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This document was prepared for the exclusive use ofYunsong Huang and may not be redistributed.Date: 01/12/2015


CONTENTS

WHAT IS SWAP MANAGER (SWPM)?Control Area 05Main Tab 05SWPM Tabs 06

USING SWPM 10Pricing a Vanilla Swap 10

Plain Vanilla Template 10Example: Solving for Spread 12Example: Solving for Price 15Backdating the Valuation 16

Managing Deals 18Saving Deals 19Loading Saved Deals 20Editing Deals 20Sending Deals 21Sharing Deals 22Booking Deals 23Deleting Deals 25Bulk-Deleting Deals 25Recovering Sessions 25

Analyzing Curves 26Customizing Curves 28

Cashows and Resets 29Cashows 29Analyzing Cashows 31Resets 33Managing Resets 33

Conguring Leg Details 34Single Leg Details 36Multi-Leg Details 37

Scenarios and Risk 39Scenario 39Analyzing Scenarios 40Charting Results 42Risk 43Managing Risk 45Matrix 46Matrix Pricing 47

Calculating CVA 48CVA 49Calculating CVA 50

Calculating DVA 51Calculating Bilateral CVA 52

Calculating Margin 53LCH Initial Margin 53CME Initial Margin 54Incremental Margin 55

Settings 57Setting a Source Curve 57Applying Dual-Curve Stripping 58Choosing Wakeup Settings 58Customizing Templates 61Choosing Bid/Ask Settings 62

Shortcuts 63

SUPPORTED STRUCTURES 68Vanilla 68

Cross-Currency 68Mark-to-Market Currency Swap 71Amortizing 73FRA 76

Non-Vanilla 78IMM 78Muni Swap 80Arrears 82Basis Swap 85CMS 87OIS 90Zero Coupon Swap 92Total Return Swap 94Basket Total Return 96iBoxx Total Return Swap 98Property Derivative 100Asset Swap 103Quanto Swap 104Dual Digital Swap 106Three Zone Digital Swap 108Multi-Leg Swap 110Asian Swap 113

Ination 115Customizing CPI Projections 115Ination Zero Coupon Swap 116Ination YoY Swap 119


CONTENTS

Ination YoY Cap/Floor 122Ination LPI Swap 124Ination Bond Swap 127Ination Real Rate Swap 130

Exotics 133Fixed Coupon Range Accrual 133Floater Range Accrual 136Fixed In/Out Range Accrual 138CMS Spread Range Accrual 141Power Reversal Dual Currency 141Target Accrual Redemption Note 144Fixed-Float 146Snowball 148Snowbear 150Thunderball 152Knock In/Out 154Nikkei Linked Notes 156

Options 159Swaption 159Cancellable Swap 165Cap/Floor/Collar/Straddle 170Digital Cap/Floor 173Asian Cap/Floor 173Cross-Currency Swaption 175Cross-Currency Cancellable Swap 177Capped Floater 179CMS Spread Capped Floater 181Cap/Floor Spread 183Swaption Straddle 185Swaption Strangle 187Swaption Risk Reversal 189Swaption Call Spread 191Swaption Calendar Spread 192

Emerging Markets 194Non-Deliverable Cross Crncy Swap/IRS 194Pre - DI Onshore Brazilian Swap 197CDI Onshore Swaption 199Cupom Cambial Swap 202USD Fixed vs. %CDI Swap 204USD Libor vs. %CDI Swap 206CLP Fixed Float Swap 208

CLF CLP X-Crncy Fixed Float Swap 210

CALCULATIONS 214Cashows 214

Payment Dates 214Day Count 214

Risk Analytics 215Deal Risk 215Greek Methodologies 215Delta Hedge 216

Models 216Black-Scholes 216Hull & White 1 Factor (HW1F) 216Calibration Procedure 217Diagonal Swaptions 217Diag. Swaptions with Constant 217One-Factor LGM Model 217Two-Factor LGM Model 217Popular Calibration Strategies 218

Brazilian Swaps 218Brazilian Swap Types 218Cupom Cambial Curves 218

Deal-Specic Calculations 219CMS: Convexity Adjustment 219Nikkei Linked Notes: Volatility 220Total Return Swap 221Swaption Settlement Methods 222

DOCUMENTS AND VIDEOS 224Volatility 224Strategies 224Counterparty Valuation 224Methodologies and Spreadsheets 225Hull-White Models 225SWPM Tutorials 225

EXCEL INTEGRATION 226Importing/Exporting 226

Importing Data from Excel 226Uploading Deals 226Exporting to Excel 226Exporting to FpML 227


CONTENTS

API Formulas 227Formula Construction 227Deal IDs 228Finding Data Fields 228Example: Cashow Schedule 229Example: Historical Net Payments 229Example: Interest Rate Curves 230

LEARN MORE 231SWPM Tabs 231

Additional Tabs 231Pricing a Swap 232

Choosing a Template 232Adding a Leg 233Copying a Leg 235Deleting a Leg 235Scaling Reset Rates 236

Managing Deals 237Editing Deal Properties 237Trading Tools 238

Calculating Margin 239LCH Margin Simulator 239

Analyzing Curves 241Importing Curve Rates 241

Cashows and Resets 241Charting Cashows 242

Conguring Leg Details 243Amortization Schedule 243Amortization Methods 245Fees 248Accrual Dates 249Compounding 251

