Notice and Disclaimer

Transcription

1

2 Client Service Assistance is Available 24 Hours a Day clientservice@msci.com Americas Americas Atlanta Boston Chicago Montreal Monterrey New York San Francisco Sao Paulo Stamford Toronto (toll free) Europe, Middle East & Africa Cape Town Frankfurt Geneva London Milan Paris Asia Pacific China North China South Hong Kong Seoul Singapore Sydney Tokyo About MSCI (toll free) (toll free) (toll free) (toll free) (toll free) Notice and Disclaimer This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the Information ) is the property of MSCl Inc. or its subsidiaries (collectively, MSCI ), or MSCI s licensors, direct or indirect suppliers or any third party involved in making or compiling any Information (collectively, with MSCI, the Information Providers ) and is provided for informational purposes only. The Information may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to create derivative works or to verify or correct other data or information. For example (but without limitation), the Information many not be used to create indices, databases, risk models, analytics, software, or in connection with the issuing, offering, sponsoring, managing or marketing of any securities, portfolios, financial products or other investment vehicles utilizing or based on, linked to, tracking or otherwise derived from the Information or any other MSCI data, information, products or services. The user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF THE INFORMATION PROVIDERS MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY APPLICABLE LAW, EACH INFORMATION PROVIDER EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE INFORMATION. Without limiting any of the foregoing and to the maximum extent permitted by applicable law, in no event shall any Information Provider have any liability regarding any of the Information for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited, including without limitation (as applicable), any liability for death or personal injury to the extent that such injury results from the negligence or wilful default of itself, its servants, agents or sub-contractors. Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results. None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), any security, financial product or other investment vehicle or any trading strategy. MSCI s indirect wholly-owned subsidiary Institutional Shareholder Services, Inc. ( ISS ) is a Registered Investment Adviser under the Investment Advisers Act of Except with respect to any applicable products or services from ISS (including applicable products or services from MSCI ESG Research Information, which are provided by ISS), none of MSCI s products or services recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies and none of MSCI s products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The MSCI ESG Indices use ratings and other data, analysis and information from MSCI ESG Research. MSCI ESG Research is produced by ISS or its subsidiaries. Issuers mentioned or included in any MSCI ESG Research materials may be a client of MSCI, ISS, or another MSCI subsidiary, or the parent of, or affiliated with, a client of MSCI, ISS, or another MSCI subsidiary, including ISS Corporate Services, Inc., which provides tools and services to issuers. MSCI ESG Research materials, including materials utilized in any MSCI ESG Indices or other products, have not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body. Any use of or access to products, services or information of MSCI requires a license from MSCI. MSCI, Barra, RiskMetrics, ISS, CFRA, FEA, and other MSCI brands and product names are the trademarks, service marks, or registered trademarks or service marks of MSCI or its subsidiaries in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property of MSCI and Standard & Poor s. Global Industry Classification Standard (GICS) is a service mark of MSCI and Standard & Poor s. MSCI Inc. is a leading provider of investment decision support tools to investors globally, including asset managers, banks, hedge funds and pension funds. MSCI products and services include indices, portfolio risk and performance analytics, and governance tools. The company s flagship product offerings are: the MSCI indices with approximately USD 7 trillion estimated to be benchmarked to them on a worldwide basis 1 ; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; ISS governance research and outsourced proxy voting and reporting services; FEA valuation models and risk management software for the energy and commodities markets; and CFRA forensic accounting risk research, legal/regulatory risk assessment, and due diligence. MSCI is headquartered in New York, with research and commercial offices around the world. 1 As of June 30, 2011, based on evestment, Lipper and Bloomberg data. MSCI 2012 MSCI Inc. All rights reserved. msci.com

3 Table of Contents Chapter 1 Getting Started About this Guide Adding Your Own Assets to BarraOne System and User Assets Importing User Assets Defining Your Assets Asset Types You Can Import Barra-Supplied Templates for Importing Importing Your Options Importing Prices for Your Assets Constraints on Fixed Income Assets Asset Identifiers You Can Use Deleting User Assets Importing Your Files in the Correct Order A Step-by-Step Example Fixing an Invalid User Asset

4 Chapter 2 Using the Import Templates Agency Bonds (US) Barrier Options (Equity or Equity Index) Barrier Options (FX) Bond Futures Bond Future Options Bond Options Caps and Floors (Cap/Floor) Cash Flow Assets Using the Template Cashflow Bond How BarraOne Values Cashflow Bonds Certificates Examples Commercial Paper Commodity Futures Adjusting Contract Size for Commodity Futures Vendor-Provided Commodity Futures Commodity Future Options Commodity Index Futures Creating a Composite for the Underlying Commodity Index Composites Contracts for Difference Convertible Bonds Corporate Bonds Credit Default Swaps (CD Swap) Credit Default Swap Baskets (CDS Basket) Unfunded II BARRAONE User Assets Importing Guide

5 Credit Default Swap Baskets (CDS Basket) Funded Credit Linked Notes (CLN) Currencies (Cash) Currency Forwards (FX Forward) Currency Futures (FX Future) Currency Options (FX Option) Currency Future Options (FX Future Option) Deletions Duration Proxies Equity Claims Equity Futures Equity Index Futures Creating a Composite for the Underlying Equity Index Equity Index Future Options Equity Options or Equity Index Options Equity Rule-Based Proxies Private Equities Equity Securities Equity Volatility Future Vendor-Provided Equity Volatility Futures Volatility Swap Volatility Option Eurobonds EuroDollar Futures EuroDollar Future Options Floating Rate Notes Table of Contents III

6 Forward Rate Agreement (FRA) Government Notes/Bonds Hedge Funds How It Works Barra-Supplied Template for Importing Your Data Example 1: Importing a Single Style Hedge Fund Example 2: Importing a Fund of Hedge Funds Monitoring the Status of Your Exposures Correcting Your Returns Using the Template Inflation-Protected Bonds (IP Bond) Inflation Swaps Interest Rate Swaps (Swap) and Currency Swaps Intex Assets Loading Intex Assets Municipal Bonds Private Real Estate Repo Swaptions Term Deposits To Be Announced (TBA MBS) Specifying the Underlying ID Total Return Swaps (Fixed Income and Equity) Creating a Composite for the Underlying Index Importing Index Prices Zero Coupon Swaps IV BARRAONE User Assets Importing Guide

7 Appendices Appendix A: Shared Worksheets Amount Outstanding Schedules Worksheet Asian Option Attributes Worksheet Asian Option Price Pool Worksheet Call Schedules Worksheet Coupon Rate Schedules Worksheet Implied Volatility Schedules Worksheet IRS Leg Coupon Rate Schedules Worksheet Put Schedules Worksheet Rating Schedules Worksheet Sink Schedules Worksheet Subsector Schedules Worksheet Appendix B: Sectors and Subsectors Appendix C: Japan Sectors and Subsectors Appendix D: Ratings Appendix E: MBS Pool Codes Appendix F: Supported ID Types Appendix G: Language Settings and Date Formats Appendix H: Country and Currency Codes Appendix I: Commodity Unit Exposure Assets Appendix J: Date Roll Conventions Appendix K: Equity Indexes with Prices Appendix L: Hedge Fund Styles Appendix M: Hedge Fund Sectors Appendix N: Hedge Fund Returns Currencies Appendix O: Hedge Fund Geographic Codes Appendix P: Industries per Equity Model Appendix Q: GEM2L Industries Table of Contents V

