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 1
Analytics Module Overview..................................................................................................... ....................2
General Workbook Processing.................................................................................................... ................4
CHAPTER 2 OPICS MAIN WORKBOOK 12
OPXMAIN: OPICS Main Workbook.................................................................................................. ........13
OPXMAIN: Introduction..................................................................................................... .......................15
OPXMAIN: Settings................................................................................................................ ..................17
OPXMAIN: Styles Worksheet................................................................................................. ..................19
OPXMAIN: OPICS Dictionary........................................................................................................... ........23
OPXMAIN: Client Dictionary.............................................................................................................. .......25
OPXMAIN: Combos.......................................................................................................................... ........26
OPXMAIN: Navigator.............................................................................................................................. ..28
OPXMAIN: Timers.............................................................................................................. ......................30
OPXMAIN: Configuration...................................................................................................................... ....32
CHAPTER 3 YIELD CURVES 34
Introduction.................................................................................................................................... ............35
YCSS: Yield Curve Scenario Maintenance........................................................................................... ....39
YCSM: Yield Curve Shift Maintenance............................................................................................ .........41
YCPX: Yield Curve Selection.................................................................................................................. ..44
YCIQ: Yield Curve Inquiry............................................................................................. ...........................47
CHAPTER 4 CASH FLOW SELECTION 52
Introduction.................................................................................................................................... ............53
ACFS: Cash Flow Selection............................................................................................. ........................56
ACFS: Cash Flow Selection............................................................................................. ........................58
ACFS: Settings......................................................................................................................... ................70
ACFS: Settlement Flow Selection...................................................................................... .......................72
ACFS: Exposure Flow Selection............................................................................................................... .78
ACFS: DropDown Values...................................................................................................................... ....87
CHAPTER 5 POSITION ANALYSIS 90
Introduction.................................................................................................................................... ............91
ANCF: Cash Flow Analysis............................................................................................................ ...........92
ANSF: Settlement Flow Analysis............................................................................................. ...............103
ANFE: Futures Equivalent Analysis........................................................................................ ................116
ANFE: Futures Equivalent Position - Bond Equivalent................................................................. ..........117
ANFE: Futures Equivalent Position - Euro Equivalent................................................... ........................128
ANFI: Fixed Income Analysis.................................................................................................................. 140
ANFS: Fixed Income Statistics Analysis........................................................................................... ......151
ANDL: Deposit/Loan Analysis................................................................................................... ..............162
Analytics Contents • i
ANSR: Spot Risk Analysis.................................................................................................. ....................172
ANFX: Spot Risk Analysis (NPV).................................................................................................. ..........182
ANCG: Cumulative Gap Analysis........................................................................................... ................192
ANEC: Euro Currency Consolidation Analysis................................................................................ ........200
ANFP: Foreign Exchange Position Analysis.............................................................................. .............210
ANCT: Cost to Close Analysis.......................................................................................................... .......230
CHAPTER 6 RISK REPORTING 241
Introduction................................................................................................................................. .............242
ANVR: Value at Risk....................................................................................................................... ........243
ANVR: VaR Analysis.................................................................................................................... ...........244
ANVR: Mapping........................................................................................................................ ..............251
ANVR: Convert File Base CCY.................................................................................... ..........................254
ANVR: Correlation and Volatility File Header......................................................................... ................257
ANEX: Exposure Analysis................................................................................................................ .......260
ANSA: Scenario Analysis..................................................................................................................... ...270
ANTS: Tenor Sensitivity Analysis......................................................................................................... ...283
RPRA: FX Risk Position Report.......................................................................................................... ....292
RPRA: RbcRFXRP - Foreign Exchange Risk Position Report.................................... ...........................295
CHAPTER 7 PRICERS 297
Introduction................................................................................................................................. .............298
PRFR: FRA Pricer......................................................................................................... .........................299
PRFR: Euro Strip.......................................................................................................................... ..........300
PRFR: Pricer - Yield Curve................................................................................................................ .....310
PRSW: Interest Rate Swap Pricer............................................................................................. .............318
PRSW: Custom Interest Rate Swap....................................................................................... ................319
PRSW: Standard Interest Rate Swap......................................................................................... ............334
PRSW: Currency Interest Rate Swap......................................................................................... ............346
PROT: OTC Pricer..................................................................................................................... .............362
PROT: OTC Currency Option Pricer............................................................................................... ........363
PROT: OTC Bond Option Pricer................................................................................................ .............369
PROT: OTC Barrier Options Pricer................................................................................................. ........374
PRFX: Forward Point Pricer.......................................................................................... .........................378
PRFX: Pricer..................................................................................................................................... ......379
PRFX: Rates Through Points............................................................................................................. .....390
PRCF: Cap, Floor and Collar Pricer................................................................................... ....................397
PRES: Euro Strip Pricer................................................................................................ .........................407
PRFI: Fixed Income Pricer................................................................................................. ....................410
CHAPTER 8 BATCH TASKS 430
ANBM: Analytics Batch Manager Workbook.......................................................................................... .431
INDEX 433
ii Contents Analytics
Chapter 1 Introduction
Analytics Chapter 1 Introduction • 1

Analytics Module Overview
Introduction
OPICS 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 Curves
OPICS 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 Flows
Cash 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 Analysis
Analytics 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 Reporting
OPICS 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.
Pricers
Pricers are used to value financial instruments.

General Workbook Processing
Introduction
This section describes the general use of OPICS Analytics workbooks.
Security
Access 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 Menus
The 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 Navigator
The 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 Sections

The 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 Workbooks

Analytics 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 Workbook
To save custom workbooks to a local or network drive, select Save or Save as from the File menu.
Opening Custom Workbooks

Operators 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 Objects
Analytics 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 Keys
Analytics 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 Key

Selecting 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 Key

Ctrl + 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 Analytics

To 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
Introduction
The 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 Workbook
To access the OPXMAIN, OPICS Main Workbook, select OPAN from the Analytics Menu, or use
Fast-path.
Selecting OPXMAIN Worksheets

Select 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
Introduction
The 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 Introduction
Fast-path.
Select the Introduction tab at the bottom of the OPXMAIN, OPICS Main Workbook.

Introduction Area Layout

OPXMAIN: Settings
Introduction
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.
The Settings worksheet may be amended by the OPICS System Administrator only.
Starting Settings
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
Introduction
The 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 Styles
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
Introduction
The OPICS Dictionary worksheet is used to display Analytics terminology. Specific literals or
headings may be modified.
Starting OPICS Dictionary

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
Introduction
The 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
Introduction
The Combos worksheet is used to display the text and values contained in Analytics drop-down
boxes.
Starting Combos
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
Introduction
The Navigator worksheet is used to display the workbooks that may be accessed from Analytics.
Starting Navigator
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
Introduction
The Timers worksheet is used to set the time, in seconds, for the recalculation of Analytics pricers.
Starting Timers
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
Introduction
The Configuration worksheet is used to display OPICS directory structure and information about the
current branch.
Starting Configuration
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

Introduction
A 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 Tasks
The 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.
Define Define Yield

Contributing Rates Curve Structure
YCIM YCHD
Contributing Yield Curve

Rates Header
Maintenance
YCRT YCRS YCTN
Closing Rates Yield Curve Yield Curve

Maintenance Rate Structure Tenor
YCDF
Generate Discount
Factors
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
Introduction
The 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 Maintenance

To 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
Introduction
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,
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 Maintenance

