The Interest Rate Swap module of the FOCUS^SQL system is a comprehensive real-time trading and risk management system for pricing and managing portfolios of interest rate swaps. FOCUS^SQL Interest Rate Swaps supports interest rate and cross-currency swaps and supports all basic swap structures including bullet, amortizing, accreting, roller-coaster, zero-coupon and forward start swaps. This Windows-based system allows for the consolidation and analysis of a multi-portfolio, multi-trader and multi-currency a portfolio of fixed-income and money market instruments.

FOCUS^SQL Interest Rate Swaps module covers interest rate and cross-currency swaps, compounding swaps, basis swaps, and offers multiple holiday calendars, user-defined indices and other options. FOCUS^SQL also offers an easy interface to MS Excel, enabling users to configure complex amortization schedules, or simply have customers email their notional structure.

Each FOCUS^SQL module is a complete stand-alone trading system for pricing, portfolio management, risk analysis and reporting. Together with other modules, FOCUS^SQL is a fully integrated system that allows a user to consolidate and manage a multi-portfolio, multi-trader, multi-currency and multi-instrument trading operation.

• Bullet
• Roller coaster
• FX swaps
• Amortizing
• Zero coupon
• Money market
• Accreting
• Forward start swap
• Deposits
• Loans

• Sophisticated yield-curve construction function that derives curve from several sources
• Multi-currency functionality in order to define any interest rate and cross currency swap
• Sensitivity analysis and stress testing
• Real-time feeds for instantaneous mark-to-market and P&L reporting
• Integration with Excel for analysis and management of structured notional flows
• Deal-entry and position-keeping functions
• Real-time counterpart limits management
• Cash Flow Manager generates all forward cash flows and displays all implied forward rates, fixed and floating cash flows, past resets, discount factors and NPVs
• Global Reset Application resets all swaps on any day using a single screen
• ISDA format for swap deal confirmations
• Sophisticated and fexible reporting - realized, unrealized and historical P&L, mark-to-market, position, risk, credit as well as any custom reporting needs

Maturity Gap Analysis - FOCUS^SQL shows exposure, risk and hedging equivalents in user-definable maturity buckets. For each bucket, user can define the basis point shift and hedging instrument.

Positions Blotter - FOCUS^SQL offers a real time positions blotter that allows user to view intraday and daily market valuations and P&Ls for an entire portfolio, or sub-sets such as assets, traders, books and so on.

Yield Curve Shift Analysis - permits the user to analyze risk due to various yield curve shifts and twists.

Value at Risk Calculations - daily, monthly and regulatory Value-at-Risk using RiskMetrics Group and Monte-Carlo simulation methods.

Extensive Valuation Results - displays all implied forward rates, fixed and floating cash flows, past resets, discount factors and NPV.

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