Fin Report Writer

1 Basic Principles
1.1 Overview
1.1.1 What you will find in this manual
This manual covers all amount fields and rate fields for the report types Holdings”, “Period Holdings”,
“Transactions” and “Payments”. In Chapter 2, each field is documented by means of a general description, as
well as a more specific description of the field contents for each deal type. Chapter 3 describes the different
formulas and methods used for calculating the field values, and Chapter 4 documents special settings.
The purpose of this documentation is to provide a complete reference to the calculations
used for each field.
1.1.2 What you will not find in this manual
This manual covers the contents of the amount fields and rate fields in detail. For documentation on general
usage of the Financial Report Writer, e.g. how to define, edit, layout and order reports etc, please see the main
TWIN documentation (TWIN User´s Manual). This manual also assumes a certain amount of knowledge of the
technical properties of the different instruments, e.g. which type of “cash flow” different deal types generate, etc.
1.1.3 How to use this manual
Chapter 1 contains information on the structure and conventions of this manual, as well as a description of the
basic principles of the Financial Report Writer, and should be studied prior to reading subsequent chapters. The
rest of this documentation is designed to be used as a reference manual.
1.1.4 Classification of instruments
The field descriptions classify deals according to the handling requirements of each field.
The different concepts and codes used are described in section 1.2, “Classification of instruments”.
1.1.5 Consolidation currency
The field descriptions use local currency, i.e. deal currency for Money Market deals and Equities, and cross
currency for FX deals. Section 1.3, “Rules for calculating consolidation currency”, describes how to convert field
values into arbitrary consolidation currencies. Please note that this conversion is independent of other
calculations, and is performed according to the same general rules for currency conversion used by TWIN in
Front Office, Cash Management/Accounting link.
1.1.6 Selection
In order to fully understand the TWIN Financial Report Writer, it is important to realise that the selection process
takes place independently of the calculation process. The system first examines which serial numbers and deal
numbers to include on the list. It then performs calculations, and regardless of the active date selection, the
amounts will always be the same as long as the number of serial and deal numbers are the same. The
principles governing selection are described in section 1.4, “Selection rules”. Please note that IB date and OB
date in the Report Order window are not considered selection criteria; they are calculation parameters, and as
such they will have an impact on calculations.
1.1.7 Special functions
Section 1.5, “Special functions”, describes some of the special functions of the Financial Report Writer.
1.1.8 Special instruments
Section 1.6, “Special instruments”, describes instruments not covered by the general rules, and the
modifications required for each of them.
1.1.9 Key fields
Section 1.7 describes the areas of use for each report type, as well as their “key” fields.
Each report type contains fields of central importance, as well as fields of secondary importance.
1.1.10 Field descriptions
Chapter 2 contains detailed specifications for every rate field and amount field in the TWIN Financial Report
Writer’s four different report types, “Holdings”, “Period Holdings”, “Transactions” and “Payments”. The fields are
documented in the order in which they appear in the report definitions. Italics are used to mark references to
other fields in cases where the value of one field depends on the value of another. Section 2.9 describes the
fields that are of use to Value-at-Risk reports only.
1.1.11 Formulas and calculations
Chapter 3 describes complex calculations used in the TWIN system. Section 3.1, “Formulas”, contains an index
of frequently used formulas, and section 3.2, “Methods of calculation”, describes how some of these formulas
are used, and how to perform more complex calculations by applying several formulas in sequence. The field
descriptions contain many references to this chapter. Formulas 3.1.1-20 pertain to all report types, whereas
formulas 3.1.21-29 are only used for Value-at-Risk calculations.
1.1.12 Special settings

The field descriptions document the default behaviour of each field. Chapter 4 describes the different special
settings that can be made in the Financial Report Writer, and how they affect this behaviour. The fields that are
affected by special settings are marked in the field description with a code corresponding to the setting.
Each field can have several such codes. Special settings which do not affect calculations, e.g. layout settings,
are not covered by this documentation; they are, however, fully covered in the main TWIN documentation
(TWIN User’s Manual).
Please note that a field may be indirectly affected by a special setting, i.e. if the value of the field depends on
another field which in turn depends on a special setting. Each special setting is associated with a code which
indicates the report types for which the setting is relevant.
All settings marked “P” can be used for Value-at-Risk reports, and settings marked “V” are only relevant to
Value-at-Risk reports.
1.1.13 Value-at-Risk
Chapter 5 describes principles and procedures for using Value-at-Risk functionality with the TWIN system.
Formulas, field descriptions and special settings associated with Value-at-Risk are documented in the relevant
sections of this manual. Although Value-at-Risk is an add-on module, it is documented in this manual in order to
facilitate access to important specifications.
1.1.14 Example calculations
Chapter 6 contains some example calculations for a “Period Holdings” type report, with references to relevant
sections of this manual. The purpose of these examples is to present a typical approach to using this manual.
1.2 Classification of instruments
1.2.1 Financial Ledger (module)
The highest level of classification, based on the module in which a deal is entered into the system, is
classification by Financial Ledger (module).
Money Market
Foreign Exchange
Equities
Please note that all interest bearing instruments, even e.g. short-term loans in foreign currency, are classified
as Money Market. All field descriptions are based on this
classification.
1.2.2 Foreign Exchange
Foreign Exchange is further divided into two categories. Please note that spot exchanges are considered FX
forwards for the purposes of this documentation.
FX Forwards
FX Options
1.2.3 Equities
Equities are further divided into the following three categories.

Equity Securities
Equity Futures
Equity Options
Any instrument type with derivatives, which is not marked as a future in the Equity Security table is considered
an option. E.g. a subscription right is considered an option.
1.2.4 Money Market
The classification of Money Market is considerably more complex than for the other types of modules. The
classification below resembles Equities, and is controlled by the parameters “Investment Type” and “Options” in
the MM Securities table.
MM Spot
MM Forward
MM Option
However, some of the fields require a more fine-grained classification of Money Market deals. The classification
below is not based on spot or derivative code, but on the technical structure of the underlying instrument,
regardless of whether it is spot, forward or option.
MM-short-term(VX)
MM-short-term(LP)
MM-long-term(Fixed)
MM-long-term(Floating)
This classification of MM instruments is sometimes used in the field descriptions.
Some cases demand an even more detailed classification of MM instruments; a classification based on both
spot/derivative and technical structure. The list below also specifies which instruments belong to each category.
MM-short-term(VX)-spot Bills (of Exchange), Certificates, Market
Certificates, Zero-coupon bonds
MM-short-term(LP)-spot Short-term loans and deposits
MM-long-term(Fixed)-spot Bonds, Long-term fixed interest loans,
Fixed interest leg in IR Swaps
MM-long-term(Floating)-spot FRN, VRN, Long-term floating interest
loans, floating interest leg in IR Swaps
MM-short-term(VX)-forward Short-term IR Futures (OM), Liffe futures
MM-short-term(LP)-forward FRA
MM-long-term(Fixed)-forward Long-term IR Futures (OM), Forwards on
bonds
MM-short-term(VX)-option Short-term IR Options
MM-long-term(LP)-option FRA-options
MM-long-term(Fixed)-option Options on bonds
1.2.5 Bank accounts
In some cases, the field descriptions refer to an additional record type, “Bank Accounts”.
This is only documented where relevant to the instrument in question.
1.3 Rules for conversion to consolidation currency
1.3.1 Consolidation currency rates
A consolidation currency rate (hereafter “ConsCur-rate”) is an FX rate between the deal currency (cross
currency for FX market) and an arbitrary currency, usually the default urrency of the system. A consolidation
currency rate is always an FX spot rate that is valid at a certain date between two arbitrary currencies. FX
forward rates are not ConsCur-rates.
Consolidation currency rates are used to convert amount fields into an arbitrary consolidation currency from
each deal’s local currency. Consolidation currency rates fall into two different categories.
Balance date currencies
Deal related currencies
Balance date currencies are retrieved from the Exchange Rate/Rates table based on the IB date or OB date. If
the consolidation currency is different from the default currency, the rate is derived from two rates according to
formula 3.1.13.
Deal related rates are retrieved from a specific deal (serial number and deal number) according to one of four
methods. If nothing else is specified in the report, the default method for the installation will be used.
The four methods are:
1. Registered (entered) ConsCur-rate for the deal (against base currency or
bookkeeping currency)
2. Table rate at deal date
3. Table rate at settlement date
4. Table rate two (2) bank days before settlement date
Please note that if the first method is selected, consolidation can only be performed in the default currency
(base currency) or the bookkeeping currency. In order to consolidate in a currency other than the default
currency, the rate is derived from two rates according to formula 3.1.13. The terminology used for describing
deal related ConsCur rates is “The consolidation currency rate associated with deal number 999”.
In the case of FX forwards, the settlement date refers to the “middle date” in the FX Deal desk, i.e. value date.
Hence, the FX rate used for result calculation on the final maturity date is not a consolidation currency rate.
When searching for a ConsCur rate and no rate matches the specified date, the rate with the closest earlier
date and the correct rate type and currency is used instead.
For consolidating in a currency other than the base currency, see the special settings
[4.1.1 Bookr], [4.1.2 Cpbc] and [4.1.3 Curr].
1.3.2 Curr. con. rules for differrent report types

Below are the default rules for converting to consolidation currency for the four different report types.
For the report type “Holdings”, the amounts are consolidated using the balance day’s ConsCur-rate at the OB
date.
For the report type “Transactions”, the amounts are consolidated using the ConsCur-rate associated with the
transaction’s deal.
For the report type “Payments”, the amounts are consolidated with ConsCur-rates associated with the deal from
which the payment originates.
For the report type “Period Holdings”, there is no default. The field descriptions document how consolidation is
performed for each individual payment field.
1.4 Selection rules
1.4.1 Basic principles
This section describes the date selection rules used for the different report types. Each report type is associated
with a unique date index. Using this index, it is possible to calculate how many records must be searched when
an order is executed. Selection by date, module and deal type all affect how many records must be searched.
Selection by
date is compulsory for all report types. This date is usually closely tied to the index. The principles used for each
report type are described below.
It is important to note that selection is usually performed based on one date type only. E.g., for balance reports,
the balance date should normally not be combined with selection by any other date type.
Dates used as selection criteria are valid from the closing of business on the date in question, e.g. all payments
from 1-October to 10-October does not include payments on 1-October. This principle is natural for balances,
but slightly more special for periods. However, this principle is used for all report types in order to preserve
consistency across types.
Bank accounts are not included by default in any of the report types. They must be specifically selected using a
special setting. However, the field descriptions document the contents of each field for bank accounts.
1.4.2 Retroactivity
All report types except Payments are fully retroactive, i.e. a report can always be retrieved in its current state, at
a later date. E.g., a correct year-end balance report can be retrieved at any time of the year, even if new deals
have been entered and sell transactions have been committed after year-end.
This retroactivity principle is of great importance to TWIN report handling. Retroactivity can be activated for
some deal types in “Payment” type reports through the use of special settings.
1.4.3 Report type “Holdings”
This report type pertains to a balance at a specific date. Each serial number is only allowed once, i.e. for each
serial number, a computation is made in order to present the correct balance.
Selection must be made by either deal date or settlement date, but not both simultaneously. However, for
equities, FX and IR derivatives, selection by deal date is strongly recommended. If selection by settlement date
is required instead, certain issues should be examined first. For Money Market, the settlement date equals the
payment date in the Additional Information window.
“Balance date” refers to “to and incl. deal-date” for selections by deal date, and “to and incl. settlement-date” for
selections by settlement date. “From deal date” or “from settlement date” should most likely be left blank for
balance reports, and what happens if they are not left blank is beyond the scope of this documentation.
When selecting by deal date, the balance is calculated from all serial numbers with a deal date (for deal 1) prior
to the specified balance date, and which were not matured or finally sold prior to balance date.
When working with MM maturities, the settlement date is considered a selection criterion, even when selecting
by deal date. The outstanding quantity reflected in the field Nom.Amt/ for most reports pertains to the entered
quantity, with all deals with a deal date prior to or on the balance date taken into consideration.
Selection by settlement date is performed as described in the paragraph above, using the settlement date as
selection criterion instead.
The balance date selection described above is the only date selection that should normally be performed on
reports of the “Holdings” type.
Depending on the context, “balance date” is sometimes referred to as OB date. For the purposes of “Holdings”
reports, these denominations are equivalent.
Indexing of “Holdings” reports is performed through searching all deals that are active on the balance date and
later when generating a report. Consequently, retroactive reports can take somewhat longer to generate than
“current” reports.
[4.4.1 Bank] [4.4.7 Nocl] [4.4.9 Bothlg]
1.4.4 Report type “Period Holdings”
This report type is used for periodic P/L surveys. All deals that in theory should have been on a holdings report
generated during the specified period will be given one line in the report.
Selection must be made by either deal date or settlement date, but not both simultaneously. However, for
equities, FX and IR derivatives, selection by deal date is strongly recommended. If selection by settlement date
is required instead, certain issues should be examined first. For Money Market, the settlement date equals the
payment date in the Additional Information window. Both from-date and to and incl.-date must be specified for
this report type.
The IB quantity is calculated like the corresponding holdings list, generated on the from-date (see Report type
“Holdings”). The OB quantity is calculated like the corresponding holdings list, generated on the to and incl-
date.
The realized (sub) deals of the period are defined as the deals that are included in the IB quantity but not in the
OB quantity and vice versa. These are of critical importance when calculating the complex period holdings fields
RateD_Re/, Int_Re/ and ExDif_Re/. However, deal number 1 for Money Market is not considered a realized
deal.
Indexing of “Period Holdings” reports is performed through searching all deals that are active on the from date
and later when generating a report. Consequently, retroactive reports can take somewhat longer to generate
than “current” reports.
[4.4.1 Bank] [4.4.5 Ibact] [4.4.6 Coint] [4.4.7 Nocl] [4.4.10 Manres]
1.4.5 Report type “Transactions”
This report type pertains to committed deals. For “Transactions” reports, selection by entry date is compulsory.
Every deal transaction with an entry date later than the from-date but earlier than, or on, the to and incl.-date is
included on the list. The deal entry date-index is always used; consequently, all deal transactions in the
selected period must be scanned when generating the report.
For Foreign Exchange and Equities, all (sub) deals are considered deal transactions. For Money Market, deal 1
and all sale deals are considered deal transactions. By default, interest payments and amortizations are not
considered deal transactions.
Please note that the entry date is automatically set based on the internal computer clock at the time of the deal
entry.
Selection based on several different date types is possible for this report type. E.g., entry date selection can be
combined with deal date selection in order to include all deal closes performed at a certain date.
[4.4.4 Totlog] [4.4.8 Autoc]
1.4.6 Report type “Payments”
Selection based on settlement date is compulsory. All payments with a settlement date later than the from-date
but earlier than, or on, the to and incl.-date are included on the list. The settlement date-index is always used;
consequently, all payments in the selected period must be scanned when generating the report.
When generating risk reports based on the “cash flow principle”, the from-date should be set to the balance
date, and the to and incl.-date should be set to a late date, e.g. 2050. With this selection, all future cash flows
will be included. See also the special settings below for information concerning the selection rules for risk
reports generated with the “Payments” report type.
[4.6.6 Mmderiv] [4.6.7 Fxopt] [4.6.8 Fxacco] [4.6.9 Fxshare]

TWIN Basic Principles – Special Instruments
1.5 Special functions
1.5.1 FX Forwards without Forward valuation
The default behavior when performing an FX Forward valuation is to also perform an interest rate valuation, i.e.
forward rates are used for valuation. The field descriptions assume that this method is used. It is, however,
possible to perform valuation of FX Forwards without taking the interest rate dimension into account. In order to
use this method, the box marked “FWD” in the Report Order window must be checked. With this method, the
interest P/L will be zero for all forwards, and accrued interest and currency rate difference will be the only P/L
components. This is valid for “Holdings” as well as “Period Holdings”, and also works for FX Forwards entered
in accordance with the special functions described in 1.6.1.
1.5.2 Results from initial in “Period Holdings” reports
The purpose of the “Period Holdings” report is to provide a survey of results for a given period; this is further
described in the field documentation. By leaving the IB date blank in the Report Order window, results from
initial purchase for the active deals of the selected period are obtained.
However, this method is not recommended, and prior to using this type of report, any alternatives should be
carefully examined. Please note that this method is not implemented for all instruments, e.g. options and
instruments described in section 1.6.
1.5.3 Ingoing balance values in “Holdings” reports
All fields in “Holdings” reports described as ingoing balance values pertain to purchase values by default. By
entering the IB date in the Report Order window, the purchase values are changed to “true” ingoing balance
values, i.e. the balance is valuated even at the IB, and the P/L components give the unrealized P/L between IB
date and OB date. However, deals started after the IB are still valuated at their purchase value. Please note that
this does not affect the selection process, which is still based on OB-balance.
Experience indicates that this sort of usage is redundant in most cases. We recommend the use of “Period
Holdings” reports for this type of functionality.
Please note that this method is not implemented for all instruments, e.g. options and instruments described in
section 1.6.
1.6 Special instruments
1.6.1 FX Forwards: Extensions, Redemptions, Closings

The field documentation makes the assumption that all FX forwards are entered as separate deals, i.e. without
using the three special functions described below. Under some circumstances, however, it may be desirable to
group several FX forwards together using these functions. This can make deal entry more convenient, but has
the disadvantage of making some calculations hard to trace, since several deals share the same serial number.
It also disables the use of some special functions.
We recommend carefully considering the necessity of using these functions prior to

making a decision.
The three functions correspond to the following deals. A closing corresponds to a counter deal with the same
settlement date as the original deal. An extension corresponds to a spot deal with the same settlement date as
the original deal, and a new FX forward. A redemption corresponds to a counter deal with the same settlement
date as the original deal, and a spot deal with the same amount as the counter deal. The effects on the different
report types are described below.
In “Period Holdings” reports, the total P/L is the same as if the deals had been entered separately. However, the
relationship between realized and unrealized will change due to e.g. closed FX forwards being considered
realized.
In “Holdings” reports, the position is only shown on the specified balance date which gives the outstanding net
position. E.g., a deal won’t be shown at all if it was closed on the balance date. Risk is the same as per
separate serial numbers, but the total P/L is affected due to results which would be considered unrealized when
entering deals separately, now are considered fully or partly realized.
In “Transactions” reports, every closing, extension or redemption is now considered one transaction. This is in
contrast to the behaviour when entering deals separately.
In “Payments” reports, the following applies. When closing a deal, gross amounts are presented, i.e. a deal and
a closing corresponds to four payments. At redemption and at extension, net amounts are presented. E.g. a
deal and an extension correspond to any difference in one of the currencies, and two future payments.
1.6.2 Caps & Floors
The field documentation is only concerned with simple (plain) IR options and not series of options, like Caps &
Floors. These functions are outlined below.
In “Payments” reports, the deal is displayed as a line with one premium amount. In “Transactions” reports, the
deal is considered a transaction with a nominal amount equal to the entered nominal amount.
In “Holdings” and “Period Holdings” reports, Caps and Floors are treated as a series of options, with each
simple option generating its own line. E.g., a four year Cap with fixing every 6 months is presented as eight
separate simple options. The options will be of the type defined in the MM Securities table. Valuation, risk and
P/L are calculated separately for each simple option according to the field documentation. The purchase price is
spread equally over the simple options.
The special settings for “Editing/Layout” has the option “Caps & Floors displayed on one line”. Selecting this has
the effect of showing the instrument as one line in “Holdings” and “Period Holdings”. Please note that this only
affects presentation;
calculations are still performed separately for each simple option, but the results are added or combined.
1.6.3 Instruments with interest in advance

This instrument is a modified version of MM-short-term(VX), where the amount used for interest calculation is
the end amount instead of the invested amount. This modification is not covered by the field documentation;
please refer to the description below instead.
The difference in market value between MM-short-term(VX) and this modified version affects the “rate
difference” P/L component, and is illustrated by the example provided below. The example concerns a deal in
“Period Holdings”, which starts and ends within the period, but the reasoning is equally applicable to valuation.
Example:
Interest rate at settlement: 10%
Nominal amount 10M -> Invested amount 9.5M
Tenor 180 days (360/360)

Interest rate at maturity: 9.5M * 10% * 180 / 360 = 0.475M
Rate difference at maturity: 10M - 9.5M - 0.475M = 0.025M
1.6.4 Instruments with the “Euro-Futures” pricing type
This pricing method can appear somewhat cryptic, but given the right approach it is easy to manage. The only
difference compared to the “Interest” price type is that the presentation of interest rates uses the format (100 –
interest rate). E.g., if the interest rate is 6%, this will be presented in the interest field as 94. However, all
internal calulations are still performed using the interest rate 6%. Hence, the “Euro-Futures” price type is
identical to “Interest”, but with a somewhat modified output format. Please note that according to some
terminology the figure 94 in the example above would be referred to as “Rate”. However, in TWIN this figure is
always considered a modified interest rate.
1.6.5 Real Interest Bonds
This instrument works by increasing all future cash flows by an index. None of the calculations presented in this
documentation take “Real Interest Bonds” into account. In order to arrive at the correct calculations for these
instruments, the following description should be consulted, and the calculations should be modified accordingly.
Every deal transaction and every valuation is associated with an interpolated consumer price index (KPI),
calculated using formula 3.1.20. Every deal transaction and valuation modifies the settlement amount by the
change from the issue date of the KPI for the real interest bond in question.
Example of a valuation:
KPI at issue 350

KPI at OB date 420
Rate at OB date according to calculation rules 102.5
Accrued interest in percent of nominal amount at OB date 3.2
Outstanding nominal amount at OB date 10M
Accrued interest = 10M * 3.2 / 100 * 420 / 350 = 0.384M

Market value = 10M * (102.5 + 3.2) / 100 * 420 / 350 = 12.684M
Please note that TWIN considers the index effect, i.e. inflation compensation, as a rate difference and not as
accrued interest.
TWIN Basic Principles – Key Fields in the Different Reports
1.7 “Key” fields in the different reports
1.7.1 Report type “Holdings”
The “Holdings” report type is typically used for inventory reports and reports for unrealized results for the
purposes of daily monitoring and end-of-period accounting. Interest rate risks can also be included, to a certain
degree. Important fields in this report include Ex. Rate (i), Ex. Rate (o), Rate (i), Rate (o), Nom.Amt/, Set. Amt/i,
Set. Amt/o, Ratediff/, Ex. Diff/, Acc. Int/o, and Tot.Res/. Important risk fields are Duration/ and Int. Risk/.
1.7.2 Report type “Period Holdings”
This report type is used for periodic P/L monitoring. Results can be measured either from year-end, on a
monthly or daily basis, or based on an arbitrary time interval. Interest rate risks can also be included.
Important fields in this report are Ex. Rate (i), Ex. Rate (o), Rate (i), Rate (o), Int. Amt/, Int_Re/, Int_UR/,
Ratediff/, RateD_Re/, RateD_UR/, Ex. Diff/, ExDif_Re/, ExDif_Ur/, Unr.Res/, Re.Res/ and Tot.Res/.
1.7.3 Report type “Transactions”
This report type is typically used for deal transaction reports of the “to-days deals” type, and for turnover
reports. Important fields are Exch. Rate, Rate, Interest, Nom. Amt/, Acc. Int/, Set. Amt/.
1.7.4 Report type “Payments”
This report type has two main applications; monitoring cash flows, and producing general risk reports using the
“Cashflow” method. The most important field for both applications is Set. Amt/. When monitoring risk, the fields
Int.Risk/ and CurRisk/ are also of great importance.
1.7.5 Report type “Value-at-Risk”
This report type is only used for monitoring risk according to the Value-at-Risk model. The important fields are
Set. Amt/, and the fields described in 2.9.
TWIN Field Descriptions – Value-At-Risk Fields
2 Field descriptions
2.1 Holdings, Rate fields
2.1.1 (H) Exchange Rate – in, Ex.Rate (i)
This field pertains to the spot foreign exchange rate at the time of purchase. [4.2.3 Spcform]
Money Market, FX Options

The ConsCur-rate associated with deal number 1.
FX Forwards
FX forward rate entered in the left hand side of the FX Deal desk.
Equities
Average deal related ConsCur-rate for all the deals selected prior to the OB-date. Please
see selection rules and calculation 3.2.7.
Bank Accounts
Table rate using the balance day’s ConsCur-rate at the OB date.
2.1.2 (H) Exchange Rate – out, Ex.Rate (o)
This field pertains to the spot foreign exchange rate at the balance date. [4.2.3 Spcform]
Money Market, Eqiuties, FX Options, Bank Accounts

Table rate using the balance day’s ConsCur-rate at the OB date. [4.5.5 Intres]
FX Forwards
Table FX spot rate between the deal currency and the cross currency for the FX forward
(formula 3.1.13).
If rates for the OB date are missing, the latest rate with a date prior to or on the OB date
will be substituted.
2.1.3 (H) Group Currency Rate – out, Ex.Rate(oG)
2.1.4 (H) Average Purchase Exchange Rate, PurchExRate
2.1.5 (H) Average Purchase Rate, Purch.Rate
2.1.6 (H) Rate - in, Rate(i)
This field pertains to the market rate at purchase.