8

9 Chapter 1 Getting Started

10 About this Guide This User Assets Importing Guide describes how to import your own assets into BarraOne using Excel TM templates that Barra supplies. You can download the templates from Barra s client support website at where you will also find the latest version of this guide. For additional information on using your own assets in BarraOne, as well as any other features of the application, see BarraOne s online help. Here is what the User Assets Importing Guide contains: Chapter 1, Getting Started What asset types you can import, requirements for importing, and a step-by-step example. Chapter 2, Using the Import Templates How to fill in the spreadsheets for the asset types you want to import, including required and optional columns and any additional sheets you might need. Appendices Descriptions of worksheets that are shared in workbooks for various asset types, and reference information for creating your user asset file, such as issue currencies, sectors, and identifier types BarraOne supports. 2 BARRAONE User Assets Importing Guide

11 Adding Your Own Assets to BarraOne System and User Assets The basic building block of portfolios in BarraOne is an instrument. All portfolios can be distilled down to a list of instruments and respective quantities held for each instrument. BarraOne has two distinct types of instruments: user supplied and system supplied. Many instrument types support both system- and user-supplied assets, while many others are either exclusively one or the other. System Assets System instruments are stored in what is called the vendor database, which is common and accessible to all clients and separate from client data. As a result, all clients who use a particular system instrument are referencing the same record of that instrument. An instrument master table is used to aggregate the list of system instruments. Instruments are stored using internal PermIDs as the primary key. Each security is assigned a BarraID that maps to the various market IDs supported for that instrument. Each system instrument has a start and end date to define the window for which the instrument is considered valid. The system contains a single definition of the terms and conditions (TnCs) of the instrument, which is used for its lifespan. Some system instrument TnCs have elements that can store time dimensional data to reflect changes. For example, a bond will have a ratings schedule that contains the history of rating changes for the bond, and a sector schedule that defines the changes in sectors for that bond. Adding Your Own Assets to BarraOne 3

12 Other descriptive data, such as vendor sector data and trading volumes, are stored separately from the system instrument s TnC and linked to the instrument via the security master using the PermID. Special Situations Certain system instrument types have special handling (this list is not exhaustive). Fixed Income Instruments We receive and store multiple versions of the same instrument TnC from different vendors. When an instrument has multiple TnC sources, we resolve this by retrieving the TnC with the highest priority based on a systemwide source ranking. MBS Instruments are modeled by mapping specific security issuances to a set of generic MBS instruments. Equities BarraOne has a concept called Primary IDs, which are use to resolve holdings in cases where the same market identifier is shared across different issuances of the same equity security. For example, XYZ Inc. trades on both the USA and CAD exchanges, and both issuances have the same ISIN. User Assets User instruments are instrument TnCs loaded by a specific user/client organization into their client ID (realm) within BarraOne. User instruments are stored in the user database, in data tables specific to a single client organization. 4 BARRAONE User Assets Importing Guide

13 User instruments are typically used in two situations: The client needs to model a security not available as a system instrument: System instruments are available for this instrument type, but not for this particular instrument Only user instruments are supported for this instrument type As a proxy for an instrument type that is not natively supported The client wants to use their own modeling for an instrument that is available as a system instrument. User instrument TnCs have elements that can store time dimensional data to reflect changes. For example, a bond will have a ratings schedule that contains the history of rating changes for the bond, and a sector schedule that defines the changes in sectors for that bond. Each time a user instrument is loaded into the system, the user must provide the full TnC, including the full history of any schedules. The new TnC will completely replace the old version. Priority Setting User instruments have a priority flag that can be set to either give priority to the user instrument or the system instrument in cases where both may exist. Users will typically use Barra priority for cases in which the system supports system instrument coverage for the instrument type in question, but when there is no system instrument for the specific security in question. In these cases, if coverage for that particular security is added, the system will automatically switch to using the system instrument. Users can use the User priority setting for an instrument to indicate that in all cases they want to use their own user TnC for modeling the instrument, even in cases where the system has native coverage. Adding Your Own Assets to BarraOne 5

14 Alternative Asset Coverage BarraOne has native support for interfacing with the Bloomberg Data License (DL) service through the BloombergLink. Clients who are active DL subscribers can make requests to Bloomberg through BarraOne for TnC and price data for instruments. BarraOne negotiates the request submission and downloads and processes the results into the user s account. BloombergLink is typically used by clients as a convenient way to source instrument TnC s where the client does not have the required instrument details internally in their own data warehouse. BarraOne makes use of Intex for modeling of complex fixed income securities. Instruments are modeled using Intex cashflows based on each client s individual Intex subscription. Importing User Assets To fix assets rejected during importing and to ensure complete coverage of your portfolios, you can add your own assets to the BarraOne database. You do this by defining them in spreadsheet files and then importing the files into BarraOne. Importing your own assets makes them available to all users in your firm, thus creating a shared universe of securities. You also have the flexibility, when importing an asset, to control which definition of the asset (yours or Barra s) will be used for analysis, should Barra later add coverage for that asset. After importing your user assets, you can run a separate import job to import asset data (your own prices, scores, and so on), and then import positions for the assets or add them interactively in BarraOne. 6 BARRAONE User Assets Importing Guide

15 Defining Your Assets There are two ways you can define your own assets so that BarraOne can determine their factor exposures and risk characteristics: Terms and conditions Most applicable for fixed income instruments. You supply all necessary data to allow BarraOne to carry out asset valuation and pricing. Link proxy Applicable in any case where the asset can be fairly represented by an asset in BarraOne s existing coverage. You identify an asset in the BarraOne database with attributes similar to your security and specify that as a proxy for your asset. (Use the Find Asset tool or Screening Tool to search the database for a comparable asset.) You can use link proxies for any instrument type that BarraOne currently covers; however, the asset to which you link is restricted to equities, currencies/cash, and cash bonds that is, composites, ETFs, derivatives, and other link proxies cannot be used as underliers to a link proxy., Note: Proxying provides an approximate representation of an asset, not an exact replica of its characteristics or risk. Adding Your Own Assets to BarraOne 7

16 Asset Types You Can Import Asset type Equity Defined by Contracts for Difference Terms and Conditions Equity Securities (Global) Link Proxy* Equity Claims Terms and Conditions Equity Options Terms and Conditions Equity Index Options Terms and Conditions Equity Futures Terms and Conditions Equity Index Futures Terms and Conditions Equity Index Future Options Terms and Conditions Equity Rule-Based Proxies Terms and Conditions Private Equity Terms and Conditions Equity Volatility Futures Terms and Conditions Variance Futures Terms and Conditions Volatility Swaps Terms and Conditions Variance Swaps Terms and Conditions Forward Volatility Agreements Terms and Conditions Volatility Options Terms and Conditions Fixed Income Agency Bonds (US) Terms and Conditions Bond Futures (AU, CA,CH, EU, DE, JP, KR, SP, SE, UK, US) Terms and Conditions Bond Options Terms and Conditions Cash Flow Assets Terms and Conditions Cashflow Bond Terms and Conditions Commercial Paper Terms and Conditions Convertible Bonds (Convertible, Convertible Preferred, Terms and Conditions Regular, PRIDES, PERCS) Corporate Bonds (US & Global) Eurobonds Floating Rate Notes Government Notes/Bonds Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions 8 BARRAONE User Assets Importing Guide

