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HELP PAGE SWAP MANAGER (SWPM) Enter SWPM
, then press
Bloomberg's commitment to reducing our environmental impact starts with you. Please help us eliminate unnecessary printing by reading this document online. This document was prepared for the exclusive use of Yunsong Huang and may not be redistributed. Date: 01/12/2015
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CONTENTS
WHAT IS SWAP MANAGER (SWPM)? Control Area Main Tab SWPM Tabs
05 05 06
USING SWPM Pricing a Vanilla Swap Plain Vanilla Template Example: Solving for Spread Example: Solving for Price Backdating the Valuation Managing Deals Saving Deals Loading Saved Deals Editing Deals Sending Deals Sharing Deals Booking Deals Deleting Deals Bulk-Deleting Deals Recovering Sessions Analyzing Curves Customizing Curves Cashflows and Resets Cashflows Analyzing Cashflows Resets Managing Resets Configuring Leg Details Single Leg Details Multi-Leg Details Scenarios and Risk Scenario Analyzing Scenarios Charting Results Risk Managing Risk Matrix Matrix Pricing Calculating CVA CVA Calculating CVA
10 10 10 12 15 16 18 19 20 20 21 22 23 25 25 25 26 28 29 29 31 33 33 34 36 37 39 39 40 42 43 45 46 47 48 49 50
Calculating DVA Calculating Bilateral CVA Calculating Margin LCH Initial Margin CME Initial Margin Incremental Margin Settings Setting a Source Curve Applying Dual-Curve Stripping Choosing Wakeup Settings Customizing Templates Choosing Bid/Ask Settings Shortcuts
51 52 53 53 54 55 57 57 58 58 61 62 63
SUPPORTED STRUCTURES Vanilla Cross-Currency Mark-to-Market Currency Swap Amortizing FRA Non-Vanilla IMM Muni Swap Arrears Basis Swap CMS OIS Zero Coupon Swap Total Return Swap Basket Total Return iBoxx Total Return Swap Property Derivative Asset Swap Quanto Swap Dual Digital Swap Three Zone Digital Swap Multi-Leg Swap Asian Swap Inflation Customizing CPI Projections Inflation Zero Coupon Swap Inflation YoY Swap
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CONTENTS
Inflation YoY Cap/Floor Inflation LPI Swap Inflation Bond Swap Inflation Real Rate Swap Exotics Fixed Coupon Range Accrual Floater Range Accrual Fixed In/Out Range Accrual CMS Spread Range Accrual Power Reversal Dual Currency Target Accrual Redemption Note Fixed-Float Snowball Snowbear Thunderball Knock In/Out Nikkei Linked Notes Options Swaption Cancellable Swap Cap/Floor/Collar/Straddle Digital Cap/Floor Asian Cap/Floor Cross-Currency Swaption Cross-Currency Cancellable Swap Capped Floater CMS Spread Capped Floater Cap/Floor Spread Swaption Straddle Swaption Strangle Swaption Risk Reversal Swaption Call Spread Swaption Calendar Spread Emerging Markets Non-Deliverable Cross Crncy Swap/IRS Pre - DI Onshore Brazilian Swap CDI Onshore Swaption Cupom Cambial Swap USD Fixed vs. %CDI Swap USD Libor vs. %CDI Swap CLP Fixed Float Swap
122 124 127 130 133 133 136 138 141 141 144 146 148 150 152 154 156 159 159 165 170 173 173 175 177 179 181 183 185 187 189 191 192 194 194 197 199 202 204 206 208
CLF CLP X-Crncy Fixed Float Swap
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CALCULATIONS Cashflows Payment Dates Day Count Risk Analytics Deal Risk Greek Methodologies Delta Hedge Models Black-Scholes Hull & White 1 Factor (HW1F) Calibration Procedure Diagonal Swaptions Diag. Swaptions with Constant κ One-Factor LGM Model Two-Factor LGM Model Popular Calibration Strategies Brazilian Swaps Brazilian Swap Types Cupom Cambial Curves Deal-Specific Calculations CMS: Convexity Adjustment Nikkei Linked Notes: Volatility Total Return Swap Swaption Settlement Methods
214 214 214 214 215 215 215 216 216 216 216 217 217 217 217 217 218 218 218 218 219 219 220 221 222
DOCUMENTS AND VIDEOS Volatility Strategies Counterparty Valuation Methodologies and Spreadsheets Hull-White Models SWPM Tutorials
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EXCEL INTEGRATION Importing/Exporting Importing Data from Excel Uploading Deals Exporting to Excel Exporting to FpML
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CONTENTS
API Formulas Formula Construction Deal IDs Finding Data Fields Example: Cashflow Schedule Example: Historical Net Payments Example: Interest Rate Curves
227 227 228 228 229 229 230
LEARN MORE SWPM Tabs Additional Tabs Pricing a Swap Choosing a Template Adding a Leg Copying a Leg Deleting a Leg Scaling Reset Rates Managing Deals Editing Deal Properties Trading Tools Calculating Margin LCH Margin Simulator Analyzing Curves Importing Curve Rates Cashflows and Resets Charting Cashflows Configuring Leg Details Amortization Schedule Amortization Methods Fees Accrual Dates Compounding Scenarios and Risk Hedging Risk Single-Stock Total Return Swap Introduction TRS Tabs Projection-Based Model (Equity) Accrual-Based Model (Equity) Index Total Return Swap Index TRS Bond Total Return Swap
231 231 231 232 232 233 235 235 236 237 237 238 239 239 241 241 241 242 243 243 245 248 249 251 252 252 252 253 253 260 270 273 273 275
Introduction Accrual-Based Model (Bond) Projection-Based Model (Bond) Swaption/Cancellable Swap Defining Your View Sample Deal Terms (Swaption) Details Curves Cashflows Resets Scenario Risk Matrix Amortization Wizard
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DEFINITIONS
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WHAT IS SWAP MANAGER (SWPM)? SWPM allows you to price over-the-counter derivative contracts, so you can accurately quantify your market exposures for a wide range of vanilla and exotic interest-rate swaps, interest-rate options, swaptions, and interest-rate and hybrid structured notes. Using an exhaustive list of pre-trade analytical tools, you can analyze and update curves and cashflows, as well as perform risk and scenario analyses for the entire deal or individual legs. SWPM is also the platform for creating custom deals that you can add to the Multi-Asset Risk System (MARS) function. Note: For more information about MARS, see MARS .