MM spot, MM forwards
Entered rate from deal number 1 if the security is traded at rate. Rate from deal number 1, calculated from the
interest at the date of entry if the security is traded at interest rate. [4.5.4 Unreal]
FX Forwards
FX forward rate entered in the left hand side of the FX Deal desk. [4.2.1 Fxinp ] [4.2.3 Spcform]
Equities
Average entered purchase rate for all selected deals prior to the OB date. Please see selection rules and
calculation 3.2.7.
IR Options
Entered price at purchase expressed as a percentage of the nominal amount from the Option Terms window in
deal number 1.
FX Options
Entered price at purchase expressed as cross currency units per deal currency unit, the Option Terms window
in deal number 1.
2.1.7 (H) Rate - out, Rate (o)
This field pertains to the market rate at the OB date for all instruments, and is a central field for the purposes of
deriving calculations concerning market value and results. [4.5.14 Notime]
MM spot, MM forward
If the deal is valuated at rate, and no zero-coupon valuation is performed, the market rate will be retrieved from
the MM Rate/Rates table according to the same principles used for a single interest rate described under
Interest(o). Under all other circumstances, the market rate will be derived from Interest(o) or a zero-coupon
yield curve as described under 3.2.1. [4.5.10 Reporw] [4.5.11Purval] [4.5.15 Teoset]
FX Forward
The market forward rate at the OB date, calculated using formula 3.1.12. Searching is performed in both
currencies prior to calculating the rate using formula 3.1.13. FX forward rates are always searched on the date
of the FX spot rate; please see Ex. Rate (o). [4.2.3 Spcform]
IR Options
The market rate expressed as a percentage of the nominal amount; please see 3.2.3 and 3.2.4.
FX Options
The market rate expressed as cross currency units per currency unit; please see 3.2.3 and 3.2.5.
Equities
The latest market rate in the Equity Rate/Rates table prior to or on the OB date. [4.8.1 Oldcheck].
2.1.8 (H) Interest - in, Interest (i)

This field pertains to the market interest rate at the time of purchase, i.e. the interest rate at the commitment or
the interest rate derived from the deal rate. It is of critical importance not to confuse this with nominal interest
rate.
MM spot, MM forwards
The interest rate at the deal commitment. This is the interest rate entered for deal number 1 if the underlying
security is quoted at interest rate, otherwise an interest rate calculated from the entered rate of deal number 1.
IR Options
Strike interest rate for the option. This is the strike interest rate entered for deal number 1 if the underlying
security is quoted at interest rate, otherwise a strike interest rate calculated from the entered strike rate of deal
number 1.
FX Forwards
Entered swap points from the left hand side of the FX Deal desk.
2.1.9 (H) Interest - out, Interest (o)
This field pertains to the deal’s market rate at the OB date, retrieved from the MM Rate/Rates table on the OB
date.
MM spot, MM forward
In the absence of a value reference or rates for the specified value reference, Interest(i) is used. Otherwise, if
the instrument is valued at interest rate and the corresponding value reference pertains to a single interest rate,
this will be searched without using any interpolation.
If the instrument is valued at yield curve, interpolation will be performed using formula 3.1.10, where tenor is the
number of calendar days between the OB date and the final maturity date (or the next interest roll date for MM-
long-term(Floating)). If the instrument is a future or a forward, i.e. a deal with the settlement date set forward, an
additional search will be performed according to formula 3.1.10, in order to retrieve the interest for tenor from
the OB date to the final maturity date. The interest will then be calculated using formula 3.1.11. If the instrument
is valued at rate and no zero-coupon valuation is performed, the market interest rate will be calculated from
Rate(o) as described in 3.2.2. When searching for rates in the MM Rate/Rates table, the latest date prior to or
on the OB date for which the value reference has at least one rate will be used.
FX Forward
The swap points at the OB date, i.e. Rate(o) – Ex.Rate(o).
IR Option
The market interest rate for the underlying security as per the MM spot, MM forward section above.
FX Option
The swap points for the underlying FX forward as per the FX Forward section above.
2.1.10 (H) Nominal interest, Nom. Int.
This field is only used for Money Market, and pertains to an interest rate connected to a security or a valid
interest rate specified in the “Diary of interest change”. For some instruments, Interest(i) is also shown here.
MM-short-term
Interest (i).
MM-long-term (Fixed)
The interest rate from the field “Nominal Interest” in the MM Security table. If this is zero, this field will show the
interest rate from the “Additional Information” window or from the “Fixed Interest” window in deal number 1.
MM-long-term (Floating)
The interest rate at OB date according to the specification in the “Diary of interest change”, and any entered
base interest.
Bank accounts
The valid interest rate for the bank account, according to “Interest Calculation” for bank accounts.
2.1.11 (H) Tenor, Tenor
This field pertains to Tenor expressed as number of calendar days from the OB date to the final maturity for all
instruments with time defined tenor.
MM spot, MM forward
The end date is always the final maturity date entered for the deal. If the settlement date for deal number 1 is
later than the OB date, it will be used as the start date.
FX Forward
The end date always equals the the final maturity date entered for the deal. If the value date for deal number 1
is later than the OB date, the settlement date will be used as the start date.
IR Option
The end date is the maturity (expiration) date for the option entered in the Option Terms window. The start date
is always the OB date.
FX Option
The end date is always the maturity date entered for the deal. The start date is always the OB date.
Equity Option, Equity Future

The end date is the maturity date entered in the Derivative/Equity Security table. The start date is always the
OB date.
2.1.12 (H) Fixed Interest Term, FixIntTerm
This field specifies the number of days from the OB date to the next interest rate fixing date according to the
deal’s interest rate convention. If the deal’s settlement date is later than the OB date, it will be used as the start
date.
MM-short-term, MM-long-term (Fixed)

The interest rate fixing date is always the deal’s entered maturity date.
MM-long-term (Floating)
The interest rate fixing date is the next interest rate fixing date after the OB date according to the “Diary of
interest change” and “fixing date (roll date)”.
2.1.13 (H) Capital Tied Up Term, Cap.TiedUp
This field specifies the average number of days to re-gain the capital from the OB date, according to the deal’s
interest rate convention. If the deal’s settlement date is later than the OB date it will be used as the start date.
MM spot
If the deal doesn’t have amortizations, the capital tied up time will be the number of days between the OB date
(or settlement date) and the deal’s entered final maturity date. If the deal does have amortizations amorteringar,
the number of days is weighted with the size of their respective amortizations. I.e., the nominal amount of
amortization number I corresponds to Weight-i in formula 3.1.8, and the number of days associated with this
amortization corresponds to Value-i. WeightedValue in formula 3.1.8 corresponds to the capital tied up for deals
with amortizations.
2.1.14 (H) Duration, Duration
This field is one of the most important interest rate risk measures in the system. Each individual position
pertains to the average number of interest days from the OB date to the settlement date for all the future cash
flows of the deal.
Duration, on a detail level as well as total level answers the following question: What tenor should be applicable
for the investment of the current market value, for the interest rate risk, as an absolute value, to equal the
absolute risk?
Consequently, the duration can be very high if debts and claims are mixed together on the same report.
Nevertheless, this should be considered useful information rather than a problem. E.g., a duration of 25 million
years means that the market value of the portfolio must be invested at this tenor in order to get the risk as an
absolute value for this portfolio. Similarly, the duration can be negative, which would also give relevant
information on the interest rate risk.
Duration for spot instruments and interest swaps on the total level is calculated through weighting the duration
field with Nom.Amt/, Inv.Amt/o or Set.Amt/o in consolidation currency. Total duration is calculated according to
formula 3.1.8.
The duration for derivative instruments is usually very high on the detail level, but by selecting all derivative
instruments, a correct total duration is obtained. For including derivative instruments on the list, please see the
following setting. [4.6.3 Spcdur]
MM-short-term-spot
The number of interest days from the OB date to the maturity date.
MM-long-term (Fixed)-spot
Calculated using formula 3.1.7. [4.6.1 Adjdur]
MM-long-term (Floating)-spot
The number of interest days from the OB date to the next interest rate fixing date according to the “Diary of
interest change”.
MM-short-term-forward
Number of interest days from the forward’s settlement date to the maturity date.
MM-long-term-forward
Calculated using formula 3.1.7, where the forward’s settlement date equals the balance date.
FX Forward
The number of interest days from the OB date to the maturity date.
IR Option, FX Option
The duration of the corresponding spot/forward instrument multiplied by (Delta% / 100).
2.1.15 (H) Modified Duration, Mod.Durat.
2.1.16 (H) Effective Duration, Eff.Durat.
2.1.17 (H) Rate/Interest Volatility (obl), Volatility
This field is a gauge of the rate sensitivity for money market instruments, and shows as a percentage the
change in value if the interest rates were to increase by one percent. This is particularly useful for comparing
different types of bonds.
MM spot, MM forward
(Rate(o) - Rate+1) / Rate(o) * 100.
Rate+1 is the market rate corresponding to a market interest rate of (Interest(o) + 1.0) at the OB date according
to formula 3.1.1.
2.1.18 (H) Convexity, Convexity
This field should only be used for bonds and futures on bonds. It provides a gauge of the change in risk when
the market interest rate changes. A convexity of 1.0 means that the volatility field differs one percent at the
current market level compared to an interest rate increase of one percent.
MM-long-term(Fixed)-spot, MM-long-term(Floating)-forward
See formula 3.1.19.
2.1.19 (H) Effective Convexity, Eff.Convex
2.1.20 (H) Yield%, Yield%

This field holds a percentage expressing the yield at the current balance compared to the purchase value,
independently of the purchase date. Please note that this differs considerably from the corresponding field in
“Period Holdings”.
Money Market, Equities

Result / Purchase value * 100 where Result is the field Tot.Res/, and Purchase value is the field Set.Amt/, both
expressed in the consolidation currency.
2.1.21 (H) Margin (Rate), Margin
This field holds the interest margin at purchase.
Money Market, Foreign Exchange

Entered margin from deal number 1.
2.1.22 (H) Delta%(Options), Delta%
Delta is the most relevant risk measure for options. It gives information on the risk of the option, in relation to its
underlying spot/forward position. In this field, delta is expressed as a percentage, e.g. 60% on an FX option with
10M USD yields a risk of 6M USD.
IR Option
See formula 3.1.15 and description 3.2.4.
FX Option
Equity Option
2.1.23 (H) Gamma% (Options), Gamma%

Gamma is a gauge of the stability of delta, and expresses the change in delta if the market price for the
underlying product were to change by one percent.
IR Option
FX Option
Equity Option
2.1.24 (H) Volatility%(Options), Vol%

This field is only used for options, and pertains to the market volatility on the OB date. Volatility is expressed as
a percentage of the standard deviation on a yearly basis, i.e. as per the method used for options pricing.
Volatility measures the variability of the underlying product’s price, and is a very important parameter when
calculating the market price of options.
IR Optioner
The option’s volatility on the OB date, as retrieved from the Volatility/Rates table.
FX Options
The currency pair’s volatility on the OB date, as retrieved from the Volatility/Rates table. If the volatility specified
for the currency pair is tenor dependent, interpolation will be performed according to formula 3.1.10; please see
description 3.2.5.
Equity Options
Volatility is calculated based on the market price of the underlying equity, and the market price of the option;
please see descriptions 3.2.3 and 3.2.6.
2.1.25 (H) Strike Price (Options), StrikePrice
This field is only used for options, and pertains to the strike price of the underlying product at the exercise
(maturity) date of the option.
IR Options
If the underlying security is traded at interest rate, this is the entered strike interest rate from deal number 1.
If the underlying security is traded at rate, this is the entered strike rate from deal number 1.
FX Options
The entered strike price from the left hand side of the FX Deal desk for deal number 1.
Equity Options
The entered strike price in the Derivative/Equity Security table.
2.1.26 (H) Risk-free Int (Options), RiskFreeInt
In order to determine the value of an option, the market interest rate for the remaining tenor must be known.
This field pertains to the interest rate used for valuating options.
IR Options
Searched and interpolated standard interest rate on the OB date as per formula 3.1.10 and the last paragraph
of description 3.2.4.
FX Options
The difference between interpolated standard interest rates on the OB date (formula 3.1.10) between currency
and cross-currency as per description 3.2.5.
Equity Options
Searched and interpolated standard interest rate on the OB date as per formula 3.1.10 and description 3.2.6.
2.1.27 (H) Spot/Forward Rate (Options), Spot Price
This field pertains to the market price of the option’s underlying product on the OB date.
IR Options
If the underlying security is priced at interest rate, this will be equal to the value of the field Interest(o) in this
very report for the underlying security. If the underlying security is priced at rate, this will be equal to the value of
the field Rate(o) in this very report for the underlying security.
FX Options
The same value as the field Ex.Rate(o) in this very report for the underlying FX forward.
Equity Options
The same value as the field Rate(o) in this very report for the underlying equity.
2.1.28 (H) Barrier Terms (Options)
2.1.29 (H) Total tenor, T.Tenor
The deal’s total tenor expressed as number of days.
MM spot, MM forward
The number of days between the settlement date and the final maturity date, according to the deal’s interest
rate convention.
FX Forward
The number of days between the value date and the final maturity date, according to the interest rate
convention of the main currency of the deal.
2.1.30 (H) Forecast Interest, ForecastInt
This field pertains to the interest rate at re-investment using tenor from the maturity date or the next interest roll
to balance date + 1 year. In the absence of maturity or interest roll within a year, the value of this field is zero.
[4.6.2 Prognos]
MM spot
Interpolation of the standard yield curve on the balance date according to formula 3.1.10 gives the forecasted
interest rate. Please note that no implicit forward valuation is performed, e.g. if the deal matures in 3 months,
the 9-months interest rate will be retrieved from the yield curve.
2.1.31 (H) Average Interest Rate (Forecast), Ave.ProgInt

2.1.32 (H) Money Market Index - in, MM-index(i)

This field is only used for real interest bonds, and pertains to KPI at purchase.
MM spot
KPI for deal number 1, calculated at the time of deal entry according to formula 3.1.20.
2.1.33 (H) Money Market Index - out, MM-Index(o)

This field is only used for real interest bonds, and pertains to KPI at the balance date.
MM spot
KPI at the balance date, calculated according to formula 3.1.20.
2.1.34 (H) Accrued Interest Days - out, AccrDays/u

This field specifies the number of days on which the accrued interest in the field Acc. Int/o is based.
MM spot, FX Forwards
The number of accrued interest days according to the deal’s interest rate convention.
2.1.35 (H) Discount Interest, Disc._IR
2.1.36 (H) Discount Factor, Dics.Factor
2.1.37 (H) Addition_F
2.1.38 (H) Addition_G
2.1.39 (H) % Vot. Rights, %VotRights
2.1.40 (H) % Share Capital, %ShareCap
2.1.41 (H) CF Currency Rate, CF.Ex.Rate
2.1.42 (H) CF Commitment Fee%, CF.com%
2.1.43 (H) Remburs CA %, RembursCA%
2.1.44 (H) Cross Rate 1, CrossRate1
2.1.45 (H) Cross Rate 2, CrossRate2
2.1.46 (H) Factor of Probability, Prob.factor
2.1.47 (H) Spread - out, Spread(o)
2.1.48 (H) Base Interest, Base_Int.
2.1.49 (H) Issue Fee %, IssueFee%
2.1.50 (H) Amortized Cost Rate – purch., ACRate(i)
2.1.51 (H) Amortized Cost Rate – out, ACRate(o)
2.1.52 (H) Amortized Cost Interest – out, ACInt(o)
2.1.53 (H) Spread – valuation, V.Spread
2.1.54 (H) Option Rate – out, OptRate(o)
2.1.55 (H) Total Rate – out, TotRate(o)
2.1.56 (H) Base Index, Base_Index
2.1.57 (H) Dirty Price – in, DirtyP(i)
2.1.58 (H) Dirty Price, DirtyP(u) ??? (o) ???
2.1.59 (H) Contract Size, ContrSize

2.1.60 (H) BIS Risk%, BIS_Risk%
2.1.61 (H) Amortized Cost Average Purchase Rate, ACPurchRate
2.2 Holdings, amount fields
2.2.1 (H) Nom-/Curr.Am./Number - out, Nom.Amt/o
This field shows the quantity outstanding at a certain balance date according to the selection rules. For written
options, the amount below is multiplied by -1.
MM spot, MM forward
If the security is traded at nominal amount, this is the signed outstanding nominal amount.
If the security is traded at number of contracts, this is the signed outstanding number of contracts.
FX Forwards
The signed entered amount from the deal’s left hand side in the FX Deal desk. When converting to
consolidation currency, the amount is first converted into the cross currency using Ex.Rate(o).
Equities, Equity Forwards

The number of outstanding equities (shares of stock) or equity forward contracts. This is negative in the case of
a short sell.
FX Options
The unsigned outstanding amount entered in the left hand side of the FX Deal desk, multiplied by delta%. [4.7.3
Nodelta]
IR Options
The outstanding risk expressed as the nominal amount/number of contracts of the underlying security, i.e.
abs(Nom. amount) * delta% / 100 or No.of contracts * delta% /100. [4.7.2 Shnom] [4.7.3 Nodelta]
Equity Options
The outstanding risk, expressed as number of underlying equities (shares of stock), i.e. (The number of
outstanding option contracts on equity) * No. of equities in a contract * delta% / 100. [4.7.3 Nodelta]
Bank Accounts
The balance of the bank account on the OB date. If selection according to the deal date method is performed,
this refers to the booked balance. Otherwise, it refers to the valued balance.
2.2.2 (H) Nom-/Curr.Am./Number – Purch., Nom.Amt/i
2.2.3 (H) Invested Amount/CC-Amount-in, Inv.Amt/i
This field is primarily used for Money Market, and holds the purchase value excluding the accrued interest.
Conversion to ConsCur is performed using Ex.Rate(i).
MM spot, MM forward
Nom.Amt/ * Rate(i) / 100, [4.5.9 Obrev]
IR Option, FX Options
Theoretical settlement amount at maturity (exercise), i.e. the settlement amount which will be paid if the option
is exercised. Quantity/ * strike rate / 100.
FX Forwards, Equities
Set.Amt/i
2.2.4 (H) Invested Amount/CC-Amount-out, Inv.Amt/o

This field is primarily used for Money Market, and holds the market value excluding the accrued interest. In the
case of options, this field holds the risk exposure according to a special rule.
MM-long-term, MM-short-term(LP)
Nom.Amt/ * Rate(o) / 100
MM-short-term(VX)
Nom.Amt/ * Rate(o) / 100 - Acc.Int/o
IR Options
Risk exposure as per the following formula: Quantity/ * (Market rate for underlying security) / 100 * Delta% / 100
FX Options
Risk exposure as per the following formula: Quantity/ * Spot price * Delta% / 100
FX Forwards, Equities
Set.Amt/o
2.2.5 Amortized Cost Invested amount – purch., ACInvAmt/i
2.2.6 (H) Accrued Interest - in, Acc.Int/i
This field holds the paid accrued interest at the time of acquisition.
Money Market
Accrued interest from deal number 1. Conversion to consolidation currency is performed using Ex.Rate(i). If the
deal is partly sold prior to the OB date: (Accrued Interest * Nom.Amt / (Nominal amount from deal number 1)
[4.5.9 Obrev]
2.2.7 (H) Accrued Interest - out, Acc.Int/o
This field holds the balance value for accrued interest on the OB date.
MM spot
The accrued interest from the latest interest payment prior to the OB date, according to formula 3.1.5. The
amount used for interest calculation is Inv.Amtl/i for MM-short-term(VX), and Nom.Amt/* for all others. [4.5.1
Setacc] [4.5.2 Normint] [4.5.12 Accini] [4.5.15 Teoset]
FX Forwards
Accrued interest as per formula 3.1.6.
Bank Accounts
The bank account’s accrued interest on the OB date according to the results from “Interest Calculation” on bank
accounts.
2.2.8 (H) Accrued Spread - out, Acc.Spr/o
2.2.9 (H) Interest Compensation - out, Int.Comp/
This field is blank for all deals except when the function “FX Forward Cover” has been used at the time of entry,
in which case it shows how big a share of the total accrued interest constitutes compensation for interest rate
difference between the two currencies.
MM spot
Swap points entered into the FX Forward Cover window are used to calculate accrued interest according to the
same principles used for FX forwards; please see formula 3.1.6.
2.2.10 (H) Settl/Cross Amount - in, Set. Amt/i
This field holds the purchase value for all instruments except FX forwards, for which it holds the cross currency
amount instead. Conversion to consolidation currency is performed using Ex.Rate(i).
MM spot
Nom.Amt/ * Rate(i) / 100 + Acc.Int/i + Fee/ [4.5.9 Obrev] [4.5.12 Accini]
MM forward
Zero.
FX Forward
Signed entered (or calculated) cross currency amount, i.e. the amount in the right hand part of the FX Deal
desk.
IR Option
Quantity/ * Rate(i) / 100 + Fee/
FX Option
Quantity/ * Rate(i)
Equity Option
Quantity/ * Rate(i) + Fee/
Equities, Equity Forwards

Nom.Amt/ * Rate(i) + Fee/
Bank Accounts
Set. Amt/o
2.2.11 (H) Settl. Amount - out, Set. Amt/o
This field pertains to the market value on the OB date for all instruments except FX Forwards, for which it holds
the counter value calculated using the FX forward rate at the OB date between the currencies instead.
MM-long-term-spot, MM-short-term(LP)-spot
Nom.Amt/ * Rate(o) / 100 + Acc.Int/o
MM-short-term(VX-spot)
Nom.Amt/ * Rate(o) / 100
MM forward
Nom.Amt/ * (Rate(o) – Rate(i))/ 100
FX Forward
Nom.Amt/ * Rate(o)
IR Option
Quantity/ * Rate(o) / 100
FX Option, Equity Option

Quantity/ * Rate(o)
Equities, Equity forwards

Nom.Amt/ * Rate(o)
Bank Accounts
Nom.Amt/ + Acc.Int/o
2.2.12 (H) Rate Diff, Ratediff/
This field holds the result based on market rate from initial purchase for all instruments. For Money Market, this
means P/L due to changes in interest rates on interest markets. For Foreign Exchange, this means P/L due to
changes in interest rates between the two involved currencies. For equities and options, this means P/L due to
changes in the product’s rate. (For options, please substitute Quantity/ for Nom.Amt/ in all the formulas). [4.5.3
Fdisc]
Money Market
Nom.Amt/ * (Rate(o) - Rate(i)) / 100 [4.5.12 Accini]
Foreign Exchange
Nom.Amt/ * (Rate(o) –OB-remaining), where OB-remaining is the remaining part of the forward premium (swap
points) on the OB date.
Equities
Nom.Amt/ * (Rate(o) - Rate(i)) – Fee/[4.8.2 Exavg]
2.2.13 (H) Amortized Cost Rate diff, ACRateD/
2.2.14 (H) Period Interest/Dividend, Int. Amt/
This is a P/L field, and it holds the period interest from purchase date for Money Market deals.
MM spot
Acc.Int/o – Acc.Int/i + (Realized interest from purchase date calculated at the given nominal amount)
2.2.15 (H) Fees, Fee
This field holds the sum of the purchase price, tax, brokerage and fees.
Money Market
The sum of the fee-fields from deal number 1. If the deal is partly sold prior to the OB date: Fee * Nom. Amt/
(Nominal Amount from deal number 1)
Equities
The sum of the fee-fields from all purchase deals prior to the OB date, with sales taken into account according
to description 3.2.7.
2.2.16 (H) Exchange Rate Diff, Ex. Diff/
This field contains the P/L from initial purchase due to changes in FX rates for all instruments. It is crucial for
generating reports for accounting of unrealized exchange rate difference. The following applies to all
instruments except FX Forwards. The field should only be used with consolidation currency and the rules for
converting to ConsCur-rate do not apply to this field. All formulas below, except the one for FX forwards, pertain
to the contents of the field expressed as consolidation currency. For FX forwards, the field pertains to the spot
difference, which is obtained in the cross currency, and can be converted into consolidation currency using the
usual ConsCur-rate.
MM spot
Inv.Amt/i * (Ex.Rate(o) – Ex.Rate(i))
MM forward, IR Option
Zero
FX Forward
Nom.Amt/ * (Ex.Rate(o) – Ex.Rate(i))
[4.5.16 Csdisc]
Equities, FX Option
Set..Amt/i * (Ex.Rate(o) – Ex.Rate(i))
2.2.17 (H) Exchange Rate Diff (amortized Cost), Ex.DiffAC/
2.2.18 (H) Exchange Rate Diff (Fair Value), Ex.DiffFV/
2.2.19 (H) Total Result, Tot.res/
This field contains the total P/L from initial purchase, and is a sum of the different P/L components. Please note
that the exchange rate effect is handled differently for the different instruments.
MM spot, MM forward, FX Option