17 Inflation-Protected Bonds (AU, BR, CA, EU, NZ, SE, UK, US, ZA) Municipal Bonds (US) Options on Bond Futures Repos TBA MBS Term Deposits Duration Proxies Interest Rate Caps and Floors Credit Default Swaps and Baskets Credit Linked Notes Currency Swaps Eurodollar Futures and EURIBOR Futures Eurodollar Future Options Forward Rate Agreements (FRA) Inflation Swaps (AU, BR, CA, EU, NZ, SE, UK, US, ZA) Interest Rate Swaps Overnight Index Swaps Swaptions (Interest Rate Swap Options) Total Return Swaps (Equity and Fixed Income) Zero Coupon Swaps Foreign Exchange Currencies Currency Forwards Currency Futures Currency Options Currency Future Options Other Commodity Futures Commodity Index Futures Commodity Future Options Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Link Proxy* Link Proxy with Custom ID Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Link Proxy with Custom ID Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Adding Your Own Assets to BarraOne 9

18 Certificates and Trackers Composites of Barra-supplied indexes or your own portfolios Hedge Funds Private Real Estate Custom Exposure Assets Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions Terms and Conditions * Note on proxies: Proxying provides an approximate representation of an asset, not an exact replica of its characteristics or risk. While a link proxy is the mechanism you would use to add your own equity security to BarraOne (linking to a comparable asset in the BarraOne database that can serve as a proxy), the use of link proxies is not limited to equities. You can also use link proxies for any instrument type that BarraOne currently covers; however, the asset to which you link is restricted to equities, currencies/cash, and cash bonds that is, composites, ETFs, derivatives, and other link proxies cannot be used as underliers to a link proxy. Barra-Supplied Templates for Importing Barra supplies sample Excel workbooks for various asset types that you can easily use as templates for importing your own assets. You can download the workbooks from the client support website at Do Not Mix Asset Types In Workbooks The workbook templates for many asset types share worksheets of the same name, such as Implied Volatility Schedules, Asian Option Attributes and Asian Option Price Pool. If asset types are mixed within a workbook, these worksheets will not be properly associated with the correct assets. For instance, do not mix Commodity Future Options, Equity Options, Equity Index Options, Equity Index Future Options, Eurodollar Future Options, or FX Options in the same workbook, or the Implied Volatility Schedules 10 BARRAONE User Assets Importing Guide

19 worksheets will not be applied correctly. Similarly, do not mix Commodity Future Options, Equity Options, Equity Index Future Options, Equity Index Options, Eurodollar Future Options, and FX Options in the same workbook, or the Asian Option Attributes and Asian Option Price Pool worksheets will not be applied correctly. Do Not Change the Worksheet Names When downloading the templates, you can save the Excel workbook files with any name you like. However, you must not rename the individual worksheets within the workbooks. BarraOne uses those sheet names to identify and process the asset types you are importing. Clear the Sample Data Many of the templates include sample data for user assets in the worksheets. Before using the templates to import your assets, be sure to clear the sample values in the cells of each worksheet before importing your own data. Importing Your Options You can import equity options, equity index options, currency options, bond options, swaptions, and options on bond futures, equity index futures, and Eurodollar futures. BarraOne currently supports the following types: Instrument Option Type Option Style Equity Option Put, Call American, European, Bermudan Equity Index Option Put, Call American, European, Bermudan Equity Index Future Option Put, Call American, European Volatility Option Put, Call American, European FX Option Put, Call American, European, Bermudan FX Future Option Put, Call American, European Barrier Option (Equity and FX) Put, Call European Adding Your Own Assets to BarraOne 11

20 Instrument Option Type Option Style Asian Option (Equity, Equity Index Future, Eurodollar Future, Commodity Future, and FX) Put, Call European Bond Option Put, Call American, European Bond Future Option Put, Call American, European Eurodollar Future Option Put, Call European Swaption European, Bermudan Commodity Future Option Put, Call European Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options You have three choices for valuing equity options, equity index options, equity index future options, volatility options, Eurodollar future options, commodity future options, FX options, and FX future options in BarraOne: You specify the price If you provide an option price, BarraOne calculates implied volatility from that price and uses the volatility in determining the option delta. You import your own prices in an asset data file (in a separate import job after importing the option). You specify the implied volatility If you do not supply a price but do specify the implied volatility, BarraOne uses that in determining the option price. You specify the implied volatility in the user asset file when importing the option. You specify neither If you specify neither an option s price nor its implied volatility, BarraOne uses the volatility of the underlying asset based on the Barra risk model to value the option. 12 BARRAONE User Assets Importing Guide

21 Importing Prices for Your Assets BarraOne computes prices for many of the asset types you can import, but for some assets you must import your own prices. The following table shows which assets require you to import prices, which allow you to import your own prices if you like, and which ignore user prices: User prices REQUIRED User prices ALLOWED User prices IGNORED ARM Pools* Agency Bonds Credit Default Swaps and Baskets Commodity Futures Barrier Options Credit Linked Notes Commodity Index Futures Bond Futures Currency Forwards Duration Proxies Bond Future Options Currency Futures Equity Futures Bond Options Currency Swaps Equity Index Futures Caps and Floors Forward Rate Agreements Equity Rule-Based Proxies Cash Flow Assets Inflation Swaps Private Equities Cashflow Bond Interest Rate Swaps Certificates/Trackers Overnight Index Swaps Commercial Paper Term Deposits Commodity Future Option Total Return Swaps Composites Zero Coupon Swaps Contracts for Difference Convertible Bonds Corporate Bonds Currency Options Currency Future Options Equity Claims Equity Index Future Options Equity Options Equity Index Options Equity Securities Equity Volatility Futures Variance Futures Volatility Swaps Variance Swaps Adding Your Own Assets to BarraOne 13

22 User prices REQUIRED User prices ALLOWED User prices IGNORED Forward Volatility Agreements Volatility Options Eurobonds Eurodollar Future Options Eurodollar Futures and EURIBOR Futures Floating Rate Notes Government Notes/Bonds Hedge Funds Inflation-Protected Bonds Municipal Bonds Repos Swaptions TBA MBS Private Real Estate Link Proxies For assets requiring user prices, if BarraOne does not find a price, it rejects the asset. * Note: Although ARMs are system assets supplied with BarraOne (rather than user-defined assets), you must import your own prices for them. The overall process for importing your prices is: 1 Create and import your user asset import file. (For an illustration of the process, see A Step-by-Step Example on page 18.) 2 Import your asset prices: (a) (b) Create an asset attribute for your prices in BarraOne. You might name it something like MyPrices. Create an asset data file containing the prices and then import the file into BarraOne. 14 BARRAONE User Assets Importing Guide

23 3 Add or import positions for the assets., Notes: The prices you import follow the price expiration rules you define for your custom price attribute (i.e., the Maximum Age of the attribute). If you set the maximum age to None, the prices will never expire, but you run the risk of using old prices. If you set a maximum age, you will need to import updated prices periodically. Prices for fixed income assets must be imported in the currency of the asset. Any price currency specified in an import file for prices of a fixed income asset is ignored. For complete details, see Importing Your Own Prices in BarraOne s online help. Constraints on Fixed Income Assets To import a fixed income asset by defining its terms and conditions, you must specify the currency of the issue and the issuer country in your import file. BarraOne currently supports the issue currencies and issuer countries listed in Appendix H: Country and Currency Codes on page 289. If an asset requires a currency or country not on that list, it cannot be imported at this time. Asset Identifiers You Can Use When importing a user asset, you must specify its: ID Type, such as CUSIP, ISIN, and so on. You can use any of the types BarraOne supports, as listed in Appendix F: Supported ID Types on page 283. Asset ID. The asset ID can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. For example, you could specify an ID type of CUSIP but give the asset an ID of 5X instead of the standard eight- or nine-digit CUSIP. Adding Your Own Assets to BarraOne 15