CONTROL AREA SWPM is organized into a series of tabs that allow you to analyze and price listed and over-the-counter interest-rate swaps from different perspectives. You can use the tools in the control area at the top of the screen to navigate between the tabs, analyze deals, set up scenarios, manage risk, generate trade tickets, and configure your default settings.
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Toolbar: The toolbar allows you to select from a wide variety of swaps and structures that you can analyze and price. You can also hedge your risk, select and customize your views, configure your default settings, and access the Swap Uploader, which allows you to upload multiple deals at once and store them on Bloomberg.
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Tabs: The tabs in SWPM allow you to perform deep analyses of various components of your deals, including curve shifts, cashflows, resets, key rate risk, counterparty valuations, and "what-if?" scenarios.
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Buttons: The buttons display specific options that allow you to quickly load, save, and share deals; generate trade tickets; and display cashflow charts and tables. Depending on the deal-type and tab you select, buttons may or may not appear.
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Setup Options: The drop-down fields allow you to set up the analysis for the current tab. The fields in the setup options area are the same across all tabs.
MAIN TAB When you launch SWPM, the Main tab appears with a general overview of the currently loaded deal. The Main tab is organized into four sections that allow you to structure and price your deal. You can customize the deal type, the curves used to price the deal, and the variable you want to solve for (e.g., fixed coupon or spread).
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Note: The options available from the Main tab depend on the structure you have loaded. The image above illustrates the Main tab for plain vanilla swaps. For information about other structures, see Supported Structures. •
Leg 1/Leg 2: Allows you to configure the fixed and floating legs of the deal, including the market side, notional amount, currency, effective date, and maturity date.
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Curve Data: Allows you to update the curves SWPM uses to discount cashflows and project forward pricing when pricing the swap.
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Valuation: Allows you to see the results of your analysis and choose the variable that SWPM solves for.
For a complete breakdown of the Main tab, see Pricing a Vanilla Swap.
SWPM TABS The SWPM tabs provide sophisticated analytical tools that allow you to price interest-rate swap deals and other structures. Depending on the deal type, the tabs may vary. Note: This section describes the tabs that appear for a plain vanilla swap in SWPM. For information about additional tabs that appear for different instruments, see Additional Tabs. In addition to the Main Tab, described above, the following tabs appear in SWPM for a plain vanilla swap: •
Curves: Allows you to visualize and export to Excel the par curve used to generate reset rates or the zero coupon curve, whose nominal rates are used to discount cashflows. The Curves tab allows you to display and edit curve information, 1
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including Curve# , Curve Date , Tenor , Interpolation Method , Shift , and Spread , so you can determine where the
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The curve number that corresponds to the curve data that appear. The curve data appear for the curve number you select. Curve numbers are compiled from the discount curves, forecast curves, and FX basis curves used in the swap deal.
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market is currently pricing a security at different points in the future. The curve data is plotted on a chart corresponding to your customized shifts and selected interpolation method, which enables you to identify historical pricing trends by seeing how the shape of the curve has changed. For more information, see Analyzing Curves. •
Cashflow: Allows you to display and export to Excel the present value of the cashflow amounts for each leg or on a net 7
8
basis, including Zero Rate , discount rates, Equivalent Coupon Rate , and historical cash flows, so you can better understand the stream of cashflows behind a security. You can also customize the analysis with your own spot rates for present-valuing cashflows. For more information, see Cashflows. •
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Details: Displays detailed information for each leg, including Cashflow frequency, First Payment (business day adjustment), Roll Convention
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, Calendar
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, Amort Dates
, Bus Day Adj
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(amortization dates), and fee amounts, so you
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The date of the curve used in calculations and payments. This can be a historical date or today's date. If the date is historical, then historical data from that date for the curve selected (which can be a discount, forecast, or basis curve) is applied in the valuation. If the date is today, then the most recent curve is used. The tenor of the reference rate. If the tenor is greater than one year, the underlying becomes a swap rate, the deal becomes a CMS deal, and convexity adjustment applies. The tenor should correspond to a valid index on the curve. The methodology applied to interpolate between points on the curve.
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The shift (in basis points) applied to the curve.
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The number of basis points over/under the floating rate index that the floating rate payer is obligated to pay.
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Alternatively, the spread amount added to the floater index in the floating rate reset. The latest floating rate = Latest Index x Leverage + Spread. The interest rate earned on a bond or swap with no coupon payments (zero coupon), which is presented based on a specific day-count convention and compound frequency. The equivalent coupon rate (for the floating leg) based on the reset rates.
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The cashflow projections for individual legs and the entire deal.
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The nominal date on which the first coupon payment is scheduled. It appears as a nominal date and should be entered as a nominal date without business adjustment. For more information, see Payment Dates. Appears on the Details tab. The method used to adjust cashflow dates to business days when necessary. The drop-down menu displays the following choices: — No Adjustment: There is no adjustment to a business day. — Ahead (Following): If the date is not a business day, then the date is adjusted forward to the next business day. — Back (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding business day. — Modified (Following): If the date is not a business day, then the date is adjusted forward to the next business day, but stays in the current month.
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— Modified (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding business day but stays in the current month. For example, if March 30, 2013 is a Saturday, "Ahead (Following)" adjusts the date to April 1, 2013, but "Modified Preceding" uses a date of March 29, 2013. The method to use in order to generate cashflow dates. For example, "Backward" starts from the Next To Last Payment Date, then generates periodic dates backwards based on payment frequency.
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can analyze and update specific components of the deal. Additionally, the Details tab allows you to import an amortization schedule from Excel. For more information, see Configuring Leg Details. •
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Resets: Allows you to display the swap deal's Reset Rate on every Reset Date until the Maturity Date , so you can see how frequently the floating coupon is reset to the market level. The reset rates feed directly from the forward curve that you set in the curve data section on SWPM's Main tab. For information about how to customize the forward curve that feeds the reset rates into SWPM, see ICVS . For more information, see Resets.
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Risk: Allows you to display the key rate risk and DV01 data for each tenor of the swap deal in a table and on a chart, so you can see your underlying interest rate exposure. You can further analyze interest rate sensitivity by adjusting the Shift 19
(bp)
(shift in basis points) for each tenor.
For more information, see Risk. •
Scenario: Allows you to perform one or more scenario analyses, so you can see potential changes in market conditions and their effects on a deal. You can launch the Scenario Manager (SHOC) function inside SWPM to configure multiple scenarios based on price, interest rate, credit, and swap shifts, then display the results in a table and display cashflows for individual scenarios. — For more information, see Scenario. — For more information about SHOC, see SHOC .