To access the YCSM, Yield Curve Shift Maintenance workbook, select Yield Curves from the
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
Introduction
The 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 Selection

To 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.
curve.
(e.g., '001').
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
Introduction
The 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 Inquiry

Select 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
curve.
(e.g., '001').
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 Area

The 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: Buttons
The 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

Introduction
Analytics 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
Introduction
The 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 Selection

To access the ACFS, Cash Flow Selection workbook, select Cash Flows from the Navigator
categories. Select Market Exposures from the category items.
Selecting ACFS Worksheets

Select 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
Introduction
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. 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 Selection

To access the ACFS, Cash Flow Selection worksheet, select Cash Flows from the Navigator
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
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 Selection

To 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 QSQL
To 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
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
deal.
Maturity date
of the deal.
deal.
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
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.
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.
screen.
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
Introduction
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.
Starting Settings
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
Introduction
The 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 Selection

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
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

deal.
Maturity date
of the deal.
deal.
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
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.
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.

screen.
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
Introduction
The 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 Selection

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.
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.
Maintenance screen.
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.
Maintenance screen.
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
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
which exposure flows are selected.
Product type
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 Selection

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

QSQL Screen Layout

ACFS: DropDown Values
Introduction
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.
Amending existing drop-down values may cause unintended results.
Starting DropDown Values

To access the ACFS, Cash Flow Selection workbook, select Cash Flows from the Navigator
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: Buttons
The 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

Introduction
The 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
Introduction
The 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 Analysis

To 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
curve.
(e.g., '001').
Quote type
Drop-down box.
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.
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.
calendar.
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.
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 Area

The 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
curve.
(e.g., '001').
Quote type
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 Area
The 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 Area
The 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
The 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: Buttons
The 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
Introduction
The 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 Analysis

To access the ANSF, Settlement Flow Analysis workbook, select Position Analyses from the
Select Settlement Flow from the category items.

Analysis Area
Yield curve id
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
curve.
(e.g., '001').

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

calendar.
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
'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.
tenor periods.
NPV of cash flow

Display only.
NPV of cash flow is the net present value (discounted to the spot or branch processing date

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: Buttons
The 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
Introduction
The 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 Analysis

To access the ANFE, Futures Equivalent Analysis workbook, select Position Analyses from the
Select Euro Futures Equivalent or Bond Futures Equivalent from the category items.
Selecting ANFE Worksheets

Select 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
Introduction
The 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 Equivalent

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
curve.
(e.g., '001').
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
calendar.
Cash flow file name

flow file name includes the location and name of the file. Cash flow file names are located in the
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 Area

in the futures equivalent analysis.

CCY
Yield curve id
values.
Shift seq
curve.
(e.g., '001').
Quote type
offered rate (O).
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Futures Area
The 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
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
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 Area
The 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

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
Loans).
Product type
Security id
Date
Receipts
Payments

ANFE: Futures Equivalent Position - Euro Equivalent
Introduction
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.
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 Equivalent

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
curve.
(e.g., '001').
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
Analysis end date

calendar.
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 Area

in the futures equivalent analysis.

CCY
Yield curve id
values.
Shift seq
curve.
(e.g., '001').
Quote type
offered rate (O).
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Futures Area
The 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
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 Area
The 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

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

Details Area Layout
Contract delivery
Delivery date
Br
own set of books.
Deal number
Portfolio
Trader

Product
Loans).
Product type
Security id
Date
Receipts
Payments
ANFE: Buttons
The 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
screen.
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
Introduction
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.
Starting Fixed Income Analysis

To 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,
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
Rates Area Layout

Rates Area Ranges
CCY
Display only.
Price/DDE
Mult./Div.
Display only.
Summary Area
The 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
Maximum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity',
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
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
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 Area
The Graph area is used to display a graph of the fixed income position summary. Graphs may be
printed.

Graph Area Layout
ANFI: Buttons
The 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
screen.

ANFS: Fixed Income Statistics Analysis
Introduction
The 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 Analysis

To access the ANFS, Fixed Income Statistics Analysis workbook, select Position Analyses from the
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,
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,
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
Rates Area Layout

Rates Area Ranges
CCY
Display only.
Price/DDE
Mult./Div.
Display only.
Summary Area
The 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
Minimum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity',
Maximum value
Maximum value is the maximum value required to include a fixed income position in the statistics
Maximum value must be entered if Summarize by is 'Duration', 'Modified duration', 'Convexity',
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

Unrealized Gain/Loss (local currency) is the sum of the unrealized gains and losses for the securities
Average Remaining Life

Average Remaining Life is the average amount of time remaining in the lives of the securities
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
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 Area
The Graph area is used to display a graph of the fixed income position summary. Graphs may be
printed.

Graph Area Layout
ANFS: Buttons
The ANFS, Fixed Income Statistics Analysis screen buttons are used to perform OPICS functions
The following menus and buttons perform functions and processing specific to the ANFS screen.
Processing Buttons
Get CCY
screen.

ANDL: Deposit/Loan Analysis
Introduction
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 cash flows generated
using the following OPICS modules:
Deposits and Loans,
Internal Deals,
Swaps,
Fixed Income,
Financial Futures.
Starting Deposit/Loan Analysis

To 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.
Shift seq
curve.
(e.g., '001').
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

calendar.
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 Area

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
curve.
(e.g., '001').

Quote type
offered rate (O).
Description
Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Details Area

Details Area Layout
Tenor
Tenor date
Br
Deal number
Portfolio

Trader
Product
Loans).
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
Introduction
The 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 Analysis

To 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
curve.
(e.g., '001').
Quote type
Drop-down box.
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
curve.
(e.g., '001').
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 Area
The 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.
curve.
(e.g., '001').

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.
curve.
(e.g., '001').
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

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 Area
The Details area is used to display cash flow details for a selected tenor.
Details Area Layout
Tenor
Tenor date
Br
own set of books.
Deal number
Portfolio
Trader

Product
Loans).
Product type
Date
Receipts
Payments
ANSR: Buttons
The 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
screen.

ANFX: Spot Risk Analysis (NPV)
Introduction
The 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
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

calendar.
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 Area

The 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.
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
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

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 Area
The Graph area is used to display a graph of the spot risk analysis. Graphs may be printed and
Graph Area Layout
Details Area

Details Area Layout
Tenor
Tenor date
Br
own set of books.
Deal number
Portfolio
Trader

Product
Loans).
Product type
Security id
Date
Receipts
Payments
ANFX: Buttons
The 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
Introduction
The ANCG, Cumulative Gap Analysis workbook is used to calculate gap positions for known cash
flows.
Starting Cumulative Gap Analysis

To access the ANCG, Cumulative Gap Analysis workbook, select Position Analyses from the
Select Cumulative Gap from the category items.
Analysis Area
Yield curve id

Shift seq
curve.
(e.g., '001').
Quote type
Drop-down box.
Description
Display only.
Yield curve CCY

Analysis CCY
Analysis basis
Drop-down box.
Analysis end date


calendar.
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 Area

in the cumulative gap analysis.
CCY

Yield curve id
values.
Shift seq
curve.
(e.g., '001').
Quote type
offered rate (O).
Description
Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate


Discount factor_01
one basis point.
Zero coupon_01
basis point.
Details Area
Details Area Layout
Tenor
Tenor date

Br
Deal number
Portfolio
Trader
Product
Loans).
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
Introduction
The 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 Analysis

To 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
curve.
(e.g., '001').
Quote type
Drop-down box.

