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Calculation of Reval and NPV amount using OPICS REVL method

Base Currency PHP

Given:

BPD 22-Nov-10

Discunt Date 24-Nov-10 9.00 DISCON! D"#S

$a%ue Date &-Dec-10

'( S)ot rate *9.9+,21000 24-Nov-10

'( rate )receein va%ue ate *9.9+,21000 24-Nov-10 SPO!

'( rate succeein va%ue ate *9.9099*2*2 2,-Dec-10 1/

SD S)ot rate 4&.,&000000 2&-Nov-10

SD rate )receein va%ue ate 4&.,&000000 2&-Nov-10 SPO!

SD rate succein va%ue ate 4&.9**0000 2&-Dec-10 1/

PHP P$ ("!' )receein va%ue ate 0.20000000 &0-Nov-10 1

PHP P$ ("!' succeein va%ue ate 0.2*000000 2&-Dec-10 1/

'( asis &+0

SD asis &+0

PHP asis &+0'( a3ount +0000.00

SD a3ount 5901.246

1. 7inear Inter)o%ation o8 Base P$ (ate

( 0.20+*214

2. 7inear Inter)o%ation o8 ; rate

5'(6 *9.9*2,,90

5SD6 4&.,1,*0000

&. (eva% "3ount . ('$7 P

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REVL &OR'(L)

*# Linea+ Inte+olation of -ase PV Rate

PV RATE =

Where

*** REVR table in OPICS contains the present value rates

2# Linea+ Inte+olation of &. +ate /fo+ 0oth cu++enc1

FX Rate

Where

*** REVP table in OPICS contains the FX revaluation rates

$# Reval )mount /fo+ 0oth cu++enc1

(eva% "3ount Amount * FX Rate

Where

Amount is the CCY or CTRCCY amount of the transaction

FX Rate is the interpolated rate for CCY or CTRCCY (see !"

%# 3iscount &acto+ /fo+ 0oth cu++enc1

Discount actor ! # P$WER(!%&'#!))+,#&!,"

=ere

d is the discount da-s (.eal/s Value .ate 0 .iscount .ate"

1CCY is the CCY 2asis

rCCY is the 3mplied PV Rate (see "

5# NPV /fo+ 0oth cu++enc1

Rbase,1 is the Rate of the lo4er period in the REVR ta1le

dbase is the .eal/s Value date 5 Value .ate of the lo4er period in the REVR ta1le

.base is the Value .ate of the upper period in the REVR ta1le 5 Value .ate of the lo4er period i

Rbase,3 is the Rate of the upper period in the REVR ta1le

dccy is the .eal/s Value date 5 Value .ate of the lo4er period in the REVP ta1le

.ccy is the Value .ate of the upper period in the REVP ta1le 5 Value .ate of the lo4er period in

Fccy,3is the Rate of the upper period in the REVP ta1le

Fccy,1is the Rate of the lo4er period in the REVP ta1le

NPV = amtCCY * df6PV *(#" sCCY

Fccy ,2=Fccy,1+

dccy

Dccy(Fccy,3Fccy,1 )

Rbase ,2=R base, 1+d base

Dbase

(R base, 3Rbase ,1 )

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Where7

amtCCY is the CCY amount

df6PV is .iscount Factor (see 8"

sCCY is the CCY 9pot Rate

#NPV P4L

P#: = 6PVCCYA;T % 6PVCTRA;T

Where7

6PVCCYA;T is the 6PV of the CCY amount (see ,"

6PVCTRA;T is the 6PV of the CTR amount (see ,"

7# REVL P4L

P#: = REV:CCYA;T % REV:CTRA;T

Where7

REV:CCYA;T is the REV: of the CCY amount (see "

REV:CCYA;T is the REV: of the CTR amount (see "

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the REVR ta1le

the REVP ta1le

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