Set.Amt/o – Set.Amt/i + Real Int., where Real Int. is the realized interest from the acquisition to the OB date for
the corresponding balance value at OB date. If “Add FX Rate Diff to total result” has been defined in the Report
Definition, the field Ex. Diff/ will also be added, if it is selected for consolidation currency. If this is the case, the
consolidation currency rules will not apply to this field.
IR Option
Ratediff//
FX Forward
Ratediff/ + Ex. Diff/ + Acc. Int/o
Equities
Set. Amt/o – Set. Amt/i
Please note that the exchange rate effect is not taken into consideration by default
2.2.20 (H) Interest Rate Risk, Int. Risk/
This field is of vital importance when performing interest risk measurement expressed as absolute values. This
field specifies the change in market value at an upward shift of the yield curve by “Interest Risk Calculation
(Points…)” in the Report Order window. No interpolation is performed; instead, the shift with the next higher
number of calendar days compared to the current position is used.
In TWIN, a change in market value due to interest rate fluctuations according to a given specification is
synonymous with interest risk.
MM spot, MM forward
Set.Amt/o– Set.Amt/o + X, where the latter field would show an expected Set.Amt/o at an interest rate of
(Interest/o + (Specified shift in the yield curve)) according to formula 3.1.1.
IR Options
Spot risk * Delta% / 100, where spot risk is the interest risk of the underlying spot/forward instrument as per the
section above.
FX Forwards
Risk is calculated by discounting of the valued counter value at the interpolated standard interest rate for the
cross currency. The next step is a corresponding discounting using an interest rate corresponding to the yield
curve shift plus the standard interest. The difference between these values equals the risk.
2.2.21 (H) Currency Risk, CurRisk/*
2.2.22 (H) End amount, End. Amt/
This is a special purpose field used for Money Market, containing the final maturity amount.
MM spot, MM forward
The settlement amount from the final closing deal or the final maturity deal. This is a negative value for loans
and short sales, and a positive value in all other cases.
2.2.23 (H) Lowest cost/market, Low.Cost/
This field is used for bookkeeping according to the least value principle and shows the lowest of the two values
purchase amount and market value. [4.5.13 Lowcur]
MM spot, MM forward
Lowest of Inv.Amt/i and Inv.Amt/o. Fees at the time of acquisition are not taken into account.
Equities
Lowest of Set.Amt/i and Set.Amt/o. Fees at the time of acquisition are taken into account.
2.2.24 (H) LVP, LVP/
Loss according to the least value principle. [4.5.13 Lowcur]
MM spot, MM forward
If Inv.Amt/o < Inv.Amt/i, Inv.Amt/o – Inv.Amt/i, otherwise zero.
Equities
If Set.Amt/o > Set.Amt/i, Set.Amt/o – Set.Amt/i, otherwise zero.
2.2.25 (H) Excess, Excess/
Profit according to the least value principle. [4.5.13 Lowcur]
MM spot, MM forward
If Inv.Amt/o < Inv.Amt/i, Inv.Amt/o – Inv.Amt/i, otherwise zero.
Equities
If Set.Amt/o > Set.Amt/i, Set.Amt/o – Set.Amt/i, otherwise zero.
2.2.26 (H) Original Nominal Amount, Orig.Nom/
This field contains the entered quantity in the purchase deal.
Money Market
The entered nominal amount of deal number 1. This is a negative value for loans and
short sales, and a positive number in all other cases.
Foreign Exchange
The signed entered amount on the left hand side of the FX Deal desk.
2.2.27 (H) Special Result, Spec.Res/
This field is only used in connection with special settings.
2.2.28 (H) Theta(Options), Theta/
This field is only relevant to options, and shows the decrease in value for an option when its tenor is decreased
by one day, but all other variables are unchanged. In other words, this field specifies the size of the depreciation
if nothing happens until tomorrow.
IR Optioner
Quantity/ * Rate(o) / 100 * Theta% / 100.
For calculating Theta%, please see description 3.2.4 and formula 3.1.15.
FX Options
Quantity/ * Rate(o) * Theta% / 100.
Equity Options
Quantity/ * Rate(o) * Theta% / 100.
2.2.29 (H) Vega(Options), Vega/
This field is only relevant to options, and contains the increase in value for an option when the volatility is
increased by one percent, but all other variables are unchanged. In other words, this field gives a gauge of the
option’s sensitivity to changes in volatility.
IR Options
Quantity/ * Rate(o) / 100 * Vega% / 100 For calculating Vega%, please see description 3.2.4 and formula
3.1.15.
FX Options
Quantity/ * Rate(o) * Vega% / 100 For calculating Vega%, please see description 3.2.5 and formula 3.1.15.
Options on equity
Quantity/ * Rate(o) * Vega% / 100 For calculating Vega%, please see description 3.2.6 and formula 3.1.15.
2.2.30 (H) Quantity(Options), Quantity/
This field is only relevant for options, and it contains the outstanding administrative quantity on the OB date
according to the selection rules. This field is needed since the ordinary quantity field for options is used for the
risk value.
IR Options
The outstanding nominal amount on the OB date. This is a positive value if the option is bought, and a negative
value if if the option is written. If the option is traded per contract, this field holds the number of contracts.
FX Options
The outstanding currency amount of deal number one, as entered in the left hand part of the FX Deal desk, with
any partial sales taken into account. Please note that the sign of this value differs from the entry window; if the
option is a buy, the value will be positive, and if the option is written, the value will be negative. This is in order
to present assets as a positive value, and debts as a negative value, as is the case for the other types of
options.
Equity Options
The outstanding number of options on the OB date. This is a positive value if the option is bought, and a
negative value if the option is written. If the option is traded per contract consisting of several options, this field
holds the number of contracts.
2.2.31 (H) Interest Forecast, Int. Fore/
This field contains the expected interest cost one year into the future, provided that the current balance is
reinvested at the market interest rate when deals mature during the course of the year. This field is used for
making prognoses on future interest costs/revenues. [4.6.1 Prognos]
MM spot
Inv.Amt/i * (Nom.Interest * No.of days1 +Int.Fore/ * No.ofdays2) / Interest base No.ofdays1 is the number of
interest days from the balance date to the maturity or interest roll, but no more than 1 year.
No.ofdays2 is the number of interest days from the maturity or interest roll to the balance
date plus 1 year, but no less than 0 days.
Interest base is the deal’s interest base.
2.2.32 (H) Forecast Risk, For. Risk/
This field shows the interest sensitivity for the interest forecast (Int. Fore/), and indicates how much the interest
forecast changes at a rise of the standard interest rate by the number of basis points specified in the “Interest
Risk Calculation (Points…)” or 100 basis points if no value has been specified.
MM spot
Sim-prog – Int. Fore/, where Sim-prog equals the interest forecast at a hypothetical interest rate rise by the
number of basis points specified in the “Interest Risk Calculation (Points…)”.
2.2.33 (H) Accrued Interest Margin, Margin/
This field contains the accrued interest margin on the balance date, and is only relevant to Money Market.
MM spot
The margin is calculated according to the same principles as accrued interest, but with the entered interest
margin from deal number 1 substituted for interest rate.
2.2.34 (H) Settl. Amount (out) per Unit, Set/Unit/
This field is used in connection with fund unit specification, and contains the market value per unit for all
instruments. More formally, Set.Amt(o) / (Number of specified shares (units) in the Portfolios table for the actual
portfolio).
2.2.35 (H) Man-adj, Man-adj/
2.2.36 (H) Opt-adj, Opt-adj/
2.2.37 (H) Amortized Cost Fee, AC.Fee/
2.2.38 (H) Premium (Option), Premium(o) ??? / ???
2.2.39 (H) Calculated Amount 1-4
2.2.40 (H) Addition_H
2.2.41 (H) Addition_I
2.2.42 (H) Addition_J
2.2.43 (H) TotVotRights, TotVotRgh/
2.2.44 (H) ActVotRights, ActVotRgh/
2.2.45 (H) TotShareCap, TotShCapt/
2.2.46 (H) Nominal Value, Nom.Value/
2.2.47 (H) Outstanding, Outstand./
2.2.48 (H) Outstand. Inc. Convertibles, Out+Conv/
2.2.49 (H) NSK, NSK/
2.2.50 (H) CF Amount, CF.Amount
2.2.51 (H) CF Commitment Fee Unrealized, CF.Com_Un/
2.2.52 (H) Linked Amount (guarantee/security), Link.Amt/
2.2.53 (H) CF Amount Left, CF.Left/
2.2.54 (H) Beta Value, BetaValue ??? / ???
2.2.55 (H) Disp. Amount, Disp.Amt/
2.2.56 (H) Apprec / Deprec. Rate Diff, AD.RateD/
2.2.57 (H) Apprec / Deprec. Exchange Rate Diff, AD.XRateD/
2.2.58 (H) Accrued Issue Fee, Acc.IsFee/
2.2.59 (H) Total Indexation, Tot.Index/

2.2.60 (H) Spread Difference, Spr.Diff/
2.2.61 (H) Spread Interest, Spr.Int/
2.2.62 (H) Option Value – out, OptValue/o
2.2.63 (H) Total Value – out, TotValue/o
2.2.64 (H) Delta Index on Invested Amount, DInvInd/
2.2.65 (H) Delta index på placerat belopp (Realiserat), DPlacIndR/ ??? språk ???
2.2.66 (H) Delta index på placerat belopp (Orealiserat) , DPlacIndO/ ??? språk ???
2.2.67 (H) MV BIS, MV_BIS/
2.2.68 (H) BIS Add-on, BIS_Addon/
2.2.69 (H) Rem.Amount, Salvage/ ??? Är detta rätt ???
2.3 Period Holdings, rate fields
2.3.1 (PH) Exchange Rate - in, Ex. Rate(i)
This field contains the spot FX rate at the time of acquisition if the deal was committed after the IB date
specified in the selection rules. If this is the case, the field will have the same value as Ex. Rate(i) in the
“Holdings” report type.
The field contains the spot FX rate on the IB date if the deal was committed prior to the IB date specified in the
selection rules. If this is the case, the field will have the same value as Ex. Rate(o) in the “Holdings” report type,
with the exception that IB date should be substituted for OB date in the field description.
2.3.2 (PH) Exchange Rate - out, Ex. Rate(o)
This field contains the spot FX rate on the OB date if the deal is active on the OB date specified in the selection
rules. If this is the case, the field will have the same value as Ex. Rate(o) in the Holdings report type. If the deal
is not active on the OB date, the field shows the spot FX rate at the time of sale as described below. [4.3
Spcform]

The ConsCur-rate belonging to the serial number’s deal with the latest deal date.
FX Forwards
The spot (cross) rate between the deal’s currencies, as retrieved from the Exchange Rate/Rates table on the
FX forward’s maturity date. If search condition number 4 regarding ConsCur-rates is used, i.e. “Table Rate 2
Bank Days before Settlement Date”, the spot rate will be searched two bank days prior to the maturity date.
FX Options
The entered strike price for the option.
2.3.3 (PH) Group Currency Rate – out, Ex.rate(oG)
2.3.4 Snittnaskaffningsvalutakurs – utg, AValkurs(u) ??? Språk ???
2.3.5 snittavskaffningskurs – utg, A.kurs(u) ??? Språk ???
2.3.6 (PH) Rate - in, Rate (i)
This field contains the market rate at the time of acquisition if the deal was committed after the IB date specified
in the selection rules. If this is the case, the field will have the same value as Rate(i) in the Holdings report type.
The field contains the market rate on the IB date if the deal was committed prior to the IB date specified in the
selection rules. If this is the case, the field will have the same value as Rate(o) in the Holdings report type, with
the exception that IB date should be substituted for OB date in the field description.
2.3.7 (PH) Rate - out, Rate(o)
This field contains the market rate on the OB date if the deal is active on the OB date specified in the selection
rules. If this is the case, the field will have the same value as Rate(o) in the Holdings report type. If the deal is
not active on the OB date, the field contains the market rate at the time of sale as described below.
MM spot
The field is 100 if the deal reaches final maturity within the selected time period. Otherwise, the closing rate
from the last closing deal.
MM forward
The closing rate from the last closing deal.
FX Forward
Ex. Rate (o)
Equities
The entered sale rate from the final sale deal, i.e. the one with the latest deal date.
2.3.8 (PH) Interest – in, Interest(i)
This field shows the market interest rate at the time of acquisition if the deal was committed after the IB date
specified in the selection rules. If this is the case, the field will have the same value as Rate(i) in the Holdings
report type.
The field contains the market interest rate on the IB date if the deal was committed prior to the IB date specified
in the selection rules. If this is the case, the field will have the same value as Interest(o) in the Holdings report
type, with the exception that IB date should be substituted for OB date in the field description.
2.3.9 (PH) Interest – out, Interest(o)
This field contains the market rate on the OB date if the deal is active on the OB date specified in the selection
rules. If this is the case, the field has the same value as Interest(o) in the Holdings report type. If the deal is not
active on the OB date, the field contains the market rate at the time of sale, and is only relevant to Money
Market as described below.
MM spot
This field is zero if the deal matures in the specified time period. Otherwise, it contains the closing interest rate
from the last closing deal.
MM forward
The closing interest rate from the last closing deal.
IR Option
The strike interest rate for the option.
2.3.10 (PH) Nominal Interest, Nom.Int.
This field is always the same value as the corresponding field in the “Holdings” report type.
2.3.11 (PH) Tenor, Tenor
If the deal matures prior to the OB date, this field will be blank. Otherwise, it serves the same function as the
corresponding field in the “Holdings” report type.
(PH) Fixed Interest Term –outg, FixedIntTerm
2.3.12 (PH) Capital Tied Up Term - out, Cap.TiedUp
2.3.13 (PH) Duration - out, Duration
2.3.14 (PH) Modified Duration – out, Mod.Durat.
2.3.15 (PH) Effective Duration – out, Eff.Durat
2.3.16 (PH) Rate/Interest Volatility(obl) - out, Volatility
2.3.17 (PH) Convexity - out, Convexity
(PH) Effective Convexity – out, Eff.Convex
2.3.18 (PH) Yield %, Yield%
This field contains a percentage expressing yield compared to the tied up capital of the period. On the total
level, weighting is not performed as for other rate fields, but the calculation below is performed directly on the
field in the total line, which explains why Tot.Res/ and Avg.Cap/ have to be on the list if this field is included.
Money Market, Equities, Bank Accounts

Result / Average bound capital * 100, where Result is the field Tot.Res/ expressed in consolidation currency,
and Average bound capital is the field Avg.Cap/ expressed in consolidation currency.
2.3.19 (PH) Yields per Annum %, Yield PA%
This field contains a percentage expressing yield compared to the tied up capital of the period, expressed as
yield per annum, i.e. the length of the period is taken into account.
Please note that when converting to yield per annum, the type of yield must be specified, i.e. 360/360, 365/360
or 365/365. This is done when selecting the field Avg.Cap. On the total level, weighting is not performed as for
other rate fields, but the calculation below is performed directly on the field in the total line, which explains why
Tot.Res/ and Avg.Cap/ have to be on the list if this field is included.
Money Market, Equities, Bank Accounts

Yield% * Interest base / Length of the period
Interest base is 360 if the average bound capital setting 360/360 or 365/360 is used, and 365 if 365/365 is used.
If a deal-dependent average bound capital setting is used, this will be controlled by each individual deal’s
interest base (always 365 for equities), using 360 on the total level. Length of the period is the number of
interest days in the period according to the average bound capital setting. If a deal-dependent average bound
capital setting is used, it will always be 365 for equities and 360 at the total level. 360/360 at total level will be
used if a deal-dependent setting has been selected
2.3.20 (PH) Margin(Rate), Margin
This field contains the interest margin at purchase expressed as interest or premium.
MM spot, FX Forward
The entered interest margin from deal number 1.
2.3.21 (PH) Delta%(Options), Delta%
2.3.22 (PH) Gamma%(Options), Gamma%
2.3.23 (PH) Volatility%(Options), Vol%
2.3.24 (PH) Total tenor, T.tenor

This field is always the same value as the corresponding field in the “Holdings” report type.
2.3.25 (PH) Period Tenor, P.tenor
This field contains the number of interest days between the IB date and the OB date, according to the specified
calculation method.
Money Market
The number of interest days within the period, according to the specified interest calculation method. The deal
is assumed to start on the entered settlement date in deal number 1, and end on the final maturity date.
FX Market
The number of interest days within the period according to the specified interest calculation method for average
bound capital. If average bound capital is not on the list, the 360 principle will be used instead. The deal is
assumed to start on the entered value date, and end on the final maturity date.
2.3.26 (PH) Money Market Index - in, MM-Index(i)
This field is only used for real interest bonds, and contains the KPI.
MM spot
If the deal starts inside the period, the KPI belonging to deal number 1, calculated at the time of deal entry
according to formula 3.1.20. Otherwise the KPI at the IB date according to formula 3.1.20.
2.3.27 (PH) Money Market Index - out, MM-Index(o)
This field is only used for real interest bonds, and contains the KPI at OB date, if the deal is active on the OB
date, otherwise zero.
MM spot
KPI at the OB date calculated according to formula 3.1.20.
2.3.28 (PH) Accrued Interest Days - out, AccrDays(o)
2.3.29 (PH) Discount Interest, Disc._IR
2.3.30 (PH) Discount Factor, Disc.Factor
2.3.31 (PH) Addition_F
2.3.32 (PH) Addition_G
2.3.33 (PH) CF Currency Rate, CF.Ex.Rate
2.3.34 (PH) CF Commitment Fee %, CF.com%
2.3.35 (PH) Cross Rate 1, CrossRate1
2.3.36 (PH) Cross Rate 2, CrossRate2
2.3.37 (PH) Spread-Out, Spread(o)
2.3.38 (PH) Base Interest %, Base_Int.
2.3.39 (PH) Issue Fee %, IssueFee%
2.3.40 (PH) Amortized Cost Rate – purch., ACRate(i)
2.3.41 (PH) Amortized Cost Rate – out, ACRate(o)
2.3.42 (PH) Amortized Cost Interest – out, ACInt(o)
2.3.43 (PH) Spread – valuation, V.Spread
2.3.44 (PH) Option Rate – out, OptRate(o)
2.3.45 (PH) Dirty Price – in, DirtyP(i)
2.3.46 (PH) Dirty Price, DirtyP(u) ??? (o) ???
2.3.47 (PH) Contract Size, ContrSize
2.3.48 (PH) BIS Risk%, BIS_Risk%
2.3.49 (PH) Amortized Cost Snittanskaffningskurs - utg, ACA.kurs(u) ??? Språk ???
2.3.50 (PH) Snittanskaffningsvalutakurs – ing, AValkurs(i) ??? Språk ???
2.3.51 (PH) Snittanskaffningskurs – ing, A.kurs(i) ??? Språk ???
2.3.52 (PH) Amortized Cost Snittanskaffningskurs – ing, ACA.kurs(i) ??? Språk ???
2.4 Period Holdings, amount fields

2.4.1 (PH) Nom-/Curr. Amount - in, Nom.Amt/i
The field contains the outstanding quantity on the IB date if the deal was committed prior to the IB date
specified in the selection rules. If this is the case, the field will have the same value and ConsCur conversion
rules as Nom. Amt/ in the Holdings report type, withthe exception that IB date should be substituted for OB date
in the field description.
The field has varying functions if the deal was acquired after the IB date specified in the selection criteria. The
different cases are described below.
Money Market
The entered nominal amount from deal number 1. This is a negative value in the case of a loan or a short sale
(sell) and a positive value in all other cases. The ConsCur rate from deal number 1 is used for consolidation.
Foreign Exchange
The signed entered amount from the deal’s left hand side in the FX Deal desk. Consolidation is performed using
the following FX rate: ConsCur-rate * Ex. Rate/i, where ConsCur-rate is the deal related consolidation currency
rate.
Equities
Zero.
2.4.2 (PH) Nom-/Curr. Amount - out, Nom.Amt/o

This field contains the outstanding quantity if the deal matures after the OB date specified in the selection rules.
If this is the case, the field will have the same value and ConsCur conversion rules as Nom.Amt/ in the Holdings
report type. If the deal matures or is closed within the period, the value of this field will be zero.
2.4.3 (PH) Amortized Cost Invested amount – purch., ACInvAmt/i
2.4.4 (PH) Accrued Interest - in, Acc.Int/i

This field contains the accrued interest on the IB date if the deal was committed prior to the IB date specified in
the selection rules. If this is the case, the field will have the same value and ConsCur conversion rules as
Acc.Int/ in the Holdings report type, with the exception that IB date should be substituted for OB date and Nom.
Amt/i for Nom.Amt/ in the field description. The field contains the accrued interest at the time of acquisition if the
deal was acquired after the IB date specified in the selection rules and is described below. The ConsCur-rate
used is the deal related consolidation currency rate from deal number 1.
2.4.5 (PH) Accrued Interest - out, Acc.Int/o
This field contains the accrued interest on the OB date if the deal matures after the OB date specified in the
selection criteria. If this is the case, the field will have the same value and ConsCur conversion rules as
Acc.Int/o in the Holdings report type, with the exception that Nom.Amt/o should be substituted for Nom.Amt/ in
the field description. If the deal matures or is finally closed within the period, the value of this field will be zero.
2.4.6 (PH) Accrued Spread – in, Acc.Spr/i
2.4.7 (PH) Accrued Spread – out, Acc.Spr/o
2.4.8 (PH) Settl/Cross Amount - in, Set.Amt/i
The field contains the outstanding quantity on the IB date if the deal was committed prior to the IB date
specified in the selection rules. If this is the case, the field will have the same value and ConsCur conversion
rules as Set.Amt/i in the Holdings report type, with the exception that IB date should be substituted for OB date
and Nom.Amt/i for Nom.Amt/ in the field description. The field has varying functions if the deal was committed
after the IB date according to the selection rules. The different cases are described below.
Money Market
Settlement amount minus fees from deal number 1. This is a negative value in the case of a loan or a short
sale, and a positive value in all other cases. The ConsCur-rate from deal number 1 is used for consolidation.
FX Forward
The signed entered amount from the deal’s right hand side in the FX Deal desk. The ConsCur-rate belonging to
the deal is used for consolidation.
FX Option
The entered premium amount from the right hand side of the Option Terms window for deal number 1. The
ConsCur-rate belonging to the deal is used for consolidation.
Equities
Zero.
2.4.9 (PH) Settl. Amount - out, Set.Amt/o
This field contains the market value on the OB date if the deal matures after the OB date specified in the
selection rules. If this is the case, the field will have the same value and ConsCur conversion rules as Set.Amt/o
in the Holdings report type, with the exception that Nom.Amt/o should be substituted for Nom.Amt/ in the field
description. If the deal matures or is finally closed within the period, the value of this field will be zero.
2.4.10 (PH) Rate Diff (Total), Ratediff/
This field holds the total realized and unrealized P/L for the period due to changes in
interest rates and equity rates.
Money Market, FX Market, Equities, Bank Accounts