Description
Display only.
Yield curve CCY

Display only
Analysis end date

calendar.
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.
tenor periods.
NPV of cash flow

Display only.
NPV of cash flow is the net present value (discounted to the spot or branch processing date
Yield Curve Area


CCY
Yield curve id
values.
Shift seq
curve.
(e.g., '001').
Quote type
offered rate (O).
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Graph Area
The Graph area is used to display a graph of the cash flow analysis. Graphs may be printed or

Graph Area Layout
Details Area

Details Area Layout
Tenor
Tenor date
Br
Deal number
Portfolio

Trader
Product
Loans).
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 Area
The 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
Introduction
The 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 Analysis

To 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

calendar.
Refresh cash flow

Drop-down box.
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 Area
The 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.
(e.g., '001').
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
curve.
(e.g., '001').
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',
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 Area

The 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.
values.
Shift seq
Display only.
curve.
(e.g., '001').

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 Area

The 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
Yield curve id
Display only.
values.

Shift seq
Display only.
curve.
(e.g., '001').
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
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 Area
The 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 Area

The 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
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
own set of books.
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: Buttons
The 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
Introduction
The 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 Analysis

To 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
curve.
(e.g., '001').
Description
Display only.
Yield curve CCY


Analysis CCY
Analysis basis
Drop-down box.
Analysis end date

calendar.
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 Area

The 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
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
one basis point.
Zero coupon_01
basis point.
Offer Yield Curve Area

The 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
values.
Shift seq
curve.

(e.g., '001').
Description
Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Details Area

Details Area Layout
Tenor
Tenor date
Br
own set of books.
Deal number
Portfolio

Trader
Product
Loans).
Product type
Sec id
Sec id identifies the security associated with the cash flow.
Date
Receipts
Payments

Chapter 6 Risk Reporting

Introduction
The 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
Introduction
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. 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 Risk

To access the ANVR, Value at Risk workbook, select Risk Reports from the Navigator categories.
Select DEaR/VaR from the category items.
Selecting ANVR Worksheets

Select 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
Introduction
The 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 Analysis

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 Area
The Details area is used to display the risk details for a selected confidence interval.
Details Area Layout

Cash flow file name

flow file name includes the location and name of the file.
VaR dataset name

the header file.
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 Area
The Graph area is used to display a graph of the value at risk analysis. Graphs may be printed and
Graph Area Layout

ANVR: Mapping
Introduction
The 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 Mapping
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
Introduction
The Convert File Base CCY worksheet is used to convert correlation and volatility files from one
currency to another.
Starting Convert File Base CCY

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
Introduction
The 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 Header

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


the header file.
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.
calendar.
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: Buttons
The ANVR, Value at Risk workbook screen buttons are used to perform OPICS functions and
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
Introduction
The 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 Analysis

To 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 Area
The 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
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 Area
The 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 Area
The 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
Introduction
The 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 Analysis

To 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.
(e.g., '001').
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.
(e.g., '001').
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

calendar.
Cash flow file name

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.
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 Area

The 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
shifted curve.
(e.g., '001').

Quote type
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 Area
The 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.
(e.g., '001').
Quote type
Quote type specifies whether the adjusted yield curve calculation is based on the mid rate (M), bid

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,
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
Zero coupon_01
Zero coupon_01 is the zero coupon rate of the adjusted yield curve after contributing rates are
Rates Area

Rates Area Layout
Rates Area Ranges
CCY
Display only.
Price/DDE
Mult./Div.
Display only.
Graph Area
The Graph area is used to display a graph of the scenario analysis. Graphs may be printed and

Graph Area Layout
Details Area

Details Area Layout
Tenor
Tenor date
Br
own set of books.
Deal number
Portfolio

Trader
Product
Loans).
Product type
Security id
Date
Receipts
Payments
ANSA: Buttons
The 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
Introduction
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 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 Analysis

To 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.
Shift seq
curve.
(e.g., '001').
Quote type
Drop-down box.
Description
Display only.
Yield curve CCY

Analysis CCY
Analysis end date


calendar.
Cashflow types
Drop-down box.
Cash flow file name

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 Area
The 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
shifted curve.
(e.g., '001').
Quote type

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,
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
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 Area
The Graph area is used to display a graph of the scenario analysis. Graphs may be printed and

Graph Area Layout
Details Area

Details Area Layout
Tenor
Tenor date
Br
own set of books.
Deal number
Portfolio

Trader
Product
Loans).
Product type
Security id
Date
Receipts
Payments
ANTS: Buttons
The ANTS, Tenor Sensitivity Analysis screen buttons are used to perform OPICS functions and
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
Introduction
The 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 Report

To 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 Reports

Select 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
Introduction
The 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

Introduction
The 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
Introduction
The 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 Pricer

To 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 Worksheets

Select one of the following tabs at the bottom of the PRFR, FRA Pricer workbook:
Euro Strip,
Yield Curve.

PRFR: Euro Strip
Introduction
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.
Starting Pricer - Euro Strip

To 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
(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 Area
The 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 Area

The 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 Area

The 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
Introduction
The 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 Curve

To 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.
curve.
(e.g., '001').
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
(Tenor) End
(Tenor) End is the ending monthly tenor for the broken dated FRA calculation. (Tenor) End is
(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 Area

The 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.
Yield Curve Area


CCY
Yield curve id
Yield curve id is the name of the yield curve used to calculate FRA rates.
Shift seq
curve.
(e.g., '001').
Quote type
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
PRFR: Buttons
The 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
Introduction
The 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 Pricer

To access the PRSW, Interest Rate Swap Pricer workbook, select Pricers from the Navigator
categories.
Select Swaps from the category items.
Selecting PRSW Worksheets

Select one of the following tabs at the bottom of the PRSW, Interest Rate Swap Pricer workbook:
Custom,
Standard,
Currency.

PRSW: Custom Interest Rate Swap
Introduction
The Custom Interest Rate Swap worksheet is used to create and value customized swaps.
Starting Custom Interest Rate Swap

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.
calendar.
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.
calendar.
Maturity date
Maturity date is the date the swap deal matures.
calendar.

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
curve.
(e.g., '001').
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
the payment 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.
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 Area
The 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

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
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 Area

The 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.
curve.
(e.g., '001').
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
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 Area

The 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.
to present values.
Shift seq
Display only.
curve.
(e.g., '001').
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
Introduction
The Standard Interest Rate Swap worksheet is used to value vanilla swaps.
Starting Standard Interest Rate Swap

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.

calendar.
Swap value
Display only.
Start date
calendar.
Maturity date
calendar.
Solve for
Drop-down box.
Market Value,
Fixed Rate,
Float Rate,
Spread Rate.
amount.
value.
value.
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
curve.
(e.g., '001').
Quote type
Drop-down box.

Fix/float
Drop-down box.
Rate code
Interest rate
the payment date.
Spread rate
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.
non-business days.
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.
Schedules Area

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
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.
swap.
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 Area

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.
to present values.
Shift seq
Display only.
curve.
(e.g., '001').
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
Introduction
The Currency Interest Rate Swap worksheet is used to value standard interest rate currency swaps.
Starting Currency Interest Rate Swap

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 must be less than or equal to the start date and the branch processing date.

calendar.
Swap value
Display only.
Start date
calendar.
Maturity date
calendar.
Solve for
Drop-down box.
Market Value,
Fixed Rate,
Float Rate,
Spread Rate.
amount.
value.
value.
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
curve.
(e.g., '001').
Quote type
Drop-down box.