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CVA: Allows you to display the CVA and DVA for over-the-counter derivative contracts, so you can see the market value of the default risk embedded in the deal. You can analyze such data inputs as credit curves, spreads, interest rate volatilities, and CDS recovery rates, then display the results on a chart. For more information, see CVA. 13
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The aggregate calendar of up to three countries that is used to generate actual reset and payment dates. The Calendar field takes into consideration holidays in the selected countries to ensure that contract payment and reset dates do not fall on a holiday or weekend. The scheduled amortization dates. Amort dates may be different from the payment/cashflow dates. Amort amounts that fall between two payment dates are accumulated into the ending amort payment date for the percent of notional and amort amount, in thousands. The amount specified as the latest between two payment dates (inclusive on ending payment date) is used for the ending payment date for the balance. The reset rates for the corresponding accrual periods. Both historical and implied forward reset rates appear. You can change historical reset rates, which default to rates on the historical curve, by entering new values into the corresponding highlighted fields. The implied forward reset rates are determined by the forward curve and cannot be changed. The date on which the rate is reset to apply to the next accrual period.
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The termination date of the deal. This appears as a nominal date and should be entered as a nominal date without business adjustment. The sensitivity to the curve shift (downPrincipal - upPrincipal)/(2xShiftinPercent).
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The number of basis points each tenor has been shifted.
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The counterparty valuation adjustment amount. CVA represents the risk that your counterparty will default.
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The default valuation adjustment. DVA represents the risk (assumed by your counterparty) that you will default.
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Matrix: Allows you to display a grid of similar structures, so you can conduct simulations and create custom "what if?" 22
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analyses of Market Value , Premium , Notional , Volatility , and other measures for the entire deal and/or individual legs. You can create a matrix with anchor values in both the x-axis and y-axis. For more information, see Matrix.
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The sum of the present values of the leg cashflows.
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1.) In the Calculate drop-down menu, calculates the market value based on your inputs. The Market Value appears in the Valuation section. 2.) The premium, calculated as (Market Value / Notional) x 100.00. 3.) In the Solver drop-down menu, calculates the net present value (NPV) based on your inputs. The NPV appears in the Results section. 1.) In the Calculate drop-down menu, calculates a notional amount based on your DV01 input. The Notional appears in the Leg 1/Leg 2 sections. 2.) Applies to an individual swap leg. The notional value of the swap leg. The relative rate at which the price of the deal moves up and down, found by calculating the annualized standard deviation of the daily change in price.
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USING SWPM The following topics explain how to price swap deals in SWPM. For a description of the function, see What Is Swap Manager (SWPM)?.
PRICING A VANILLA SWAP A plain vanilla interest rate swap is an agreement between two counterparties to exchange cash flows (fixed vs. float) in the same currency. The payments are made during the life of the swap in the frequency that is pre-established by the counterparties. The following topics describe how to use SWPM's default template to price plain vanilla swaps. For information about pricing another structure, see Supported Structures. PLAIN VANILLA TEMPLATE SWPM has a customizable user interface that allows you to choose the type of deal you want to structure, the curves used to price your swap, and the variable you want to solve for. The plain vanilla template appears by default when you access SWPM. Note: You can use shortcuts (e.g., SWPM EUR or SWPM JPY ) to access the plain vanilla swap template in a different currency. For more information about shortcuts, see Shortcuts. SWPM's plain vanilla swap template is organized into nine tabs that allow you to set up and analyze the swap. You can structure and price your swap on the Main tab of the template, which is divided into four sections. You can input details of the swap in the Leg 1 and Leg 2 sections, choose curves in curve data section, and then evaluate the swap value and risk figures in the valuation section.
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Control Area: Allows you to navigate between tabs, analyze deals, set up scenarios, manage risk, generate trade tickets, and configure your default settings. For more information, see Control Area.
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Leg 1: Allows you to configure your settings for the fixed leg of the deal. You can enter, for example, the market side, notional amount, currency, effective date, maturity, and fixed coupon for the deal. You can backdate the swap to a past date or enter a future date to build a forward-starting swap (FSS). At the bottom of the section, the market value, accrued interest since the last leg cashflow date, premium, and DV01 for the fixed leg appear. For information about a field, position your cursor over it or see Definitions. Note: If you currently have a swap loaded on your terminal, SWPM displays the terms of the currently loaded deal. By default, the fields are not editable. For information about editing a saved swap, see Editing Deals.
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Leg 2: Allows you to configure your settings for the floating leg of the deal. You can enter the market side, the notional amount (SWPM supports asymmetric notionals), and the index used to calculate the floating rate, along with the reset frequency, pay frequency, tenor, and other details. At the bottom of the section, the market value, accrued interest since the last leg cashflow date, premium, and DV01 for the floating leg appear. — For information about a field, position your cursor over it or see Definitions. — For information about how to add or copy a leg, see Adding a Leg and Copying a Leg. — For information about scaling reset rates, see Scaling Reset Rates. — For information about editing leg characteristics, such as date generation, amortization, and payoff information, see Configuring Leg Details.
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Curve Data: Allows you to update the curves that SWPM uses to discount cashflows and project forward pricing when calculating the Market Value of the swap. SWPM calculates the market value using the selected curve at the market close 26
of the day indicated in the Curve Date
27
field. The Valuation
date is the date at which future cashflows are discounted.
Note: By default, SWPM prices swaps as of today, i.e., the default curve date is the current date and the valuation date is T+2. To price swaps as of a historical date, you must backdate both the Curve Date and Valuation fields. For example, to mark to market at quarter's end, you can enter the historical quarter-end date in both the Curve Date and Valuation fields. For more information, see Backdating the Valuation. — For information about a field, position your cursor over it or see Definitions. — For information about how to update the curves that appear by default, see Setting a Source Curve. — For information about how to visualize, customize, and apply shifts to the selected curve, see Analyzing Curves. •
Valuation: Allows you to select the variable you want to solve for and evaluate the swap. You can calculate the market value of the deal (the sum of the present values of the receive leg minus the sum of the present values of the pay leg), or you can customize the valuation by choosing a variable from the Calculate drop-down menu. You can solve for the following 28
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variables: Premium , Notional , Leg1: Coupon , Leg2: Spread , Leg2: Leverage For information about a field, position your cursor over it or see Definitions.