In deal currency: RateD_Re/ + RateD_UR/No specific ConsCur-rate can be associated with the field. The field
is calculated using consolidation currency through adding the values of the above fields expressed in
consolidation currency.
2.4.11 (PH) Rate Diff (Realized), RateD_Re/

This field contains the realized market rate P/L for the period. For Money Market, this means P/L from changes
in interest rate on the interest markets. For Foreign Exchange, it means P/L due to changes in interest rate
between the two involved currencies. For Equities and Options, this means P/L due to changes in rate for the
product. For all deals, all the closing deals and maturities within the period are added up. Conversion into
consolidation currency is performed through using each deal’s/maturity’s ConsCur rate to compute each rate
difference prior to calculating the total.
Nom-deal = the quantity of the deal and Rate-deal = the deal’s rate for all expressions
below.
MM-short-term(VX)-spot
Sum: Nom-deal * (Rate-deal – Rate(i) ) / 100, - Interest_UR/
MM-short-term(LP)-spot, MM-long-term, IR Option

Sum: Nom-deal * (Rate-deal – Rate(i) ) / 100,
MM forward
Sum: Nom.Amt/o * (Rate-deal – IB-rate) / 100 where IB-rate is the latest earlier rate at future adjustment, if any
future adjustment has been performed in the period prior to this adjustment. Otherwise Rate(i).
FX Forward
At maturity within the period and start preceding the period, - Nom.Amt/i * ( Interest(i) - IB-remain). Otherwise
zero. IB-remain is the remaining part of the total swap points on the OB date. Note: No summation in this field.
Conversion to consolidation currency is performed with the ConsCur-rate at the IB date. [4.5.6 Fxur]
FX Option
Sum: Nom-deal * (Rate-deal – Rate(i) )
Equities
Sum: Nom-deal * (Rate(o) - IB-rate) where IB-rate is a compound weighted purchase rate for purchase deals
belonging to the period according to the selection rules and Rate(i) according to description 3.2.7.
Bank Accounts
Zero.
2.4.12 (PH) Rate Diff (Unrealized), RateD_UR/
This field holds unrealized market rate P/L for the period. For a definition of market rate P/L, please see
RateD_Re/. The value of this field is always zero if the deal is not active on the OB date, i.e. if Nom.Amt/o is
zero. In all other cases, the description below applies. The ConsCur-rate used is the balance day’s ConsCur-
rate at the OB date, except in the case of FX forwards. [4.5.3 Fdisc]
MM-short-term(VX)-spot
Nom.Amt/o * (Rate(o) - Rate(i) ) / 100 - Interest_UR/
MM-short-term(LP)-spot, MM-long-term
Nom.Amt/o * (Rate(o) - Rate(i) ) / 100
MM forward
Nom.Amt/o * (Rate(o) – IB-rate)) / 100 where IB-rate is the latest rate at future adjustment if any future
adjustment has been performed within the period. Otherwise Rate(i).
FX Forward
In cross currency, Nom.Amt/o *((Interest(o) – OB-remain) – (Interest(i) – IB-remain))
In ConsCur, Nom.Amt/o *((Interest(o) – OB-remain) * ConsCur-OB – (Interest(i) – IB-remain) * ConsCur-IB
where OB-remain/IB-remain is the remaining part of the swap points (premium) on the OB and IB date
respectively.
ConsCur-IB is the ConsCur-rate at the ingoing balance date if the deal is active on the IB date, or else the
deal’s ConsCur- rate.
ConsCur-OB is the ConsCur-rate at the outgoing balance date. [4.5.6 Fxur]
IR Option
Nom.Amt/o * (Rate(o) - Rate(i) ) / 100
FX Option
Nom.Amt/o * (Rate(o) - Rate(i) )
Equities
Nom.Amt/o * (Rate(o) – IB rate) where IB rate is a compound weighted purchase rate for purchase deals
belonging to the period according to the selection criteria and Rate(i) according to description 3.2.7.
Bank Accounts
Zero.
2.4.13 (PH) Amortized Cost Rate diff, ACRateD/
2.4.14 (PH) Amortized Cost Rate diff (Realized), ACRateDRe/
2.4.15 (PH) Amortized Cost Rate diff (Unrealized), ACRateDUn/
2.4.16 (PH) Period Interest/Dividend (Total), Int.Amt/
This field contains total interest for the period, realized as well as unrealized. Please note that this field pertains
to the period’s interest, and not “interest-cash flow”.
Money Market, FX Market, Bank Accounts

Expressed in deal currency, Int_Re/ + Int_UR/ No specific ConsCur-rate can be associated with the field. The
field is calculated using consolidation currency through adding the values of the above fields expressed in
2.4.17 (PH) Period Interest/Dividend (Realized), Int_Re/
This field contains total realized interest for the period. Please note that this does not pertain to “interest-cash
flow”.
MM spot
The total sum of all interest payments pertaining to “buys”, “sells” and maturities within the period specified in
the selection criteria, minus Acc.Int/i. The field is calculated in consolidation currency according to the principle
that each deal’s/maturity’s ConsCur-rate is used for conversion into consolidation currency. These ConsCur
amounts are added up to a total, expressed in consolidation currency. Please note that ConsCur-rate at the
balance date for Acc.Int/i is not used for the purposes of this currency conversion.
This conversion is made at the ConsCur-rate of the first closing/maturity or at Ex.Rate(o), if there is no
closing/maturity within the period. This is in order to classify the currency rate effect on interest as currency rate
P/L and not as interest P/L. [4.5.2 Normint] [4.5.8 Accfx]
FX Forward
If the FX forward is active at the OB date; zero. Otherwise; Int.End/ - Acc.Int/i. In consolidation currency;
Int.End/ * Spot - Acc.Int/i * ConsCur-IB. ConsCur-IB is the ConsCur-rate on the ingoing balance date, and Spot
is the FX spot rate between cross currency and consolidation currency on the maturity date. [4.5.6 Fxur]
Bank Accounts
The total of all interest payments for the period according to the “Interest Calculation” on bank accounts, minus
Acc.Int/i. Conversion to the consolidation currency is performed for each interest booking separately using the
“deal-related” ConsCur-rate associated with each booking. The IB value is converted using the ConsCur-rate at
the ingoing balance date.
2.4.18 (PH) Period Interest/Dividend (Unrealized), Int_UR/
This field contains the total non-paid interest for the period. Please note that this is a P/L value, and not a
balance value like Acc.Int/o. The value of the field is always zero if the deal is not active on the OB date, i.e. if
Nom.Amt/o is zero. In all other cases, the description below applies. The ConsCur-rate used is the balance
day’s ConsCur-rate at the OB date, except in the case of FX forwards.
MM spot
If the deal generates interest payments or has been initiated within the period, Acc.Int/o. Otherwise, interest
calculated according to formula 3.1.5 applies, where the period begins on the IB date, and ends on the OB date.
The amount on which interest is calculated is Nom.Amt/o * (Purchase rate / 100) for MM-short-term(VX) and
Nom.Amt/o for others. [4.5.2 Normint] [4.5.8 Accfx]
FX Forwards
In cross currency; Acc.Int/o - Acc.Int/i In consolidation currency; Acc.Int/o * ConsCur-OB - Acc.Int/i * ConsCur-
IB, where ConsCur-IB / ConsCur-OB is the ConsCur-rate at the ingoing and outgoing balance date respectively.
[4.5.6 Fxur]
Bank Accounts
If interest is booked within the period according to the “Interest Calculation” on bank accounts, Acc.Int/o.
Otherwise; Acc.Int/o - Acc.Int/i.
2.4.19 (PH) Interest End, Int.End/

This field contains the matured interest for the period. Please note the distinct difference to the field Period
Interest Amount (Realized), Int_Re/.
MM spot, FX Forward
This field contains the total matured interest for all deals within the selected period. No particular ConsCur-rate
can be associated with the field. Each deal’s interest is converted into consolidation currency using the
ConsCur-rate associated with the deal. These interests are added up to produce the value of this field
expressed in consolidation currency.
2.4.20 (PH) Fees, Fee/
This field contains realized brokerage, tax and fees for the selected period.

This is the total of the above mentioned fees for the selected period. No particular ConsCur-rate can be
associated with the field. Each cost is converted into consolidation currency using the ConsCur-rate associated
with the deal. These costs are added up to produce the value of this field expressed in consolidation currency.
2.4.21 (PH) Exchange Rate Diff (Total), Ex.Diff/
This field contains total P/L due to changes in foreign exchange rates for the selected period, realized as well as
unrealized. In the case of Money Market and Equities, deal currency should not be used for this field.

Expressed in deal currency; ExDif_Re/ + ExDif_UR/. No particular ConsCur-rate can be associated with the
field. The field is calculated in consolidation currency through adding the above fields, expressed in
2.4.22 (PH) Exchange Rate Diff (Realized), ExDif_Re/
This field contains the realized foreign exchange rate P/L for the selected period. For all instruments except FX
forwards, all the closing deals/maturities within the period are added up. Conversion into consolidation currency
is performed using each deal’s/maturity’s ConsCur-rate for each currency rate difference prior to calculating the
total.
Nom-deal = the deal’s quantity and ConsCur-deal = the deal’s ConsCur-rate for all the formulas below.
MM spot
Sum: Set.Amt/i * Nom-deal / Nom.Amt/i * ( ConsCur-deal – Ex.Rate(i)) [4.5.8 Accfx]
Zero.
FX Forward
If the deal does not mature within the period; zero.
Otherwise, in cross currency; Nom-deal * ( Ex.Rate(o) – Ex.Rate(i)) In consolidation currency; Nom.Amt/o

( Ex.Rate(o) * Spot - Ex.Rate(i) * ConsCur-IB ) ConsCur-IB is the ConsCur-rate at the ingoing balance date if
the deal is active on the IB date, and the deal’s ConsCur- rate if the deal starts within the period. Spot is the
spot FX rate between the cross currency and the consolidation currency at the maturity date. [4.5.16 Csdisc]
[4.5.6 Fxur]
FX Option
Sum: Nom-deal * Rate(i) * ( ConsCur-deal – Ex.Rate(i) ).
Equities
Sum: Nom-deal * IB-rate * ( ConsCur-deal - IB-fxrate )
IB-rate and IB-fx rate is the average FX rate and rate between the deals in the period and the IB balance
according to description 3.2.7.
Bank Accounts
Zero.
2.4.23 (PH) Exchange Rate Diff (Unrealized), ExDif_UR/
This field contains the unrealized P/L due to changes in foreign exchange rates for all instruments. Please note
that this field does not pertain to P/L from initial purchase. The value of this field is always zero if the deal is not
active on the OB date, i.e. if Nom.Amt/o is zero. Otherwise, the description below applies.
The following applies to all instruments except FX forwards. This field should only be used in consolidation
currency. The formulas below all apply to the contents of this field, expressed in consolidation currency. In the
case of FX forwards, the field contains spot difference in cross currency. The procedure for converting to
consolidation currency is described below.
MM spot
Set.Amt/i * Nom.Amt/o / Nom.Amt/i * ( Ex.Rate(o) – Ex.Rate(i) )
[4.5.8 Accfx]
Zero.
FX Forward
In cross currency; Nom.Amt/o * ( Ex.Rate(o) – Ex.Rate(i) ) In consolidation currency; Nom.Amt/o * ( Ex.Rate(o)
* ConsCur -OB - Ex.Rate(i) * ConsCur-IB )
ConsCur-IB is the ConsCur-rate at the ingoing balance date if the deal is active on the IB date, and the deal’s
ConsCur-rate if the deal starts within the period. ConsCur-OB is the ConsCur-rate at the outgoing balance date.
[4.5.16 Csdisc]
FX Option
Nom.Amt/o * Rate(i) * ( Ex.Rate(o) – Ex.Rate(i) )
Equities
Nom.Amt/o * IB-rate * ( Ex.Rate(o) – IB-fxrate )
IB-rate and IB-fxrate is the average FX rate and rate between the deals in the period and the IB-balances
Bank Accounts
Zero.
2.4.24 (PH) Unrealized Result, Unr.Res/
This field contains the unrealized P/L for the selected period, including all P/L components.

In deal currency; Int_UR/ + RateD_UR/ + ExDif_UR/
No specific ConsCur-rate can be associated with the field. The field is calculated using consolidation currency
through adding the values of the above fields expressed in consolidation currency. [4.5.5 Intres]
2.4.25 (PH) Realized Result, Re.Res/
2.4.26 710+3
2.4.27 3,0
This field contains the realized P/L for the selected period, including all P/L components. [4.5.5 Intres]

In deal currency; Int_Re/ + RateD_Re/ + ExDif_Re/ + Fee/ No specific ConsCur-rate can be associated with
the field. The field is calculated usingconsolidation currency through adding the values of the above fields
expressed in consolidation currency.
2.4.28 (PH) Total Result, Tot.Res/
This field contains the total P/L for the selected period, including all P/L components.

In deal currency; Re.Res/ + Unr.Res/
No specific ConsCur-rate can be associated with the field. The field is calculated using consolidation currency
through adding the values of the above fields expressed in consolidation currency.
2.4.29 (PH) Average Bound Capital, Avg.Cap/
This field is of vital importance to all forms of yield measurement in percent. In TWIN, this works through
relating a yield to a capital. This field pertains to that capital. There are two methods for calculating the average
bound capital: the simple method, and the effective method. Which method to use can be selected in the Report
Definition window.
The simple method does not take realized profits into consideration; if the deal matures within the period, the
bound capital will be zero after the maturity. If the effective method is used, realized profits will add capital for
the remainder of the period. Similarly, realized losses will decrease capital for the remainder of the period, if the
effective method is used, but not if the simple method is used. Interest payments and dividends affect the
average bound capital if the effective method is used, but not if the simple method is used, since they do not
affect outstanding quantity.
The interest rate convention selected in the Report Definition window governs on which days bound capital is
calculated.
If measuring using the 360/360 setting, or using the deal-dependent setting on a deal using the 360/360
principle, the average bound capital is only calculated to the 30 th of each month. Hence, the 28th of February
to the 1st of March gives 3 “bound” days. For active interest trading and equity trading, we recommend using
the effective method. For measuring yield on loans and deposits, we recommend using the simple method.
While the effective method gives a higher level of accuracy, the simple method is easier to administer manually.
Formulas 3.1.17 and 3.1.18 defines these two methods formally. Description 3.2.8 gives four examples to
illustrate the different methods.
The ingoing ConsCur-rate is always used for converting currencies.
MM spot, Equities
Simple method; see formula 3.1.17.
[4.5.7 Purac]
Effective method; see formula 3.1.18.
FX Forwards, MM forwards
Simple method; zero.
Effective method; see formula 3.1.18, where “cash flow” is the period’s realized profits
FX Options, IR Optioner
Zero.
Bank Accounts
See formula 3.1.18.
2.4.30 (PH) Interest Rate Risk - out, Int.Risk/
If the deal matures prior to the OB date, this field will be blank. Otherwise, it has the
same function as the corresponding field in the “Holdings” report type.
2.4.31 (PH) Currency Risk, CurRisk/*
2.4.32 (PH) Original Nominal Amount, Orig.Nom/
This field has the same function as the corresponding field in the “Holdings” report type.
2.4.33 (PH) Nom. Amount Period Change, Nom.Diff/
This field pertains to change in the outstanding nominal amount within the period.
MM spot, FX Forwards
Nom.Amt/o – Nom.Amt/I
2.4.34 (PH) Cost of carry result, Cap.Cost/
This field pertains to the cost of capital or the opportunity cost for capital used in each deal. This value is
produced through calculating the cost/opportunity cost, at 7-days standard interest rate, daily during the period
in which the deal uses/adds capital. See also the field pertaining to average bound capital.
Money Market, FX Forwards, Equities

Total for all days with bound capital: Capital * 7-days interest rate / Interest base Capital is the bound/added
capital of the day, 7-days interest rate is the 7-days standard interest rate for the day, and Interest base is the
standard interest base for the currency in question.
2.4.35 (PH) Special Result, Spec.Res/

This field pertains to “trading P/L”, i.e. the difference between the real P/L Tot.Res/ and the cost of capital
Cap.Cost/. Since the latter is expressed as cost for capital, both fields are added.
Money Market, FX Forwards, Equities

Tot.Res/ + Cap.cost/
2.4.36 (PH) Period Margin Amount, Margin/

This field contains the periodical interest margin for the period.
MM spot, FX Forward
Margin is calculated according to the same principles as period interest amount (Int.Amt/), substituting the
entered margin for interest rate or swap points. However, realized and unrealized results can not be separated.
2.4.37 (PH) Maturity Margin Amount, Mat.Marg/
This field contains matured or non-periodised interest margin.
MM spot
Interest margin is calculated for all interest payments and closings within the period according to the same
principles as for accrued interest, substituting the entered margin of deal number 1 for interest rate. The total
sum of these due margins is the due margin amount. When converting to consolidation currency, the ConsCur-
rate from each individual maturity/closing is used.
FX Forward
If the deal’s deal date is outside of the period; zero. Otherwise, margin based on a deal’s amount, i.e. the
entered margin multiplied by the amount from the left-hand side of the FX Deal desk. Conversion is performed
using the ConsCur-rate associated with the deal.
2.4.38 (PH) Hedge Cost, Hedging/
2.4.39 (PH) Amortized Cost Fee, AC.Fee/
2.4.40 (PH) Premium(Option), Premium(O) ??? / ???
2.4.41 (PH) Calculated Amount 1-4
2.4.42 (PH) Addition_H
2.4.43 (PH) Addition_I
2.4.44 (PH) Addition_J
2.4.45 (PH) CF Amount, CF.Amount/
2.4.46 (PH) CF Commitment Fee Unrealized, CF.Com_Un/
2.4.47 (PH) CF Commitment Fee Realized, CF.Com_Re/
2.4.48 (PH) CF Amount Left, CF.Left/
2.4.49 (PH) Unrealized Issue Fee, Is.Fee_Un/
2.4.50 (PH) Realized Issue Fee, Is.Fee_Re/
2.4.51 (PH) Spread Diff (Total), Spr.Diff/
2.4.52 (PH) Spread Diff (Realized), SprDiff_R/
2.4.53 (PH) Spread Diff (Unrealized), SprDiff_U/
2.4.54 (PH) Spread Interest (Total), Spr.Int/
2.4.55 (PH) Spread Interest (Realized, Spr.Int_R/
2.4.56 (PH) Spread Interest (Unrealized), Spr.Int_U/
2.4.57 (PH) Delta Index on Invested Amount, DInvInd/
2.4.58 (PH) Delta index på placerat belopp (Realiserat), DPlacIndR/ ??? språk ???
2.4.59 (PH) Delta index på placerat belopp (Orealiserat) , DPlacIndO/ ??? språk ???
2.4.60 (PH) MV BIS, MV_BIS/
2.4.61 (PH) BIS Add-on, BIS_Addon/
2.5 Transactions, rate fields

2.5.1 (T) Exchange Rate – In, Ex.Rate(i)
2.5.2 (T) Exchange Rate, Exch_.Rate
This field contains the spot FX rate for the transaction. [4.2.3 Spcform]
Money Market, FX Market, Equities

The ConsCur-rate of the deal associated with the transaction.
2.5.3 (T) Rate – In, Rate(i)
2.5.4 (T) Rate, Rate
This field holds the entered market rate for the transaction.
MM spot, MM forward
If the security is traded at rate; the rate entered for the deal. If the security is traded at interest rate; the rate for
the deal, calculated from the interest rate at the time of entry.
FX Forward
The entered FX forward rate from the left-hand side of the FX deal desk. [4.2.1 Fxinp ] [4.2.3 Spcform]
Equities
The entered rate (price) the deal’s rate field.
IR Option
The entered option price as a percentage, from the Option Terms window of the Deal desk.
FX Option
The entered option price expressed as swap points from the left-hand part of the Option Terms window of the
Deal desk.
2.5.5 (T) Interest at Close, Interest
This field pertains to the market rate at the transaction’s close, and is only relevant to Money Market.
MM spot, MM forward
If the security is traded at interest rate; the entered interest rate at close from the deal.
If the security is traded at rate; the deal’s interest rate, calculated from the the rate entered for the deal.
2.5.6 (T) Spot Rate, Spot Rate