24 You can also specify multiple IDs for an asset. If columns do not already exist with the ID types you would like to use, you can simply add additional columns to the worksheet, specify the ID types in the column headers, and enter the identifiers in the rows. For example, you could add or use columns with headers labeled ISIN and SEDOL. Again, you can use any of the ID types listed in Appendix F: Supported ID Types on page 283. If you do specify multiple IDs, then when you edit, reimport, or delete a user asset, you must explicitly supply the same combination of IDs used when the asset was created. If the IDs do not match exactly, BarraOne cannot update the existing asset and will treat the new information as belonging to a new asset., Note: If the Asset ID is synthetic (i.e., a custom identifier beginning with a special character such as # such as a term deposit underlier or a link proxy underlier, then the ID Type must be BARRAID. Deleting User Assets You can delete user assets from the BarraOne database in three ways: A separate Barra-supplied user assets template called deletions.xls lets you specify user assets to be deleted from the BarraOne database. When you import the file, BarraOne deletes the specified user assets. In BarraOne s User Asset View (Data Admin tab > User Assets) you can select and delete the items you want. In BarraOne s Coverage Overlap View (Data Admin tab > User Assets > Coverage Overlap), you can select and delete user assets that overlap with Barra coverage. 16 BARRAONE User Assets Importing Guide

25 Importing Your Files in the Correct Order Because some asset types depend on the existence of other assets (for example, a bond option requires a bond), you must import your user asset files in a meaningful order, to avoid unnecessary corrections. Whether you import the files in one import job or across multiple import jobs, the general rule of thumb is: 1 Import deletions first. 2 Import any user attributes. 3 Import all assets to which you will refer as underliers of other assets you want to import (such as the bond for a bond option). 4 Import any subsequent assets requiring those underliers (such as the bond option). Within a workbook, the worksheets do not need to be in a specific order. BarraOne processes them correctly. After importing your user assets, you can run a separate import job to import portfolio positions and asset data (your own prices, scores, and so on). Adding Your Own Assets to BarraOne 17

26 A Step-by-Step Example Suppose you have imported holdings for a Mexican corporate bond, but the asset was rejected and listed in the Rejected Assets Report: You decide to fix the reject by creating a user asset. Here is how you could do it: 1 Make sure you can import the asset type. See Asset Types You Can Import on page 8. Since this is a corporate bond, and since Mexico is listed in the Currency of Issue and Issuer Country lists in Appendix H: Country and Currency Codes on page 289, you know you can import the asset. 2 Download the import template. On the client support website ( click the corporate bond import template (corporatebond.xls) and save it with the name and in the location you want: 3 Create your user asset import file. Open the saved template file, and fill in the spreadsheet with your bond s terms and conditions. Depending on the bond s particular characteristics, you might need to complete other sheets in the workbook as well, such as Call or Sink schedules. (All necessary worksheets are included in the template workbook.) Follow 18 BARRAONE User Assets Importing Guide

27 the guidelines under Corporate Bonds on page 106 of this guide. (Obtain the bond information from your accounting system or data source such as Reuters or Bloomberg.) Make certain that you clear any of the sample values in each worksheet that do not pertain to your assets. When finished, save the file. 4 Import the user asset file into BarraOne, either through BarraOne s Import tab or with MSCI DataConnect. Select BarraOne User Assets as the Data Type you are importing: 5 Verify the import. When the import job is finished, check BarraOne s User Asset View (Data Admin tab > User Assets) to verify that your bond was imported successfully: From the Select Asset Types dropdown, choose Bond Terms and Conditions. From the Validation Status dropdown, choose Valid. Click Refresh. A Step-by-Step Example 19

28 Fixing an Invalid User Asset 1 If your bond does not appear in the list of valid bond terms and conditions, customize the User Asset View (Data Admin tab > User Assets) so BarraOne will display invalid assets, so you will be able to see if the user asset file was considered invalid and could not be imported: From the Select Asset Types dropdown, choose Bond Terms and Conditions. From the Validation Status dropdown, choose Invalid. Click Refresh. BarraOne lists the invalid bonds: 2 In the Error column, click the Detail link to see why the asset is invalid: In this example, the Call Schedule is missing. 3 Fill in the Call Schedules worksheet in your user asset file. (See Call Schedules Worksheet on page 264 for details.) Then save and close the file. 20 BARRAONE User Assets Importing Guide

29 4 Reimport the user asset file into BarraOne. Important: When reimporting a file to fix an invalid user asset, be sure to reimport all worksheets relevant to that asset, even if not all of them contained errors. For example, if the bond in our example also included a Sink Schedules worksheet that had imported without errors, you would still need to reimport it along with the corrected Call Schedules worksheet and the Bond Terms and Conditions worksheet. The easiest way to do this is simply to reimport your entire user asset file workbook. A Step-by-Step Example 21

30

31 Chapter 2 Using the Import Templates

32 Agency Bonds (US) Template: AgencyBond.xls Required Worksheet: Bond Terms and Conditions Other Worksheets as Needed: Amount Outstanding Schedules; Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules Bond Terms and Conditions Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Bond. Currency of Issue Enter USD. Issuer Name Enter the issuer name. Issuer Type Enter Agency. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. Issuer Country Enter USA. Rating Source Choices are: Moody s, S&P. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). 24 BARRAONE User Assets Importing Guide

33 Bond Terms and Conditions Worksheet (Continued) Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. If not fixed, you must also complete the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Coupon(%) Enter the annualized coupon rate in percent (where 3 = 3%). Coupon Frequency Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. (Value is ignored for zero coupon bonds.) Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Callable Choices are: Yes, No. If Yes, you must also complete the Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). Agency Bonds (US) 25

34 Bond Terms and Conditions Worksheet (Continued) Sector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. Amount Issued * * Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Accrual Basis Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. 26 BARRAONE User Assets Importing Guide

35 Bond Terms and Conditions Worksheet (Continued) Issue Date First Accrual Date First Coupon Date Last Coupon Date Coupon Conversion Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. * * Required if coupon type is Fixed to Float or Float to Fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Reference Rate * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data). Agency Bonds (US) 27

36 Bond Terms and Conditions Worksheet (Continued) Rate Term * * For Floating, Fixed to Float, or Float to Fixed coupon type. Required for reference rates LIBOR, Swap, Govt, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reset Frequency * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. Notice Days For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the number of days as an integer. Margin For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Multiplier For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the multiplier, such as 0.85, to adjust the reference rate. (For an inverse floater, enter a negative multiplier.) If you leave this field blank, BarraOne uses 1. Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Minimum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Periodic Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum positive change in any reset period. Enter in percent (where 3 = 3%). Periodic Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum negative change in any reset period. Enter in percent (where 3 = 3%). ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 28 BARRAONE User Assets Importing Guide