Scenarios and Risk 252Hedging Risk 252

Single-Stock Total Return Swap 252Introduction 253TRS Tabs 253Projection-Based Model (Equity) 260Accrual-Based Model (Equity) 270

Index Total Return Swap 273Index TRS 273

Bond Total Return Swap 275

Introduction 276Accrual-Based Model (Bond) 276Projection-Based Model (Bond) 280

Swaption/Cancellable Swap 280Dening Your View 281Sample Deal Terms (Swaption) 281Details 282Curves 283Cashows 285Resets 286Scenario 287Risk 289Matrix 291Amortization Wizard 292

DEFINITIONS 294


Date printed: 01/12/2015 WHAT IS SWAP MANAGER (SWPM)? //05

WHAT IS SWAP MANAGER (SWPM)?SWPM allows you to price over-the-counter derivative contracts, so you can accurately quantify your market exposures for awide range of vanilla and exotic interest-rate swaps, interest-rate options, swaptions, and interest-rate and hybrid structurednotes. Using an exhaustive list of pre-trade analytical tools, you can analyze and update curves and cashows, as well asperform risk and scenario analyses for the entire deal or individual legs. SWPM is also the platform for creating custom dealsthat 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 swapsfrom 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 congure your default settings.

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, congure your default settings, and access the Swap Uploader,which allows you to upload multiple deals at once and store them on Bloomberg.

Tabs: The tabs in SWPM allow you to perform deep analyses of various components of your deals, including curve shifts,cashows, resets, key rate risk, counterparty valuations, and "what-if?" scenarios.

Buttons: The buttons display specic options that allow you to quickly load, save, and share deals; generate trade tickets;and display cashow charts and tables. Depending on the deal-type and tab you select, buttons may or may not appear.

Setup Options: The drop-down elds allow you to set up the analysis for the current tab. The elds in the setup optionsarea 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 isorganized into four sections that allow you to structure and price your deal. You can customize the deal type, the curves usedto price the deal, and the variable you want to solve for (e.g., xed coupon or spread).



Note: The options available from the Main tab depend on the structure you have loaded. The image above illustrates the Maintab for plain vanilla swaps. For information about other structures, see Supported Structures.

Leg 1/Leg 2: Allows you to congure the xed and oating legs of the deal, including the market side, notional amount,currency, effective date, and maturity date.

Curve Data: Allows you to update the curves SWPM uses to discount cashows and project forward pricing when pricingthe swap.

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 thatappear 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 cashows. The Curves tab allows you to display and edit curve information,including Curve#1 , Curve Date2 , Tenor3 , Interpolation Method4 , Shift5 , and Spread6, so you can determine where the

1 The curve number that corresponds to the curve data that appear. The curve data appear for the curve number youselect. Curve numbers are compiled from the discount curves, forecast curves, and FX basis curves used in the swapdeal.



market is currently pricing a security at different points in the future. The curve data is plotted on a chart corresponding toyour customized shifts and selected interpolation method, which enables you to identify historical pricing trends by seeinghow the shape of the curve has changed.

For more information, see Analyzing Curves. Cashow: Allows you to display and export to Excel the present value of the cashow amounts for each leg or on a net

basis, including Zero Rate7 , discount rates, Equivalent Coupon Rate8 , and historical cash ows, so you can betterunderstand the stream of cashows behind a security. You can also customize the analysis with your own spot rates forpresent-valuing cashows.

For more information, see Cashows. Details: Displays detailed information for each leg, including Cashow9 frequency, First Payment10 , Bus Day Adj11

(business day adjustment), Roll Convention12 , Calendar13 , Amort Dates14 (amortization dates), and fee amounts, so you

2 The date of the curve used in calculations and payments. This can be a historical date or today's date. If the date ishistorical, then historical data from that date for the curve selected (which can be a discount, forecast, or basis curve) isapplied in the valuation. If the date is today, then the most recent curve is used.

3 The tenor of the reference rate. If the tenor is greater than one year, the underlying becomes a swap rate, the dealbecomes a CMS deal, and convexity adjustment applies. The tenor should correspond to a valid index on the curve.

4 The methodology applied to interpolate between points on the curve.5 The shift (in basis points) applied to the curve.6 The number of basis points over/under the oating rate index that the oating rate payer is obligated to pay.

Alternatively, the spread amount added to the oater index in the oating rate reset. The latest oating rate = Latest Indexx Leverage + Spread.

7 The interest rate earned on a bond or swap with no coupon payments (zero coupon), which is presented based on aspecic day-count convention and compound frequency.

8 The equivalent coupon rate (for the oating leg) based on the reset rates.9 The cashow projections for individual legs and the entire deal.

10 The nominal date on which the rst coupon payment is scheduled. It appears as a nominal date and should be enteredas a nominal date without business adjustment. For more information, see Payment Dates.

11 Appears on the Details tab. The method used to adjust cashow dates to business days when necessary. Thedrop-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. Modied (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. Modied (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 thedate to April 1, 2013, but "Modied Preceding" uses a date of March 29, 2013.

12 The method to use in order to generate cashow dates. For example, "Backward" starts from the Next To Last PaymentDate, then generates periodic dates backwards based on payment frequency.



can analyze and update specic components of the deal. Additionally, the Details tab allows you to import an amortizationschedule from Excel.