This field contains the entered FX spot rate for FX deal transactions.
FX Forwards
The entered FX spot rate, from the left hand side of the deal’s FX Deal desk.
FX Options
The entered strike price, from the left hand side of the deal’s FX Deal desk.
2.5.7 (T) Swap Points, Swap Pts
This field shows the entered swap points for FX deal transactions.
FX Forwards
The entered swap points, from the left-hand side of the deal’s FX Deal desk.
2.5.8 (T) Margin(Rate), Margin
This field contains the entered margin from the margin field of the deal’s Deal desk.
Money Market
The entered margin expressed as a percentage, i.e. as originally entered.
FX Market
The entered margin expressed as swap points, i.e. as originally entered.
2.5.9 (T) Strike Price(Options), StrikePrice
This field contains the market price at which options can be exercised at the maturity (expiration) date.
IR Options
The entered strike price from deal number 1. This is an interest rate, if the underlying security is traded at
interest rate and a rate, if the security is traded at rate. Please note that the strike price can only be entered for
deal number 1, but this field will be displayed for all deal numbers.
FX Options
The entered strike price from the left-hand side of the deal number 1’s FX Deal desk. Please note that the strike
price can only be entered for deal number 1, but this field will be displayed for all deal numbers.
Equity Options
The strike price from the Derivative/Equity Security table.
2.5.10 (T) MM Index, MM_Index
This field is only used for real interest bonds, and it pertains to the KPI of the deal transaction.
MM spot
The KPI of the deal, calculated at the time of deal entry according to formula 3.1.20.
2.5.11 (T) Addition_F
2.5.12 (T) Addition_G
2.5.13 (T) CF Currency Rate, CF.Ex.Rate
2.5.14 (T) CF Commitment Fee %, CF.com%
2.5.15 (T) Amortized Cost Rate – purch., ACRate(i)
2.5.16 (T) Amortized Cost Rate, ACRate(o)
2.5.17 (T) Amortized Cost Interest – out, ACInt(o)
2.5.18 (T) Contract Size, ContrSize
2.5.19
2.6 Transactions, amount fields
2.6.1 (T) Nom-/Curr. Amount, Nom.Amt/
This field contains the (signed) quantity of the deal transaction.
Money Market
The entered amount or the entered number of contracts from the deal, depending on the quantity in which the
security is traded. For securities of the types “Security” and “Investment”, this will be a positive number for a
purchase, and a negative number for a sale. For securities of the types “FRA” and “Loan”, the opposite applies.
FX Market
The entered (signed) value from the left hand side of the deal transaction.
Equities
The number entered into the number field in the deal’s Deal desk. This will be negative if the deal is a sale.
2.6.2 (T) Invested Amount/CC-Amount, Inv.Amt/
This field contains a modified settlement amount for the deal, which can be used for various purposes.
MM spot
The deal’s settlement amount, excluding fees and accrued interest. Cost yields a negative number, and income
a positive number.
FX Forwards
The (signed) amount from the right hand side of the FX Deal desk.
Equities
The deal’s settlement amount, excluding fees. Cost yields a negative number, and income a positive number.
2.6.3 (T) Accrued Interest, Acc.Int/
This field pertains to paid or received accrued interest for money market transactions.
MM spot
The accrued interest for the transaction. A positive number means income, a negative number means cost.
2.6.4 (T) Settlement Amount Initial, Set.Amt/i
This field pertains to the settlement amount at purchase for closed transactions, if any.
MM spot
The signed settlement amount from the deal associated with the serial number of the transaction. A positive
number means income, and a negative number means cost at acquisition. Currency consolidation is performed
using the ConsCur-rate associated with deal number 1.
Equities
The value of this field will be zero if the deal flows in the same direction as its main serial number, i.e. buys for
normal deals, and sales for short sales. Otherwise, the value of the field will be the purchase value for the deal,
i.e. (Purch.rate * abs( Nom.Amt/ ) + Purch.cost) * sign.
Purch.rate is the average purchase rate for all prior deals within the serial number, according to description
3.2.7. This will be positive for a sale, and negative otherwise.
Purch.cost is the purchase cost for the deal according to description 3.2.7. Currency consolidation is performed
using the average ConsCur-rate of all purchase deals with a lower serial number than the deal in question,
2.6.5 (T) Settlement Amount, Set.Amt/
This field pertains to the settlement amount for the deal transaction, with the sign taken into account (i.e.
negative for cost, positive for income).
MM spot, MM forward
- (Nom.Amt/ * Rate / 100 + Acc.Int/ + abs( Fee/ ) )
FX Forward
The entered (signed) cross currency amount, i.e. the amount in the right part of the FX Deal desk.
IR Option
- (Nom.Amt * Rate / 100 + abs( Fee/ ) )
FX Option
The entered (signed) premium from the premium field in the left-hand part of the Option Term window, i.e.
bought options with a negative sign, and written options with a positive sign.
Equities
- (NomAmt* Rate + Fee/ * (If buy 1, otherwise –1) )
2.6.6 (T) Rate Diff, Ratediff/
This field pertains to the realized rate difference generated by the transaction for closing deals, and zero for all
others.
MM spot, MM forward
Nom.Amt * ( Purchase rate - Rate ) / 100, where Purchase rate is the entered or calculated
rate from deal number 1.
Equities
Costs at rate difference calculation are taken into account, i.e. Set.Amt/o – Set.Amt(i).
2.6.7 (T) Amortized Cost Rate diff, ACRateD/
2.6.8 (T) Total Cost, Tot._Cost/
2.6.9 (T) Dividend, Int.Amt/
2.6.10 (T) Exchange Rate Diff, Ex.Diff/
This field is only relevant when dealing with sell transactions in Equities. It pertains to the foreign exchange rate
P/L from initial purchase associated with the transaction in question.
Equities
The value of the field equals the effect of the transaction on Ex.Dif_Re/ in Period Holdings, if the IB date were
set to the beginning of time, i.e. if all sub deals prior to the transaction were included in the period.
2.6.11 (T) Realized Result, Re.Res/
This field is only relevant when dealing with sell transactions in Equities. It pertains to the realized P/L from
initial associated with the transaction in question.
Equities
The value of the field equals the effect of the transaction on Re.Res/ in Period Holdings, if the IB date were set
to the beginning of time, i.e. if all sub deals prior to the transaction were included in the period.
2.6.12 (T) Margin Amount, Margin/
This field contains the margin amount for the transaction in question.
MM spot
The same value as Mat.Marg/ in the report type “Period Holdings” when the deal matures within the period.
FX Forward
The same value as Mat.Marg/ in the report type “Period Holdings” when the deal is included in the period.
2.6.13 (T) Rate Diff per Entity, RteD/Uni/
This is a special field for equities only, which gives realized rate difference per entity instead of per portfolio.
Equities
This field is identical to Ratediff/, with the difference that the rate at purchase is calculated using the holding in
equity in question of the entire entity, according to description 3.2.7.
2.6.14 (T) Brokerage, Brokerage/
2.6.15 (T) Fees, Fee/
Entered costs: brokerage, tax, fees belonging to the deal transaction.
Money Market
Entered costs, with a negative sign if cash flow for the entire payment is negative, otherwise with a positive
sign.
Equities
Entered costs, always with a negative sign.
2.6.16 (T) Tax, Tax/
2.6.17 (T) Man-adj, Man-adj/
2.6.18 (T) Opt-adj, Opt-adj/
2.6.19 (T) Amortized Cost Fee, AC.Fee/
2.6.20 (T) Calculated Amount 1-4
2.6.21 (T) Addition_H
2.6.22 (T) Addition_I
2.6.23 (T) Addition_J
2.6.24 (T) NSK, NSK/
2.6.25 (T) CF Amount, CF.Amount/
2.6.26 (T) CF Amount Left, CF.Left/
2.6.27 (T) Prolonged Amount, Prol.Amt/
2.6.28
2.7 Events, rate fields
2.7.1 (E) Exchange Rate – In, Ex.Rate(i)
2.7.2 (E) Exchange Rate, Exch.Rate
This field contains the spot FX rate for the transaction. [4.2.3 Spcform]
Money Market, FX Market, Equities

The ConsCur-rate of the deal associated with the transaction.
2.7.3 (E) Group Currency Rate – out, ex.rate(oG)
2.7.4 (E) Average Purchase Exchange rate, PurchExRate
2.7.5 (E) Average Purchase rate, Purch.Rate
2.7.6 (E) Rate – In, Rate(i)
2.7.7 (E) Rate, Rate
This field holds the entered market rate for the transaction.
MM spot, MM forward
If the security is traded at rate; the rate entered for the deal. If the security is traded at interest rate; the rate for
the deal, calculated from the interest rate at the time of entry.
FX Forward
The entered FX forward rate from the left-hand side of the FX deal desk. [4.2.1 Fxinp ] [4.2.3 Spcform]
Equities
The entered rate (price) the deal’s rate field.
IR Option
The entered option price as a percentage, from the Option Terms window of the Deal desk.
FX Option
The entered option price expressed as swap points from the left-hand part of the Option Terms window of the
Deal desk.
2.7.8 (E) Interest at Close, Interest
This field pertains to the market rate at the transaction’s close, and is only relevant to Money Market.
MM spot, MM forward
If the security is traded at interest rate; the entered interest rate at close from the deal.
If the security is traded at rate; the deal’s interest rate, calculated from the the rate entered for the deal.
2.7.9 (E) Nominal interest, Nom.Int.
2.7.10 (E) Spot Rate, Spot Rate
This field contains the entered FX spot rate for FX deal transactions.
FX Forwards
The entered FX spot rate, from the left hand side of the deal’s FX Deal desk.
FX Options
The entered strike price, from the left hand side of the deal’s FX Deal desk.
2.7.11 (E) Swap Points, Swap Pts
This field shows the entered swap points for FX deal transactions.
FX Forwards
The entered swap points, from the left-hand side of the deal’s FX Deal desk.
2.7.12 (E) Fixed Interest Term, FixedIntTerm
2.7.13 (E) Margin(Rate), Margin
This field contains the entered margin from the margin field of the deal’s Deal desk.
Money Market
The entered margin expressed as a percentage, i.e. as originally entered.
FX Market
The entered margin expressed as swap points, i.e. as originally entered.
2.7.14 (E) Strike Price(Options), StrikePrice
This field contains the market price at which options can be exercised at the maturity (expiration) date.
IR Options
The entered strike price from deal number 1. This is an interest rate, if the underlying security is traded at
interest rate and a rate, if the security is traded at rate. Please note that the strike price can only be entered for
deal number 1, but this field will be displayed for all deal numbers.
FX Options
The entered strike price from the left-hand side of the deal number 1’s FX Deal desk. Please note that the strike
price can only be entered for deal number 1, but this field will be displayed for all deal numbers.
Equity Options
The strike price from the Derivative/Equity Security table.
2.7.15 (E) MM Index, MM_Index
This field is only used for real interest bonds, and it pertains to the KPI of the deal transaction.
MM spot
The KPI of the deal, calculated at the time of deal entry according to formula 3.1.20.
2.7.16 (E) Addition_F
2.7.17 (E) Addition_G
2.7.18 (E) CF Currency Rate
2.7.19 (E) CF Commitment Fee %
2.7.20 (E) Amortized Cost Rate – purch., ACRate(i)
2.7.21 (E) Amortized Cost Rate – out, ACRate(o)
2.7.22 (E) Amortized Cost Interest - out, ACInt(o)
2.7.23 (E) Contract Size, ContrSize
2.7.24 (E) Amortized Cost Average Purchase Rate, ACPurchRate
2.7.25
2.8 Events, amount fields
2.8.1 (E) Nom-/Curr. Amount, Nom.Amt/
This field contains the (signed) quantity of the deal transaction.
Money Market
The entered amount or the entered number of contracts from the deal, depending on the quantity in which the
security is traded. For securities of the types “Security” and “Investment”, this will be a positive number for a
purchase, and a negative number for a sale. For securities of the types “FRA” and “Loan”, the opposite applies.
FX Market
The entered (signed) value from the left hand side of the deal transaction.
Equities
The number entered into the number field in the deal’s Deal desk. This will be negative if the deal is a sale.
2.8.2 (E) Nom-/Curr. Amout – before, Nom.Amt/i
2.8.3 (E) Nom-/Curr. Amout – after, Nom.Amt/o
2.8.4 (E) Purchase Value – before, Purchase/i
2.8.5 (E) Purchase Value Change, Purchase/*
2.8.6 (E) Purchase Value – after, Purchase/o
2.8.7 (E) Invested Amount/CC-Amount, Inv.Amt/
This field contains a modified settlement amount for the deal, which can be used for various purposes.
MM spot
The deal’s settlement amount, excluding fees and accrued interest. Cost yields a negative number, and income
a positive number.
FX Forwards
The (signed) amount from the right hand side of the FX Deal desk.
Equities
The deal’s settlement amount, excluding fees. Cost yields a negative number, and income a positive number.
2.8.8 (E) Accrued Interest, Acc.Int/
This field pertains to paid or received accrued interest for money market transactions.
MM spot
The accrued interest for the transaction. A positive number means income, a negative number means cost.
2.8.9 (E) Settlement Amount Initial, Set.Amt/i
This field pertains to the settlement amount at purchase for closed transactions, if any.
MM spot
The signed settlement amount from the deal associated with the serial number of the transaction. A positive
number means income, and a negative number means cost at acquisition. Currency consolidation is performed
using the ConsCur-rate associated with deal number 1.
Equities
The value of this field will be zero if the deal flows in the same direction as its main serial number, i.e. buys for
normal deals, and sales for short sales. Otherwise, the value of the field will be the purchase value for the deal,
i.e.(Purch.rate * abs( Nom.Amt/ ) + Purch.cost) * sign.
Purch.rate is the average purchase rate for all prior deals within the serial number, according to description
3.2.7. This will be positive for a sale, and negative otherwise.
Purch.cost is the purchase cost for the deal according to description 3.2.7. Currency consolidation is performed
using the average ConsCur-rate of all purchase deals with a lower serial number than the deal in question,
2.8.10 (E) Settlement Amount, Set.Amt/
This field pertains to the settlement amount for the deal transaction, with the sign taken into account (i.e.
negative for cost, positive for income).
MM spot, MM forward
- (Nom.Amt/ * Rate / 100 + Acc.Int/ + abs( Fee/ ) )
FX Forward
The entered (signed) cross currency amount, i.e. the amount in the right part of the FX Deal desk.
IR Option
- (Nom.Amt * Rate / 100 + abs( Fee/ ) )
FX Option
The entered (signed) premium from the premium field in the left-hand part of the Option Term window, i.e.
bought options with a negative sign, and written options with a positive sign.
Equities
- (NomAmt* Rate + Fee/ * (If buy 1, otherwise –1) )
2.8.11 (E) Rate Diff, Ratediff/
This field pertains to the realized rate difference generated by the transaction for closing deals, and zero for all
others.
MM spot, MM forward
Nom.Amt * ( Purchase rate - Rate ) / 100, where Purchase rate is the entered or calculated rate from deal
number 1.
Equities
Costs at rate difference calculation are taken into account, i.e. Set.Amt/o – Set.Amt(i).
2.8.12 (E) Amortized CostRate diff, ACRateD/
2.8.13 (E) Total Cost, Tot._Cost/
2.8.14 (E) Dividend, Int.Amt/

2.8.15 (E) Exchange Rate Diff, Ex.Diff/
This field is only relevant when dealing with sell transactions in Equities. It pertains to the foreign exchange rate
P/L from initial purchase associated with the transaction in question.
Equities
The value of the field equals the effect of the transaction on Ex.Dif_Re/ in Period Holdings, if the IB date were
set to the beginning of time, i.e. if all sub deals prior to the transaction were included in the period.
2.8.16 (E) Realized Result, Re.Res/
This field is only relevant when dealing with sell transactions in Equities. It pertains to the realized P/L from
initial associated with the transaction in question.
Equities
The value of the field equals the effect of the transaction on Re.Res/ in Period Holdings, if the IB date were set
to the beginning of time, i.e. if all sub deals prior to the transaction were included in the period.
2.8.17 (E) Margin Amount, Margin/
This field contains the margin amount for the transaction in question.
MM spot
The same value as Mat.Marg/ in the report type “Period Holdings” when the deal matures within the period.
FX Forward
The same value as Mat.Marg/ in the report type “Period Holdings” when the deal is included in the period.
2.8.18 (E) Rate Diff per Entity, RteD/Uni/
This is a special field for equities only, which gives realized rate difference per entity instead of per portfolio.
Equities
This field is identical to Ratediff/, with the difference that the rate at purchase is calculated using the holding in
equity in question of the entire entity, according to description 3.2.7.
2.8.19 (E) Brokerage, Brokerage/
2.8.20 (E) Fees, Fee/
Entered costs: brokerage, tax, fees belonging to the deal transaction.
Money Market
Entered costs, with a negative sign if cash flow for the entire payment is negative, otherwise with a positive
sign.
Equities
Entered costs, always with a negative sign.
2.8.21 (E) Tax, Tax/
2.8.22 (E) Man-adj, Man-adj/
2.8.23 (E) Opt-adj, Opt-adj
2.8.24 (E) Amortized Cost Fee, AC.Fee/
2.8.25 (E) Calculated Amount 1-4
2.8.26 (E) Addition_H, AdditionH/
2.8.27 (E) Addition_I, AdditionI/
2.8.28 (E) Addition_J, AdditionJ/
2.8.29 (E) NSK, NSK/
2.8.30 (E) CF Amount, CF.Amount/
2.8.31 (E) CF Amount Left, CF.Left/
2.8.32 (E) Apprec/Deprec. Rate Diff, AD.RateD/
2.8.33 (E) Apprec/Deprec. Exchange Rate Diff, AD.XRateD/
2.8.34 (E) Prolonged Amout, Prol.Amt/
2.9 Payments, rate fields
2.9.1 (P) Exchange Rate, Exch. Rate
This field contains the spot FX rate of the payment, i.e. the FX rate between the payment’s currency and the
consolidation currency. [4.1.6 Rdate] [4.2.3 Spcform]

ConsCur-rate for payment belonging to the deal. For the purposes of MM, interest payments and
amortizations/maturities are also considered deals in this case.
FX Forwards
If the payment pertains to the cross currency, i.e. the currency to the right in the FX Deal desk, this will be the
ConsCur-rate. Otherwise, it will be the ConsCur-rate which the deal associated with the transaction would have
had, had it been entered “in reverse”, i.e. with the left currency to the right and vice versa.
FX Options
If the premium is paid in cross currency, i.e. the currency to the right in the FX Deal desk, this will be the
ConsCur-rate. Otherwise, it will be the ConsCur-rate which the deal associated with the transaction would have
had, had it been entered “in reverse”, i.e. with the left currency to the right and vice versa. If risk value, the
corresponding rule applies.
Bank Accounts
The ConsCur-rate for the manual booking and its date.
2.9.2 (P) Rate, Rate
This field pertains to the entered market rate for the deal transaction associated with the payment.
MM spot, MM forward
If the security is traded at rate; the entered rate for the deal.
If the security is traded at interest rate; the rate for the deal, calculated from the interest rate at the time of entry.
FX Forward
The entered FX forward rate from the left-hand side of the deal. [4.2.1 Fxinp ] [4.2.2 Lastex] [4.2.3 Spcform]
Equities
The entered price from the price field of the deal.
IR Option
The entered option price as a percentage, from the Option Terms window.
FX Option
The entered option price, expressed as swap points from the left-hand side of the FX Option Terms window.
2.9.3 (P) Interest, Interest
This field pertains to the market interest rate at which the transaction associated with the payment is closed. It is
only relevant to Money Market. If the deal in question is an interest payment or an amortization, the interest rate
from deal number 1 will be used.
MM spot, MM forward
If the security is traded at interest rate; the entered closing interest rate (price) for the deal.
If the security is traded at rate; the deal’s interest, calculated from the rate entered for the deal.
2.9.4 (P) Nominal Interest, Nom.Int

This field provides the same functionality as the corresponding field in the “Holdings” report type.
2.9.5 (P) MM Index, MM_Index

This field is only used for real interest bonds, and pertains to the KPI of the payment’s deal transaction..
MM spot
KPI calculated at the time of deal entry according to formula 3.1.20.
2.9.6 (P) Discount Interest, Disc. IR
This field pertains to the discount rate used for calculating the discount factor when performing discounting of
future cash flows. The interest is calculated by interpolating the standard yield curve according to formula
3.1.10. [4.6.4 Pdisc] [4.6.10 Vrdisc]
2.9.7 (P) Discount Factor, Disc.Faktor
2.9.8 (P) Withholding Tax, Withh.Tax
2.9.9 (P) Factor of Probability, Prob.factor
2.9.10 (P) Spread, Spread(o)
2.9.11 (P) Base Interest %, Base_Int.
2.9.12 (P) Contract Size, ContrSize
2.10Payments, amount fields
2.10.1 (P) Nom/CCR Amount, Nom.Amt/*
This field pertains to changes in outstanding quantity of the product due to the payment
in question.
Money Market
Change in nominal amount or number of contracts. This is a negative value for a buy and a positive value for a
sale or a loan. [4.7.2 Shnom]
FX Market
The entered (signed) amount for the other currency of the associated deal not pertaining to the payment in
question.
Equities
Change in number of Equities (shares) or number of contracts. This is a positive value for a buy and a negative
value for a sale.
2.10.2 (P) Invested Amount, Inv.Amt/
This field pertains to the settlement amount, excluding interest, for all instruments.
Money Market
Set.Amt/ - Acc.Int/
FX Market, Equities, Bank Accounts

Set.Amt/
2.10.3 (P) Accrued Interest, Acc.Int/

This field contains the interest component of the payment, and is only relevant to MM spot.
MM spot
The accrued interest for the deal associated with the payment. This is a positive value for an income, and
otherwise a negative value.
2.10.4 (P) Accrued Spread, Acc.Spr/
2.10.5 (P) Settlement Amount, Set.Amt/

This is by far the most important field for the “Payments” report type, and it contains the settlement amount for
the payment. This will be a positive value for income, and a negative value for expenditure. This field should be
included in all reports of the “Payments” type, and it is also relevant to bank accounts.
[4.7.1 Noint]
Please note that this pertains to the administrative cash flow. Performing risk measurements requires some
special settings to be made. [4.6.4 Pdisc] [4.6.5 Flcash] [4.6.10 Vrdisc]
2.10.6 (P) Balance, Balance/
This field contains the accumulated (aggregated) settlement amounts, making it possible to use the report as a
balance statement. It is a very special field, which should only be used for certain purposes. The report must be
sorted by Account-id or currency on the top level, and by settlement date on the next level. Under these
circumstances, the field will display the accumulated Set.Amt/ on each detail line. The value of the total lines will
be the same as on the preceding detail line.
[4.4.3 Nobal]
2.10.7 (P) Interest Rate Risk, Int.Risk/
This field pertains to the interest rate risk generated by the payment in question, i.e. the change in P/L at a shift
of the yield curve according to the specification in “Interest Risk Calculation (Points…)”. The standard interest
rate is used as the basis of the calculations. When using this field, the IB date should equal the date for risk
measurement, and the OB date should be a date later than the last future due payment.
Money Market, FX Market

Set.Amt/ * D1 - Set.Amt/ * D2
D1 is the discount factor, which is obtained through searching for the standard interest rate on the IB date, and
interpolating according to formula 3.1.10. The tenor used equals the number of calendar days between the IB
date and the settlement date of the payment.
The discount factor is calculated according to formula 3.1.3 if the tenor is less than a year, and according to
3.1.4 if it is more than a year. The interest convention associated with the currency in question is used for the
purposes of this calculation. D2 is calculated using the same principles, with the difference that the market
interest rate with the yield curve shift is added prior to calculating the discount factor.
2.10.8 (P) Currency Risk, CurRisk/
This field pertains to the currency risk generated by the payment in question, i.e. the change in P/L at a shift of
the yield curve according to the specification in “Interest Risk Calculation (Points…)”. When using this field, the
IB date should equal the date for risk measurement, and the OB date should be a date later than the last future
due payment.
Money Market, FX Market

Set.Amt/ * Percentage / 100
Percentage is the entered percentage in “Interest Risk Calculation (Points…)”.
2.10.9 (P) Internal Rate of Return, IRR/ ??? Fel i TWIN ???
2.10.10 (P) Original Nominal Amount, Orig.Nom/
2.10.11 (P) Calculated Amount 1-4
2.10.12 (P) Withholding Tax, Withh_Tax/
2.10.13 (P) Settl.Amount FXrisk, Set.AmtFX/
2.11Value-at-Risk, Rate fields

2.11.1 (V) Exchange Rate, Exch._Rate
2.11.2 (V) Rate, rate
2.11.3 (V) Interest, Interest
2.11.4 (V) Nominal Interest, Nom.Int.
2.11.5 (V) Discount Interest, Disc._IR
2.11.6
2.11.7 (V) Currency Volatility% (VaR), Cur-Vol%
This field contains the volatility for the currency, expressed on a yearly basis, and as a percentage of the
standard deviation. The estimated volatility for the currency according to formula 3.1.21 is displayed on all total
levels except the grand (final) total, where the total currency volatility according to formula 3.1.23 is displayed
instead.
2.11.8 (V) Interest Rate Volatility% (VaR), IR-Vol%
This field contains the volatility for the interest associated with the correlation group in question, expressed on a
yearly basis, and as a percentage of the standard deviation. The estimated interest volatility according to
formula 3.1.21 is displayed on the detail level and on the correlation group level. This field should not be used
on the currency level or
grand (final) total level.
2.11.9 (V) Rate Volatility% (VaR), RateVol%
This field contains the volatility for the rate associated with the payment, expressed on a yearly basis, and as a
percentage of the standard deviation. On the detail level, this is calculated from the interest volatility and the
time to maturity for the payment, according to formula 3.1.24.
On the correlation group level, this field is weighted from the details according to formula 3.1.25.
On the currency total level and on the grand (final) total level, the field is calculated according to formula 3.1.26.
Rate volatility refers to interest rate volatility, i.e. change in value for the payment or total position due to
changes in interest rates , and is not related in any way to currency.
2.11.10 (V) Total Volatility% (VaR), TotalVol%
This field contains the volatility with the risk of changes in both FX rate and interest taken into account. Like the
fields described above, this is expressed on a yearly basis and as a percentage of the standard deviation. On
the detail level and correlation group level, this is calculated from the currency volatility, interest rate volatility
and the correlation between them according to formula 3.1.27.
On the currency level and on the grand (final) total level, it is calculated according to formula 3.1.28.
2.11.11 (V) Factor of Probability, Prob.factor
2.11.12 (V) Base Interest %, Base_Int.
2.11.13
2.12Value-at-Risk, Amount Fields
2.12.1 (V) Nom-/CCR Amount, Nom.Amt/*
2.12.2 (V) Settlement Amount, Set.Amt/
2.12.3 (V) Interest Rate Risk, Int.Risk/
2.12.4 (V) Currency Risk, CurRisk/*
2.12.5 (V) Value-at-Risk (Currency), CurVaR/*
This field indicates the maximum amount at stake for the specified confidence interval and time period due to
changes in FX rates. This is calculated from the size of the detail or total position and the currency volatility
according to formula 3.1.29.
2.12.6 (V) Value-at-Risk (Interest), IR-VaR/*
changes in interest rates. This is calculated from the size of the detail or total position and the rate volatility
according to formula 3.1.29.
2.12.7 (V) Value-at-Risk (Total), TotVaR/*
changes in FX rates or interest rates. This is calculated from the size of the detail or total position and the total
volatility according to formula 3.1.29.
2.12.8 (V) Calculated amount 1-4
2.13Hedge (IAS-39), Rate fields

2.13.1 (HG) Exchange Rate – in, Ex.Rate(i)
2.13.2 (HG) Exchange Rate – out, Ex.Rate(o)
2.13.3 (HG) Rate – in, Rate(i)
2.13.4 (HG) Rate – out, Rate(o)
2.13.5 (HG) Exchange Rate2 (from Hedge Start), Ex.Rate2(i)
2.13.6 (HG) Rate2 (from hedgestart), Rate2(i) ???
2.13.7 (HG) Amount Percent (Hedged), Amt%
2.13.8 (HG) REM Effectivness % (interest), REMeff%
2.13.9 (HG) REM Effectivness % (FX), REMeff%FX
2.13.10 (HG) REA Effectivness % (interest), REAeff%
2.13.11 (HG) REA Effectivness % (FX), REAeff%FX
2.14Hedge (IAS-39), Amount fields