37 Barrier Options (Equity or Equity Index) Template: EquityBarrierOption.xls Required Worksheet: Equity Options; Equity Barrier Option Attributes Other Worksheets as Needed: Implied Volatility Schedules Equity Options Worksheet ID Enter the asset ID of the option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlier. The underlier can be either: an equity a composite asset based on an equity index an ETF BarraOne includes composites and ETFs in its native coverage. For a list of Barra-supplied composites, see ions/default.asp. Note that the BarraID for a composite is constructed by appending a D (daily update) or an M (monthly update) to the end of its Portfolio name, depending upon the frequency of the portfolio update. For a list of ETFs, see ions/barraone_etf.asp. If Barra does not supply an asset for the index you want, you must create a user-defined composite for the equity index portfolio, and then enter the ID of that composite in this column as the Underlying ID. For details, see Creating a Composite for the Underlying Equity Index on page 150. Barrier Options (Equity or Equity Index) 29

38 Equity Options Worksheet (Continued) Underlying ID Type Enter the ID type of the underlier. For Barra-supplied composites, this is BarraID. For Barra-supplied ETFs, this is CUSIP, SEDOL, etc. For user-defined composites, this is COMPOSITEID. Option Type Choices are: Put, P, Call, C. Option Style Enter E or European. Strike Price Enter the strike price in the same currency as the underlying asset. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Dividend Yield Enter as a percentage (where 3 = 3%). Contract Size Enter the contract size. If you leave this blank, BarraOne sets the contract size at 100. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Implied Volatility Enter the percentage as a decimal (where.03 = 3%). Cannot exceed 2.0. If you want to change implied volatility over time, you must also complete the Implied Volatility Schedules worksheet (see Implied Volatility Schedules Worksheet on page 265). For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 30 BARRAONE User Assets Importing Guide

39 Equity Barrier Option Attributes Worksheet ID Enter the asset ID and ID type of the option you defined ID Type in the Equity Options worksheet. This associates the barrier attributes with the option. Barrier Type Enter the type of barrier option. Choices are: DI (Down and In), DO (Down and Out), UI (Up and In), UO (Up and Out). Note: To create a double barrier option, add a second row with the ID and ID type of the same option and specify the second barrier type. Barrier Level Enter the barrier level in the same currency as the underlying asset. Start Date Enter the start date of the barrier. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. End Date Enter the end date of the barrier. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Hit Date If the price hits the barrier, enter the hit date here and reimport the file. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Rebate Enter the rebate in the same currency as the underlying asset. If you leave this blank, BarraOne uses 0. Rebate at End Choices are: Yes, No. If you leave this blank, BarraOne uses No. Barrier Options (Equity or Equity Index) 31

40 Barrier Options (FX) Template: FXBarrierOption.xls Required Worksheet: FX Options; FX Barrier Option Attributes Other Worksheets as Needed: Implied Volatility Schedules, Note: Refer to Examples on page 133 for details about the Contract Size, Currency, Quote Currency, and Strike Price columns. FX Options Worksheet ID Enter the asset ID of the currency option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Contract Size Enter the notional amount of the FX option. Currency Enter the 3-letter ISO code for the currency to be received (call) or paid (put). Codes are listed in Appendix H: Country and Currency Codes on page 289. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

41 FX Options Worksheet (Continued) Implied Volatility Enter the percentage as a decimal (where.03 = 3%). Cannot exceed 2.0. If you want to change implied volatility over time, you must also complete the Implied Volatility Schedules worksheet (see Implied Volatility Schedules Worksheet on page 265). For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. Quote Currency Enter the 3-letter ISO code for the currency to be paid (call) or received (put). Codes are listed in Appendix H: Country and Currency Codes on page 289. Option Style Choices are: E or European. Option Type Choices are: Put, P, Call, C. Start Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: Start Date is required for import but is not currently used by BarraOne. Strike Price Enter the strike in terms of units of Quote Currency per one unit of Currency. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Barrier Options (FX) 33

42 FX Barrier Option Attributes Worksheet ID Enter the asset ID and ID type of the option you defined ID Type in the FX Options worksheet. This associates the barrier attributes with the option. Barrier Type Enter the type of barrier option. Choices are: DI (Down and In), DO (Down and Out), UI (Up and In), UO (Up and Out). Note: To create a double barrier option, add a second row with the ID and ID type of the same option and specify the second barrier type. Barrier Level Enter the barrier level in terms of units of Quote Currency per one unit of Currency. Start Date Enter the start date of the barrier. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. End Date Enter the end date of the barrier. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Hit Date If the price hits the barrier, enter the hit date here and reimport the file. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Rebate Enter the rebate in the receive currency. If you leave this blank, BarraOne uses 0. Rebate at End Choices are: Yes, No. If you leave this blank, BarraOne uses No. 34 BARRAONE User Assets Importing Guide

43 Bond Futures Template: BondFuture.xls Required Worksheet: Bond Futures; Bond Future Underliers, Notes: To import by weight a portfolio consisting entirely of futures, set the assigned base value or portfolio value to a nonzero amount. Bond Futures Worksheet ID Enter the asset ID of the bond future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the bond future. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Bond Future Type Enter the two-letter Issue Code. Codes are listed on Barra's client support website at scriptions/barraone_bond_future_codes.asp. Delivery Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract Size Enter the contract size. If you leave this blank, BarraOne sets the contract size at 100. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Bond Futures 35

44 Bond Futures Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Bond Future Underliers Worksheet ID Enter the asset ID and ID type of the bond future you ID Type defined in the Bond Futures worksheet. This associates the underlier with the bond future. Underlying ID Enter the ID of the underlying bond. The underlying bond must be a fixed coupon type, and its currency of issue must match the implied currency of the bond future type. Convertible bonds cannot be used as underliers. Underlying ID Type Enter the ID type of the underlying bond. Conversion Factor Enter the conversion factor. 36 BARRAONE User Assets Importing Guide

45 Bond Future Options Template: BondFutureOption.xls Required Worksheet: Bond Future Options Bond Future Options Worksheet ID Enter the asset ID of the bond future option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlying bond future. Underlying ID Type Enter the ID type of the underlying bond future. Option Type Choices are: Put, P, Call, C. Option Style Choices are: E or European; A or American. Strike Price Enter the strike price in the same currency as the underlying bond future. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract Size Enter the contract size. The contract size is the notional of the option divided by the contract size of the underlying bond future. Bond future contract sizes are listed on Barra's client support website at escriptions/barraone_bond_future_codes.asp. Thus, if you hold a 100,000 option on an Australia 3-year T-bond future (contract size of future is 100,000), then the contract size of the option is 100,000/100,000 = 1. If you leave this blank, BarraOne sets the contract size at 100. Bond Future Options 37

46 Bond Future Options Worksheet (Continued) Asset Priority ID Types Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 38 BARRAONE User Assets Importing Guide

47 Bond Options Template: BondOption.xls Required Worksheet: Bond Options Bond Options Worksheet ID Enter the asset ID of the bond option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlying bond. Convertible bonds cannot be used as underliers. Underlying ID Type Enter the ID type of the underlying bond. Option Type Choices are: Put, P, Call, C. Option Style Choices are: E or European. Strike Price Enter the strike price in the same currency as the underlying bond. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract Size Enter the contract size. The contract size is the notional of the option divided by the par of the underlying bond. Thus, if you hold a 100,000 option on a par 1,000 bond, then the contract size of the option is 100,000/1,000 = 100. If you leave this blank, BarraOne sets the contract size at 100. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Bond Options 39