Fix/float
Drop-down box.
Rate code
Interest rate
the payment date.
Spread rate
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.
non-business days.
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
Schedules Area

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
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.
swap.
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 Area

The 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.
to present values.
Shift seq
Display only.
curve.
(e.g., '001').
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 Area

The 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.
to present values.
Shift seq
Display only.
curve.
(e.g., '001').
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: Buttons
The 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
Introduction
The 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 Pricer

To access the PROT, OTC Pricer workbook, select Pricers from the Navigator categories.
Select OTC Options from the category items.
Selecting PROT Worksheets

Select one of the following tabs at the bottom of the PROT, OTC Pricer workbook:
Currency,
Bond,
Barrier.

PROT: OTC Currency Option Pricer
Introduction
The OTC Currency Option Pricer worksheet is used to price standard over the counter currency
options.
Starting OTC Currency Option Pricer

To 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 must be less than or equal to the branch processing date.
calendar.
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.
calendar.
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.
calendar.
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.

The 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

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
Introduction
The OTC Bond Option Pricer worksheet is used to price over the counter bond options.
Starting OTC Bond Option Pricer

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
calendar.
Model
Display only.
Model is the model used to price the option.
Value date
Value date is the settlement date of the premium.
calendar.
Volatility
Expiration date
calendar.
Settlement date
Settlement date is the date funds are paid or received for the option.
calendar.

Delta
Display only.
instrument.
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.

The 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
Introduction
The OTC Barrier Options Pricer workbook is used to price over the counter barrier options.
Starting OTC Barrier Options Pricer

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

calendar.
Barrier type
Drop-down box.
Barrier type specifies whether the barrier is a 'knock in' barrier or a 'knock out' barrier.
Expiration date
calendar.
Volatility
Option type
Drop-down box.
Option type identifies the option as a call or put option.
Delta
Display only.
instrument.
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: Buttons
The 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
Introduction
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.
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 Pricer

To access the PRFX, Forward Point Pricer workbook, select Pricers from the Navigator categories.
Select FX Forwards from the category items.
Selecting PRFX Worksheets

Select one of the following tabs at the bottom of the PRFX, Forward Point Pricer workbook:
Forward Points,
Rates Through Points.

PRFX: Pricer
Introduction
The Pricer worksheet is used to calculate forward points for a specified currency pair.
Starting Pricer
To access the PRFX, Forward Point Pricer workbook, select Pricers from the Navigator categories.
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
curve.
(e.g., '001').
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
curve.
(e.g., '001').
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.
calendar.
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 Area

The 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
curve.
(e.g., '001').
Quote type
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
CCY2 Yield Curve Area

The 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
curve.
(e.g., '001').
Quote type
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Rates Area

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.

The 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
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
Introduction
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 Rates Through Points

To access the PRFX, Forward Points Pricer workbook, select Pricers from the Navigator categories.
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
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.
Header Maintenance screen. To enter an item into the field, select it from the list.
Description
Display only.
Shift seq
curve.
(e.g., '001').
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.
calendar.
Tenor
Tenor date
Display only.
CCY1 rate
CCY2 rate
Spot/Fwd. points
Yield Curve Area

The 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
curve.
(e.g., '001').
Quote type
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
Rates Area

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: Buttons
The PRFX, Pricer and Rates Through Points screen buttons are used to perform OPICS functions
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
Introduction
The 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 Pricer

To 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
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 must be less than or equal to the branch processing date and the start date.
calendar.
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.
calendar.
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.
Header Maintenance screen. To enter an item into the field, select it from the list.
Shift seq
Display only.

curve.
(e.g., '001').
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 Area
The 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 Area

The 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
curve.
(e.g., '001').
Quote type
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
PRCF: Buttons
The PRCF, Caps, Floor and Collar Pricer screen buttons are used to perform OPICS functions and
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
Introduction
The 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 Pricer

To 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
Rate
Display only.
Rate is the calculated annual money market rate for the specified maturity (Mty).
PRES: Buttons
The 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
Introduction
The 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 Pricer

To 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.
calendar.
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.
calendar.
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
Maturity date
Maturity date is the final principal payment date and the interest period end date for the security.
calendar.
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.
calendar.
Spread rate
the payment date.
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'.
calendar.
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
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
curve.
(e.g., '001').
Quantity
Quantity is the number of securities to price. Quantity defaults to '1'.
Quote type
Drop-down box.
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 Area
The 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

calendar.

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
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
the payment date.
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.
calendar.
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 Area

The 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.
calendar.
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.
calendar.

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 Area

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
curve.
(e.g., '001').
Quote type
Description

Last date
Financial center
Day rule
Spot days
Maturity
Maturity date
Discount factor
Zero coupon rate

Discount factor_01
one basis point.
Zero coupon_01
basis point.
PRFI: Buttons
The 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
Introduction
The 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 Workbook

To 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 Identifies the name of the analysis workbook to be processed.
path/name
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
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 · 61, 75
Accrued days · 417
Accrued interest · 417
Active Call Date · 142, 153
Active Call Price · 142, 153
Active Macro · 31
Active Put Date · 142, 153
Active Put Price · 142, 153
Adjust Fixed Income flows for withholding tax · 71
Adjusted net cash flow · 274
Adjusted NPV in local currency · 274
Adjusted NPV net cash flow · 274
Adjusted Yield Curve Area Layout · 277
Adjusted yield curve id · 271
Agency 1 rating · 142, 148, 153, 159, 262
Agency 2 rating · 142, 148, 153, 159, 263
Agency rating · 267
Amount · 389, 411
Analysis · 115, 243
Analysis Area Layout · 93, 104, 140, 163, 172, 182, 192, 201, 211, 231, 245, 261, 270, 283
Analysis basis · 164, 193, 232
Analysis CCY · 94, 105, 118, 130, 164, 182, 193, 211, 215, 232, 246, 248, 256, 272, 284
Analysis CCY rate · 216
Analysis CCY Yield Curve Area Layout · 218
Analysis end date · 94, 105, 119, 130, 164, 183, 193, 202, 211, 232, 272, 284
Analysis Type · 194, 233
Analytics Menus · 4
Analytics Navigator · 5
Append · 89
Applies to · 88
Ask offset · 382
Ask points · 382
Ask price · 144, 155
Ask yield · 144, 155
Asset · 259
Asset Cumulative · 196
Asset Cumulative avg rate · 196
Asset maturity · 252
Asset/Maturity · 259
Assets · 195
Average breakeven rate · 234

