Description
Currency Currency of the deal.
Fixed Rate Fixed rate (strike for Swaption deals).
Generic schedule Determines whether leg of derivative is fixed or floating rate.
Payment frequency The frequency with which interest and principal is applied or exchanged.
It is possible to synchronise both legs of a Derivative by pressing the button
The Amortization tab contains information on the amortization conditions:
Analytic Description
Amortizing by frequency
Optional. Amortization frequency can be different from payment frequency.
Amortization by amount
Optional. Needs specification if amortization amount is different from default amortizing structure.
Amortization by % Optional. Needs specification if amortization amount is different from default amortizing structure. Entered as a percentage of the initial nominal.
Amortization type, by amount or %
Optional. Needs specification if amortization amount is determined by %. Per Annum: Amortization amount in % is calculated as annual amount. Absolute: Amortization amount in % is calculated as amount per payment.
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Deal Entry
Amortization start date
Optional. First irregular amortization date.
Residual nominal % Optional. Residual nominal balance amount after last amortization amount. Entered as a percentage of the initial nominal.
Residual nominal amount
Optional. Residual nominal balance amount after last amortization amount.
It is possible to synchronise both legs of a Derivative by pressing the button
The Conventions tab contains information on the prevailing conventions:
Analytic Description
Coupon curve Curve used when calculating forward rates.
Business Day Convention (old Date Rolling)
Payment date adjustment convention which specifies how payment dates are modified according to weekends and location based (national) holidays.
Day count convention The basis on which interest cash flow is accrued. sals.a® will automatically apply the convention relevant to your default currency if GBP or EUR.
Discount curve Curve used when calculating discount factors.
Extend first period Optional. If selected, then first accrual period is extended in case of non-standard first payment date.
Extend last period Optional. If selected, then last accrual period is extended in case of non-standard penultimate payment date.
First regular payment date
Optional. Required if first payment date is non-standard basis.
Fixing lag days Allows users to accommodate any lag in fixings. Please use a + or – sign.
Fixing lag type Whether lag is based on work days or calendar days.
Fixing type Determines whether the reset rate is fixed at the start or in arrears.
Payment day Optional. Required if first or last payment days are different to other payments during the life of the deal.
Reset frequency Optional. Required if reset rate frequency is different from payment frequency.
Reference rate Tenor of reference rate.
Reinvest coupons Optional. Required if interest is to be reapplied rather than distributed.
Round interest payments
Optional. Select if accrual periods are equal and business day convention are ignored in interest cash flow calculation. Default setting for annuity loan. Also referred as bond equivalent basis.
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Deal Entry
It is possible to synchronise both legs of a Derivative by pressing the button
The Swaption Details tab contains information on Derivatives which have optionality:
Analytic Description
Execute Option Forward rates = option is exercised on beneficial market conditions. Always = option is exercised on all market conditions. Cash settlement = only offset payment is made on exercise date (underlying swap is never activated).
Hedge Indicates whether the deal is part of a hedging structure. Used for deal grouping in the Secondary Filter..
Holiday Calendar Select the appropriate location to determine how payment dates are adjusted in the event of holidays.
Volatility 0% applies market volatility for EUR, USD, JPY, GBP and CHF. Other currencies require manual input. To display the Volatility see 4.0.
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Deal Entry
The Notes tab allows you to enter key information on the deal, such as the relevant terms from a facility agreement or ISDA.
Please note that Portfolio views and valuations are constructed by consolidating what is entered at the indi-
vidual deal level.
Please note that prices are updated up to 5 times daily. In some cases this might require you to manually
adjust a field such as Volatility.
Please note that if you are experiencing trouble displaying information, selecting the Calculate button often
refreshes your data.
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Deal Entry
3.3 Bermudan Swaptions To enter a Bermudan please select the Bermudan Swaptions deal structure. The General Data tab contains information on:
Analytic Description
Buy / Sell Buy = client owns a right call. Sell = counterparty owns a right call.
Counterparty name Counterparty with which the deal was traded.
Deal linked to Allows you to link a derivative and underlying.
Effective Date Date when underlying swap is effective/activates (if option is called on first call date)
Fair swap rate Fair value of underlying swap in %. Often referred as “par coupon of fixed-floating interest rate swap”. Calculated automatically. It is a rate of fixed leg (of swap) that gives zero mark-to-market value swap. Notice that the result shows the fixed rate of the underlying swap when mark-to-market value is zero.
Limit Optional. If selected then the agreed limited with the Counterparty or internally. Some clients enter thresholds in this box and then cross-refer to NPV. If omitted then initial nominal is applied.
Maturity date The date on which the deal matures.
Name The name by which you want the deal to be identified.
Nominal The initial nominal, balance or notional of the deal.