For more information, see Conguring Leg Details. Resets: Allows you to display the swap deal's Reset Rate15 on every Reset Date16 until the Maturity Date17 , so you can

see how frequently the oating coupon is reset to the market level. The reset rates feed directly from the forward curvethat you set in the curve data section on SWPM's Main tab. For information about how to customize the forward curve thatfeeds the reset rates into SWPM, see ICVS .

For more information, see Resets. Risk: Allows you to display the key rate risk and DV0118 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(bp)19 (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 congure multiplescenarios based on price, interest rate, credit, and swap shifts, then display the results in a table and display cashows forindividual scenarios. For more information, see Scenario. For more information about SHOC, see SHOC .

CVA: Allows you to display the CVA20 and DVA21 for over-the-counter derivative contracts, so you can see the marketvalue of the default risk embedded in the deal. You can analyze such data inputs as credit curves, spreads, interest ratevolatilities, and CDS recovery rates, then display the results on a chart.

For more information, see CVA.

13 The aggregate calendar of up to three countries that is used to generate actual reset and payment dates. The Calendareld takes into consideration holidays in the selected countries to ensure that contract payment and reset dates do notfall on a holiday or weekend.

14 The scheduled amortization dates. Amort dates may be different from the payment/cashow dates. Amort amountsthat fall between two payment dates are accumulated into the ending amort payment date for the percent of notionaland amort amount, in thousands. The amount specied as the latest between two payment dates (inclusive on endingpayment date) is used for the ending payment date for the balance.

15 The reset rates for the corresponding accrual periods. Both historical and implied forward reset rates appear. Youcan change historical reset rates, which default to rates on the historical curve, by entering new values into thecorresponding highlighted elds. The implied forward reset rates are determined by the forward curve and cannot bechanged.

16 The date on which the rate is reset to apply to the next accrual period.17 The termination date of the deal. This appears as a nominal date and should be entered as a nominal date without

business adjustment.18 The sensitivity to the curve shift (downPrincipal - upPrincipal)/(2xShiftinPercent).19 The number of basis points each tenor has been shifted.20 The counterparty valuation adjustment amount. CVA represents the risk that your counterparty will default.21 The default valuation adjustment. DVA represents the risk (assumed by your counterparty) that you will default.



Matrix: Allows you to display a grid of similar structures, so you can conduct simulations and create custom "what if?"analyses of Market Value22 , Premium23 , Notional24 , Volatility25 , and other measures for the entire deal and/or individuallegs. You can create a matrix with anchor values in both the x-axis and y-axis.

For more information, see Matrix.

22 The sum of the present values of the leg cashows.23 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.

24 1.) In the Calculate drop-down menu, calculates a notional amount based on your DV01 input. The Notional appears inthe Leg 1/Leg 2 sections. 2.) Applies to an individual swap leg. The notional value of the swap leg.

25 The relative rate at which the price of the deal moves up and down, found by calculating the annualized standarddeviation of the daily change in price.



USING SWPMThe 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 ows (xed vs. oat)in the same currency. The payments are made during the life of the swap in the frequency that is pre-established by thecounterparties.

The following topics describe how to use SWPM's default template to price plain vanilla swaps. For information about pricinganother 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 toprice 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 adifferent 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 canstructure and price your swap on the Main tab of the template, which is divided into four sections. You can input details of theswap in the Leg 1 and Leg 2 sections, choose curves in curve data section, and then evaluate the swap value and risk guresin the valuation section.



Control Area: Allows you to navigate between tabs, analyze deals, set up scenarios, manage risk, generate trade tickets,and congure your default settings. For more information, see Control Area.

Leg 1: Allows you to congure your settings for the xed leg of the deal. You can enter, for example, the market side,notional amount, currency, effective date, maturity, and xed coupon for the deal. You can backdate the swap to a pastdate or enter a future date to build a forward-starting swap (FSS). At the bottom of the section, the market value, accruedinterest since the last leg cashow date, premium, and DV01 for the xed leg appear. For information about a eld, positionyour cursor over it or see Denitions.

Note: If you currently have a swap loaded on your terminal, SWPM displays the terms of the currently loaded deal. Bydefault, the elds are not editable. For information about editing a saved swap, see Editing Deals.

Leg 2: Allows you to congure your settings for the oating leg of the deal. You can enter the market side, the notionalamount (SWPM supports asymmetric notionals), and the index used to calculate the oating rate, along with the resetfrequency, pay frequency, tenor, and other details. At the bottom of the section, the market value, accrued interest sincethe last leg cashow date, premium, and DV01 for the oating leg appear. For information about a eld, position your cursor over it or see Denitions. 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

Conguring Leg Details. Curve Data: Allows you to update the curves that SWPM uses to discount cashows and project forward pricing when

calculating the Market Value of the swap. SWPM calculates the market value using the selected curve at the market closeof the day indicated in the Curve Date26 eld. The Valuation27 date is the date at which future cashows 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 isT+2. To price swaps as of a historical date, you must backdate both the Curve Date and Valuation elds. For example, tomark to market at quarter's end, you can enter the historical quarter-end date in both the Curve Date and Valuation elds.For more information, see Backdating the Valuation.

For information about a eld, position your cursor over it or see Denitions. 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 marketvalue of the deal (the sum of the present values of the receive leg minus the sum of the present values of the pay leg), oryou can customize the valuation by choosing a variable from the Calculate drop-down menu. You can solve for the followingvariables: Premium28 , Notional29 , Leg1: Coupon30 , Leg2: Spread31 , Leg2: Leverage32 , Par Shift...33 , Z-Spread...34 .For information about a eld, position your cursor over it or see Denitions.