Average Current Yield · 149, 160
Average market rate · 234
Average rate · 166, 167, 195
Average Remaining Life · 149, 160
B
Bankname · 33
Barrier · 376
Barrier type · 375
Base CCY · 211, 215
Base CCY Carry · 214
Base CCY DV01 · 213
Base CCY NPV · 213
Base CCY P/L · 213
Base CCY Position · 213
Base CCY rate · 217
Base CCY Yield Curve Area Layout · 221
Basis · 307, 311, 323, 337, 349, 401, 408, 414, 419
Beepduration · 33
Beepon · 33
Beepvalue · 33
Beta · 253
Bid · 45
Bid offset · 382
Bid points · 382
Bid price · 144, 155
Bid yield · 144, 155
Bid Yield Curve Area Layout · 235
Bond Price · 371
Bond Pricer Area Layout · 410
Br · 101, 107, 126, 137, 170, 180, 190, 199, 207, 227, 239, 281, 290, 432
Br date · 432
Branch · 33, 40, 42, 44, 47, 60, 66, 74, 82, 265, 319, 398
Branchname · 33
BrDate · 33
Break even rate · 167
Broken date · 381, 392
Broker · 339, 351, 389
Bucketing method · 95, 273
C
Calc Implied Rates · 191
Calc Rates · 409
Calc Source Rate · 191
Calc. Fwd. Points · 396
Calc. Implied · 376
Calc. Premium · 376
Calculate · 114, 229
Calculation rule · 411
Call date · 420, 423, 425
Call price · 420, 423, 425
Call/Put · 365, 371
Cap · 402
Cap rate · 323, 326, 341, 353, 412, 420
Cap strike rate · 399
Cap/floor/collar · 398
Carry · 228
Cash flow amount · 421

Cash flow file name · 59, 66, 94, 119, 130, 140, 151, 164, 172, 183, 194, 202, 212, 232, 245, 248, 272, 285
Cash Flow Selection · 56
Cash Flow Selection Area Layout · 59
Cashflow types · 119, 131, 273, 285
CCY · 42, 45, 48, 60, 66, 74, 83, 97, 99, 109, 111, 121, 123, 133, 135, 142, 146, 147, 153, 157, 158, 168,
176, 196, 204, 208, 209, 218, 221, 224, 236, 237, 251, 265, 275, 277, 279, 287, 295, 306, 311, 315, 321,
325, 328, 331, 336, 340, 343, 348, 352, 355, 358, 364, 371, 383, 385, 391, 393, 399, 404, 408, 418, 427
CCY amount · 208
CCY Carry · 214
CCY DV01 · 213
CCY NPV · 213
CCY P/L · 213
CCY Position · 212
CCY spot · 94, 183, 272
CCY Spot · 105, 186
CCY/CTR · 228
CCY/CTR pair date · 187
CCY1 · 173, 179, 185, 188, 368, 379, 387, 388, 390, 395
CCY1 Basis · 185
CCY1 rate · 178, 381, 392
CCY1 Yield Curve · 396
CCY1 Yield Curve Area Layout · 383
CCY2 · 173, 177, 179, 186, 188, 368, 380, 387, 388, 391, 395
CCY2 Basis · 186
CCY2 rate · 178, 381, 392
CCY2 Yield Curve · 396
CCY2 Yield Curve Area Layout · 385
Change · 301
Chart Type · 51, 138
Clean price · 416
Clear · 114
Client Dictionary · 13
Client Dictionary Area Layout · 25
Close out rate · 195
Closed Position NRFF · 234
Collar · 402
Combo box values · 88
Combos · 13
Combos Area Layout · 26
Combos Item · 26
Combos Value · 27
Commodities · 249
Complex strip equivalent · 132
Composite Curves · 38
Compounding · 326, 340, 353
Confidence interval · 246, 248, 256, 259
Configuration · 13
Configuration Area Layout · 32
Construct Ladder · 229
Contract · 185, 300, 304, 306, 308, 407
Contract code · 62, 69, 76, 253
Contract delivery · 120, 123, 131, 135, 137
Contracts · 316
Contributing rate · 49, 166, 167
Conversion factor · 124
Convert · 259
Convert File Base CCY · 243

Convert File Base CCY Area Layout · 254
Convexity · 145, 149, 156, 160, 416
Correlated Risk Confidence interval · 247
Correlated Risk VaR term · 247
Correlation and Volatility File Header · 243
Correlation and Volatility File Header Area Layout · 257
Correlation File path/name · 255, 256, 258
Cost center · 60, 67, 74
Counter CCY · 63, 77
Country/res · 81, 264, 267
Country/ult · 81, 263, 267
Coupon rate · 141, 147, 148, 152, 158, 159
Coupon/discount · 412
Create Sched. · 361
Credit equivalent exposure · 263, 265, 267, 268
Credit rating · 81, 424
Criteria Selection Screen Layout · 63, 84
Ctrl + F1 Function Key · 9
Ctrl + F2 Function Key · 9
Cumulative net · 296
Cumulative net cash flow · 96, 107, 203
Cumulative position exposure · 184
Currency Interest Rate Swap · 318
Currency Interest Rate Swap Area Layout · 346
Current price · 144, 155
Current rate · 220, 223
Current Rate · 330, 333, 344, 357, 360
Current results · 166, 167
Current yield · 144, 155, 417
Curve id · 43
Custom Interest Rate Swap · 318
Custom Interest Rate Swap Area Layout · 319
Custom Tenor Ladder Area Layout · 112, 225
Customer · 61, 68, 75, 80, 262, 264, 303, 313, 338, 351, 367, 373, 389, 401, 415
Customer group · 61, 75
Customer group id · 81
Customer number · 262, 264
D
Data type · 246, 248, 255, 259
Date · 46, 48, 102, 108, 127, 138, 171, 181, 186, 187, 191, 199, 208, 240, 282, 291, 301, 305, 311, 408
Date conv · 324, 338, 350
Date dir · 338, 350
Datemask · 33
Day · 302, 312
Day rule · 98, 110, 122, 134, 169, 197, 205, 219, 222, 236, 238, 276, 278, 288, 307, 316, 329, 332, 343, 356,
359, 384, 386, 394, 405, 428
Days · 304, 305, 314
Days to maturity · 403
Deal date · 62, 77, 320, 334, 346, 347, 364, 370, 374, 398
Deal number · 60, 74, 101, 108, 126, 137, 170, 180, 190, 199, 207, 227, 239, 265, 281, 290, 320, 363, 369,
398
Deal status · 62, 76
Deletetemp · 33
Delivery date · 123, 131, 135, 137
Delta · 365, 371, 375
Denomination · 422, 425
Deposits · 171, 199

Deposits duration · 167
Description · 29, 40, 42, 46, 48, 59, 66, 73, 80, 94, 97, 105, 110, 118, 121, 130, 133, 164, 169, 173, 174, 176,
177, 193, 197, 202, 204, 215, 216, 219, 222, 231, 236, 238, 246, 248, 255, 256, 258, 271, 272, 276, 278,
284, 288, 311, 315, 329, 332, 343, 356, 359, 380, 383, 385, 391, 393, 404, 416, 427
Details · 114
Details Area Layout · 101, 107, 137, 170, 180, 190, 198, 207, 227, 239, 247, 264, 281, 290
DF tdy · 220, 223
DF TDY · 330, 333, 344, 357, 360
DF yst · 220, 223
DF YST · 330, 333, 344, 357, 360
DF_01 tdy · 220, 223
DF_01 TDY · 330, 333, 345, 357, 360
DF_01 yst · 220, 224
DF_01 YST · 330, 333, 345, 357, 360
Directories · 33
Dirty price · 416
Discount factor · 50, 98, 110, 122, 134, 169, 197, 205, 236, 238, 276, 278, 288, 316, 327, 341, 354, 384, 386,
394, 405, 421, 428
Discount factor_01 · 98, 111, 122, 134, 169, 198, 205, 237, 238, 276, 278, 288, 316, 384, 386, 394, 405, 428
Discount rate · 417
Discount to Spot · 45
Discounted EAR · 234
Dlvy · 301, 304
Dlvy code · 307, 308
Domestic rate · 376
Drop-down Box · 8
DropDown Values · 56
DropDown Values Area Layout · 87
Duration · 144, 149, 155, 160, 416
DV01 · 228
E
Edit Cell · 88
Edit Query · 88
EMTA rule · 424
End · 302, 312
End date · 304, 314, 403
Equity · 249
Equivalent contracts · 120
ETMA rule · 426
Euro amount · 208
Exch. Principle · 351
Expiration date · 364, 370, 375
Exposure flow file name · 80, 261
Exposure Flow Selection · 56
Exposure Flow Selection Area Layout · 80
Expression · 43, 65, 85
F
Fees · 249
Field · 87
File base CCY · 255, 258
File date · 246, 248, 255, 258
Financial center · 98, 110, 122, 134, 169, 197, 205, 219, 222, 236, 238, 276, 278, 288, 316, 329, 332, 343,
356, 359, 384, 386, 394, 405, 423, 425, 428
Financial Futures selection by · 71
First coupon date · 413
First/last · 325, 340, 352