2.14.1 (HG) Nominal Amount (Hedged), Nom.Amt/*
2.14.2 (HG) Accrued Interest (Effective part), Acc.Int_E/
2.14.3 (HG) Accrued Spread, Acc.Spr/
2.14.4 (HG) Rate Diff (Efficient part), RateDff_E-
2.14.5 (HG) Rate Diff (Inefficient part), RateDff_I-
2.14.6 (HG) Rate Diff (Before Hedge Start), RateDff_B-
2.14.7 (HG) Amortized Cost Rate diff (Ineffective part), ACRateD_I/
2.14.8 (HG) Amortized Cost Rate diff (Before Hedge Start), ACRateD_B/
2.14.9 (HG) Accrued Interest (Ineffective part), Acc.Int_I/
2.14.10 (HG) Accrued Interest (Before hedge start), Acc.Int_B/

2.14.11 (HG) Exchange Rate Diff (Effective part), Ex.Diff_E/
2.14.12 (HG) Exchange Rate Diff (Ineffective part), Ex.Diff_I/
2.14.13 (HG) Exchange Rate Diff (Before Hedge Start), Ex.Diff_B/
2.14.14 (HG) Total Result, Tot.Res/
2.14.15 (HG) Rate Diff2 (From hedge start), RateDff_2-
2.14.16 (HG) Calculated amount 1-4
2.14.17 (HG) Exchange Rate Diff (From Hedge Start), Ex.Diff_2/
2.14.18 (HG) Spread Diff (Ineffective part), SprDiff_I/
2.14.19 (HG) Spread Diff (Before Hedge Start), SprDiff_B/
2.14.20
TWIN Example Calculations – Example Calculations
3 Formulas & Calculations

3.1 Formulas
3.1.1 Calculation of Market value for MM spot
∑ DF i⋅Cash %i
MValue% = i
Summation of all future cash flows.
Cash%i = Future cash flow number i, expressed as a percentage of the nominal amount
DFi = Discount factor for cash flow number i
MValue% = Market value as a percentage of the nominal amount
3.1.2 Calculation of Market rate from market value for M M
Mrate% = MValue% - Accrint%

Accrint% = Accrued interest on the balance date, as a percentage of the nominal amount
MValue% = Market value as a percentage of the nominal amount Mrate% = Market rate as a percentage of the
nominal amount
3.1.3 Discounting, simple interest
DF =
(
1+
Intrate No. ofdays
100
⋅
Intbase )
Intrate = Current discount interest
No.ofdays = Number of days from the balance date to the maturity using the appropriate accrual method (day
count basis), (360 or Actual) Intbase = Interest base (360 or Actual) DF = Discount factor
3.1.4 Discounting, effective interest
1
No . ofdays
( 1+
Intrate
100 )
Intbase
DF =
Intrate = Current discount interest
No.ofdays = Number of days from the balance date to the maturity using theappropriate accrual method (day
count basis), (360 or Actual) Intbase = Interest base (360 or Actual) DF = Discount factor.
3.1.5 Calculation of accrued interest for Money Market
Accrint% = Intrate * No.ofdays / Intbase

Intrate = Interest rate for the period
No.ofdays = Number of days from the period start to the period end using the appropriate accrual method (day
count basis), (360 or Actual)
Intbase = Interest base (360 or 365)
Accrint% = Accrued interest as a percentage of the amount on which interest will be calculated, which equals
the nominal amount for all instruments except MM-short-term(VX), for which it is the purchase value instead.
3.1.6 Calculation of accrued interest for FX forwards
Accrint = Amount * Premium * No.ofdays1 / No.ofdays2

Amount = The entered (signed) amount from the left hand side of the Deal desk
Premium = The entered swap points from the left hand side of the Deal desk
No.ofdays1 = The number of calendar days between the entered value date and the
entered maturity date
No.ofdays2 = The number of calendar days between the entered value date and the
balance date
Accrint = Accrued interest expressed in cross currency
3.1.7 Duration of a single deal
∑ DF i⋅CASH% i⋅No . ofdays

i
Duration = Mvalue%
All future cash flows are added up.

CASH%i = Future cash flow number i, expressed as a percentage of the nominal amount
DFi = The discount factor associated with cashflow number i
MValue% = The market value as a percentage of the nominal amount
No.ofdays = The number of days between the balance date and the maturity date for cash flow number i using
the appropriate accrual method (day count basis), (360 or Actual)
Duration = Duration expressed in number of days.
3.1.8 General weighting formula
∑ Value i⋅We ight i

i
∑ W eight i
WeightedValue = i
Valuei = Value number i to be weighted, e.g. the duration of deal number i when
calculating duration
Weighti = Weight number i, e.g. the market value of deal number i when
calculating duration.
WeightedValue = The compound weighted sammanvägda value, e.g. the total
duration when calculating duration
3.1.9 Duration Calculation of a total position with derivatives
∑ ( Rate% i + A ccr int % i )⋅Duration i

i
∑ Mvalue% i
Duration = i
All deals in the position are added up

Rate%i = The purchase rate for deal number i
Accrint%i = The accrued interest at purchase, as a percentage of the nominal
amount for deal number i
Mvalue%i = The market value on the balance date for deal number i
Durationi = The duration for deal number i (formula 3.1.7)
Duration = Total duration expressed in number of days
3.1.10 Interpolation of Yield curve
Interp.Int = IntShort + (IntLong - IntShort) * (Tenor - TenorShort) / (TenorLong - TenorShort)

IntRate = If IntShort is missing; IntLong, If IntLong is missing; IntShort, otherwise Interp.Int
Tenor = The tenor for the desired interest rate in calendar days
IntShort = The interest rate for the point on the yield curve with the next shorter tenor than “Tenor”
IntLong = The interest rate for the point on the yield curve with the next longer tenor than “Tenor”
TenorShort = The tenor for the point on the yield curve with the next shorter tenor than “Tenor “
TenorLong = The tenor for the point on the yield curve with the next longer tenor than “Tenor”
IntRate = Interpolated interest rate.
3.1.11 Deriving an Int. Rate for a future period from an existing Yield Curve
Before writing a complicated formula we look at the logic behind it. In order to find a correct valuation the yield
curve should be a zero coupon curve.
T1 = A future start time, e.g. 1 year from today.
T2 = Tenor of future period, e.g. 3M.
R1 = Interest rate belonging to tenor T1 of the yield curve.
R2 = Interest rate belonging to tenor T1+T2 of the yield curve.
DF1 = Discount factor based on R1 and T1.
DF2 = Discount factor based on R2 and T1+T2.
Rf = Implicit rate with tenor T2 starting at T1. This is the rate to be calculated.
DFf = Discount factor based on Rf and T2.
First note that to calculate Rf it suffice to calculate DFf (solving for the interest rate in formula 3.1.3 or 3.1.4).
Next, observe that to avoid arbitrage we must have
DF 1⋅DFf =DF 2
That is
DFf =DF 2/ DF1
We are now in position to solve for Rf. Before doing so we introduce
B1, B2, Bf = The denominator of the interest rate base for R1, R2, Rf respectively. Also, for simplicity we write
T1, T2, T1+T2 for the number of rate days for each tenor. There are five cases that might occur: T1 + T2 is at
most 1 year. In this case all three tenors T1, T2 and T1+T2 hold simple interest rates.
( )
R2 T 2
1+
100 B2 100⋅Bf
Rf = −1
R1 T 1 T 1+T 2
1+
100 B1
T1 and T2 are at most 1 year each, while T1+T2 is greater than 1 year. In this case T1 and T2 hold simple
interest rates while T1+T2 hold an effective interest rate.
( ) )
Bf / T 1+T 2
R2 T2
1+
100 B2
Rf = −1 ⋅100
R1 T1
1+
100 B1
T1 is greater than 1 year and T2 is at most 1 year. In this case T2 hold a simple rate while T1 and T1+T2 hold
effective rates.
(( ) ) )
Bf /T 1+T 2
R2 T 2
1+
100 B 2
Rf = −1 ⋅100
R 1 T 1/B 1
1+
100
T1 and T2 are greater than 1 year. In this case all rates are effective.
( ) )
( )
T 2/ B 2 Bf / T 1+T 2
R2
1+
100
Rf = −1 ⋅100
(1+100 )
T 1/ B 1
R1
T2 is greater than 1 year and T1 is at most 1 year. In this case T1 hold a simple rate, while T2 and T1+T2 hold
effective rates.
( ) )
( )
Bf /T 1+T 2
R 2 T 2/B 2
1+
100
Rf = −1 ⋅100
R1 T 1
1+
100 B 1
3.1.12 Interpolation of FX Forward Swap Points
Interp.Rate = RateShort + (RateLong - RateShort) * (Tenor - TenorShort) / (TenorLong - TenorShort)

FwdRate = If RateLong is missing; the current FX spot rate
If RateLong is missing; RateShort, otherwise Interp.Rate
Tenor = The tenor for the desired interest rate, expressed in calendar days
RateShort = The rate for the point on the curve with the next shorter tenor than
“Tenor”
RateLong = The rate for the point on the curve with the next longer than “Tenor”
TenorShort = The tenor in number of calendar days for the point on the curve with the next shorter tenor than
“Tenor”. This varies from day to day for the same point, e.g. FWD1M can correspond to 28, 29, 30 or 31 days
depending on the balance date.
TenorLong = The tenor for the point on the curve with the next longer tenor than
“Tenor”, according to the same principles as “ TenorShort “
FwdRate = Interpolated forward FX rate for desired tenor
3.1.13 Calculation of Consolidation Currency Rate
ConsRate = ExchangeRate1 / ExchangeRate2

ExchangeRate1 = The FX rate between local currency and base currency. The mid rate if desired, or the bid
(buy) rate if desired. Otherwise the ask (sell) rate
ExchangeRate2 = The FX rate between the consolidation currency and the base currency. The mid rate if
desired, or the bid rate köpkurs if desired. Otherwise the ask rate
ConsRate = The consolidation currency rate.
3.1.14 Calculation of Exchange Rate Difference
ExRateDiff = FXResAmt * (ConsRateOB - ConsRateIB)

ConsRateIB = Consolidation currency rate on the IB date (or at the settlement)
ConsRateOB = Consolidation currency rate on the OB date (or at the maturity)
FXResAmt = Amount on which a calculation of exchange rate difference is
performed
ExRateDiff = Exchange Rate Difference expressed in consolidation currency
3.1.15 Black & Scholes model for Option Valuation
MPrice = If Call, MarketPrice * S(L1) - R1 * StrikePrice * S(L2)

If Put, R1 * StrikePrice * S(- L2) - MarketPrice * S(- L1)
(
MarketPrice
log )
L1 = (
S trike Pr ice⋅R1
Vol% /100 )
⋅ √ Tenor
+
100 (
Vol % √ Tenor
⋅
2 )
log ( MarketPrice
S trike Pr ice⋅R1 ) Vol% √Tenor
( Vol% /100 )⋅√ Tenor (100 2 )
− ⋅
L2 =
( )
-Tenor
RiskfreeInt
1+
R1 = 100
Tenor = Time to expiration in years according to the calendar days method
Vol% = Market volatility expressed on a yearly basis, as a percentage
MarketPrice = Market price for the underlying product in arbitrary units
StrikePrice = The strike price expressed in the same units as the market price
RiskfreeInt = The risk free interest rate for the tenor corresponding to Tenor
MPrice = Market price expressed in the same units as StrikePrice and MarketPrice
3.1.16 Conversion from Interest Rate Volatility to Rate Volatility
RateVol% = IntVol% / (MarketRate / MarketInt / BPV ) .

BPV = 100 * (MarketRate - Rate+1p).
MarketRate = The market rate for the underlying forward instrument
MarketInt = The market interest rate for the underlying forward instrument
Rate+1p = The market rate at a rise in the market interest rate of one basis point (0.01%)
IntVol% = Interest rate volatility expressed as a percentage of the standard deviation and on a yearly basis
RateVol% = Rate volatility expressed as a percentage of the standard deviation and on a yearly basis.
3.1.17 Average Bound Capital (simple method)
∑ PurchCash i⋅No . ofdays i

i
AvrBoundCap = - Periodlength
All purchase deals in the period are added up. If the deal starts prior to the period start, the IB balance is
considered a purchase deal with the settlement date on the IB date. No summation is performed if the
calculation pertains only to Money Market; in this case, the expression will consist of only one term (unless
negative amortization exists)
PurchCashi = The purchase amount for deal number i, or the IB balance

No.ofDaysi = The number of days between the settlement date of purchase deal number i and the maturity
date or the OB date (whichever is earlier).
Please note that if partial sales are made, an average maturity date will be calculated, weighted with the
nominal amounts.
PeriodLength = The number of days between the IB date and the OB date according to the interest base for
average bound capital.
3.1.18 Average Bound Capital (effective method)
∑ Cash i⋅No .ofdays i

i
AvrBoundCap = - Periodlength
All cash flows in the period are added up; IB-balance value is considered a cash flow with the settlement date
on the IB date
Cashi = The amount of cash flow number I No.ofDaysi = The number of days according to the interest
base for average bound capital from the settlement date of cash flow number i to the OB date
PeriodLength = The number of days between the IB date and the OB date according to the interest base for
average bound capital.
3.1.19 Convexity for Bonds
Convexity = - 100 * (ValueCh1 + ValueCh2 ) / NomAmt

NomAmt = Outstanding nominal amount on the balance date
ValueCh1 = The change in value for the instrument at a fall in market interest rate by 100 basis points
ValueCh2 = The change in value for the instrument at a rise in market interest by 100 basis points according to
description 3.2.1.
3.1.20 KPI-calculation for Real Interest Bonds
KPI = KPI3m + (KPU2m - KPI3m) * (BalanceDate - 1) / 30

KPI3m = The KPI of the month 90 days prior to the balance date or settlement date
KPI2m = The KPI of the month 60 days prior to the balance date or settlement date BalanceDate = Day of the
month for the balance date or settlement date
KPI = The consumer price index on the balance date or the settlement date
3.1.21 Estimate for Volatility (VaR) Skattning av volatilitet (VaR)

n
∑ ( K i −K i-1 )2
V2 = i=2
V2
Vol% = n √ √ 5 100
⋅ 365⋅ ⋅
7 Spot
Vol% = Currency volatility / interest rate volatility expressed on a yearly basis for the currency/interest in
question
Ki = "AV" FX rate / interest number i in the interval
n = Number of days in the interval with available FX rate / interest
Spot = The rate / interest on the last day of the interval
All rates in the interval are added up. Days without the FX rate / interest rate are considered bank holidays for
the purposes of this calculation, i.e. they are skipped.
3.1.22 Estimate for Correlation (VaR)

n
∑ ( Kx i −Kx i-1 )⋅( Ky i −Ky i-1 )
C2 = i=2
n
∑ ( Kx i −Kx i-1 )2
Vx2 = i=2
n
∑ ( Ky i −Ky i-1 )2
Vy2 = i=2
C2
Kxy = √
n⋅
Vx2 Vy2
n
⋅
n
Kxy = The correlation between FX rate/interest rate X and FX rate/interest
rate Y.
Kxi = "AV" FX rate / interest rate number i in the interval for X
Kyi = "AV" FX rate / interest rate number i in the interval for Y

n = The number of days in the interval with an available rate
All rates in the interval are added up. Days without the FX rate / interest rate are
considered bank holidays for the purposes of this calculation, i.e. they are skipped.
3.1.23 Calculation of Currency Volatility for the Entire Position
Ax Ay Vx Vy
∑ ∑ 100 ⋅100 ⋅Kxy⋅100 ⋅100
V2 = x y
Vol% =√ V2⋅100
Ax = Share as a percentage of the total position for currency X

Ay = Share as a percentage of the total position for currency Y
Vx = The volatility for currency X according to formula 3.1.21
Vy = The volatility for currency Y according to formula 3.1.21
Kxy = The correlation between currencies X and Y according to formula 3.1.22.
Vol% = Volatility for total position
All currencies across the currency position except positions held in the base currency are
added up.
3.1.24 Calculation of Rate Volatility from Interest Rate Volatility for a Payment (VaR)
100
( )
Tenor
Interest
1+ IntBase
Rate(If Tenor > 1 år) = 100
100
Interest Tenor
1+ ⋅
(Otherwise) = 100 IntBase
100
( )
Tenor
Interest+0 . 01
1+ IntBase
Rate1p(If Tenor > 1 år) = 100
100
Interest +0. 01 Tenor
1+ ⋅
(Otherwise) = 100 IntBase
RateVol% = IntVol% / (Rate / Interest / ( 100 * (Rate - Rate1p) ) ).
IntVol% = The interest rate volatility of the correlation group according to formula 3.1.21.
Interest = Current interpolated market interest rate for the specified tenor
Tenor = The remaining tenor according to the default method for the currency
IntBase = The default interest base for the currency
RateVol% = The rate volatility of the individual payment
“Rate volatility” always refers to interest rate volatility, i.e. the change in value of the position due to a change in
interest rate by a certain percentage.
3.1.25 Calculation of Rate Volatility for an Interest Correlation Group (VaR)
∑ PosX⋅R ateVol %X
RateVol% = ∑ PosX
PosX = The amount for payment X, discounted, if applicable
RateVol%X = The rate volatility of payment X according to formula 3.1.24.
RateVol% = The rate volatility of the whole correlation group
All payments in the correlation group are added up. “Rate volatility” always refers to interest rate volatility, i.e.
the change in value of the position due to a change in interest rate by a certain percentage.
3.1.26 Calculation of Rate Volatility for a single Currency or for the entire Position
(VaR)
Ax Ay Vx Vy
∑ ∑ 100 ⋅100 ⋅Kxy⋅100 ⋅100
V2 = x y
Vol% = √ V2⋅100
Ax = Share as a percentage of the currency / total position for correlation group X

Ay = Share as a percentage of the currency / total position for correlation group Y
Vx = The rate volatility of correlation group X according to formula 3.1.25
Vy = The rate volatility of correlation group Y according to formula 3.1.25
Kxy = The interest rate correlation between correlation groups X and Y
according to formula 3.1.22
Vol% = The rate volatility of the currency or the total position
All correlation groups across the total position are added up. Please note that this formula is used for calculating
the rate volatility of a single currency as well as that of a total position.
“Rate volatility” always refers to interest rate volatility, i.e. the change in value of the position due to a change in
interest rate by a certain percentage.
3.1.27 Calculation of total Volatility for a single Position or for a Correlation Group
(VaR)
V2 =
(
100 100) ( ) (
Vrate 2 Vcur 2
+ − 2⋅Corr⋅
Vrate Vcur
100
⋅
100 )
Vol% = √ V2⋅100
Vrate = The rate volatility of the single payment/correlation group according to formula 3.1.24
Vcur = The currency volatility of the currency in question according to formula 1 (0 for base currency)
Corr = The correlation between the currency and the interest correlation group according to formula 3.1.22.
Vol% = The total volatility of the single position/correlation group
3.1.28 Calculation of total volatility for a single currency or for a total position
∑ ∑ (100
Ax Ay
⋅ ⋅RKxy⋅
100 100 100 )
KVx KVy
⋅ +
V2 = x y
(100
Ax Ay
⋅ ⋅VKxy⋅
100 100 100 )
VVx VVy
⋅ −
(100
Ax Ay
⋅ ⋅XKxy⋅
100 100 100 )
VVx KVy
⋅ −
(100
Ax Ay
⋅ ⋅XKxy⋅
100 100 100 )
KVx VVy
⋅
Ax = Share as a percentage of the currency / total position for correlation

group X
Ay = Share as a percentage of the currency / total position for correlation
group Y
KVx = The rate volatility of correlation group X according to formula 3.1.25
Kvy = The rate volatility of correlation group Y according to formula 3.1.25
VVx = The currency volatility of correlation group X according to formula
3.1.21 (0 if base currency)
Vvy = The currency volatility of correlation group Y according to formula
3.1.21 (0 if base currency)
RKxy = The interest correlation between correlation groups X and Y according
to formula 3.1.22
VKxy = The currency correlation between the currencies of groups X and Y
XKxy = The correlation between the FX rate in X and the interest rate in Y
Vol% = The total volatility of the currency or the total position
All correlation groups across the total position are added up. Please note that this formula is used for calculating
the volatility of a single currency as well as that of the total position.
3.1.29 Calculation of Value-at-Risk from volatility and position (VaR)
Std = S(Conf)
Std denotes what the current confidence interval corresponds to in standard deviation according to the normal
distribution curve.
1
⋅√ VaRdays
VolConv = √
365⋅
5
7
This pertains to conversion factor from volatility into the desired unit of measurement, expressed on a yearly
basis.
VaR = Pos * Vol% / 100 * Std * VolKonv
Pos = The position in question, expressed in base currency
Vol% = The volatility of the position in question.
In the case of a single position; formula 3.1.21 or 3.1.27
In the case of a compound (total) position; formula 3.1.23, 3.1.26 or 3.1.28
VaRdays = Number of days that VaR pertains to; defaults to one.
Conf = Confidence interval; defaults to 95%
VaR = Value-at-Risk for the position
This formula is used for currency, interest and total Value-at-Risk, on the single payment level and correlation
group level as well as on the total level.
3.2 Methods of calculation
3.2.1 Calculating the Market rate for MM spot and MM forward
All types of market rate calculations for the instruments in question are based on the discounting of future “cash
flows”. However, there are different approaches to doing this, as clarified by the description below.
1. If valuation is performed at a specific interest rate or by using a yield curve, but without zero-coupon
valuation, all discounting is performed using Interest(o).
2. If valuation is performed according to the zero-coupon valuation method, one interest rate for each future
cash flow with a tenor between the OB date and the settlement date will be searched . Interpolation is
performed according to formula 3.1.10.
If the deal is a future or a forward, i.e. a spot with a settlement date set in the future, the interest rate for the
period between the OB date and the start settlement date according to formula 3.1.10 will also be searched.
Each interest rate associated with a cash flow is subsequently modified according to formula 3.1.11.
When searching the MM Rate/Rates table, the date used is the last date prior to or on the OB date for which the
value reference has at least one rate.
In this context, MM-long-term(Floating) has only one cash flow, which occurs on the next interest adjustment
date, and whose size equals capital amount plus accrued interest at this date. In the case of futures/forwards
and deals with a settlement date in the future, the cash flow of deal number 1 is not included in the calculations.
For each future cash flow, a discount factor is calculated. This is done according to formula 3.1.3 if the deal has
simple interest specified in the MM Securities table, and formula 3.1.4 if the deal has effective interest specified
in the MM Securities table. In the first case, the same interest rate is used throughout, whereas in the second
case, different interest rates are used for each discount factor calculation. In the case of futures/forwards and
deals with a settlement date set forward, the start settlement date is considered the balance date. In other
cases it is considered the OB date (and for Period Holdings reports, additionally, the IB date).
A market value expressed as a percentage of the nominal amount is calculated using the discount factors and
future cash flows, expressed as percentages of the nominal amount, according to formula 3.1.1.
For MM-short-term(VX), the above value equals the market rate. For all other instruments, the market rate is
calculated from the above market value and the accrued interest on the balance date according to formula
3.1.2.
3.2.2 Calculating Market interest rate from Market rate for MM spot and MM forward
Some instruments are quoted at rate, especially bonds and their derivatives outside of Sweden and Finland.
These are simple to valuate since there is no need to perform the calculation described in 3.2.1 for these
instruments; the rate used for calculation of market value and P/L calculation is already available in the pricing
system. However, an interest rate that can be compared to that of other instruments is calculated and provided
in the Interest(o) field. Period Holding reports also show it in the Interest(i) field.
These calculations are performed through testing an interest rate according to description 3.2.1 to determine
the rate indicated. Depending on the outcome of this, a new interest rate will be tested. This is repeated until the
rate corresponding to the market rate is obtained, i.e. the calculation is performed by iterating over description
3.2.1.
3.2.3 Calculation of Market price and “Greeks” for Options
This section gives a general description of the methods used for calculating the fields relating to options using
formula 3.1.15. Descriptions 3.2.4-6 deals with the specifics of the three different option types.
The market price of an option is calculated using formula 3.1.15. Please note that the output of this formula will
be denominated in the same units of measurement as the strike price and the market price. E.g., if the strike
price is 90% of the nominal amount, and the market price is 95% of the nominal amount, the formula will
indicate a market value of 5% of the nominal amount.
Delta is calculated by analytical derivation of formula 3.1.15. This formula, called formula-15-prim, is
implemented in the TWIN system. By supplying the five input variables to formula-15-prim, and subsequently
multiplying the result by 100, delta is obtained as a percentage.
Gamma indicates the change in delta at a change in the market price by a certain percentage, and it is
calculated as described below. Delta- is calculated using formula-15- prim, with the input market price set to
99.5% of its real value, and Delta+ is calculated using formula-15-prim, with the input market price set to
100.5% of its real value. Gamma will be ( Delta+ - Delta- ).
Theta expressed as a percentage is calculated by first using formula 3.1.15 to arrive at a new market value
(MarketPrice-1) with a tenor of one calendar day less than the original calculation described in the second
paragraph of this section. Theta% = 100 * (MarketPrice - MarketPrice-1) / MarketPrice.
Vega expressed as a percentage is calculated by first using formula 3.1.15 to arrive at a new market value
(MarketPrice-1) with a volatility at 101% of the volatility in the original calculation described in the second
paragraph of this section. Vega% = 100 * (MarketPrice-1- MarketPrice) / MarketPrice.
3.2.4 Calculations on IR Options
Market prices for underlying instruments and strike price are always expressed in percent of the nominal
amount when used as input for formula 3.1.15 for IR Options. For IR Options, Black76 is used, and
consequently Market price/Strike price always pertains to forward prices. Thus the risk free interest rate in
formula 3.1.15 is set to zero. The remaining tenor is calculated between the balance date and the closing date
in the Option Terms window.
The volatility used for valuation is searched for in the Volatility/Rates table on the balance date. If the underlying
security is traded at interest rate, the assumption is made that the Volatility/Rates table contains interest
volatility. Conversion to rate volatility according to formula 3.1.16 is therefore performed prior to using the
volatility in formula 3.1.15.
Using the Black76 model means that all the output from description 3.2.5 pertains to forward values. The output
values are subsequently discounted by a discount factor prior to presentation (formula 3.1.3). This discount
factor is calculated from the standard interest rate for tenor between the balance date and the settlement date
for the underlying security (the middle date in the Deal desk).
3.2.5 Calculations on FX Options
Market prices for underlying instruments, strike price and the option price (market price) are always expressed
in cross currency unit against currency unit when used as input for formula 3.1.15 for FX Options. E.g., SEK 7.5
per dollar is the strike price and SEK 0.2 per dollar is the market price. Consequently, the market value and P/L
will be calculated in cross currency in the Financial Report Writer.
The remaining tenor (time to expiration) is calculated between the balance date and the expiration date in the
entry window. Risk free interest rate is calculated from the difference in standard interest rate between the
different currencies for the remaining tenor. If the standard interest rate obtained from the MM rate/Rates table
is a yield curve, interpolation according to formula 3.1.10 will be performed.
The volatility used for valuation is searched for in the Volatility/Rates table on the balance date of the currency
pair. If several volatilities on different tenors exist, interpolation is performed according to formula 3.1.10.
3.2.6 Calculations on Equity Options
In the case of Equity Options, the input data for formula 3.1.15 should be self-explanatory. The strike price and
the expiration date of the option are obtained from the Derivative/Equity Security table. The risk free interest
rate is searched for on the remaining tenor for the standard interest rate. Equity options are priced using the
relevant currency (e.g. US dollars and cents).