27 The date on which the transaction occurs. For example, in the U.S., the valuation date is T + 2 days. In Great Britain, it isT + 0 days.

28 1.) In the Calculate drop-down menu, calculates the market value based on your inputs. The Market Value appears in theValuation 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.



You can further analyze vanilla swaps by selecting another tab from the control area. Additionally, you can save your deal byselecting Actions > Save from the toolbar. Once you have saved the deal, you can access it from other Bloomberg functionsor through Bloomberg's API by entering the deal number followed by the key. For example, this allows you todownload the cashow 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 oating leg side of a plainvanilla swap deal with a premium of 0. The swap deal in this example is a ve-year USD vanilla xed-to-oat swap with a USDxed coupon payment of 2% and a oating 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, congure your settings for the xed-leg side of the deal.

Market Side: Receive Fixed

29 1.) In the Calculate drop-down menu, calculates a notional amount based on your DV01 input. The Notional appears inthe Leg 1/Leg 2 sections. 2.) Applies to an individual swap leg. The notional value of the swap leg.

30 Calculates the xed coupon based on your Premium input. The Coupon appears in the Leg 1 section.31 Calculates the oating leg spread based on your Premium input. The Spread appears in the Leg 2 section.32 Calculates the oating leg leverage based on your Premium input. The Leverage appears in the Leg 2 section.33 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 cashows are unchanged and shifts onlythe discount curve. Par shift is the shift on the par curve (not stripped).

34 Displays the Z-Spread Quick Calculator, a scenario analysis tool that allows you to analyze the relationship between thediscount curve and the premium. The Z-Spread Quick Calculator presumes that cashows are unchanged and shiftsonly the discount curve. The Z-Spread is the spread of the stripped, zero-coupon curve that makes the multi-leg dealpremium match the value specied in the Premium eld.



Notional: 10 MM Effective: Today's date (for example, 07/19/2013) Maturity: Five years forward (for example, 07/19/2018) Coupon: 2% Day Count: 30I/360For denitions of the elds that appear, see Denitions.

2. In the Leg 2 section, congure your settings for the oating-leg side of the deal.

Market Side: Pay Float Index: US0003M Reset Frequency: Quarterly Pay Frequency: Quarterly Day Count: ACT/360For denitions of the elds that appear, see Denitions.

3. In the curve data section, choose the curves to be used for discounting and projecting forward pricing when pricing theswap.



In this example, use the default selections: Dscnt Curve: 42 USD OIS Swaps35

Fwd Curve: 23 USD Swaps (30/360,S/A)36

4. From the Calculate drop-down in the Valuation section, choose the variable that you want to solve for: Leg2: Spread37 .

The elds required to solve for the selected variable (in this case thePremium eld), activate.

5. In the Premium eld, enter the premium for your deal: 0 .

35 This curve represents USD overnight index swaps. Payments are based on a xed-rate versus a oating-rate overnightindex with the xed-rate portion on an annual, Actual/360 day-count basis and the oating-rate on an annual, Actual/360day-count basis from the FED Funds Effective Rate (FEDL01 ). Pricing is a best bid/ask composite from latestquotes and the sources include both banks and brokers.

36 This curve represents US dollar-denominated interest-rate swaps. The short-end of the curve are cash rates with a daycount of Actual/360. Payments on the long end of the curve are based on a xed-rate versus a oating-rate with thexed-rate portion on a semi-annual, 30/360 day-count basis and the oating-rate on a quarterly, Actual/360 day-countbasis from the BBA LIBOR USD three-month rate (US0003M ). Pricing for long-end terms are a best bid/askcomposite from latest quotes and the sources include both banks and brokers.

37 Calculates the oating leg spread based on your Premium input. The Spread appears in the Leg 2 section.



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 ve-year USD vanilla xed-to-oat swap with a USD xed coupon payment of 2% and aoating 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, congure your settings for the deal by following Steps 1 - 3 in Example:

Solving for Spread.



2. From the Calculate drop-down in the Valuation section, choose the variable that you want to solve for (Premium), thenpress .

The Market Value appears in the Valuation section at the bottom of the screen.


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 specic date in the past:1. In the Leg 1 section, congure your settings for the xed-leg side of the deal.



For denitions of the elds that appear, see Denitions.2. In the Leg 2 section, congure your settings for the oating-leg side of the deal.

For denitions of the elds that appear, see Denitions.3. In the curve data section, choose the curves to be used for discounting and projecting forward pricing when pricing the

swap.



4. In the Curve Date eld, enter the historical curve date38 , i.e., the date from which to pull historical curve values.

5. In the Valuation eld, 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 eld. Future cashows are discounted at the date indicated in the Valuation eld.


MANAGING DEALS

SWPM allows you to create deals, save them for future use, and share them with other BLOOMBERG PROFESSIONALservice users.




The following topics explain how to save deals, recover data lost during a recent session, and manage saved deals, includinghow to add deals to a MARS portfolio, as well as load, edit, and delete deals. Additionally, this section includes topics thatexplain how to send swap deal information to and share swap deals with (i.e., grant access privileges to) other Bloombergusers.

SAVING DEALS

Once you have priced a swap, you can save the deal so you can access the deal from other Bloomberg functions or throughBloomberg'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 modied your default settings, the Save Deal window may not appear. For more information, seeChoosing 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 eld.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 dealnumber followed by the key.