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, Par Shift...
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, Z-Spread...
.
The date of the curve used in calculations and payments. This can be a historical date or today's date. If the date is historical, then historical data from that date for the curve selected (which can be a discount, forecast, or basis curve) is applied in the valuation. If the date is today, then the most recent curve is used. The date on which the transaction occurs. For example, in the U.S., the valuation date is T + 2 days. In Great Britain, it is T + 0 days. 1.) In the Calculate drop-down menu, calculates the market value based on your inputs. The Market Value appears in the Valuation section. 2.) The premium, calculated as (Market Value / Notional) x 100.00. 3.) In the Solver drop-down menu, calculates the net present value (NPV) based on your inputs. The NPV appears in the Results section.
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You can further analyze vanilla swaps by selecting another tab from the control area. Additionally, you can save your deal by selecting Actions > Save from the toolbar. Once you have saved the deal, you can access it from other Bloomberg functions or through Bloomberg's API by entering the deal number followed by the key. For example, this allows you to download the cashflow schedule for an individual leg to Microsoft® Excel with Bloomberg's API. • For information about the other tabs that appear on the template, see SWPM Tabs. • For more information about saving deals, see Saving Deals. • For examples of using the template to price a plain vanilla swap, see Example: Solving for Spread and Example: Solving for Price. • For information about Bloomberg's API, see DAPI . EXAMPLE: SOLVING FOR SPREAD This topic provides a practical example of how to calculate the spread above USD 3M Libor on the floating leg side of a plain vanilla swap deal with a premium of 0. The swap deal in this example is a five-year USD vanilla fixed-to-float swap with a USD fixed coupon payment of 2% and a floating rate based on USD 3M Libor plus a spread. For information about pricing other swap types, see Choosing a Template. Steps: 1. In the Leg 1 section, configure your settings for the fixed-leg side of the deal.
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Market Side: Receive Fixed
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1.) In the Calculate drop-down menu, calculates a notional amount based on your DV01 input. The Notional appears in the Leg 1/Leg 2 sections. 2.) Applies to an individual swap leg. The notional value of the swap leg. Calculates the fixed coupon based on your Premium input. The Coupon appears in the Leg 1 section.
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Calculates the floating leg spread based on your Premium input. The Spread appears in the Leg 2 section.
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Calculates the floating leg leverage based on your Premium input. The Leverage appears in the Leg 2 section.
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Displays the Par Shift Quick Calculator, a scenario analysis tool that allows you to analyze the relationship between the discount curve and the premium. The Par Shift Quick Calculator presumes that cashflows are unchanged and shifts only the discount curve. Par shift is the shift on the par curve (not stripped). Displays the Z-Spread Quick Calculator, a scenario analysis tool that allows you to analyze the relationship between the discount curve and the premium. The Z-Spread Quick Calculator presumes that cashflows are unchanged and shifts only the discount curve. The Z-Spread is the spread of the stripped, zero-coupon curve that makes the multi-leg deal premium match the value specified in the Premium field.
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Notional: 10 MM
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Effective: Today's date (for example, 07/19/2013)
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Maturity: Five years forward (for example, 07/19/2018)
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Coupon: 2%
• Day Count: 30I/360 For definitions of the fields that appear, see Definitions. 2. In the Leg 2 section, configure your settings for the floating-leg side of the deal.
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Market Side: Pay Float
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Index: US0003M
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Reset Frequency: Quarterly
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Pay Frequency: Quarterly
• Day Count: ACT/360 For definitions of the fields that appear, see Definitions. 3. In the curve data section, choose the curves to be used for discounting and projecting forward pricing when pricing the swap.
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In this example, use the default selections: 35
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Dscnt Curve: 42 USD OIS Swaps
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Fwd Curve: 23 USD Swaps (30/360,S/A)
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4. From the Calculate drop-down in the Valuation section, choose the variable that you want to solve for: Leg2: Spread37 .
The fields required to solve for the selected variable (in this case thePremium field), activate. 5. In the Premium field, enter the premium for your deal: 0 .
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This curve represents USD overnight index swaps. Payments are based on a fixed-rate versus a floating-rate overnight index with the fixed-rate portion on an annual, Actual/360 day-count basis and the floating-rate on an annual, Actual/360 day-count basis from the FED Funds Effective Rate (FEDL01 ). Pricing is a best bid/ask composite from latest quotes and the sources include both banks and brokers. This curve represents US dollar-denominated interest-rate swaps. The short-end of the curve are cash rates with a day count of Actual/360. Payments on the long end of the curve are based on a fixed-rate versus a floating-rate with the fixed-rate portion on a semi-annual, 30/360 day-count basis and the floating-rate on a quarterly, Actual/360 day-count basis from the BBA LIBOR USD three-month rate (US0003M ). Pricing for long-end terms are a best bid/ask composite from latest quotes and the sources include both banks and brokers. Calculates the floating leg spread based on your Premium input. The Spread appears in the Leg 2 section.
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6. Press . In the Leg 2 section, the Spread updates based on your inputs.
7. If you want to save your swap, select Actions > Save from the toolbar. For more information, see Saving Deals. EXAMPLE: SOLVING FOR PRICE This topic provides a practical example of how to calculate the market value of a plain vanilla swap deal with a premium of 0. The swap deal in this example is a five-year USD vanilla fixed-to-float swap with a USD fixed coupon payment of 2% and a floating rate based on USD 3M LIBOR plus a spread. For information about pricing other swap types, see Choosing a Template. Steps: 1. In the Leg 1, Leg 2, and curve data sections, configure your settings for the deal by following Steps 1 - 3 in Example: Solving for Spread.
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2. From the Calculate drop-down in the Valuation section, choose the variable that you want to solve for (Premium), then press .
The Market Value appears in the Valuation section at the bottom of the screen.
3. If you want to save your swap, select Actions > Save from the toolbar. For more information, see Saving Deals. BACKDATING THE VALUATION You can use SWPM to "mark to market" swap deals using historical curves for a backdated evaluation. To mark to market a swap deal at a specific date in the past: 1. In the Leg 1 section, configure your settings for the fixed-leg side of the deal.
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For definitions of the fields that appear, see Definitions. 2. In the Leg 2 section, configure your settings for the floating-leg side of the deal.
For definitions of the fields that appear, see Definitions. 3. In the curve data section, choose the curves to be used for discounting and projecting forward pricing when pricing the swap.