NPV Mark-to-market value of Bermudan swaption. Calculated automatically. Press calculate to refresh it. Due to pricing complexity for Bermudan Swaptions the result calculation may take slightly longer.
Periodize Premium Optional. If selected then total premium is divided equally to each payment date.
Portfolio name The portfolio into which the deal is to be saved.
Premium Optional. Total fees related to the deal.
Show Premium Leg 2 Optional. If selected then premium is accounted in 2nd (pay leg).
Trade date The date on which deal was traded.
User ID1 A user defined field for internal reference e.g. a credit rating or booking location. Used for deal grouping in the Secondary Filter.
User ID2 A user defined field for internal reference e.g. a credit rating or booking location. Used for deal grouping in the Secondary Filter.
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Deal Entry
The Deal Details tab contains information on the interest conditions:
Analytic Description
Currency Currency of the deal.
Fixed Rate Fixed rate (strike for Swaption deals).
Generic schedule Determines whether leg of derivative is fixed or floating rate.
Payment frequency The frequency with which interest and principal is applied or exchanged.
It is possible to synchronise both legs of a Derivative by pressing the button
The Amortization tab contains information on the amortization conditions:
Analytic Description
Amortizing by frequency
Optional. Amortization frequency can be different from payment frequency.
Amortization by amount
Optional. Needs specification if amortization amount is different from default amortizing structure.
Amortization by % Optional. Needs specification if amortization amount is different from default amortizing structure. Entered as a percentage of the initial nominal.
Amortization type, by amount or %
Optional. Needs specification if amortization amount is determined by %. Per Annum: Amortization amount in % is calculated as annual amount. Absolute: Amortization amount in % is calculated as amount per payment.
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Deal Entry
Amortization start date
Optional. First irregular amortization date.
Residual nominal % Optional. Residual nominal balance amount after last amortization amount. Entered as a percentage of the initial nominal.
Residual nominal amount
Optional. Residual nominal balance amount after last amortization amount.
It is possible to synchronise both legs of a Derivative by pressing the button
The Conventions tab contains information on the prevailing conventions:
Analytic Description
Coupon curve Curve used when calculating forward rates.
Business Day Convention (old Date Rolling)
Payment date adjustment convention which specifies how payment dates are modified according to weekends and location based (national) holidays.
Day count convention The basis on which interest cash flow is accrued. sals.a® will automatically apply the convention relevant to your default currency if GBP or EUR.
Discount curve Curve used when calculating discount factors.
Extend first period Optional. If selected, then first accrual period is extended in case of non-standard first payment date.
Extend last period Optional. If selected, then last accrual period is extended in case of non-standard penultimate payment date.
First regular payment date
Optional. Required if first payment date is non-standard basis.
Fixing lag days Allows users to accommodate any lag in fixings. Please use a + or – sign.
Fixing lag type Whether lag is based on work days or calendar days.
Fixing type Determines whether the reset rate is fixed at the start or in arrears.
Payment day Optional. Required if first or last payment days are different to other payments during the life of the deal.
Reset frequency Optional. Required if reset rate frequency is different from payment frequency.
Reference rate Tenor of reference rate.
Reinvest coupons Optional. Required if interest is to be reapplied rather than distributed.
Round interest payments
Optional. Select if accrual periods are equal and business day convention are ignored in interest cash flow calculation. Default setting for annuity loan. Also referred as bond equivalent basis.
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Deal Entry
It is possible to synchronise both legs of a Derivative by pressing the button
The Swaption Details tab contains information on Derivatives which have optionality:
Analytic Description
Execute Option Forward rates = option is exercised on beneficial market conditions. Always = option is exercised on all market conditions. Cash settlement = only offset payment is made on exercise date (underlying swap is never activated).
First Option Date First call date, usually first payment date.
Hedge Indicates whether the deal is part of a hedging structure. Used for deal grouping in the Secondary Filter.
Holiday Calendar Select the appropriate location to determine how payment dates are adjusted in the event of holidays.
Last Option Date Last call date, usually penultimate payment date.
Volatility 0% applies market volatility for EUR, USD, JPY, GBP and CHF. Other currencies require manual input. To display the Volatility see 4.0.
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Deal Entry
The Notes tab allows you to enter key information on the deal, such as the relevant terms from a facility agreement or ISDA.
Please note that Portfolio views and valuations are constructed by consolidating what is entered at the indi-
vidual deal level.
Please note that prices are updated up to 5 times daily. In some cases this might require you to manually
adjust a field such as Volatility.
Please note that if you are experiencing trouble displaying information, selecting the Calculate button often
refreshes your data.
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Deal Level Analytics
4. Deal Level Analytics It is possible to show a wide range of analytics on a deal level. These are calculated automatically however users must activate which are displayed. To activate these select More analytics and the following pop-up will open.
