OTC Risk Analysis:
  This is a breakdown of the risk, as determined using theValue at Risk (VaR) metric, of a single OTC instrument. The current VaR Risk Analysis Preferences are HERE. To analyse a portfolio of OTC instruments, please go to HERE
1   OTC Cash Flows
2   Aggregate Risk
3   Fixed Income Risk Matrix
4   Forex Risk Matrix
3   Portfolio Historical Profit and Loss

Cash Flows

The Cash Flows shown below are all in Base Currency. The Cash flows are present valued in their local curency yield curve and then are forward valued in the base currency yield curve.

Component Risk

The Component Risk of an OTC instrument is broken down into Fixed Income exposure and Foreign Exchange exposure. These are all presented in the specified base currency.

Sector Risk

This shows the risk of the foreign exchange components of the OTC instrument. The present value of the cash flows is determined in the local currency yield curve. The VaR of this currency exposure versus the base currency is then determined.

Fixed Income Risk Matrix

The risk metrics shown are the PV01 of the OTC instrument and the VaR associated with those exposures in both local and base currencies