The main difference between options on equity and other types of options as far as TWIN is concerned, is that
equity options are assumed to be explicitly priced, i.e. in currency units rather than in volatility. Volatility is still
calculated in order to make other calculations possible. This is done using an iterative method where the market
price is known, but not the volatility.
3.2.7 Calculating the average rate for equities
All calculations of purchase rate for equities and their derivatives use the average purchase rate for the serial
number in question. This is true for FX rates as well. The method used for calculating purchase rates is best
illustrated using a piece of source code. The “formula” below goes through all the deals in a serial number and
calculates the average purchase rate for a balance in a Holdings report. Two deals with different serial numbers
cannot affect each other’s average purchase rate.
For each aktieaffär where aktieaffär.affärsdatum <= Balansdatum by akieaffär.affärsdatum :

If aktieaffär = avyttringsaffär then do:
Antal = Antal - aktieaffär.antal_aktier .
End.
Else do:
Snittskurs = ( Snittskurs * Antal + aktieaffär.Kurs * Aktieaffär.antal_aktier ) / (Antal + Aktieaffär.antal_aktier)
Antal = Antal + aktieaffär.antal_aktier
End.
End.
The default behaviour for handling equities is to include fees in the purchase price. Consequently,
“Aktieaffär.Kurs” equals the rate including fees. For calculating purchase FX rate, weighting of settlement
amounts is performed, and consequently, settlement amount should be substituted for quantity in the “formula”
above. (The ConsCur-rate associated with the deal should be substituted for Rate).
For the report types “Period Holdings” and “Transactions”, the system uses average rates that belong to a
specific deal transaction, and are not connected to a balance. This is handled as described below:
The above formula is used, substituting the deal date for the balance date, and excluding any deals with the
same deal date but with a higher serial number. This has the effect of letting all deals made prior to the deal in
question affect the purchase rate, whereas deals made later on the same date are ignored.
As regards purchase rates in Period Holdings, if the IB balance is non-zero, the following provision must be
met. In order to obtain a correct periodised P/L, purchase rates must pertain to a weighted value between the
rate at the IB-date and purchase rates for the deals within the period. This is done according to the following.
Deals with a deal date prior to or on the IB date are deselected in the formula, and replaced by a fictitious
“purchase deal” with a “Rate” equal to the IB rate and a quantity equal to the number of outstanding equities on
the IB balance date.
These methods ensure that a correct average purchase rate and purchase FX rate are obtained for balances,
periods and purchase rates directly connected to individual deal transactions.
3.2.8 Examples of calculating Average Bound Capital

The following four examples illustrate how to calculate Average Bound Capital. Please note that these
examples are relevant to Money Market as well as Equitites. All examples use a measurement period of 1-Jan –
1-May and are calculated using 360/360.
Example 1
The deal starts prior to the period, and ends after the period. The ingoing balance value ( Set.Amt/i ) is 10M.
Simple method, 10M
Effective method,10M
Example 2
The deal’s settlement date at purchase 1-March, settlement amount 10M and interest payment/dividend on 1-
Apr, 1M.
Simple method, 10M * 2mths / 4mths = 5M
Effective method,10M * 2mths / 4mths - 1mths / 4mths * 1M = 4.75 M
Example 3
The deal starts prior to the period with a total ingoing balance value of 10.5M, of which
0.5 is accrued interest. Sell date on 1-Feb with total settlement amount 10M of which
1M i is accrued interest and 9 M capital amount.
Simple method, ( 10M + 0.5M ) * 1mths / 4mths = 2.625M
Effective method,(10M + 0.5M) * 1mths / 4mths + (10.5M-10M) * 3mths / 4mths = 3M
Example 4
This example concerns 2 “buys” and 1 “sell”. This is of primary concern to Equities, but can be relevant to
Money Market as well, in which case the second buy can be a negative amortization. To make the example
applicable to Money Market, nominal amount should be substituted for quantity, and accrued interest should be
added.
Buy 1M equities, SEK 10 /each settlement on 1-Feb, Settlement amount 10M

Buy 2M equities, SEK 20 /each settlement on 1-March, Settlement amount 40M
Sell 1M equities, SEK 30 /each settlement on 1-Apr, Settlement amount 30M
Purchase rate = SEK 16.67 /each
Simple method, (10M * 3mths + 40M * 2mths - (1M * 16.67 * 1mths )/ 4mths =23.33M
Effective method, ( 10M * 3mths + 40M * 2mths - 30M * 1mths ) / 4mths = 20M
3.2.9 Calculation of Internal Rate of Return (IRR)
IRR is a return on investment measurement designated in percentage, that corresponds to how well the return
on one or more positions has been during a specific period of time. In TWIN, return measurements are
traditionally based on the average capital-method, and the return is presented in PA % in 2.3.14. IRR is an
alternative method that approximately gives the same result, but are more common amongst asset managers.
Technically, TWIN’s standard method and the IRR method differ significantly. IRR has the big disadvantage that
it is technically difficult to understand, e.g. the result in cash as indata (like in the average-method) is not
included, instead a “cashflow”-series is included. Another disadvantage of the IRR method is that no average
restricted capital that corresponds to how big scope the position refers to, but only a return number.
The procedure to create an IRR report in TWIN is according to the following. Please note that IRR only is
implemented in TWIN for the equity market. Create a payment list and sum on relevant levels e.g. serial number
and portfolio. Choose the fields settlm.amount/v and IRR. Always use the special setting IRRBAL described in
section 4.4.12. IRR are now presented on the different total levels according to calculations in the following
section.
Through the same iteration methods that are used when the effective interest is calculated from the rate at bond
trading, the IRR interest rate is calculated by finding the interest rate that fulfils the 3.1.1 formula where MValue
% is “IB-cashflow” and Cash%-i represents the other “cashflows” including “OB-cashflow”. If “IB-cashflow” is
zero then the cashflow with the nearest settlement date is taken as “IB-cashflow”. At IRR calculation, the
365/365 convention is always used.
3.2.10 Cheapest to Deliver (CTD)
On the Swedish interest future market, most long futures are traditionally traded with synthetically bonds as
underlying securities. Internationally it is though very common that another construction is used since it is
considered important that there are corresponding instruments to deliver as the future deal prescribes. Because
of this, the following future deal construction is common and is implemented in TWIN with the name CTD.
When a future interest is issued, a number of different approximately equivalent bonds are determined where
some of these should be delivered or be bought on the maturity date by the future to the valid future market
rate. CTD futures are always traded to rate. The one that has the sell obligation will deliver the obligation that
gives the least cost (cheapest to deliver).
To analyze the risk for this complicated instrument, a special function has been developed in TWIN. It is called
the “CTD Analysis” and is found in the “Middle-Office” module in the system. Since the deliverable bonds has
different coupon interest, different tenors and different credit risks, the analysis can be complicated. The CTD-
analysis functions according to the following.
In the CTD analysis the interest future to be analyzed is denominated at the top of the window, then what
interest in “yield curve points” that the analysis should be made on is denominated, and also what balance date
and valid market rate on the future. In the lower part of the analysis window, the system shows the different
obligations that are deliverable for the future and that systematically are determined through information
according to the CTD-folder in the security register. A description of what is shown for each bond is described
below.
Security short name, maturity date and coupon interest are collected directly from the security register. Market
interest, market rate and risk are collected or calculated according to the same rules as Interest(o), Rate(o) and
Interest risk/ for the corresponding bonds in a balance report. The market-liquidity is Rate(O) plus accrued
interest expressed as percentage on designated balance day. These fields are used to all sorts of things in
TWIN and are not specifically devoted to CTD. Below the special CTD-fields are described.
The field delivery liquidity is valid market future rate denominated in the upper part of the window plus accrued
interest expressed as percentage on the delivery day. The field concerns the liquidity expressed in percentage it
brings to buy/sell the bond according to valid market situation on the future’s maturity day, i.e. that day that is
designated in the security register as settlement day for the future.
If you have sold an CTD-future then you have to deliver any of the underlying bonds to valid future market rate.
In the “Avk” (earnings of investment) field, TWIN presents the difference between market value and what you
risk free can sell the bond for according to the future condition. Technically, the “Avk” is the difference between
the liquidity of delivery and the market liquidity. The seller of the future will of course choose the one with the
highest return “Avk”.
Because of this reason, the bonds are sorted by “Avk”. To sum up you could say that the seller of the future will
have no risk if he/she buys any of the underlying bonds. He/she will buy the one that gives the highest return or
the one with the lowest loss if the future has a negative market value. The bond that is presented at the top is
called valid CTD-bond. Furthermore, the content in “Avk” for the CTD-bond is the market value for the interest
future.
The risk for the interest future is presented in bold and is the difference between the “Avk” field for the CTD-
bond and what will be shown in the “Avk” field if the yield curve are dislocated according to designated risk
value in points. Please note that it can be another bond at the top if the yield curve dislocation occurs. The risk
is presented as percentage of nominal just like any other values in the CTD analysis.
The “Avk. Risk” field stands for the return risk, i.e. what the field “Avk” for each bond becomes if the yield curve
dislocation happens. This information is not important per se, but is used to deduce the highest relevant risk as
described above. “Avk Risk” is “Avk” plus “Risk” for each bond. The risk that is presented in bold that concerns
the risk for the whole future is the difference between the “Avk” for the CTD-bond and “Avk Risk” for the bond
that has the highest “Avk. Risk” value.
Please note that the CTD analysis is a detached calculation analysis in TWIN. Even so, it does affect the
Financial Report Writer according to the following. In the payments reports that are to be used for risk analysis,
the special setting “MMDERIV” (4.6.6) is used to attain fictitious flows for interest derivatives. When a CTD
future should generate fictitious payment-flows, then the CTD-bond’s cashflow is used, i.e. the payment flows
for that bond that gives the best return according to the CTD analysis generates the risk which gives the
theoretically most accurate risk for the future.
It is important to know that a CTD analysis is not affected by result because of it’s special construction, but is
only affected by risk. Because of this reason, the Holdings- and Period Holdings reports are not affected.
4 Special settings
4.1 Consolidation currency rates
4.1.1 Consolidate in accounting currency, Bookr (H/T/P/PH)
The consolidation currency for the deal is always the booking currency associated withthe entered entity. Sort
the report by entity in order to avoid summation between different currencies.
4.1.2 Consolidate in the C.party’s Accounting Curr., Cpbc (H/T/P/PH)
The consolidation currency for the deal is always the booking currency associated with the entered
counterparty. Sort the report by counterparty in order to avoid summation between different currencies.
4.1.3 Consolidate in a currency other than the base/booking currency, Curr (H/T/P/PH)
This is the most commonly used setting for consolidation in a currency other than the base currency. The
consolidation currency for the entire report can be explicitly appointed with this setting.
4.1.4 FX rate other than “AV”, Sim (H/T/P/PH)
The default rate type for spot FX rates is always “AV”. This setting can be used to perform currency
consolidation in an arbitrary currency. Please note that FX forward valuation using forward rates should not be
performed if this setting is used.
4.1.5 Round Exchange Rate to fraction X, Round (H/T/P/PH)
If consolidation is performed in a currency other than the base currency, conversion is performed using 10
decimals by default. With this setting, ConsCur-rates can be rounded off to the desired number of decimals.
4.1.6 Rate Search Date if other than the Rules, Rdate (P)
This setting overrides the ConsCur rules for payment reports. With “Rdate”, the ConsCur-rate is always
searched on the specified date. This is particularly useful for generating retroactive risk reports; rates should be
searched on the IB date, since they are not known, or not supposed to be known, at the settlement date.
4.2 FX Currency Rates
4.2.1 Display entered Purchase Rate, Fxinp (H/T/P/PH)
This setting is important when entering deal rates on the right-hand side in the FX Deal desk. “Fxinp” displays
all entered forwatd rates the way they were entered, i.e. inverted if they were entered in the right-hand side.
This setting affects (H/T/P/PH) Rate(i).
4.2.2 Show the latest entered rate for the Deal, Lastex (P)
This setting can be used when extensions on FX forwards were performed. “Lastex” displays the entered FX
rate for Foreign Exchange deals from the latest extension rather than deal number 1. This setting affects
(P)Rate.
4.2.3 Format modification for Currency Exchange Rate and Equity Rate, Spcform
(H/T/P/PH)
This setting affects all FX rate fields, including ConsCur-rates. It shifts the decimal point to the left if the first digit
after the point is zero in order to display more decimals.
4.3 Interest Rates
4.3.1 Use standard Interest Rate other than default, Stdint (H/P/PH)
This setting changes the standard interest rate (standard yield curve) to an arbitrary interest rate or yield curve.
All calculations involving standard interest rate are affected.
4.4 Selections
4.4.1 Include Bank Accounts, Bank (H/P/PH)
This setting causes bank accounts to be included in reports of the types “Holdings”, “Period Holdings” and
“Payments”. In “Holdings” and “Period Holdings” reports, each bank account is included in one line. In
“Payments” reports, each manually booked payment from the Cash Management booking entries is included in
one line if it matches the settlement date selection.
4.4.2 No selection of Cross Currency Payments (FX), Noccr (P)
This setting is only applicable to FX forwards. It causes the payment belonging to the amount from the right-
hand side of the FX Deal desk to be deselected.
4.4.3 No selection for opening balances for account balance display, Nobal (P)
When selecting the balance field in Payments, an ingoing balance is needed, which is normally obtained from
“cash Balance by value date” in the Cash Management module. This setting causes the system to ignore this
balance, and set the ingoing balance to zero.
4.4.4 Select updated Interest Rate or Amortization Transactions (MM), Totlog (T)
The default behavior for reports of the “Transactions” type is to exclude interest payments or amortizations for
Money Market deals, since no manual entry has been performed for these special (sub)deals. This setting
causes changed interest and amortization records to be selected in the report. This way a complete transaction
report is obtained, where all new entries and modifications in a certain entry date interval can be examined.
4.4.5 Select outstanding deals on opening balance date only (FX), Ibact (PH)
This setting is only applicable to FX forwards, and causes “Period Holdings” reports to only include deals that
are active at ingoing balance.
4.4.6 Select deals that are sold but not settled during selected period (MM), Coint (PH)
This setting is applicable to Money Market in “Period Holdings”, and is only relevant to selecting on deal date
and if closings were done. Since the default behaviour is to exclude deals that are sold with a deal date prior to
the IB and a settlement date after the IB, the part of the interest that belongs to the selected period disappears.
This setting causes these deals to be included on the list. Only P/L component for interest is included in the
report.
4.4.7 Show closed FX forwards one by one, Nocl (H/PH)
This setting causes closed FX forwards to be included twice in the report. The first record is displayed as if the
FX forward were not closed, and the second as if the closing had been entered as a separate deal. Possible
uses for this include examining outstanding FX forwards with different counterparties to measure counterparty
risks.
4.4.8 Include MM forward deductions, Autoc (T)
Since MM future adjustments are considered amortizations with 0 amount, they are not included on the
transaction list by default (see also 4.4.4). This setting causes MM Future Adjustments to be included as
transactions in “Transactions” reports.
4.4.9 Select both legs for FX forwards, Bothlg (H)
This setting causes FX forwards to be included twice in the report. The first record will have default values, and
the second one will look as if it was entered in reverse, i.e. with the currency in the cross currency place and
vice versa. The P/L components will be zero in the second record. This setting could be used when generating
a risk report in the “Holdings” report type. (However, our primary recommendation for measuring risk is
the “Payments” report type).
4.4.10 Include Manual Result Bookings, Manres (PH)
“Bookings” in the Cash Management module can be used for entering manual result bookings. This is done
through specifying the portfolio, and explicitly marking it as a result booking. This setting causes these bookings
to be included in “Period Holdings” reports. The field RateD_Re/ will have the same value as the amount of the
booking. If FX bookings are made, the field Exdif_Re/ is also given a value.
4.5 Profit/Loss Calculation

4.5.1 Accrued Interest will be calculated at payment date (not Settlement date), Setacc
(H/PH)
This setting is applicable to MM-long-term, and it causes the payment date in the Additional Information window
to control the calculation of the Acc.Int/* field. E.g., if the settlement date is 30-Jun-98, the payment date for the
interest payment 20-Jul-98, and the settlement date for the preceding interest payment 30-Jun-98, the accrued
interest on the balance date, 10-Jul-98, will be the interest for the period between 30-Jun-98 and 10- Jul-98.
Please note that this setting does not affect selection. Consequently, if the deal matures on the 30th of June, it
will not be included on subsequent balance dates.
4.5.2 Always use from-to (incl.) Date for Interest Calculation, Normint (H/PH)
The Money Market security definition in the MM Securities table contains an option that causes interest
calculation for the instrument to be performed according to the from-to method rather than the from-to and
including method. This setting cancels this functionality, and causes all instruments to be calculated according
to the default, regardless of the settings in the MM Securities table.
4.5.3 Unrealized Forward Result discounting with default Interest Rate (FX, MM), Fdisc
(H/PH)
This setting is applicable to Holdings and Period Holdings. It causes the unrealized P/L to be discounted with
the standard interest rate yield curve, from the closing date to the OB date or the balance date for balance
reports. Interpolation is performed according to formula 3.1.10, and factor calculation according to formula
3.1.3. The field Ratediff/ is affected for Holdings, and the field UR_Res/ for Period Holdings. Please note that in
the case of Period Holdings, only the unrealized total P/L is discounted, and not every P/L component. This
setting does not affect forwards on equities.
4.5.4 Only the Unrealized part of an MM Forward is included in the Result, Unreal (H)
This setting only affects adjusted MM forwards. Rate(i) is the rate from deal number 1 by default. This means
that the P/L presented is partly realized if adjustments have been made. “Unreal” sets Rate (i) to the latest
adjustment rate prior to the balance date. Consequently, the report will present the unrealized P/L even for
adjusted MM forwards.
4.5.5 Only Interest is included in the Result (FX, MM), Intres (PH)
This setting causes the field Tot.Res/ to be given the same value as Int.Amt/ for Money Market and Foreign
Exchange. Additionally, it sets Ex.Rate (o) to Ex.Rate (i) in the case of Money Market.
4.5.6 Treat the result as unrealized if payment is outside the period (FX), Fxur (P)
If extensions, redemptions and closings on FX forwards are made, the result is considered realized on the deal
date, i.e. the functionality differs from description 1.5.* with regards to the relation between realized and
unrealized results. E.g., if closing of an FX forward is performed, the P/L will be realized on the closing date. If
the closing is entered as a counter deal with a new serial number, the P/L will be unrealized until the maturity
date. “Fxur” causes all results from FX forwards to stay unrealized until final closing is explicitly performed, even
if extensions, redemptions and closings have been performed.
4.5.7 Use nominal amount for average capital calculation (MM), Purac (PH)
If the deal in question starts prior to the period, the default for average bound capital calculation is to use IB-
balance value. This setting is only applicable to Money Market, and it causes the purchase value excluding the
accrued interest, to be used as the amount on which a calculation of bound capital will be based, if the deal
starts prior to the period. This setting has some consequences even if the deal starts within the period;
paidinterest at purchase will be excluded from the calculation.
4.5.8 Bookkeeping rules for Exchange Rate Effect on Period Interest Rate, Accfx (PH)
This setting is only applicable to Money Market, and it affects the relation between exchange rate result and
interest rate result in consolidation currency. The total P/L is not affected. The default behaviour is to use the
exchange rate effect of the ingoing accrued interest as the exchange rate result. “Accfx” causes this P/L
component to be moved from exchange rate result to interest rate result. The following fields are affected:
Interest_UR/, Interest_Re/, ExDif_UR/ and ExDif_Re/. This setting should be used if identical results in the
report and the accounting system are desired. The following formula determines which amount is “moved” if
there is no interest due within the period: Acc.Int/i * ( Ex.Rate(o) – Ex.Rate(i) ).
4.5.9 Ingoing Balance values recalculated with outgoing KV-rate (MM), Obrev (H)
This setting is only applicable to Money Market, and it changes the way ConsCur-rates (KV-rate in this setting)
are handled. The default behaviour for purchase values in holdings reports is to use the ConsCur-rate from deal
number 1 for currency consolidation. “Obrev” causes all purchase values to be recalculated using the ConsCur-
rateof the balance date.
4.5.10 Repos valuated according to repo val. rules, Reporw(H/PH)
Repos are valuated as short-term loans & deposits by default. This setting causes repos to be valuated
according to a true repo-valuation method as explained below. The first (sub)deal is valuated separately, and
the “closing part” of the repo is valuated separately as per the rules for forward valuation. I.e., the method in
description 3.2.1 is used twice. The change in the rate for the “closing part” is subsequently added to the rate on
the entire deal. “Reporw” gives a theoretically more correct repo value than the default method.
4.5.11 Purchase Valuation, Purval (H/PH)
This setting causes valuation to be performed at purchase rate regardless of whether a valuation reference has
been entered in the security or the instrument is valuated at rate. I.e., when calculating the discount factors in
formula 3.1.3 or 3.1.4, the purchase rate is used. This setting is particularly useful for performing valuation
according to the “accrued purchase value “ principle.
4.5.12 Interest Amount based on Purchase Interest Rate, Accini (H)
This setting pertains to the the “accrued purchase value” principle, and is more comprehensive than 4.5.11.
With “Accini”, the “accrued purchase value” can be compared to market value. If this setting is used, the field
Acc.Int(o) will show the total P/L according to the the “accrued purchase value” principle, i.e. the same value as
the field Tot.Res/ in 4.5.11. The field Set.Amtl/i will show the “accrued purchase value”, i.e. the same value as
Set.Amt(o) in 4.5.11. The field Ratediff/ will show the difference between the “accrued purchase value” and the
market value, i.e. the true interest rate P/L (Set.Amt(o) – Set.Amt(i)).
4.5.13 Exchange Influence for Least Value Principle (MM), Lowcur (H)
This setting causes the exchange rate effect to be included when calculating the Least Value Principle. This
means that the purchase value in consolidation currency is compared to the market value in consolidation
currency. If this setting is used, the fields LVP/, Excess/ and Low.Cost/ should only be selected in consolidation
currency.
4.5.14 Disregard Time Value and Risk-free Interest for Options, Notime (H/PH)
This setting causes the time value for options to be excluded when valuating. This means that when using
“Notime”, the report returns what the value of the option would be if the closing date occured on the balance
date. Technically, this is done through setting the remaining tenor in formula 3.1.15 to zero.
4.5.15 Revaluation of Interest Rate Instruments with advanced Settlement Date,