First/Last · 322, 336, 348, 400
Fix/float · 321, 325, 337, 340, 349, 352
Fixed income · 249
Fixed income treatment · 294
Floor · 402
Floor rate · 323, 326, 341, 353, 412, 420
Floor strike rate · 399
Foreign exchange · 248
Foreign Exchange Risk Position Report · 292
Foreign exchange selection by · 70
Foreign rate · 376
Forward delta · 365
Forward period · 49
Forward rate · 50, 403
Forward value · 365
Forward Value · 372
FRA rate · 304, 314
FRAs · 249
Function Keys · 9
Futures · 138, 249
Futures Area Layout · 123, 135
Futures contract · 118, 123, 130, 135
Futures Contract Maintenance Area Layout · 306
Futures dated FRA rates · 301
Futures Equivalent Analysis - Bond Equivalent · 116
Futures Equivalent Analysis - Euro Equivalent · 116
Futures Equivalent Position - Bond Equivalent Area Layout · 117
Futures Equivalent Position - Euro Equivalent Area Layout · 129
Futures Price Maintenance Area Layout · 308
Fwd pts. · 178
Fwd. points · 217
G
Gamma · 365, 371
Gap Balance · 195
Gap net rate · 195
Generate Query · 88
Get CCY · 102, 115, 138, 150, 161, 181, 191, 282, 377, 396
Get contract · 191
Get Contract · 409
Get Futures · 138
Get Rates · 229, 376
Get Security · 429
Global values · 63, 77, 82
Graph · 114
Graph Area Layout · 50, 100, 125, 136, 150, 161, 189, 206, 250, 269, 280, 289
Graph Type · 102
Gross exposure · 263, 265, 267, 268
Guarantor · 423
H
Headings Value · 24, 25
Hedge · 305, 317, 366
Hedge Area Layout · 303
Hedge portfolio · 174
Help · 17
Holding Period · 255, 258
I

Implied Rates · 191
Implied Rates Area Layout · 185
Include Call and Notice account balance · 71
Include Foreign Exchange Net Settlements · 71
Include initial cash flows · 246
Increment · 147, 158, 267
Initial index rate · 414
Input file name · 293
Inquiry · 51
Instrument · 59, 66, 73, 82
Int exchg term · 424
Int. exch. rate · 324, 350
Interest end date · 326, 340, 353, 419
Interest End date · 326, 341, 353
Interest end date rule · 425, 426
Interest pay amount · 421
Interest payment rule · 424, 426
Interest rate · 322, 337, 349, 419
Interest start date · 326, 340, 353, 418
Internal deals · 249
Interpolated · 49, 221, 224, 330, 333, 345, 357, 360
Interval (in sec.) · 30
Introduction · 13
Investment type · 62, 69, 77
Investment Type · 142, 153
Issue date · 422
Issuer · 141, 147, 152, 158, 422
J
Job Steps · 431
L
Last analysis date · 95, 106, 119, 131, 141, 152, 165, 183, 194, 202, 212, 233, 262, 273, 285
Last coupon date · 413
Last date · 98, 110, 122, 134, 169, 197, 205, 219, 222, 236, 238, 276, 278, 288, 316, 329, 332, 343, 356,
359, 384, 386, 394, 405, 428
Last maintenance date · 40, 256, 259
Last Maintenance date · 43
Level · 295
Levels 1_2_4 Total · 296
Liabilities · 195
Liability Cumulative · 196
Liability Cumulative avg rate · 196
Liquidity rank · 145, 148, 156, 159
Liquidity value · 145, 149, 156, 160
Literals Value · 23, 25
Load Rates · 409
Loan duration · 166
Loans · 171, 199
local CCY, percent of · 148, 159
Local NPV · 282
Long amount · 143, 154
Long position amount (local currency) · 143, 154
Long position avg. yield · 143, 154
Long position avg. price · 143, 154
Long position avg. yield · 148, 159
Long quantity · 143, 154
Lookup · 18, 64, 85

M
Macro name · 31
Map Deal · 317, 361, 376, 396, 406, 429
Mapping · 243
Mapping Area Layout · 251
Mapping Information Area Layout · 313, 367, 373, 388
Market bid rate · 233
Market offered rate · 233
Market price (in % par) · 400
Market value · 400
Matched balance · 195
Maturity · 49, 98, 110, 122, 134, 169, 197, 205, 219, 222, 236, 238, 259, 276, 278, 288, 316, 329, 332, 344,
356, 359, 384, 386, 394, 405, 428
Maturity date · 61, 68, 76, 83, 98, 122, 134, 142, 153, 169, 197, 205, 219, 223, 236, 238, 265, 276, 278, 288,
316, 320, 329, 332, 335, 344, 347, 356, 359, 384, 386, 394, 399, 405, 412, 423, 428
Maximum · 266
Maximum value · 147, 158
Merge styles · 18
Mid · 45
Minimum risk weight · 266
Minimum timer (in sec.) · 18
Minimum value · 147, 158
Model · 364, 370
Modified duration · 144, 149, 155, 160, 416
Money market · 249
Mty · 186, 187, 408
MTY · 267
Mult./Div. · 99, 112, 146, 157, 209, 225, 279
N
Navigator · 13, 18
Navigator Area Layout · 28
Navigator Category · 28
NDF position calc. · 212
Net · 282, 296
Net Avg. Gap Outstanding · 234
Net cash flow · 96, 106, 120, 131, 175, 184, 203, 274, 286
Net change · 235, 309
Next Call Date · 142, 153
Next Put Date · 142, 153
Notional amount · 166, 167, 304, 314, 326, 341, 353, 399, 403
Notional Amount · 321, 336, 348
NPV · 282, 291, 327, 341, 354, 421
NPV deposits · 167
NPV in local currency · 96, 107, 274, 327, 342, 354
NPV in source currency · 184
NPV loans · 166
NPV net cash flow · 96, 184
NPV of cash flow · 107, 203
NPV of net cash flow · 274, 286
NPV open · 168
NPV/Sensitivity · 291
Number of columns · 293
Number of customers · 262
Number of issues · 141, 148, 152, 159
O
Offer · 45

