Present Value History, Risk Segmentation and Other New Features

Norman Winterling, Erik Süptitz. Friday, August 28, 2009

Currency rate history, innovative risk segmentation and other new features.

Present Value History

A new function is Present Value History, which is to be found in the Risk Overview report. Present Values of all deals are saved daily from 17 June 2009 to form a chronological table. Please note that, where changes occur in the parameters of pre-existing relevant deals (e.g. a change in nominal values, these cannot be reflected or back-calculated in previous data.

NPV History

Debtor Balance Overview

Nominal Balance at Month End

The Interest & Repayments Plan report contains a new month-end overview of debtor balances representing the nominal amounts of outstanding and new collectables selected for the report. As usual, this overview can be exported to Excel for use in user-designed analysis models and graphics.

Risk Segementation

In sals.a’s Main Display, under Options, you can find Risk Segmentation. This new function enables selected Risk categories (e.g. interest, raw materials, currencies) to be displayed separately or aggregated and their impact analysed in a variety of scenarios.

For example: The relevant deal is a CHF loan with variable interest. In the first example, the expected interest burden can be seen over the lifetime of the loan, where an interest rate rise (CHF Interest Curve) of up to 100bps as compared with current rates. (N.B: All values are expressed in EUR as determined by the Options selection).

Risk Segmentation 1

Consider currency components: In addition to the rise in CHF interest rate, there is also a 10% increase in the value of the EUR over the CHF as compared with the current exchange rate, which leads to an overall reduction of the expected risk position.

Risk Segmentation

Risk Scenario CurvesChanges to Risk Scenario Curves

A steepening or flattening of the interest curve only comes from a change at the short end of the curve. The current view of these scenarios can usually be called up under Market Data.

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