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- [REDACTED] -
collateral
Mark-to-market report in summit
[REDACTED]'s report - Make sure it's the prior day - CURRENT VALUE entered in DVA under SWAPTIONS OCF
SUMMIT:
analytics»reports»p&l (enter)»mtm&realized cash to date report
under parameters -
-f cgrp[REDACTED}swp -cvid svd -asof 12/22/05 -detail
(prior bus. day)
[RUN] exit status 0 [PRINT]
analytics»rep'ts»highlight all & delete
in summit FTP under username check \SPOOL
highlight ..._MTMREAL_...(today's date)
move to folder:
G://[REDACTED]
Open in EXCEL
leave FIXED hit NEXT»
adjust header tabs NEXT»
FINISH»
--------------------------------
SCROLL down MATURITIES comlumn
1930's dates to 2030's dates
save as EXCEL file PRIOR DATE
insert column between Maturities and Gross MTM
LAST CELL in GROSS MTM column make summation, BOLD
Remove subtotals
---
SWAPS
5***77AT pull, change CCY to USD (SVD)
note each swap has 2 legs
---
copy & paste pay/receive legs to empty column in Excel file
in Gross MTM column, delete one leg and put SUMMIT total for swap in first SWAP row
MONTHLY [REDACTED] MTM lists 8 swaps - do the smae thing for each one
highlight print area, landscaped, 4 pages [PRINT]
=================
DAILY VARIANCE [REDACTED]
add values, pull values down à la DVA.
=================
[REDACTED]'s report
G://[REDACTED]/2005/DEC/1222_2005swaptionsmtm
enter value from [RWEDACTED]'s spreadsheet, print DVA
2005 cash collateral [REDACTED] summary sheet -- round to nearest 10^6
Once collateral hits 0, tell [REDACTED].
Hi Rich-
Need you in 121 (next to my office) for a quick update on OCS.
-Jerry
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Dr. Ross
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