Offer Yield Curve Area Layout · 237
Offset · 178, 217
Open position amount · 143, 154
Open position amount (local currency) · 143, 154
Open position amount local CCY · 148, 159
Open position avg. price · 144, 155
Open position avg. yield · 144, 155
Open position avg. yield · 148, 159
Open Position NRFF · 234
Open position quantity · 143, 154
Opening Custom Workbooks · 8
Operator · 64, 84
OPICS Dictionary · 13
OPICS Dictionary Area Layout · 23
OPICS mty · 252
OPICS SYST · 253
Option type · 63, 69, 77, 375
Options · 249, 377, 432
OPXArea · 20
OPXButtonBar · 20
OPXHeadingArea · 20
OPXHeadingRange · 20
OPXHeadingWorkbook · 20
OPXInDate · 20
OPXInFmat1-68 · 20
OPXInText · 20
OPXInTextWrap · 20
OPXInTime · 22
OPXLiteralCenter · 21
OPXLiteralCenterWrap · 22
OPXLiteralDateLeft · 20
OPXLiteralLeft · 21
OPXLiteralLeftWrap · 21
OPXLiteralRight · 21
OPXLiteralRightWrap · 21
OPXOutDate · 21
OPXOutFmat1-68 · 21
OPXOutText · 21
OPXOutTextWrap · 21
OPXOutTime · 22
OPXProtected · 21
Or · 64, 85
OTC Barrier Options Pricer · 362
OTC Barrier Options Pricer Area Layout · 374
OTC Bond Option Pricer · 362
OTC Bond Option Pricer Area Layout · 369
OTC Currency Option Pricer · 362
OTC Currency Option Pricer Area Layout · 363
Other · 249
Outstanding Gap at month end · 235
Override · 305
P
P/L · 228
Paper size (default) · 18
Par rate · 220, 223
Par Rate · 330, 333, 344, 357, 360
Par value · 423, 425

Paste value · 65, 85
Pay cycle · 321
Pay/receive · 325, 340, 352
Pay/refix freq · 413
Pay/reset cycle · 335, 347
Payment amount · 67, 327, 341, 354
Payment date · 67, 327, 341, 354, 420
Payment day · 322
Payments · 96, 102, 106, 108, 127, 138, 181, 184, 191, 203, 240, 282, 286, 291
percent of equivalent exposure · 268
Points · 181, 229
Points Area Layout · 176, 214
Points/DDE · 187
Portfolio · 61, 67, 75, 101, 108, 126, 137, 170, 180, 190, 199, 207, 228, 239, 281, 290, 339, 351
Position · 228
Prem % · 366, 372
Premium · 366, 372
Premium (in points) · 376
Price · 301, 305, 414
Price (in % par) · 403
Price (in CCY) · 403
Price no. dec · 424, 426
Price rounding rule · 424, 426
Price/DDE · 99, 111, 124, 146, 157, 179, 188, 209, 225, 279, 309
Pricer · 378
Pricer - Euro Strip · 299
Pricer - Euro Strip Area Layout · 300
Pricer - Yield Curve · 299
Pricer - Yield Curve Area Layout · 310
Pricer Area Layout · 379, 397, 407
Primary yield curve · 42
Prin CCY · 411
Principal · 366, 372
Principal amount · 419
Principal pay amount · 421
Print · 114
Probability of breaching barrier · 375
Proceeds · 417
Processing results · 432
Product · 102, 108, 127, 138, 171, 181, 191, 199, 208, 228, 240, 282, 291, 313, 367, 373
Product code · 60, 74, 83, 265, 303, 401
Product type · 60, 74, 83, 102, 108, 127, 138, 171, 181, 191, 199, 208, 228, 240, 265, 282, 291, 303, 313,
367, 373
Product Type · 401
Protection · 18
Purchase/sale · 367, 373, 398
Purchase/Sale · 388
Put date · 421, 423, 425
Put price · 421, 423, 426
PV 1 basis pt. sensitivity · 120, 131
PVBP · 124, 145, 156, 417
PVBP local CCY · 145, 149, 156, 160
Q
QSQL Screen Layout · 65, 86
Quantity · 415, 417

Quote type · 48, 93, 97, 105, 110, 118, 121, 129, 133, 163, 169, 173, 174, 177, 193, 197, 201, 204, 215, 216,
219, 222, 271, 276, 277, 284, 287, 311, 315, 321, 328, 331, 336, 343, 348, 355, 358, 380, 381, 383, 385,
391, 393, 400, 404, 415, 427
R
Range name · 88
Rate · 171, 187, 199, 303, 305, 312, 366, 408, 409
Rate code · 63, 69, 77, 304, 314, 322, 327, 337, 341, 349, 354, 401, 412
Rate no. dec. · 424, 426
Rate refix date · 326, 340, 353, 419
Rate revision day · 322, 400
Rate rounding rule · 424, 426
Rate type · 220, 223, 329, 332, 344, 356, 359
Rate/price/DDE · 186, 408
Rates · 114
Rates Area Layout · 99, 111, 145, 156, 179, 209, 224, 279, 368, 387, 395
Rates Through Points · 378
Rates Through Points Area Layout · 390
Rates Through Pts. · 396
Rating agency · 81, 424
Rating agency 1 · 141, 152, 262
Rating agency 2 · 141, 152, 262
Rating CCY · 82
Rating term · 82
Rebate · 376
Recalculate · 139, 317, 396
Receipts · 95, 102, 106, 108, 127, 138, 181, 184, 191, 203, 240, 282, 286, 291
Redemption amount · 423, 425
Reference Data · 428
Reference Data Area Layout · 422
Refresh cash flow · 95, 119, 130, 141, 152, 164, 173, 183, 194, 202, 211, 232, 245, 261, 273, 285
Refresh sett. flow · 106
Regenerate Curve · 219, 222, 329, 332, 344, 356, 359
Remaining Life · 144, 155
Report CCY · 174, 261
Report heading · 293
Report name · 293
Repos · 249
Reset cycle · 322, 400
Revalue · 361, 406
Rho · 371
Rho (domestic) · 366
Rho (foreign) · 366
Risk adjusted flow · 175
Risk weighted exposure · 263
Risk weighting · 262
Run Analysis · 114
Run Query · 88
S
Save · 89
Saving a Custom Workbook · 8
Scenario id · 40, 42
Scenario/curve id · 49
Schedules Area Layout · 325, 339, 352, 402, 418
Sec id · 61, 67, 75, 240
Security · 4
Security id · 102, 124, 127, 138, 142, 153, 171, 191, 199, 208, 282, 291, 372, 410, 422

Security Id · 108
Security id/Account no · 265
Select Flows · 114
Selection · 89
Sensitivity · 166, 167, 286, 291
Sensitivity of net cash flows · 274
Sensitivity of NPV in local currency · 275
Sensitivity of NPV of cash flows · 274
Sensitivity to 1% rate change · 234
Sett. Account · 108
Sett. flow file name · 105
Sett. Means · 108
Settings · 13, 56
Settings Area Layout · 17, 70
Settle date · 62, 76
Settlement account · 75
Settlement date · 68, 364, 370, 411
Settlement flow file name · 73
Settlement Flow Selection Area Layout · 73
Settlement means · 75
Sheet name · 29
Shift Scenarios · 38
Shift seq · 42, 45, 48, 93, 97, 104, 118, 121, 129, 133, 163, 168, 173, 174, 176, 177, 193, 197, 201, 204, 215,
216, 218, 222, 231, 237, 271, 275, 277, 284, 287, 311, 315, 321, 328, 331, 336, 343, 348, 355, 358, 380,
381, 383, 385, 391, 393, 399, 404, 415, 427
Shift seq. · 109, 236
Shift type · 42, 45, 48
Shift vectors · 40
Short amount · 143, 154
Short position amount (local currency) · 143, 154
Short position avg. price · 143, 154
Short position avg. yield · 143, 154
Short position avg. yield · 148, 159
Short quantity · 143, 154
SIC · 81, 264, 267
SIC of issuer · 142, 148, 153, 159
Signing Off Analytics · 10
Simple yield · 417
Simulated Flows · 88
Simulated Flows Area Layout · 66
Solve for · 320, 335
Source rate CCY · 183
Source rates · 186
Spot · 307, 365, 368, 375, 387, 395
Spot date · 49, 95, 106, 119, 131, 165, 183, 194, 202, 212, 232, 273, 285
Spot days · 98, 110, 122, 134, 169, 197, 205, 219, 222, 236, 238, 276, 278, 288, 316, 329, 332, 343, 356,
359, 384, 386, 394, 405, 428
Spot rate · 327, 342, 354, 389
Spot risk · 175
Spot terms · 327, 342, 354
Spot/Fwd. points · 178, 217, 382, 389, 392
Spread · 195, 220, 223, 326, 330, 333, 341, 344, 353, 357, 360
Spread rate · 323, 337, 349, 413, 420
Stack equivalent · 132
Standard Interest Rate Swap · 318
Standard Interest Rate Swap Area Layout · 334
Standard Workbook Sections · 5