Teoset(H/PH)
The default behaviour for performing valuation in Money Market is to search the valuation interest rate on the
balance date, and use the balance date as the base for calculating discount factors with formulas 3.1.3 and
3.1.4. However, this introduces a theoretical error, since instruments normally cannot be closed with settlement
amount on the deal date. For the purposes of calculating discount factors, this setting moves the balance dae
forward the number of bank days appropriate for the deal type, to make the conversion to rate happen at a later
balance date. This gives a theoretically correct market price for the instrument in question. This setting is
particularly useful for valuating bonds and IR swaps traded at interest rate. Please note that accrued interest
will also be calculated with extra days.
4.5.16 Linear Periodising of Currency Swap Result, Csdisc (H/PH)
This setting should be used for linear periodising of FX swap results. “Csdisc” causes the spot result to be
discounted in the case of FX forwards. The interest rate used in formula 3.1.3 is the purchase rate for the deal
whose serial number has been entered in the FX forward’s “Group 2” field in the Additional Information window.
This serial number should be the interest deal (leg) of the FX swap. For Holdings, the Ex.Diff/ field is
discounted. For Period Holdings, ExDif_UR/ is affected since discounting of IB spot results and OB spot results
is performed according to the respective IB/OB discount factor. The difference is ExDif_UR/. When calculating
ExDif_Re/, discounting of IB is performed unless the deal starts within the period.
4.6 Duration / Risk
4.6.1 Floating interest rate deals calculated as fixed interest rate deals, Adjdur (H/PH)
This setting causes the duration of instruments with floating (variable) interest to be calculated as if the size of
all future interest payments were fixed and calculated according to the latest interest rate specified in the “Diary
of interest change”.
4.6.2 Other period than one year for Interest/Risk Prognostication, Prognos (H)
In the interest forecast function, the default time horizon is one year. This setting is used to set an arbitrary time
horizon.
4.6.3 Consideration to IR Derivatives in Duration Calculation, Spcdur (H/PH)
This setting is very important for calculating duration for IR derivatives. The setting affects the summation
principle rather than individual deals.
By weighting the duration with a “talon value”, which is the market value for spot instruments and the market
value of the underlying instrument for derivatives, and then dividing by the true sum of the market value, a
correct duration, including derivatives, is obtained. This compound duration gives the correct value according to
the duration definition in the second paragraph of 2.1.11. In the case of options, the delta value is also taken
into consideration when calculating a “talon value”.
The above calculation is formally described in 3.1.9. Please note that the fields Set.Amt/i and Set.Amt/o
expressed in consolidation currency are mandatory fields if “Spcdur” is used. Weigthing of the duration must be
performed on Set.Amt/i.
4.6.4 Discounting with default Int. Rate to IB-date for all amounts, Pdisc (P)
Perform discounting of all future cash flows to the present value, i.e. to the IB date. This special setting should
always be used when performing risk measurements. The yield curve used for discounting is the “Standard
interest” (see also 4.3.1). Interpolation according to formula 3.1.10 is performed for each payment.
4.6.5 Cash flows pertaining IR-swaps or variable interest instruments will be adjusted,
Flcash (P)
This setting gives instruments with a floating interest a “cash flow” of the full interest amount plus the full capital
amount at the next interest roll.. The setting also causes interest swaps with fixed interest to get a full cash flow
on the final maturity date, not only final interest, which is the default behaviour from the administrative point of
view.This setting should be used for all types of risk reports.
4.6.6 Create fictitious future payments for interest derivatives, Mmderiv (P)
R derivatives normally do not generate cash flows from the administrative point of view, (other than a rate
difference amount at settlement (adjustment)). This special setting causes payments that would have been
created if the underlying spot instrument had been purchased to be included on the list. For IR options, the cash
flows are multiplied by the delta value. This setting should normally be activated for risk measurement when IR
derivatives exist in the database.
4.6.7 Include FX Options with current Delta Value, Fxopt (P)
Generates payments for FX options to represent their currency risk. The settlement date of the payments are
set to the IB date, and consequently no interest risk is obtained for these interests. This setting should always
be used for risk measurement when FX options exist in the database.
4.6.8 Bank Account Balances in foreign currency like Currency Balances, Fxacco (P)
This setting causes balances (at value date) on bank currency accounts to be included as lines in the report.
These generate currency risk, but no interest risk. This setting should be used for risk reports that include the
currency risk for accounts denominated in a foreign currency. Bank account assets in the consolidation
currency do not generate currency or interest risks.
4.6.9 Market value concerning equities traded in foreign currency will be included,
Fxshare (P)
This setting causes the market value on the balance date for equities traded in foreign currency to be included
in the currency risk.
4.6.10 Discounting with Interest Rate from Revaluation Reference, Vrdisc (P)
When discounting future flows according to 4.6.4, “Standard interest” is normally used. This setting can be
employed in order to use the same risk as in the corresponding holdings list. The setting causes discounting to
be performed with the interest from the value reference. If the instrument is valuated at rate, the rate is
converted into market interest rate according to descriptions 3.2.1 and 3.2.2 prior to the discounting.
4.7 Amount Adjustment
4.7.1 Exclude the interest rate part of the payments, Noint (P)
This setting affects (P)Set.Amt as follows. For FX forwards, the amount is shown excluding the interest, if the
payment pertains to the cross currency amount. For Money Market, the field has the same value as
(P)Nom.Amt.
4.7.2 View Nominal amount for MM-deals made on contract basis, Shnom (H/T/P/PH)
This setting affects the field Nom.Amt. For Money Market deals, the outstanding
quantity is displayed as a nominal amount, even if trading is done per contract.
4.7.3 For options: View Quantity in the “NomAmount” field, not the Delta Risk Nodelta
(H/T/P/PH)
For options, risk value is the default in the Nom.Amt/ field. The “Nodelta” setting changes this to show
outstanding nominal quantity or outstanding number of contracts instead.
4.8 Equities
4.8.1 Use zero rate if share price is missing (not the nearest older),
4.8.2 Oldcheck (H/PH)
When searching for rates, the latest rate with a date prior to or on the balance date is used. This setting causes
the search to return a rate of zero if the rate is not available on the balance date. This affects Rate(i) and
Rate(o) for Equities.
4.8.3 Fees are excluded in result calculation, Exavg (H)
The default behavior is to include the purchase fee in (H)Ratediff/ for equities. This setting causes the purchase
fee to be excluded from the rate difference.
4.9 Unrealized Result to Bookkeping File

The different fieldnumbers tell the dedicated position in the financial report. Make sure these fields contain
correct information. A field can be connected to a type by checking the checkbox next to the field.
Type Field number Field

Field 1 Ser.No (Serial Number)
91 Field 2 Acc.Int/o- (Accrued Interest - out in Deal Currency)
91 Field 3 Acc.Int/oV (Accrued Interest - out in Bookkeeping Currency)
95(96) Field 4 Ratediff/- (Rate Diff in Deal Currency)
95(96) Field 5 Ratediff/V (Rate Diff in Bookkeeping Currency)
97 Field 6 Ex.Diff/V (Exchange Rate Diff in Bookkeeping Currency)
96 Field 7 ACRateD/- (Amortized Cost Rate diff in Deal Currency)
96 Field 8 ACRateD/V (Amortized Cost Rate diff in Bookkeeping
Currency)
Field 9 Ex.Rate(o) (Exchange Rate - out)
Field 10 MM-Index(o) (Money Market Index - out)
98 Field 11 DInvInd/- (Delta Index on Invested Amount in Deal
Currency)
98 Field 12 DInvInd/V (Delta Index on Invested Amount in Bookkeeping
Currency)
92 Field 13 Acc.Spr/o- (Accrued Spread - out in Deal Currency)
92 Field 14 Acc.Spr/oV (Accrued Spread - out in Bookkeeping
Currency)
94 Field 15 Spr.diff/- (Spread Diff in Deal Currency)
94 Field 16 Spr.diff/V (Spread Diff in Bookkeeping Currency)
93 Field 17 Fee/- ( Fee in Deal Currency)
93 Field 18 Fee/V ( Fee in Bookkeeping Currency)
Field 19 Account-ID
4.10Value-at-Risk
4.10.1 Other Confidence Interval than 95%, VarProc (V)
This setting can be used to specify a confidence interval other than the default.
4.10.2 Other time horizon than one bank day, Varday (V)
This setting can be used to specify a time horizon other than the default.
4.10.3 Print Correlation Matrix, Varkorr (V)
Activating this setting causes a print-out of all correlations used to calculate Value-at-Risk for the report in
question. For reports that include interest VaR, this information
can extend to 20 pages or more.
5 Value-at-Risk
5.1 Basic principles
5.1.1 Value-at-Risk type
The Value-at-Risk implementation in TWIN is a complete VaR system, covering currency risks and interest risks
as well as total risks. Risk calculations are based on analytical statistical methods, i.e. the same methods
employed in JP Morgan’s RiskMetrics. All the formulas and principles used for these VaR calculations are
carefully documented in this manual.
Calculation of currency risk as well as interest risk is based on analysis of the present value on future cash
flows. For non-linear instruments, such as options, the delta value is used for risk calculations. Several new
functions have been implemented to supplement the cash flows with other risk components, e.g. currency risks
in foreign bank credits and equities.
5.1.2 System implementation
Routines have been implemented in TWIN for the purpose of estimating volatilities and correlations using
historical FX spot rates and yield curves. Formulas 3.1.21 and 3.1.22 describe these routines in detail.
Estimations can be performed at arbitrary intervals, and the time period used in the review is controlled by the
user. The calculated volatilities and correlations are subsequently used when generating Value-at-Risk reports.
The history of the volatilities and correlations is saved, and can be analysed in their respective databases.
Value-at-Risk reports are obtained from a special report type in the Financial Report Writer. The report type
“Value-at-Risk” is a modified version of an ordinary payments report, with 7 added fields and special summation
rules.
5.1.3 Confidence interval
The default for VaR calculations is to use a confidence interval of 95%, and a future risk horizon of one bank
day. When using these parameters, the VaR amount indicates the maximum size of the loss (or profit) in 19 of
20 days one bank day ahead if the current position does not change. Both the confidence interval and the risk
horizon can be adjusted by the user.
5.1.4 Correlation groups
For interest VaR and total VaR, a correlation group interval must be decided on, as well as which tenor on the
yield curve to connect to each group. Defaults are available for these parameters, but they can also be adjusted
by the user. For more information, please see section 5.2.3.
5.1.5 Where to find information on Value-at-Risk
The Value-at-Risk functionality in TWIN is designed to be easy and quick to take into employment provided that
all the relevant positions have been previously entered into the system. Section 5.2 describes the practical
considerations that are needed to use Value-at- Risk. Section 2.9 contains a detailed description of the different
fields related to Value-at-Risk. Sections 4.6 and 4.9 describe the special settings that are relevant to VaR
reports, and sections 3.1.21-29 contains detailed formulas.
5.2 Getting started
5.2.1 Techniques and routines for rate input

Make sure that your TWIN system is connected to a market information provider and that rates are updated on
a daily basis. If this is not the case, please contact Logica.
5.2.2 FX rates
This section can be skipped if you only want to analyse interest risk with Value-at-Risk. Make sure that your
TWIN system contains FX spot rates of the “AV” rate type for all currencies with positions to be analysed with
Value-at-Risk. Make sure that these are available for most (minimum 90%) bank days from 1-Jan-1997. If this is
not the case, please contact Logica.
5.2.3 Yield curves
This section can be skipped if you only want to analyse currency risk with Value-at-Risk. Check if a yield curve
is defined for the currencies that are relevant for the purposes of Value-at-Risk, which has tenors defined in a
manner which lets each tenor refer to a VaR interest correlation group. If this is the case, and interest is
available for most (minimum 90%) bank days from 1-Jan-1997, specify the name of the yield curve in “vrparam”
and continue to section 5.2.4.
If the yield curve described above is not available, perform the following steps. Decide for which currencies to
use interest VaR. Also decide which correlation groups to use for interest VaR. Define a value reference under
“MM Revaluation References” for the relevant currencies, using tenors that make each point correspond to a
correlation group. Calendar days are always used. Connect each point on the new yield curve to a “Rickod”
under “Reuter Control table”. If the number of interest correlation groups exceeds approximately 100, you
should consider excluding some currencies or tenors.
In approximately one month, the value reference can be taken into use for estimating volatility and correlation.
At this time, you should specify its name in “vrparam”. While waiting for this, define a value reference called
“VaR”, with the tenors 7, 61, 82, 365, 1825. Specify “VaR” in “vrparam”. Run “vrrtains”, which loads historical
interestrates from a file distributed by Logica.
5.2.4 Volatilities and correlations

Run estimations of volatility and correlation under “Volatility Calc.” and “Correlation Calc.” in the Rates table. If
“vrrtains” was run in stage 5.2.3, the executions must be made initially from 1-Jun-97 with a look back of 0.25
years. Decide how often to run these in your installation, and which “look back” to use.
Please remember that calculating the correlations can take quite a long time. 120 correlation groups takes
approximately one hour on a fast PC, and 240 correlation groups approximately four hours.
5.2.5 Value-at-Risk reports
Load the three Value-at-Risk report definitions by importing the file “varrapp.d” with the import function under
“Report Definition”. Modify the definitions to use a suitable layout.
This section can be skipped if you only want to use Value-at-Risk for currencies. Adjust the breaks under
“Datebreaks…, User defined” to ensure that there is exactly one point on the VaR yield curve that matches
each date interval with regards to tenor.
Define ordering codes, run the reports and analyse the values. If the reports are too complex for your needs,
request them with the “Only totals” setting. Always perform settlement date selection from today to 1-Jan-2050.
5.2.6 Special settings
Examine the special settings described in 4.5 and 4.9, and decide which ones to use in your Value-at-Risk
reports.
6 Example calculations
6.1 Example deals
6.1.1 Money Market deal
This deal is a FIM-bond which was bought prior to the IB date, and partially sold within the period. Valuation is
performed according to a market interest specific to the security. Securities: FIM-bond. Maturity date 15-Dec-
1998, 1 coupon/year, Coupon interest rate 5% Deals: Buy 100M FIM Settlement date 1-Dec-1995 Sell 40M FIM
Settlement date 1-Apr-1996 Rate 97.779 Market info: 31-Dec-1995, Exchange rate 1.47 Interest rate 6.35
1-Apr-1996, Exchange rate 1.45 1-Oct-1996, Exchange rate 1.44874 Interest rate 6.02
6.1.2 FX forward
This deal is a DEM/FIM FX forward with a start date within the period, and a maturity after the period. Deal: Buy
100M DEM Value date 3-Jul-1996 Spot 2.99 Swap points 0.0012 Maturity date 15-Dec-1996 Market info: 31-
Oct-1996 DEM Spot 4.34332 FWD1M 4.34871 FWD2M 4.35464 31-Oct-1996 FIM Spot 1.44874 FWD1M
1.45061 FWD2M 1.45276
6.1.3 Equity deal
The example serial number pertains to Ericsson stock acquired within the period at two different instances, and
subsequently partly sold prior to the OB date.
Deals: Buy120,000 Equities Settlement date 1-Feb-1996 Rate: 150 Buy 40,000 Equities Settlement date 1-Apr-
1996 Rate: 175 Sälj 10,000 Equities Settlement date 1-Jul-1996 Rate: 180 Market info: 31-Oct-1996 Rate: 186.
6.1.4 Example report

This example shows a Period Holdings report with the result components Accrued Interest Rate difference and
Exchange rate difference in local currency and consolidation currency (SEK).
Löpnr Ränta(i) Ränta(u) Kurs(i) Kurs(u) Ränta_Re/v Ränta_Or/v Kursd_Re/v Kursd_Or/v V.krs_Re/v V.krs_Or/v
Tot.res/v
--------------------------------
200041 6.35000 6.02000 96.45400 98.00500 733 3,622 769 1,348 -773 -1,233 4,466
300020 0.00120 -0.00031 2.99120 2.99768 -126 -93 1,159 940
900011 156.25000 186.00000 238 4,463 4,700
6.2 Example calculations
6.2.1 Money Market deal
Interest(i) 6.35 (2.3.5, 2.1.5)

Interest(o) 6.02 (2.3.6, 2.1.6)
Rate(i) 96.454 (Please see Rate(o) below) (2.3.3, 2.1.4, 3.2.1, 3.1.1)
1
45 +( 0⋅360 )
Rate(o)
( 1+
6 . 02
100 )360
= 0.992719 (disc.fact. 961215) (3.1.4)
1
45 +( 1⋅360 )
( 1+
6 . 02
100 )
360
= 0.936351 (disc.fact. 971215) (3.1.4)
1
45 +( 2⋅360 )
( 1+
6 . 02
100 ) 360
= 0.883183 (disc.fact. 971215) (3.1.4)
0.992719 * 5 + 0.936351 * 5 + 0.883183 * 105 = 102.380 (3.2.1, 3.1.1)
102.380 - 315 / 360 * 5 / 100 = 98.005 (3.2.1, 3.1.2)
Int_Re/v 40M * 106 / 360 * 5 / 100 * 1.45 -
40M * 15 / 360 * 5 / 100 * 1.45 = 0.733M (2.4.11, 2.2.5, 3.1.5)
Int_UR/v 60M * 300 / 360 * 5 / 100 * 1.44874 = 3.622M (2.4.12, 3.1.5)
RateD_Re/v 40M * (97.779 - 96.454) / 100 * 1.45 = 0.768M (2.4.8)
RateD_UR/v 60M * (98.005 - 96.454) / 100 * 1.44874 = 1.348M (2.4.9)
ExDif_Re/v ( 40M * 96.454 / 100 + 40M * 15 / 360 * 5 / 100) * (2.4.5, 2.2.8)
( 1.45 - 1.47 ) = - 0.773M (2.4.16)
ExDif_UR/v ( 60M * 96.454 / 100 + 60M * 15 / 360 * 5 / 100) * (2.4.5, 2.2.8)
( 1.44874 - 1.47 ) = -1.233M (2.4.17)
Tot.Res/v 0.733M + 3.622M + 0.769M +
1.348M - 0.773M - 1.233M = 4.466M (2.4.18, 2.4.19, 2.4.20)
6.2.2 FX forward
Interest(i)) 0.0012 (2.3.5, 2.1.5)

Interest(o) 2.99768 - (4.34332 / 1.44874) = - 0.00031 (2.3.6, 2.1.6)
Rate(i) 2.99 + 0.0012 = 2.9912 (2.3.3, 2.1.3)
Rate(o) (4.34871 + 15 / 31 * (4.35464 - 4.34871) ) /
(1.45061 + 15 / 31 * (1.45276 - 1.45061) ) = 2.99768 (2.3.4, 2.1.4, 3.1.12)
Int_UR/v 100M * 0.0012 * 120 / 165 * 1.44874 = - 0.126M (2.4.12)
RateD_UR/v 100M * ( - 0.00031 - 45 / 165 * 0.0012) * 1.44874 = - 0.093M (2.4.9)
ExDif_UR/v 100M * ( (4.34332 / 1.44874) - 2.99 ) * 1.44874 = 1.159M (2.4.17)
Tot.Res/v - 0.126 - 0.093 + 1.159 = 0.940M (2.4.18, 2.4.20)
6.2.3 Equity deal
Rate(i) (120,000 * 150 + 40,000 * 170) / 160,000 = 156.25 (2.3.3, 2.1.3, 3.2.7)
Rate(o) 186 (2.3.4, 2.1.4)
RateD_Re/v 10,000 * (180 - 156.25) = 237,500 (2.4.8, 3.2.7)
RateD_UR/v 150,000 * (186 - 156.25) = 4,462,500 (2.4.9, 3.2.7)
Tot.Res/v 237,500 + 4,462,500 = 4,700,000 (2.4.18, 2.4.19, 2.4.20)

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1 Basic Principles

1.1.2 What you will not find in this manual

1.1.3 How to use this manual

1.1.4 Classification of instruments

1.1.5 Consolidation currency

1.1.7 Special functions

1.1.8 Special instruments

1.1.9 Key fields

1.1.10 Field descriptions

1.1.11 Formulas and calculations

1.1.12 Special settings

1.1.14 Example calculations

1.2 Classification of instruments

1.2.1 Financial Ledger (module)

1.2.2 Foreign Exchange

Equities are further divided into the following three categories.

1.2.4 Money Market

This classification of MM instruments is sometimes used in the field descriptions.

1.3 Rules for conversion to consolidation currency

1.3.1 Consolidation currency rates

1.3.2 Curr. con. rules for differrent report types

1.4 Selection rules

1.4.1 Basic principles

[4.4.1 Bank] [4.4.7 Nocl] [4.4.9 Bothlg]

1.4.4 Report type “Period Holdings”

1.4.5 Report type “Transactions”

[4.4.4 Totlog] [4.4.8 Autoc]

1.4.6 Report type “Payments”

[4.6.6 Mmderiv] [4.6.7 Fxopt] [4.6.8 Fxacco] [4.6.9 Fxshare]

1.5 Special functions

1.5.1 FX Forwards without Forward valuation

1.5.2 Results from initial in “Period Holdings” reports

1.5.3 Ingoing balance values in “Holdings” reports

1.6 Special instruments

1.6.1 FX Forwards: Extensions, Redemptions, Closings

We recommend carefully considering the necessity of using these functions prior to

1.6.2 Caps & Floors

1.6.3 Instruments with interest in advance

Tenor 180 days (360/360)

1.6.4 Instruments with the “Euro-Futures” pricing type

1.6.5 Real Interest Bonds

KPI at issue 350

Accrued interest = 10M * 3.2 / 100 * 420 / 350 = 0.384M

1.7 “Key” fields in the different reports

1.7.1 Report type “Holdings”

1.7.2 Report type “Period Holdings”

1.7.3 Report type “Transactions”

1.7.4 Report type “Payments”

1.7.5 Report type “Value-at-Risk”

2.1.1 (H) Exchange Rate – in, Ex.Rate (i)

Money Market, FX Options

2.1.2 (H) Exchange Rate – out, Ex.Rate (o)

Money Market, Eqiuties, FX Options, Bank Accounts

2.1.3 (H) Group Currency Rate – out, Ex.Rate(oG)

2.1.4 (H) Average Purchase Exchange Rate, PurchExRate

2.1.5 (H) Average Purchase Rate, Purch.Rate

2.1.6 (H) Rate - in, Rate(i)

This field pertains to the market rate at purchase.

2.1.7 (H) Rate - out, Rate (o)