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4. In the Curve Date field, enter the historical curve date38 , i.e., the date from which to pull historical curve values.
5. In the Valuation field, enter the date on which the transaction occurred.
6. Press . The Market Value appears in the Valuation section at the bottom of the screen.
The Market Value is calculated using the selected curve at the market close of the day indicated in Curve field. Future cash flows are discounted at the date indicated in the Valuation field. 7. If you want to save your swap, select Actions > Save from the toolbar. For more information, see Saving Deals.
MANAGING DEALS SWPM allows you to create deals, save them for future use, and share them with other BLOOMBERG PROFESSIONAL® service users. 38
The date of the curve used in calculations and payments. This can be a historical date or today's date. If the date is historical, then historical data from that date for the curve selected (which can be a discount, forecast, or basis curve) is applied in the valuation. If the date is today, then the most recent curve is used.
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The following topics explain how to save deals, recover data lost during a recent session, and manage saved deals, including how to add deals to a MARS portfolio, as well as load, edit, and delete deals. Additionally, this section includes topics that explain how to send swap deal information to and share swap deals with (i.e., grant access privileges to) other Bloomberg users. SAVING DEALS Once you have priced a swap, you can save the deal so you can access the deal from other Bloomberg functions or through Bloomberg's API by entering the deal number followed by the key. Steps: 1. Follow the steps in Pricing a Vanilla Swap to create your deal. 2. From the toolbar, select Actions > Save. The Save Deal window appears. Note: If you have modified your default settings, the Save Deal window may not appear. For more information, see Choosing Wakeup Settings. 3. Specify the OTC Ticker39 , Counterparty40 and Custom ID41 that identify your deal. 4. Specify privileging for your deal by updating the following: User/Firm Sharing42 , SPDL Sharing43 , Folder44 . 5. If you want to add notes, enter them in the Notes field. 6. If you want to add the deal to a portfolio, select Add to Portfolio, then specify: Portfolio Name45 , Buy46 , Cost47 . 7. Click the Save button. Your deal ID appears at the top right of the Swap Manager screen. You can access saved deals by entering the deal number followed by the key. 48
Note: SWPM generates unique CUSIP codes for the swap, including one ID for the entire deal and one for each leg. You can use a Leg ID to access information about an individual leg. For example, you can download the cashflow schedule for a leg to Microsoft® Excel with Bloomberg's API. For more information, see Example: Cashflow Schedule and DAPI .
39
The ticker symbol used for the over-the-counter security.
40
The name of the counterparty to the swap contract.
41
Allows you to enter a custom identifier for the swap leg or deal.
42
Allows you to configure your firm's access to your deal.
43 44
Allows you to share via MSG the swap with groups created in the Speed Dial function (SPDL). For more information, see Choosing Wakeup Settings and SPDL . Allows you to organize saved deals into folders.
45
Allows you to select the portfolio to which you want to book your deal.
46
The buy, or bid, side of the trade.
47
The cost or premium for the deal.
48
The Committee on Uniform Securities Identification Procedures number assigned to U.S. and Canadian companies.
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LOADING SAVED DEALS Your saved deals are stored in the Interest Rate Derivatives List (IRDL) function, which you can access from SWPM. To load a saved deal from SWPM: 1. From the control area, click the gray Load button.
IRDL appears with a list of your saved swaps. For more information about IRDL, see IRDL . 2. Click the swap you want to load. The swap loads on the terminal. Note: You can also access saved deals from the command line by entering the deal ID followed by the key. For information about how to edit a saved deal, see Editing Deals. EDITING DEALS To edit a saved deal: 1. Follow the steps in Loading Saved Deals to load a deal. Data for the deal appears. 2. From the control area, click the gray Edit button.
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Editable fields activate. 3. Update the fields, then click the gray Savebutton. Note: You can update leg details on the Details tab. For more information, see Single Leg Details. The Save Deal window appears. 4. If you want to update identifying information, deal privileging, or portfolio settings: a) Specify the OTC Ticker49 , Counterparty50 and Custom ID51 that identify your deal. b) Specify privileging for your deal by updating the following: User/Firm Sharing52 , SPDL Sharing53 , Folder54 . For more information about editing deal properties, see Editing Deal Properties. c) If you want to add notes, enter them in the Notes field. d) If you want to add the deal to a portfolio, select Add to Portfolio, then specify: Portfolio Name55 , Buy56 , Cost57 . 5. Click Save. The updated deal saves. SENDING DEALS You can send deal information to other BLOOMBERG PROFESSIONAL® service users. When you send a deal, you are sending a copy (snapshot) of your deal to another Bloomberg user. Your future edits are not reflected in the copy of the deal. Steps: 1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a deal. 2. From the toolbar, select Actions > Send.
49
The ticker symbol used for the over-the-counter security.
50
The name of the counterparty to the swap contract.
51
Allows you to enter a custom identifier for the swap leg or deal.
52
Allows you to configure your firm's access to your deal.
53 54
Allows you to share via MSG the swap with groups created in the Speed Dial function (SPDL). For more information, see Choosing Wakeup Settings and SPDL . Allows you to organize saved deals into folders.
55
Allows you to select the portfolio to which you want to book your deal.
56
The buy, or bid, side of the trade.
57
The cost or premium for the deal.
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The Send Deal to User window appears. 3. In the Receiver field, enter a name or contact list, then press . For more information on contact lists, see SPDL . 4. In the Message field, enter a note.
5. Click Send. The deal information sends. SHARING DEALS You can share your deals with other BLOOMBERG PROFESSIONAL® service users, using your contacts lists from the Speed Dial (SPDL) function. SWPM allows you to grant access privileges to individuals, members of your firm, or SPDL contact lists. When you share a deal with other Bloomberg users, your updates are reflected in their copy of the deal. Steps: 1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a swap.
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2. From the toolbar, select Data & Settings > SWPM Settings/Templates.
The Settings and Templates window appears. 3. Share the deal: • If you want to grant read-only access to members of your firm, on the Wakeup tab, choose Firm from the Privilege Type drop-down menu.
•
If you want to grant read/write access to a contact list or individual user, on the Wakeup tab, enter a SPDL ID in the SPDL Sharing field, then press .