48 Bond Options Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 40 BARRAONE User Assets Importing Guide

49 Caps and Floors (Cap/Floor) Template: CapFloor.xls Required Worksheet: Caps and Floors Caps and Floors Worksheet ID Enter the asset ID of the Cap/Floor option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Start Date Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. End Date Enter the contract end date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract size Enter the notional amount of the contract. Country Enter the 3-letter ISO code for the country where the security is issued (defaults to underlying country). For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Currency Enter the 3-letter ISO code for the currency in which payments are made (defaults to underlying currency). For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Price Currency.) Caps and Floors (Cap/Floor) 41

50 Caps and Floors Worksheet (Continued) Order Type Choices are: Cap or Floor. Accrual Basis Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Rate Term Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reference rate Choices are: LIBOR, Govt. Cap or Floor Rate (%) Enter as a percentage (where 3 = 3%). Multiplier Enter the multiplier, such as 0.85, to adjust the reference rate. If you leave this field blank, BarraOne uses 1. Margin Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Reset Frequency Choices are: 1M, 3M, 6M, 1Y. Implied Volatility Enter the implied volatility (Black) as a decimal (where.03 = 3%). ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 42 BARRAONE User Assets Importing Guide

51 Cash Flow Assets Cash flow assets are used to model a stream of a cash flows with no distinction between principal and interest, typically liability streams. Once you have created a cash flow asset, you can use a portfolio containing just this asset as a benchmark representing the liabilities. No accrued is computed for cash flow assets, as there is no distinction between principal and interest. The cash flows are not normalized. The present value of the cash flows is reported as the price. The price can be in millions or billions depending on the magnitude and timing of the cash flows. When including a cash flow asset in your portfolio, enter 1 unit holding for the asset. The price of the asset and the position value would be the same. If you want to import your own prices for these assets, you must provide the present value of the entire stream of cash flows that are outstanding (not per 100 par). Using the Template Template: CashFlowAsset.xls Required Worksheet: Cash Flow Assets; CFAsset Cash Flow Schedules Cash Flow Assets Worksheet ID Enter the asset ID of the asset, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Cash Flow Assets 43

52 Cash Flow Assets Worksheet (Continued) Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Cash Flow Currency Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. Discounting Curve Choices are: LIBOR, Treasury, Real, Muni. Issuer Name Enter the issuer name. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 44 BARRAONE User Assets Importing Guide

53 CFAsset Cash Flow Schedules Worksheet ID Enter the asset ID and ID type of the cash flow asset you ID Type defined in the Cash Flow Assets worksheet. This associates the cash flow schedule with the cash flow asset. Start Date Enter the cash flow start date. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: BarraOne treats the first cash flow start date as the start date for the asset. Thus, if the analysis date is earlier than the first cash flow date, BarraOne rejects the asset. To prevent this, you can enter a dummy date older than the analysis date as the first cash flow date, with a zero cash flow. Cash Flow Enter the cash flow as a cash amount. This is the combined value of principal and interest and thus can be a large number. Cash Flow Assets 45

54 Cashflow Bond Cashflow bonds are used to proxy assets by specifying their cash flows. For example, suppose there is an asset-backed security for which you have the expected cash flow data. You can model the asset in BarraOne by entering the expected principal and coupon cash flows at different dates. Template: CashflowBond.xls Required Worksheet: Cashflow Bond; Cashflow Schedules Cashflow Bond Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Cashflow Bond. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Issuer Name Enter the issuer name. Issuer Type Choices are: Government, Supranational, Corporate, Agency. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. 46 BARRAONE User Assets Importing Guide

55 Cashflow Bond Worksheet (Continued) Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Cashflow Bond 47

56 Cashflow Bond Worksheet (Continued) Sector * * Required if you specify Government as the Issuer Type. For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Accrual Basis Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case sensitive. For example, 30/360e is valid; 30/360E is not. Issue Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

57 Cashflow Bond Worksheet (Continued) First Accrual Date First Coupon Date Last Coupon Date Asset Priority Settlement Days Compounding Frequency ID Types Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Number of days to settlement. The frequency at which the coupon is paid. Choices are: 1M, 3M, 6M (default), 1Y. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Cashflow Bond 49

58 Cashflow Schedules Worksheet ID Enter the asset ID and ID type of the bond you defined in ID Type the Cashflow Bond worksheet. This associates the schedule of cash flows with the bond. Start Date Enter the date of the cash flow. Note: To ensure that BarraOne computes the accrued correctly, enter a dummy date as the first cash flow date and specify a zero cash flow. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Interest Enter the interest amount as percent of the total principal, per 100 par. Principal Enter the principal amount as percent of the total principal, per 100 par. The principals for the bond must add up to 100. How BarraOne Values Cashflow Bonds BarraOne values cashflow bonds like this: 1 Takes all the cash flows given after the valuation date. 2 Adds principal on all dates that are after the valuation date. This is the total outstanding principal. 3 Multiplies all principal and interest cash flows after the valuation date by (100/total outstanding principal). This normalizes all cashflows per 100 par outstanding. 50 BARRAONE User Assets Importing Guide

59 4 Finds the present value of the normalized cash flows. When no spread is used, the computed price is close to 100 when the accrued is accounted for. If you import user prices for these assets, it should be per 100 par outstanding. You would expect the prices to be around 100. Cashflow bonds have accrued, like bonds do. For BarraOne to compute the accrued correctly, enter a dummy date as the first cash flow Start Date, and specify a zero cash flow. When including a cashflow bond in your portfolio, each holding unit represents amount outstanding equal to the par value. (You specify the par value for the bond in the Cashflow Bond worksheet when importing the asset.) For example, if the remaining principal is 9000 and the par value is 1000, the holding should be 9. In general, the holdings should be (remaining principal/par value). The position value of a cashflow bond is [holding * (price + accrued)/100.0 * (par value)]. As time passes and more and more principal is paid, you should adjust the holding to reflect the par amount outstanding. Example: Suppose we have an asset paying 10% interest on total principal of $1,000,000, and half the principal gets paid back on 1/1/2007: Date Principal Interest 1/1/ /1/ , ,000 1/1/ ,000 50,000 Cashflow Bond 51

60 When doing the valuation on a date before 1/1/2007, BarraOne uses (1,000,000)/100 to divide each of the cash flows, and we get the following cash flows outstanding: Date Principal Interest 1/1/ /1/ When doing the valuation on a date that is between 1/1/2007 and 1/1/2008, BarraOne uses (500,000)/100 to scale, and the cash flows outstanding become: Date Principal Interest 1/1/ BARRAONE User Assets Importing Guide

61 Certificates Template: Certificate.xls Required Worksheet: Certificate TnCs; Certificate Underliers Other Worksheets as Needed: Reverse Certificates; Bonus Certificates; Reverse Bonus Certificates; Twin-win Certificates; Outperformance Certificates; Airbag Certificates; Discount Certificates; Capital Protected Certificates; Reverse Convertible Certificate; BRRC Certificates, Note: Refer to the Examples on page 66. Certificate TnCs Worksheet ID Enter the asset ID of the certificate or tracker, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Start Date Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Expiration Date Enter the contract expiration date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract size The meaning of this field is dependent upon the certificate type: the number of certificates; issue price; notional/nominal amount of the contract; bid; or denomination. Certificates 53