Note: SWPM generates unique CUSIP48 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 cashow schedulefor a leg to Microsoft Excel with Bloomberg's API. For more information, see Example: Cashow 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 identier for the swap leg or deal.42 Allows you to congure your rm's access to your deal.43 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 .44 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 Identication Procedures number assigned to U.S. and Canadian companies.



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.



Editable elds activate.

3. Update the elds, 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 eld.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 aresending a copy (snapshot) of your deal to another Bloomberg user. Your future edits are not reected 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.


see Choosing Wakeup Settings and SPDL .54 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.



The Send Deal to User window appears.

3. In the Receiver eld, enter a name or contact list, then press .For more information on contact lists, see SPDL .

4. In the Message eld, 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 theSpeed Dial (SPDL) function. SWPM allows you to grant access privileges to individuals, members of your rm, or SPDLcontact lists. When you share a deal with other Bloomberg users, your updates are reected 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.



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 rm, 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 eld, then press .

Depending on the SPDL ID you enter, the Searching for: (Name) screen may appear from which you can select thecontact 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 .



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 eld.

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.


see Choosing Wakeup Settings and SPDL .63 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.



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 Conrm 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 fromthe function.

Steps:1. Access recent sessions:

Enter SWPM DRAFTS .



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 allowsyou to evaluate the impact that different scenarios would have on your swap deal.



The tab is divided into four sections. The curve conguration section allows you to congure the curve used to project forwardrates or discount cashows. The tickers and rates section provides transparency into the tickers used to construct the curvesand allows you to manually override curve values and apply shifts to the whole curve or to dened buckets. The zero rates chartvisualizes curve data, and the valuation section displays swap values and risk gures.

Control Area: Allows you to navigate between tabs and congure your default settings. For more information, see Control

Area. Curve Conguration: 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 tobe applied to the entire curve, refresh the data that appears, and export the curve data to Microsoft Excel (in which youcan 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 elds that appear, see Denitions. 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 dened buckets. You can manually input shifts for specic

terms, or, in the curve conguration section, you can enter one shift to be applied to the entire curve. Shifted Rate: Displays the rate resulting from applying the specied shift to the market rate.

|Hint|You can drag values from Excel into the Shifted Rate column. For more information, see Importing Curve Rates.



Zero Rate: Displays the zero coupon swap rates implied by the quoted par coupon swap curve (i.e., the market ratesin the Market Rate column). These zero rates are used to calculate the discount factors, and may be thought of asdiscount factors expressed as an annualized percentage return.

Note: Short-term rates, e.g., Libor rates, are naturally spot/zero rates67 . Where the market rates are not naturally zerorates, 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 cashow back to the valuation date. Discount rates represent the value of onedollar at a specic point in the future.

Zero Rates: Allows you to visualize the zero rates in the curve. For information about using advanced charting options, seeGP .

Valuation: Allows you to evaluate the swap based on its valuation and sensitivity gures. For information about a eld,position your cursor over it or see Denitions.

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 shiftsto the whole curve or to dened 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 eld, 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

Stripping70 , Curve Date71 , and DV01 Calc Method72 .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 Shift73 eld, enter the shift.

67 Interest rates earned on a bond or swap with no coupon payments (zero coupon).68 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.69 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 cashows.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) isapplied in the valuation. If the date is today, then the most recent curve is used.

72 The sensitivity to the curve shift (downPrincipal - upPrincipal)/(2xShiftinPercent). ShiftinPercent is 0.1 for the defaultprocess of 10-basis-point up and down shifts. It is the shift used to generate the upPrincipal and downPrincipal. Theresulting DV01 is therefore normalized for a 1 bp shift.

73 The shift (in basis points) applied to the curve.



To apply a shift to a specic term or terms, in the tickers and rates section, update the Shift74 and/or Shifted Rate75

elds in the table.

Note: You can drag and drop curve rates from an Excel spreadsheet into the Shifted Rate column. For moreinformation, see Importing Curve Rates.

The swap deal data updates.

CASHFLOWS AND RESETS

You can analyze cashow amounts and the reset rates used to calculate cashows and value the deal. The following topicsexplain how to analyze cashows on the Cashows tab and manage reset rates on the Resets tab.

CASHFLOWS

The Cashow tab displays the present value of the cashow amounts for each leg or on a net basis, so you can betterunderstand the stream of cashows in a deal.

74 The shift (in basis points) applied to the curve.75 The new shifted rate = market rate + shift.



The tab is divided into two sections. The cashow options section allows you to customize the data that appears in thecashow data section.

Control Area: Allows you to navigate between tabs, congure your default settings, and switch between the table and

chart views of cashows by clicking the Cashow Table and Cashow Graph sub-tabs. For more information about charting cashows, see Charting Cashows. For more information about the tabs and toolbar options, see Control Area.

Cashow Options: Allows you to customize the cashow data that appears and then export customized cashow data toMicrosoft Excel. You can display cashow amounts for each leg or on a net basis, historical cashows, the zero rates usedto calculate the discount factor, and the equivalent coupon rate (for the oating leg) based on the reset rates. For more information about customizing cashow data, see Analyzing Cashows. For more information about exporting to Excel, see Exporting to Excel.

Cashow Data: Displays future cashows along with their present values. Your selections from the cashow optionssection determine the columns of data that appear. Either nominal or actual business-adjusted payment dates appear,according to your selection from the Bus Day Adj76 eld on the Details tab.



stays in the current month.