Depending on the SPDL ID you enter, the Searching for: (Name) screen may appear from which you can select the contact list. If you enter an invalid SPDL ID, the message "The name you entered could not be found. Please try again" appears. Re-enter a valid SDPL ID. For more information, see SPDL . 4. Click Update. The Swap Manager screen appears. Your settings save. Note: You can click Reset to restore SWPM's default settings or Close to exit the window without saving. BOOKING DEALS You can book your swap deals to your Multi Asset Risk System (MARS) function portfolio. MARS provides risk management, stress-testing, and scenario analyses of various derivative strategies across asset classes, including interest-rate derivatives and their underlying instruments. For more information, see MARS .
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To book a deal to your MARS portfolio: 1. From the toolbar, select Actions > Add to Portfolio.
The Add to Portfolio window appears. 2. If you have not previously saved the deal, specify the details of the deal: a) Specify the OTC Ticker58 , Counterparty59 and Custom ID60 that identify your deal. b) Specify privileging for your deal by updating the following: User/Firm Sharing61 , SPDL Sharing62 , Folder63 . c) If you want to add notes, enter them in the Notes field. Note: For information about saving a deal, see Saving Deals. 3. In the Add to Portfolio section at the bottom of the window, specify: Portfolio Name64 , Buy65 , Cost66 . 4. Click Save. Your deal is added to your portfolio. 5. If you want to display the deal in MARS, click the 2 to run MARS to view portfolio link at the top of the screen.
58
The ticker symbol used for the over-the-counter security.
59
The name of the counterparty to the swap contract.
60
Allows you to enter a custom identifier for the swap leg or deal.
61
Allows you to configure your firm's access to your deal.
62 63
Allows you to share via MSG the swap with groups created in the Speed Dial function (SPDL). For more information, see Choosing Wakeup Settings and SPDL . Allows you to organize saved deals into folders.
64
Allows you to select the portfolio to which you want to book your deal.
65
The buy, or bid, side of the trade.
66
The cost or premium for the deal.
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Your portfolio appears in MARS. For more information about MARS, see MARS . For more information about trading tools, see Trading Tools. DELETING DEALS You can delete individual or multiple swaps that you have created and saved. Steps: 1. Follow the steps in Loading Saved Deals to load a deal. Data for the deal appears. 2. From the toolbar, select Actions > Delete. The Confirm window appears. 3. Click Yes. The swap deletes. Note: For information about how to delete swaps in bulk, see Bulk-Deleting Deals. BULK-DELETING DEALS You can delete multiple deals at once from the Interest Rate Derivatives List (IRDL) function. 1. From the toolbar in SWPM, select Actions > Load. The Interest Rate Derivatives List (IRDL) function appears with a list of your saved swaps. 2. From IRDL, select Actions > Bulk Mode. Bulk mode activates. 3. Select the deals you want to delete. 4. From the toolbar, select Actions > Delete. The Delete window appears. 5. Click Yes to delete the selected deals. The deals are deleted. For more information about IRDL, see IRDL . RECOVERING SESSIONS You can recover SWPM data lost during a recent session caused, for example, by a system problem or navigating away from the function. Steps: 1. Access recent sessions: • Enter SWPM DRAFTS .
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•
On SWPM, from the toolbar, select Actions > Recover Recent Sessions from the toolbar.
The Recover Recent Sessions window appears with a list of your most recent SWPM sessions. 2. Click a session.
The Swap Manager screen appears with the recovered data.
ANALYZING CURVES The Curves tab provides transparency into the tickers used to construct the curves used to price a swap in SWPM and allows you to evaluate the impact that different scenarios would have on your swap deal.
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The tab is divided into four sections. The curve configuration section allows you to configure the curve used to project forward rates or discount cashflows. The tickers and rates section provides transparency into the tickers used to construct the curves and allows you to manually override curve values and apply shifts to the whole curve or to defined buckets. The zero rates chart visualizes curve data, and the valuation section displays swap values and risk figures.
•
Control Area: Allows you to navigate between tabs and configure your default settings. For more information, see Control Area.
•
Curve Configuration: Allows you to choose the method used to interpolate between points on the selected curve, specify the curve date, turn OIS dual-curve stripping on/off, and specify the DV01 calculation method. You can also enter a shift to be applied to the entire curve, refresh the data that appears, and export the curve data to Microsoft® Excel (in which you can manipulate the data and then drag it back into SWPM). Note: The changes you make on the Curves tab impact the deal valuation on the Main tab. — For information about the fields that appear, see Definitions. — For information about dual-curve stripping, see Applying Dual-Curve Stripping. — For information about the Curves Toolkit, which allows you to interact with interest rate curves directly in Excel, see the Curves Toolkit section of DAPI . — For information about dragging and dropping rate data into SWPM, see Importing Curve Rates.
•
Tickers and Rates: Displays curve data in a table: — Term: The term to maturity of the particular point on the curve. — Market Rate: The market-quoted par coupon swap curve. — Shift: Allows you to apply shifts to the whole curve or to defined buckets. You can manually input shifts for specific terms, or, in the curve configuration section, you can enter one shift to be applied to the entire curve. — Shifted Rate: Displays the rate resulting from applying the specified shift to the market rate. |Hint|You can drag values from Excel into the Shifted Rate column. For more information, see Importing Curve Rates.
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— Zero Rate: Displays the zero coupon swap rates implied by the quoted par coupon swap curve (i.e., the market rates in the Market Rate column). These zero rates are used to calculate the discount factors, and may be thought of as discount factors expressed as an annualized percentage return. 67
Note: Short-term rates, e.g., Libor rates, are naturally spot/zero rates . Where the market rates are not naturally zero rates, e.g., in the case of Eurodollar contracts, bootstrapping is used to convert the market rates into spot (zero) rates. For more information, see Building the Bloomberg Interest Rate Curve. — Discount: The rate used to discount the cashflow back to the valuation date. Discount rates represent the value of one dollar at a specific point in the future. •
Zero Rates: Allows you to visualize the zero rates in the curve. For information about using advanced charting options, see GP .
•
Valuation: Allows you to evaluate the swap based on its valuation and sensitivity figures. For information about a field, position your cursor over it or see Definitions.
For instructions for customizing and applying shifts to a curve, see Customizing Curves. CUSTOMIZING CURVES The Curves tab allows you to evaluate the impact that different scenarios would have on your swap deal. You can apply shifts to the whole curve or to defined buckets and then evaluate the results. To analyze a curve: 1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a deal. 2. Select the Curves tab. Curve data appears. 3. From the Curve# (Curves)68 field, choose the curve you want to analyze. 4. If you want to customize the curve data used to price your deal, update the following: Interpolation69 , OIS Dual Curve Stripping
70
71
, Curve Date
, and DV01 Calc Method
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.