62 Certificate TnCs Worksheet (Continued) Currency Enter the 3-letter ISO code for the currency in which payments are made. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Certificate Type Certificate type. This selection will determine if the user must also enter data in the specific worksheet for the specified certificate type. Choices are: Standard, Reverse, Outperformance, Discount, Bonus, Reverse Bonus, Twin-Win, Airbag, Capital Protection, Reverse Convert, Barrier Range Reverse Convert. Conversion Ratio Conversion ratio. Default = 1. See Examples on page BARRAONE User Assets Importing Guide

63 Certificate TnCs Worksheet (Continued) Return Type Determines whether the payoff is defined in terms of the price or the return of the underlying over the term of the certificate. Also determines the interpretation of each certificate parameter (see tables below for details). Based upon the terms and conditions of the certificate, it may be convenient to represent the instrument with one return type or the other. See Examples on page 66. Choices are: No Return the certificate payoff is expressed in terms of weighted prices of the underlying, i.e., Additional certificate parameters (e.g., bonus level, barrier, cap) are defined on an absolute price scale. Weighted Return certificate payoff is expressed in terms of a basket of returns of the individual underlying, i.e., Additional certificate parameters are defined as multiples of RS 0, i.e., the weighted return at the start date of the certificate. Basket Return certificate payoff is expressed in terms of the return of a basket, with the basket defined as the weighted sum of prices of the underlying, i.e., Additional certificate parameters are defined as multiples of RS 0, i.e., the weighted return at the start date of the certificate. Note: In the case of a single underlier, Weighted Return and Basket Return are equivalent. Certificates 55

64 Certificate TnCs Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Certificate Underliers Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the underlier with the certificate or tracker. Underlier ID Enter the asset ID of the underlying instrument. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. Underlier ID Type Enter the ID Type of the underlier. Weight The weight of each underlying in the basket must sum to 100. Initial Share Price Price of the underlying at the certificate Start Date. The input is used if Start Date is in the past in the following cases: Any certificate type, when the Return Type is not equal to No Return (to determine the return) Capital Protection Certificate (to determine the price level at which protection becomes active) Reverse Certificate (only when Strike Price is not specified explicitly) In the above cases, if not provided by the user, the Initial Share Price will be computed by BarraOne as the internally available price of the underlying on Start Date. Implied Volatility The annualized volatility of the underlying used to value the certificate. Enter in decimal form, e.g., enter 0.2 for 20%. 56 BARRAONE User Assets Importing Guide

65 Reverse Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the reverse certificate attributes with the certificate or tracker definition. Strike Price The strike price of the reverse certificate is a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, and if Return Type equals No Return, then the initial price of the asset (S 0 ) is used internally to define Strike Price as 2*S 0. If omitted, and if the certificate is return based, then Strike Price is internally set equal to 200%. Bonus Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the bonus certificate attributes with the certificate or tracker definition. Bonus Level A positive number that expresses the bonus level. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Barrier Level Number that specifies the barrier level. Must be lower than the Bonus Level. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Certificates 57

66 Bonus Certificates Worksheet (Continued) Hit Date Cap Participation Up The date on which the barrier level was hit. Leave blank if the barrier has not been hit. If Hit Date is specified, then the Bonus Level is not guaranteed, Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. The maximum payoff of the certificate. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate payoff is not capped. A number, expressed as a percentage, that specifies the participation rate for the bonus certificate for price levels above the Bonus Level. If not specified, defaults to 100. Reverse Bonus Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the reverse bonus certificate attributes with the certificate or tracker definition. Bonus Level A positive number that expresses the bonus level. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Barrier Level Number that specifies the barrier level. Must be greater than the Bonus Level. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS BARRAONE User Assets Importing Guide

67 Reverse Bonus Certificates Worksheet (Continued) Hit Date Cap The date on which the barrier level was hit. Leave blank if the barrier has not been hit. If Hit Date is specified, then the Bonus Level is not guaranteed, Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. The maximum payoff of the certificate, if there is a cap. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate payoff is not capped. Twin-win Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the twin-win certificate attributes with the certificate or tracker definition. Strike Price The strike price of the twin win certificate is a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Barrier Level Number that specifies the barrier level. Must be lower than the Strike Price. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Certificates 59

68 Twin-win Certificates Worksheet (Continued) Hit Date Participation Up Participation Down Cap The date on which the barrier level was hit. Leave blank if the barrier has not been hit. If a Hit Date is specified, the twin win certificate turns into an outperformance certificate. Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. A number, expressed as a percentage, that specifies the participation rate for the twin win certificate for price levels above the strike price. If not specified, defaults to 100. A number, expressed as a percentage, that specifies the participation rate for the twin win certificate for price levels below the strike price. If not specified, defaults to 0. The maximum payoff of the certificate. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate payoff is not capped. Outperformance Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the outperformance certificate attributes with the certificate or tracker definition. Strike Price The strike price of the outperformance certificate is a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS BARRAONE User Assets Importing Guide

69 Outperformance Certificates Worksheet (Continued) Participation A number, expressed as a percentage, that specifies the upward participation rate for the outperformance certificate. Cap The maximum payoff of the certificate. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate payoff is not capped. Airbag Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the airbag certificate attributes with the certificate or tracker definition. Strike Price The strike price of the airbag certificate is a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Protection A number that expresses the protection level for the airbag certificate. Must be less than the strike price. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Participation A number, expressed as a percentage, that specifies the participation rate for the airbag certificate for price levels above the Strike Price. If not specified, defaults to 100. Cap The maximum payoff of the certificate. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate payoff is not capped. Certificates 61

70 Discount Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the discount certificate attributes with the certificate or tracker definition. Cap The maximum payoff of the discount certificate, expressed as a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Barrier Level Number that specifies the barrier level. Must be lower than the Cap. If Barrier Level is specified, then the certificate has extra protection if the price (or return) of the underlier stays between the Barrier Level and the Cap from Barrier Start Date to Barrier End Date. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate has no extra protection. Hit Date The date on which the barrier level was hit. Leave blank if the barrier has not been hit. If a Hit Date is specified, the discount certificate turns into a (capped) tracker certificate. Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Barrier Start Date Date when monitoring of the barrier level starts. If omitted and Barrier Level is specified, it, defaults to the start date of the certificate. If Barrier Level is not specified, this input is not used. Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

71 Discount Certificates Worksheet (Continued) Barrier End Date Date when monitoring of the barrier level ends. If omitted and there is a barrier, defaults to the maturity date of the certificate. If Barrier Level is not specified, this input is not used. Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Capital Protected Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the capital-protected certificate attributes with the certificate or tracker definition. Protection A number that expresses the protection level for the capital-protected certificate. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Participation A number, expressed as a percentage, that specifies the participation rate of the capital-protected certificate for price levels above the initial price. If not specified, defaults value is 100. Cap The maximum payoff of the certificate. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, the certificate payoff is not capped. Certificates 63

72 Reverse Convertible Certificate Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the reverse convertible certificate attributes with the certificate or tracker definition. Coupon Enter the annualized coupon rate paid on the reverse convertible certificate in percent (where 3 = 3%). First Payment Date The date that specifies the first coupon payment. If not specified, defaults to the maturity date of the certificate (a single payment at maturity). Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Payment Frequency The coupon payment frequency per year. Default value is 0, corresponding to a single payment of the entire coupon at maturity. Choices are: 0, 1, 2, 4. Strike Price The strike price of the reverse convertible certificate is a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Barrier Level Number that specifies the barrier level. Must be lower than the strike price. If Barrier Level is specified, then the certificate has extra protection if the price (or return) of the underlier stays between the Barrier Level and the Strike Price. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. If omitted, then the certificate has no extra protection and is fully exposed to the downside if the final price (or return) is below the Strike Price. 64 BARRAONE User Assets Importing Guide