Note: The rst payment date is the nominal date on which the rst coupon payment is scheduled. When the couponpayment dates for the swap generate, nominal dates appear according to the roll convention and payment frequencyspecied on the Details tab.

For more information about conguring the business day adjustment, roll convention, and payment frequency on theDetails tab, see Conguring Leg Details.

For more information about generating payment dates, see Payment Dates.

ANALYZING CASHFLOWS

This topic explains how to use functionality on the Cashow tab to analyze cashows. For information about cashowcalculations, see Payment Dates.

To analyze cashows:1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a deal.2. Select the Cashow tab.

Cashow data appears.

3. From the Cashow drop-down menu, specify the cashows you want to analyze. You can choose Net to see cashows forthe entire deal or you can choose an individual leg.

The cashow table updates.

4. Specify the data you want to see in the cashow table: If you want to see historical cashows, select Historical Cashows77 .

Modied (Preceding): If the date is not a business day, then the date is adjusted backward to the preceding businessday but stays in the current month. For example, if March 30, 2013 is a Saturday, "Ahead (Following)" adjusts thedate to April 1, 2013, but "Modied Preceding" uses a date of March 29, 2013.

77 The realized cashows over time.



If you want to see zero-rate coupon amounts, select Zero Rate78 .

If you want so see the equivalent coupon amount for the oating leg, select Equiv. Coupon79 .

The cashow table updates.

5. If you want to display the cashow data in a chart, click the Cashow Graph sub-tab.

Cashow data appears in a chart. For information about using the chart, see Charting Cashows.

6. If you want to export the cashow data to a Microsoft Excel spreadsheet, click Export to Excel.


79 The equivalent coupon rate (for the oating leg) based on the reset rates.



The cashow data appears in an Excel spreadsheet on your desktop.

RESETS

The coupon of the oating leg of a swap deal is based on the rate of a specied index. The index rate changes over time, andthe rate used to determine the leg's coupon resets periodically to follow the changing index. The Resets tab allows you toanalyze the historic and projected periodic resets. You can display reset, convexity, and forward rates for the deal and entercustom historical rates in the oating leg cashow schedule.

The Resets tab is organized into a control area and a table of reset rates.


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. Bydefault, the rates default to rates on the historical curve.1. From the Main tab, select the reset frequency for the oating leg from the Reset Freq drop-down menu.



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 eld, 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 xed coupons or increasing spreads foroating 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 congure settings for the individual legs of thedeal, including amortization methods. The amortization schedule allows you to customize the amortization schedule for theindividual legs of the deal.

80 The reset rates for the corresponding accrual periods. Both historical and implied forward reset rates appear. Youcan change historical reset rates, which default to rates on the historical curve, by entering new values into thecorresponding highlighted elds. The implied forward reset rates are determined by the forward curve and cannot bechanged.




Area. Detail: Allows you to further congure 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,different settings appear. For example, the Bus Day Adj81 eld allows you to choose the business day adjustment methodused to adjust cashow dates to business days. You can also specify whether to adjust payment dates only or to adjustaccrual end dates and payment dates when calculating swap cashows. Further, you can specify the roll convention82 method and calendar used to generate cashow dates. For information about a eld, position your cursor over it or see Denitions. For detailed instructions for conguring settings for individual legs of a deal, see Single Leg Details or Multi-Leg

Details.








For information about conguring 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 AmortRates (%)83 , Amort Amount84 , and Balance85 columns. The Apply Amortization to the Other Leg checkbox allows you toautomatically populate the other leg's amortization schedule according to your inputs for the current leg. When this optionis 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 anddrop them back into the appropriate column in the amortization schedule in SWPM. The columns to which you can dragand drop data include Amort Rate (%), Amort Amount, and Balance. You must drop the data into the appropriate column. For information about a eld, position your cursor over it or see Denitions. 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 payoffinformation.

Steps:1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a swap.2. If you are conguring 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 amountincreases it.

85 Applies to the Details and Resets tabs. The actual amount or remaining balance of the original notional. The latestbalance amount is used for the next payment date if multiple balance amounts are specied after the previous paymentdate, up to and including the next payment date. On the Details tab, you can enter the notional amount to be used foreach accrual period.



Editable elds activate.3. Select the Details tab.

Detailed leg data appears.

4. Select the leg you want to congure.

Data for the selected leg appears.

5. To congure the leg details, update any of the editable elds.For more information on updating the elds, see: Amortization Schedule Amortization Methods Fees Accrual Dates CompoundingThe 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 congure onseveral different tabs.

To congure 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 congure, then select Leg Detail.

The leg detail tabs appear.2. Click a tab to congure the settings:

Main: Provides a general overview of the leg and allows you to update settings. You can see and update the curvesSWPM uses to discount cashows and project forward pricing when pricing the swap. Additionally, the Main tab allows



you to see the valuation for the individual leg and choose the variable that SWPM solves for. For more information, seeMulti-Leg Swap.

Cashow: Allows you to display and export to Microsoft Excel the present value of the cashow amounts for eachleg, including Zero Rate86 , discount rates, Equivalent Coupon Rate87 , and historical cash ows, so you can betterunderstand the stream of cashows behind a security. You can also customize the analysis with your own spot rates forpresent-valuing cashows. For more information, see Cashows.