5. If you want to run a scenario on your swap deal, do either of the following: •
To apply a shift to the entire curve, in the Shift
73
field, enter the shift.
67
Interest rates earned on a bond or swap with no coupon payments (zero coupon).
68 69
Applies to the Curves tab. Curve data appear for the curve number you select. The curve numbers are compiled from the discount curves, forecast curves, and FX-basis curves used in the swap deal. The methodology applied to interpolate between points on the curve.
70
Allows you to strip a standard (Libor) swap curve contingent upon the OIS discounting of cashflows.
71
The date of the curve used in calculations and payments. This can be a historical date or today's date. If the date is historical, then historical data from that date for the curve selected (which can be a discount, forecast, or basis curve) is applied in the valuation. If the date is today, then the most recent curve is used. The sensitivity to the curve shift (downPrincipal - upPrincipal)/(2xShiftinPercent). ShiftinPercent is 0.1 for the default process of 10-basis-point up and down shifts. It is the shift used to generate the upPrincipal and downPrincipal. The resulting DV01 is therefore normalized for a 1 bp shift. The shift (in basis points) applied to the curve.
72
73
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•
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To apply a shift to a specific term or terms, in the tickers and rates section, update the Shift fields in the table.
and/or Shifted Rate
75
Note: You can drag and drop curve rates from an Excel spreadsheet into the Shifted Rate column. For more information, see Importing Curve Rates. The swap deal data updates.
CASHFLOWS AND RESETS You can analyze cashflow amounts and the reset rates used to calculate cashflows and value the deal. The following topics explain how to analyze cashflows on the Cashflows tab and manage reset rates on the Resets tab. CASHFLOWS The Cashflow tab displays the present value of the cashflow amounts for each leg or on a net basis, so you can better understand the stream of cashflows in a deal.
74
The shift (in basis points) applied to the curve.
75
The new shifted rate = market rate + shift.
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The tab is divided into two sections. The cashflow options section allows you to customize the data that appears in the cashflow data section.
•
Control Area: Allows you to navigate between tabs, configure your default settings, and switch between the table and chart views of cashflows by clicking the Cashflow Table and Cashflow Graph sub-tabs. — For more information about charting cashflows, see Charting Cashflows. — For more information about the tabs and toolbar options, see Control Area.
•
Cashflow Options: Allows you to customize the cashflow data that appears and then export customized cashflow data to Microsoft® Excel. You can display cashflow amounts for each leg or on a net basis, historical cashflows, the zero rates used to calculate the discount factor, and the equivalent coupon rate (for the floating leg) based on the reset rates. — For more information about customizing cashflow data, see Analyzing Cashflows. — For more information about exporting to Excel, see Exporting to Excel.
•
Cashflow Data: Displays future cashflows along with their present values. Your selections from the cashflow options section determine the columns of data that appear. Either nominal or actual business-adjusted payment dates appear, according to your selection from the Bus Day Adj
76
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field on the Details tab.
Appears on the Details tab. The method used to adjust cashflow dates to business days when necessary. The drop-down menu displays the following choices: — No Adjustment: There is no adjustment to a business day. — Ahead (Following): If the date is not a business day, then the date is adjusted forward to the next business day. — Back (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding business day. — Modified (Following): If the date is not a business day, then the date is adjusted forward to the next business day, but stays in the current month.
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Note: The first payment date is the nominal date on which the first coupon payment is scheduled. When the coupon payment dates for the swap generate, nominal dates appear according to the roll convention and payment frequency specified on the Details tab. — For more information about configuring the business day adjustment, roll convention, and payment frequency on the Details tab, see Configuring Leg Details. — For more information about generating payment dates, see Payment Dates. ANALYZING CASHFLOWS This topic explains how to use functionality on the Cashflow tab to analyze cashflows. For information about cashflow calculations, see Payment Dates. To analyze cashflows: 1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a deal. 2. Select the Cashflow tab.
Cashflow data appears. 3. From the Cashflow drop-down menu, specify the cashflows you want to analyze. You can choose Net to see cashflows for the entire deal or you can choose an individual leg.
The cashflow table updates. 4. Specify the data you want to see in the cashflow table: • If you want to see historical cashflows, select Historical Cashflows77 .
77
— Modified (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding business day but stays in the current month. For example, if March 30, 2013 is a Saturday, "Ahead (Following)" adjusts the date to April 1, 2013, but "Modified Preceding" uses a date of March 29, 2013. The realized cashflows over time.
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•
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If you want to see zero-rate coupon amounts, select Zero Rate
.
•
If you want so see the equivalent coupon amount for the floating leg, select Equiv. Coupon
79
.
The cashflow table updates. 5. If you want to display the cashflow data in a chart, click the Cashflow Graph sub-tab.
Cashflow data appears in a chart. For information about using the chart, see Charting Cashflows. 6. If you want to export the cashflow data to a Microsoft Excel® spreadsheet, click Export to Excel.
78 79
The interest rate earned on a bond or swap with no coupon payments (zero coupon), which is presented based on a specific day-count convention and compound frequency. The equivalent coupon rate (for the floating leg) based on the reset rates.
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The cashflow data appears in an Excel spreadsheet on your desktop. RESETS The coupon of the floating leg of a swap deal is based on the rate of a specified index. The index rate changes over time, and the rate used to determine the leg's coupon resets periodically to follow the changing index. The Resets tab allows you to analyze the historic and projected periodic resets. You can display reset, convexity, and forward rates for the deal and enter custom historical rates in the floating leg cashflow schedule. The Resets tab is organized into a control area and a table of reset rates.
•
Control Area: Allows you to navigate between tabs and configure your default settings. For more information, see Control Area.
•
Reset Rates: Displays the implied forward reset rates used to value the deal and allows you to export them to Microsoft® Excel. The reset rates feed directly from the forward curve that you set in the curve data section on SWPM's Main tab. — For information about customizing reset rates, see Managing Resets. — For information about how to display and customize the forward curve that feeds the reset rates into SWPM, see ICVS . — For information about exporting reset rates to Excel, see Exporting to Excel.
MANAGING RESETS You can customize the reset frequency for a swap on the Main tab, then modify the historical reset rates on the Resets tab. By default, the rates default to rates on the historical curve. 1. From the Main tab, select the reset frequency for the floating leg from the Reset Freq drop-down menu.