Start · 302, 312
Start date · 83, 112, 225, 265, 302, 304, 307, 308, 314, 320, 335, 347, 398, 402
Start Tenor · 302
Status · 31
Strike · 365, 375
Strike price · 371
Strike rate · 403
Strip bucketing · 131
Strip equivalent · 132
Stub rate · 308
Style · 364, 370
Styles · 13
Styles Area Layout · 19
Summarize by · 147, 158, 266
Summarize by column heading · 267
Summary Area Layout · 146, 157, 266
Swap type · 338, 351
Swap value · 320, 335, 347
Swaps · 249
Systemname · 33
T
Tenor · 95, 101, 106, 119, 126, 166, 170, 175, 177, 180, 184, 190, 194, 198, 203, 207, 212, 216, 227, 233,
239, 248, 274, 281, 286, 290, 301, 311, 381, 392
Tenor addition · 113, 226
Tenor date · 49, 95, 101, 106, 119, 126, 166, 170, 175, 177, 180, 184, 190, 195, 198, 203, 207, 212, 216,
227, 233, 239, 248, 274, 281, 286, 290, 381, 392
Tenor day · 113, 226
Tenor display · 113, 226
Tenor interval · 113, 226
Tenor Ladder · 114, 229
Tenor shift · 286
Tenors · 40
Term · 301, 302, 312
Term/End date · 112, 226
Terms · 174, 177, 179, 186, 188, 216, 324, 350, 368, 381, 387, 391, 395
Text Box · 9
Theta · 365, 371
Tick size · 306
Tick value · 136, 306
Time · 46
Timers · 13
Timers Area Layout · 30
To Recalculate Broken Dated FRA Rates · 317
To Recalculate FRA Rates · 317
To Recalculate Futures Dated FRA Rates · 317
Total liquidity rank · 149, 160
Total Position NRFF · 234
Total sensitivity · 120, 132
Totals · 95, 165, 184, 202, 233, 248, 249, 273, 285
Trade date · 301, 311, 411
Trader · 60, 67, 74, 102, 108, 127, 137, 171, 180, 190, 199, 208, 228, 240, 282, 291
Type · 402
U
Uncorrelated Risk Confidence interval · 247
Uncorrelated Risk VaR term · 246
Undo paste · 65, 85

Unhedged CCY position · 174
Unrealized Gain/Loss · 144, 155
Unrealized Gain/Loss (local currency) · 144, 149, 155, 160
User id · 432
Userid · 32
V
Value · 361, 405, 418, 429
Value date · 61, 68, 75, 370, 389, 412, 423
Values · 64, 85
Values between · 148, 159, 267
VaR dataset name · 245, 248, 254, 256, 257
Vega · 365, 371
Version · 33
Volatility · 364, 370, 375, 398, 403
Volatility File path/name · 255, 256, 258
W
Workbook · 29
Workbook name · 29, 31
Workbook Objects · 8
Working in Multiple Workbooks · 7
Worksheet name · 31
Y
YCIQ Area Layout · 47
YCPX Area Layout · 44
YCSM Area Layout · 41
YCSS Area Layout · 39
Yield · 415
Yield calc. date · 165
Yield curve · 284, 321, 336, 348
Yield Curve · 114
Yield Curve - Pay Leg Area Layout · 328, 355
Yield Curve - Receive Leg Area Layout · 331, 358
Yield Curve Area Layout · 97, 109, 121, 133, 168, 196, 204, 275, 287, 315, 342, 393, 404, 427
Yield curve CCY · 94, 105, 118, 130, 164, 193, 202, 231, 272, 284
Yield curve id · 45, 48, 93, 97, 104, 109, 118, 121, 129, 133, 163, 168, 173, 174, 176, 177, 192, 197, 201,
204, 215, 218, 221, 231, 236, 237, 271, 275, 277, 287, 310, 315, 328, 331, 343, 355, 358, 380, 383, 385,
391, 393, 399, 404, 415, 427
Yield Curve Inquiry · 38
Yield Curve Pay · 361
Yield Curve Rec. · 361
Yield curve sensitivity · 235
Yield to call · 416
Yield to maturity · 416
Yield to put · 417
Z
Zero coupon · 111
Zero coupon rate · 49, 98, 122, 134, 169, 197, 205, 236, 238, 276, 278, 288, 316, 384, 386, 394, 405, 428
Zero coupon_01 · 98, 111, 122, 134, 169, 198, 205, 237, 238, 276, 278, 288, 316, 384, 386, 394, 405, 428

Details Area Layout · 126
Rates Area Layout · 188
Yield curve · 50

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OPICS

Analytics Chapter 1 Introduction • 1

2 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 3

4 Chapter 1 Introduction Analytics

Standard Workbook Sections

Analytics Chapter 1 Introduction • 5

6 Chapter 1 Introduction Analytics

Common navigation buttons and their functions are:

Working in Multiple Workbooks

Analytics Chapter 1 Introduction • 7

Opening Custom Workbooks

8 Chapter 1 Introduction Analytics

Ctrl + F1 Function Key

Ctrl + F2 Function Key

Analytics Chapter 1 Introduction • 9

Signing Off Analytics

10 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 11

12 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 13

Selecting OPXMAIN Worksheets

14 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 15

16 Chapter 1 Introduction Analytics

Settings Area Ranges

Analytics Chapter 1 Introduction • 17

Minimum timer (in sec.)

Paper size (default)

18 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 19

20 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 21

22 Chapter 1 Introduction Analytics

Starting OPICS Dictionary

OPICS Dictionary Area

OPICS Dictionary Area Ranges

Analytics Chapter 1 Introduction • 23

24 Chapter 1 Introduction Analytics

Client Dictionary Area Layout

Client Dictionary Area Ranges

Analytics Chapter 1 Introduction • 25

Combos Area Ranges

26 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 27

Navigator Area Ranges

28 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 29

Timers Area Ranges

Interval (in sec.)

30 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 31

Configuration Area Display Ranges

32 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 33

34 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 35

Define Define Yield

Contributing Yield Curve

YCRT YCRS YCTN

Closing Rates Yield Curve Yield Curve

36 Chapter 1 Introduction Analytics

Analytics Chapter 1 Introduction • 37