Details: Displays detailed information for each leg, including Cashow88 frequency, First Payment89 , Bus Day Adj90 (business day adjustment), Roll Convention91 , Calendar92 , Amort Dates93 (amortization dates), and fee amounts,so you can analyze and update specic components of the deal. Additionally, the Details tab allows you to import anamortization schedule. For more information, see Conguring Leg Details.

Resets: Allows you to analyze historic and projected periodic reset rates used in the valuation of the deal. You candisplay reset, convexity, and forward rates for the deal and enter custom historical rates in the oating leg cashowschedule. For more information, see Resets.

3. Congure the settings, then press .For information about the elds that appear, see Denitions.The values update.

4. If you want to return to the Multi-Leg template, press the key.


87 The equivalent coupon rate (for the oating leg) based on the reset rates.88 The cashow projections for individual legs and the entire deal.89 The nominal date on which the rst 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.90 Appears on the Details tab. The method used to adjust cashow 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





92 The aggregate calendar of up to three countries that is used to generate actual reset and payment dates. The Calendareld takes into consideration holidays in the selected countries to ensure that contract payment and reset dates do notfall on a holiday or weekend.

93 The scheduled amortization dates. Amort dates may be different from the payment/cashow dates. Amort amountsthat fall between two payment dates are accumulated into the ending amort payment date for the percent of notionaland amort amount, in thousands. The amount specied as the latest between two payment dates (inclusive on endingpayment date) is used for the ending payment date for the balance.



The Main tab of the Multi-Leg template appears.

SCENARIOS AND RISK

Once you have set up a swap deal, you can stress test it and analyze its sensitivity to rate shifts. The following topics describehow to analyze scenarios and risk on the Scenario, Risk, and Matrix tabs.

For information about how to hedge risk, see Hedging Risk.

SCENARIO

The Scenario tab allows you to perform what if scenario analyses in which you can see the effect of specic shifts in the swapcurve on a future date and assess the risks of an open swap position. SWPM allows you to test different scenarios on thesame horizon date or the same scenario on different horizon dates. You can also store the scenarios (market shifts and timeshifts) and global settings (forward evolution and pricing modes).

The Scenario tab is divided into two sections. The scenario section allows you to congure up to four different scenarios, andthe Results section displays the results of your analysis.


Area. Scenario: Allows you to congure up to four different scenarios for analysis. For each scenario, you can specify the

horizon term (Time Shift) and the curve date you want to use. You can choose a saved scenario from the OTC DerivativeScenario Analysis (SHOC) function, or apply custom basis point shifts to a selected swap curve. The Path Progressiondrop-down menu allows you to congure the progression for the scenario: you can apply the shock either today, at thenal horizon date, or over time to the horizon date. The forward evolution settings allow you to choose the curve used asthe base case in your analysis. You can use the projected interest rate curve at the horizon date (Y) or today's interest ratecurve (N) as the base case for your analysis. The plus sign to the left of the curve names allows you to display the individualbasis point shifts that are applied to each point on the curve. For cross-currency swap structures, a customizable FX rateeld appears. For swap structures with embedded options, a customizable volatility eld appears. You can enter a value



in units of "percent of Black Vol." For a VCUB shift, each and every VCUB market volatility quote is shifted by the shockamount. For a at volatility shift, a 5% shift, for example, shifts a at Black vol of 20% to 25%. For information about a eld, see Denitions. For detailed instructions for setting up and analyzing scenarios, see Analyzing Scenarios. For information about SHOC, see SHOC .

Results: Displays the results of your scenario analysis and allows you to display the projected cashows based on yourscenario inputs. Results include the present value of the individual legs (Leg1/2 PV) and the deal (Net PV), accruedinterest, Gamma (1bp)94 , DV0195 , and the present value of payments that are reinvested based on rates on the curve.The Basic Results drop-down menu at the top-right of the section allows you to chart the market value, Gamma, or DV01of a selected scenario over time. For information about a eld, see Denitions. For information about charting scenario results, see Charting Results.

ANALYZING SCENARIOS

The Scenario tab allows you to perform what if scenario analyses in which you can see the effect of specic shifts in the swapcurve on a future date and assess the risks of an open swap position.

Steps:1. Follow the steps in Pricing a Vanilla Swap or Loading Saved Deals to create or load a deal.2. Select the Scenario tab.

Scenario data appears.3. Choose the scenarios you want to assess (up to four):

To create a custom scenario, in the command line, enter SHOC to launch the Scenario Manager (SHOC)function. For more information on creating custom scenarios, see SHOC .

To choose a pre-built scenario, from the Market Shifts drop-down menu, choose a shift: My Scenarios: Allows you to choose a custom shift you have created in SHOC. Bloomberg Scenarios: Allows you to choose a shift pre-congured by Bloomberg. Other Shared Scenarios: Allows you to choose a shift shared with you by other BLOOMBERG PROFESSIONAL

service users, including members of your rm. To customize curve shifts directly from SWPM, choose Negative/Positive Change from the Market Shifts drop-down

menu, then specify the type of shift (Additive96 , Multiplicative97 , Override98 ), and the shift amount in the eldscorresponding to the relevant curves.

94 The rate of change in delta per unit change in the price of the underlying security.

If applicable, the gamma for the swaptions priced by the HW1F model is the difference between deltas when the swapcurve is parallel-shifted up and down by 10 bps. Delta1 shift up the swap curve by 10 bps, Delta2 shift down the swapcurve by 10 bps. Gamma = (Delta1 - Delta2) / 2 and then scaled to 1 bp.