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The screen updates. 2. Click the Resets tab. Reset rates appear. 3. If you want to change historical reset rates, update any highlighted Reset Rate80 field, then press .
The screen updates. For information about scaling reset rates, see Scaling Reset Rates.
CONFIGURING LEG DETAILS The Details tab allows you to display detailed leg information and edit leg characteristics, such as date generation, amortization, and payoff information. For example, you can manually enter step-up fixed coupons or increasing spreads for floating legs. You can also update the accrual periods and amortization amounts for the leg and calculate fees. The Details tab is divided into two sections. The Details section allows you to configure settings for the individual legs of the deal, including amortization methods. The amortization schedule allows you to customize the amortization schedule for the individual legs of the deal. 80
The reset rates for the corresponding accrual periods. Both historical and implied forward reset rates appear. You can change historical reset rates, which default to rates on the historical curve, by entering new values into the corresponding highlighted fields. The implied forward reset rates are determined by the forward curve and cannot be changed.
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•
Control Area: Allows you to navigate between tabs and configure your default settings. For more information, see Control Area.
•
Detail: Allows you to further configure the settings for the individual legs of the deal, including amortization methods and the methods used to generate dates for the amortization schedule. Depending on whether you select Leg 1 or Leg 2, 81
different settings appear. For example, the Bus Day Adj field allows you to choose the business day adjustment method used to adjust cashflow dates to business days. You can also specify whether to adjust payment dates only or to adjust 82
accrual end dates and payment dates when calculating swap cashflows. Further, you can specify the roll convention method and calendar used to generate cashflow dates. — For information about a field, position your cursor over it or see Definitions. — For detailed instructions for configuring settings for individual legs of a deal, see Single Leg Details or Multi-Leg Details. 81
Appears on the Details tab. The method used to adjust cashflow dates to business days when necessary. The drop-down menu displays the following choices: — No Adjustment: There is no adjustment to a business day. — Ahead (Following): If the date is not a business day, then the date is adjusted forward to the next business day. — Back (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding business day. — Modified (Following): If the date is not a business day, then the date is adjusted forward to the next business day, but stays in the current month.
82
— Modified (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding business day but stays in the current month. For example, if March 30, 2013 is a Saturday, "Ahead (Following)" adjusts the date to April 1, 2013, but "Modified Preceding" uses a date of March 29, 2013. The method to use in order to generate cashflow dates. For example, "Backward" starts from the Next To Last Payment Date, then generates periodic dates backwards based on payment frequency.
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•
— For information about configuring amortization methods, see Amortization Methods. Amortization Schedule: Allows you to customize the amortization schedule. By default, the amortization schedule is not populated. You can export the schedule to Excel, and you can drag and drop amortization values from Excel into the Amort 83
84
85
Rates (%) , Amort Amount , and Balance columns. The Apply Amortization to the Other Leg checkbox allows you to automatically populate the other leg's amortization schedule according to your inputs for the current leg. When this option is not selected, the two amortization schedules remain independent. |Hint|You can export the values to Excel by clicking the Export to Excel button, manipulate them in Excel, then drag and drop them back into the appropriate column in the amortization schedule in SWPM. The columns to which you can drag and drop data include Amort Rate (%), Amort Amount, and Balance. You must drop the data into the appropriate column. — For information about a field, position your cursor over it or see Definitions. — For information about customizing the amortization schedule, see Amortization Schedule. — For information about customizing fees, see Fees. — For information about customizing accrual dates, see Accrual Dates. — For information about customizing compounding, see Compounding. — For more information about importing data from Excel to SWPM, see Importing Data from Excel. SINGLE LEG DETAILS You can display detailed leg information and edit leg characteristics, such as date generation, amortization, and payoff information. Steps: 1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a swap. 2. If you are configuring leg details for a previously saved deal, from the Main tab, click the gray Edit button.
83
The amortization rates on scheduled dates. You can enter values into the amortization table to apply new rates.
84
The amount to be amortized on each scheduled amortization date. You can enter a dollar amount to increase or decrease the notional amount at any period. A positive dollar amount decreases the notional whereas a negative dollar amount increases it. Applies to the Details and Resets tabs. The actual amount or remaining balance of the original notional. The latest balance amount is used for the next payment date if multiple balance amounts are specified after the previous payment date, up to and including the next payment date. On the Details tab, you can enter the notional amount to be used for each accrual period.
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Editable fields activate. 3. Select the Details tab.
Detailed leg data appears. 4. Select the leg you want to configure.
Data for the selected leg appears. 5. To configure the leg details, update any of the editable fields. For more information on updating the fields, see: •
Amortization Schedule
•
Amortization Methods
•
Fees
•
Accrual Dates
• Compounding The swap deal updates based on your changes. For information about saving your changes, see Saving Deals. MULTI-LEG DETAILS When you are pricing a multi-leg deal, the Leg drop-down menu gives you access to leg details, which you can configure on several different tabs. To configure the details of an individual leg in a multi-leg deal: 1. From the Main tab, click the Leg drop-down menu corresponding to the leg you want to configure, then select Leg Detail. The leg detail tabs appear. 2. Click a tab to configure the settings: •
Main: Provides a general overview of the leg and allows you to update settings. You can see and update the curves SWPM uses to discount cashflows and project forward pricing when pricing the swap. Additionally, the Main tab allows
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•
you to see the valuation for the individual leg and choose the variable that SWPM solves for. For more information, see Multi-Leg Swap. Cashflow: Allows you to display and export to Microsoft® Excel the present value of the cashflow amounts for each 86
87
leg, including Zero Rate , discount rates, Equivalent Coupon Rate , and historical cash flows, so you can better understand the stream of cashflows behind a security. You can also customize the analysis with your own spot rates for present-valuing cashflows. For more information, see Cashflows. •
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Details: Displays detailed information for each leg, including Cashflow 91
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frequency, First Payment
89
, Bus Day Adj
90
93
(business day adjustment), Roll Convention , Calendar , Amort Dates (amortization dates), and fee amounts, so you can analyze and update specific components of the deal. Additionally, the Details tab allows you to import an amortization schedule. For more information, see Configuring Leg Details. • Resets: Allows you to analyze historic and projected periodic reset rates used in the valuation of the deal. You can display reset, convexity, and forward rates for the deal and enter custom historical rates in the floating leg cashflow schedule. For more information, see Resets. 3. Configure the settings, then press . For information about the fields that appear, see Definitions. The values update. 4. If you want to return to the Multi-Leg template, press the 