Analytic Description
Accrual calc days Period in days between payment dates, by day count convention.
Accruing end Date when interest payment ends accruing for payment date.
Accruing start Date when interest payment ends accruing for payment date.
BPV Basis point value.
Call probability Call probability that option is called on that payment date. Press Calculate to apply current market rates. Note that to improve calculation efficiency for long-dated Multicallable options, results are calculated for Market and Market up scenarios ony.
Cash flow interest * Interest payment that is accrued according to coupon rate or applied if in past.
Cash flow total * The sum of interest cash flows, nominal cash flows and fees.
Coupon rate Reference rate incl. margin.
Coupon reference end date
Interest calculation end date.
Coupon reference start date
Interest calculation start date.
Cumulative call probability
Call probability that option is called up to that payment date. Press Calculate to apply current market rates. Note that to improve calculation efficiency for long-dated Multicallable options, results are calculated for Market and Market up scenarios ony.
Discount Factor Payment
One unit cash flow value today.
Fees * Fees, if applicable.
Fixing date * Reference rate fixing date.
Fixed Rate Interest rate for fixed rate deals.
Fixing rate * Reference rate.
Forward rate Forward rate i.e. market expectation for reference rate.
Historical interest rate Historical reference rate, if applicable.
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Deal Level Analytics
Use the tick-box to select the analytics you wish displayed. Pressing Apply selection will automatically display these analytics each time you open the Deal View.
Fields marked with * can be manually adjusted within the Deal View, such as if a deal is re-structured.
To achieve this simply click in the appropriate field, enter the new data and click Save. sals.a® will automatically update your deal and portfolio data.
*
Limit * Agreed limited with the Counterparty or internally. Some clients enter thresholds in this box and then cross-refer to NPV.
Margin (Spread) Spread above or below reference rate applied by Counterparty or internally.
Nominal Amount or balance of the deal.
Nominal amo. * Amortization profile of the deal.
Nominal amo. CF Amortization cash flows, usually not applicable for vanilla derivatives.
NPV Net present value (or mark-to-market).
Payment date * Date of exchange of cash flows.
Strike Strike price of the option.
Volatility 0% applies market volatility for EUR, USD, JPY, GBP and CHF. Other currencies require manual input.
Zero rate Zero yield rate in Act/365 day count convention and annual compounding.
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Scenarios
5. Scenarios sals.a® contains seven interest rate scenarios, allowing users to revalue their deals automatically.
Scenario Description
Market Current market rates. In essence this is your mark-to-market.
Rates Up * The effect of a 100bps rates rise in market rates. It is possible to change the scale of this rate increase in Market Data.
Rates Down * The effect of a 100bps rates fall in market rates. It is possible to change the scale of this rate decrease in Market Data.
Steepen The effect of the yield curve steepening.
Flatten The effect of the yield curve flattening.
User Curve 1 * Build your own curve.
User Curve 2 * Build your own curve.
To revalue your deal first select the Scenario drop-down at the bottom of the Deal View. Select the market scenario you wish to run and sals.a® will autoatically calculate this for you.
Fields marked with * can be manually adjusted within Market Data, allowing you to customize your
own forward scenarios.
6. Export to Excel Analytical outputs from the Deal View can be exported to Excel.
To export your data first select the Excel button at bottom of the Deal View. sals.a® will now export all relevant deal details, including cash flows, to a new Excel window.
7. Portfolio Analytics sals.a® allows you to analyse on a Deal, Asset Class, Portfolio or Enterprise wide basis. The Secondary Filter allows you to group Asset Class, Portfolio and Enterprise analytics by a range of
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Market Data
standard and customized criteria. This allows users to add an additional layer of powerful analytics with a single click. To learn more please refer to the user guide at http://help.kfpsalsa.com/.
8. Market Data sals.a® contains historic, current and future prices for the Interest Rate, Foreign Exchange and Commodity asset classes, plus additional data such as Inflation. This provides users with accurate valuations and risk views, and allows them to quantify how their deals and portfolio(s) have and may evolve. Market data is updated up to 5 times daily. To learn more please refer to the user guide at http://help.kfpsalsa.com/.
9. Reporting In addition to a range of standard reports, sals.a® allows users to customize their own reports, re-ceive these automatically by email and export directly to Excel or PowerPoint. Relevant reports for Options include:
Scenario Description
37 Counterparty risk of portfolio, broken down by instrument type.
39 NPV History of each deal, in table format.
63 Overview of current NPV of each deal, in graph and table format.
102 NPV Daily Chart which shows evolution of NPV of each deal over time.
138 Cumulative Call Probability of each deal as at year end, until expiry.
140 Cumulative Call Probability of each deal as at year end until expiry, in the event of a 100bps interest rate rise.
To learn more please refer to the user guide at http://help.kfpsalsa.com/.