95 The sensitivity to the curve shift (downPrincipal - upPrincipal)/(2xShiftinPercent).96 Allows you to apply an absolute shift (in bps).97 Allows you to apply a relative shift (in percent).



The scenario loads.4. If you want to adjust the shift parameters, update the Time Shifts99 and/or Curve Date100 elds.5. If you want to display the individual basis point shifts that are applied to each point on the curve, click the plus sign to the

left of the corresponding curve name.

The individual points on the curve appear.

6. Choose a Path Progression101 setting: Shift at Hzn Date102 , Shift Today (Instantaneous Shift)103 , or LinearProgression104 .

7. Choose a Fwd Evolution105 setting: Y: Allows you to use the projected yield curve at the horizon date as the base case. N: Uses today's interest rate curve as the base case.

8. Choose the type of Reinvestment Rate106 and, if you choose a at annual rate, specify the APR107 .9. Press .

The results for each scenario appear at the bottom of the screen.10.If you want to display cashows for a scenario, click the corresponding View Cashow button.

98 Allows you to apply a shift with a custom value.99 Applies to the Curve Date eld on the Scenario tab. The time shift and corresponding curve date.


101 The path used in the path-dependent strategy.102 No change in market inputs, and "shock" at the nal horizon date.103 The shock as of "today" and no change between today and the horizon date.104 The linear progression of the shock over time to the horizon date.105 The evolution to the forward. The down arrow to the right of the highlighted eld allows you to forward evolve the

market (curves and the FX) or use the same market that is being used by the deal. The forward evolving of the curves isconsistent with the curve horizon tab in the Curve Builder (ICVS) function. For more information, see ICVS .

106 The type of cashow reinvestment rate for the horizon period. You can choose between a at annual rate, which you canspecify in the APR eld, and the actual market rate.

107 The annual percentage rate at which cashows are reinvested between the original curve date and the horizon date.



Cashows for the scenario appear in a table format.

Note: To return to the Scenario tab, click the Return to Scenario Table button.11.If you want to save your updates, click the Save Settings button.

Your updates save.

For information about charting your results, see Charting Results.

CHARTING RESULTS

You can chart the results of your scenario analysis.

Steps:1. Follow the steps in Analyzing Scenarios to create a scenario.2. From the Basic Results drop-down menu in the Results section of the screen, select Horizon Graph.

The horizon graph appears.

3. Customize the graph: Select the Scenario checkboxes corresponding to the scenario data you want to chart.



From the Display drop-down menu, select the measure you want to chart: Market Value108 , DV01109 , Gamma110 . From the Interval drop-down menu, choose the interval at which you want to chart data.The chart updates according to your selections.

Note: To return to the Basic Results view, select Basic Results from the Horizon Graph drop-down menu.

RISK

The Risk tab allows you analyze the sensitivity of a deal to various rate shifts at individual points along the curve.

The Risk tab is divided into four sections. You can congure the curve shift and calculation method in the conguration section,and then analyze risk values in the risk table and risk chart. The valuation section allows you to evaluate the swap value alongwith additional risk gures.

Conguration: Allows you to congure curve shift options, currency/curve conventions, IMM date, and Libor xing

options. Your selections override the DV01/KRR curve settings from the Swap Curve Defaults (SWDF) function. TheDV01/KRR Calc Method drop-down menu allows you to choose whether the reference rate used for the rst oatingcoupon in the par swap curve is presumed to be xed or allowed to shift. The Show Curve Rate checkbox allows you todisplay the synthetic curve in a Rate column in the risk table. You can also choose to display portfolio key rate risk111 or fullkey rate risk112 in the risk table.

108 The sum of the present values of the leg cashows.109 The sensitivity to the curve shift (downPrincipal - upPrincipal)/(2xShiftinPercent).110 The rate of change in the delta with respect to change in the curve shift. Delta is dened as the rate of change in market

value with respect to change in the curve shift.111 The change in the market value of the deal for a basis point change on a particular swap rate or tenor, based on the

standard consolidated portfolio risk grid. Portfolio key rate risk denes bucketed interest rate exposure in terms of



Key rate risk is the change in the market value of the deal for a basis point change in a particular swap rate. For example, ifthe par curve is shifted up or down by one basis point at a specic term point, and the rest of the points on the par curveremain the same, the dollar change in market value divided by two is the key rate risk for the term. Key rate risk measuresthe effect of a 1 bp change in the yield curve for each maturity point individually, leaving the other points unchanged. DV01describes the change in the portfolio value for a 1 bp parallel shift of the entire curve. For more information about SWDF, see SWDF or enter SWDF DFLT . For detailed instructions for analyzing risk according to your specications, see Managing Risk.

Risk: Displays risk values for individual curve components based on your selections from the conguration section. Forexample, the 3 MO row displays the change in market value of the deal for a basis point change on the three-month cashrate. If you select the Show Curve Rate checkbox in the conguration section, the synthetic curve appears. For informationabout the synthetic curve, see DV01/KRR Synthetic Curves Release Notes. At the bottom of the section, the AdditionalRisk sub-section displays risk113 , DV01114 , and mod. duration115 for the individual legs of the deal and for the deal as awhole.

Risk Chart: Charts net portfolio/full key rate risk values from the risk table.

interest rate swap maturities and outright swap rates. It adds all the risk below the one year tenor to the one y

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