73 Reverse Convertible Certificate Worksheet (Continued) Hit Date The date on which the barrier level was hit. Leave blank if the barrier has not been hit. If Hit Date is specified, the certificate has no extra protection on the downside, Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. BRRC Certificates Worksheet ID Enter the asset ID and ID type of the certificate or tracker ID Type you defined in the Certificate TnCs worksheet. This associates the BRRC certificate attributes with the certificate or tracker definition. Coupon Enter the annualized coupon rate paid on the reverse convertible certificate in percent (where 3 = 3%). First Payment Date The date that specifies the first coupon payment. If not specified, defaults to the maturity date of the certificate (a single payment at maturity). Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Payment Frequency The coupon payment frequency per year. Default value is 0, corresponding to a single payment of the entire coupon at maturity. Choices are: 0, 1, 2, 4. Strike Price The strike price of the barrier range reverse convertible certificate is a positive number. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Certificates 65

74 BRRC Certificates Worksheet (Continued) Barrier Up Number that specifies the upper barrier level. Must be greater than the Strike Price. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Barrier Down Number that specifies the lower barrier level. Must be lower than the Strike Price. If Return Type = No Return, it should be specified in the certificate s currency units; otherwise, it should be specified as a percentage of RS 0. Hit Date The date on which either the upper or lower barrier level was hit.leave blank if neither barrier has been hit. Enter the date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Examples This section shows how to translate a term sheet published by a certificate issuer into the certificate.xls spreadsheet for importing the certificate into BarraOne. Table 1: Standard Certificate (Tracker) Terms and Conditions Spreadsheet Value Label Value Column Value First Trading Day 1st October 2006 Start Date 01/10/2006 Expiry Date 14th December 2009 Expiration Date 12/14/2009 Trading Size One certificate or multiple Contract Size 1 Settlement Currency GBP Currency GBP 66 BARRAONE User Assets Importing Guide

75 Table 1: Standard Certificate (Tracker) (Continued) Terms and Conditions Spreadsheet Value Label Value Column Value Exposure Unleveraged long exposure to index Certificate Type Standard Multiplier 0.01 Conversion Ratio 0.01 Settlement Value Closing value of index times multiplier Return Type No Return Table 2: Reverse Certificate (Reverse Tracker) Terms and Conditions Spreadsheet Value Label Value Column Value Maturity Open Start Date Expiration Date <purchase date> <any date far in future> Trading Size One certificate or multiple Contract Size 1 Settlement Currency GBP Currency GBP Exposure Unleveraged short exposure to index Certificate Type Reverse Parity 1000/1 Conversion Ratio Settlement Value (Exercise price minus closing value of index) times multiplier Return Type No Return Exercise Price 10,000 Strike Price 10,000 Certificates 67

76 Table 3: Bonus Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Initial Price Level Set (Fixing Date) 19 February 2004 Start Date 02/19/2004 Expiry Date 20 February 2009 Issue Price 10 Expiration Date Contract Size 02/20/ Settlement Currency GBP Currency GBP Settlement Value Issue price x Final index level/initial price level, if above 140% of initial price level or if barrier hit or Issue price x 140% of Final index value/initial price level, if between 75% and 140% of initial price level and if barrier not hit Return Type Participation Up Participation Down Weighted Return Barrier Level 75% of initial index value Barrier Level Bonus Level 140% Bonus Level Table 4: Twin-Win Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Index Reference Date Start Date 03/10/2006 Expiration Date Expiration Date 09/10/2009 Nominal Amount EUR Contract Size 100 Currency EUR Currency EUR 68 BARRAONE User Assets Importing Guide

77 Table 4: Twin-Win Certificate (Continued) Terms and Conditions Spreadsheet Value Label Value Column Value 135% of market return if positive Return Type Weighted Return Settlement Value Absolute value of market return if negative Market return if price falls below barrier level during life of instrument Participation Down Protect Level 70% of index reference Barrier Level Participation 135% Participation Up Table 5: Outperformance Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Issue Date 17 January 2008 Start Date 01/17/2008 Expiration Date 14 January 2011 Expiration Date 01/14/2011 Issue Price EUR 100 Contract Size Currency 100 EUR Performance 160% of market return if positive Market return if negative Return Type Weighted return Participation Strike 100 Certificates 69

78 Table 6: Airbag Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Issue Date 31/05/06 Start Date 05/31/2006 Maturity 29/05/09 Expiration Date 05/29/2009 Bid Contract Size 100 Currency EUR Currency EUR N/A N/A Return Type No Return Airbag Start 1, Strike 1, Airbag Stop Protection Table 7: Discount Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Payment Date May 16, 2008 Start Date 05/16/2008 Repayment Date May 15, 2009 Expiration Date 05/15/2009 Issue Price CHF Contract Size Notional CHF 1000 Currency CHF N/A N/A Return Type Weighted Return Barrier Level 64% Barrier Level Maximum Return 10.00% Cap BARRAONE User Assets Importing Guide

79 Table 8: Capital Protected Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Pricing Date Start Date 02/14/2007 Valuation Date Expiration Date 02/15/2010 Denomination EUR Redemption Amount = Contract Size Currency Return Type 1000 EUR Weighted Return Capital Protection 100% of Denomination Protection Cap Level 130% Cap Table 9: Reverse Convertible Certificate Terms and Conditions Spreadsheet Value Label Value Column Value First Trading Date October 3, 2007 Start Date 10/03/2007 Maturity Date September 26, 2008 Nominal USD 1000 Expiration Date Contract Size Currency 09/26/ USD Certificates 71

80 Table 9: Reverse Convertible Certificate (Continued) Terms and Conditions Spreadsheet Value Label Value Column Value Payoff is coupon payment amount plus: nominal if underlying price has never been at or below barrier level Certificate Right nominal if underlying price has been at or below barrier level, and Reference Price (Final) is above Reference Price (Initial) Return Type No Return 7 underlyings and 40.69% of Reference Price (Final) in cash if underlying price has been at or below barrier level, and Reference Price (Final) is below Reference Price (Initial) Coupon Payment Amount The Coupon Payment Amount on the Valuation Date is USD 163 (corresponding to 16.3% of the Nominal) Coupon Reference Price (Initial) Issue Price 100% USD Strike Price Conversion = 1/ Barrier Level USD % of the Reference Price (Initial) Barrier Level Table 10: Barrier Range Reverse Convertible Certificate Terms and Conditions Spreadsheet Value Label Value Column Value Payment Date June 1, 2008 Start Date 06/01/2008 Repayment Date June 13, 2009 Expiration Date 06/13/ BARRAONE User Assets Importing Guide

81 Table 10: Barrier Range Reverse Convertible Certificate (Continued) Terms and Conditions Spreadsheet Value Label Value Column Value Notional CHF 1000 Contract Size Currency 1000 CHF If neither barrier is reached: Coupon plus notional If either barrier is reached: Payoff If underlying price is higher or equal to exercise price coupon plus capital minus the ratio-adjusted difference between the exercise price and the closing price: max (0; 2 * exercise price - underlying price at final fixing date) Return Type Weighted Return If underlying price is lower than exercise price coupon plus physical delivery of underlying Coupon Coupon 10.55% ( p.a.) - one-time payment 30/360 (total duration: 372 days) First Payment Date Payment Frequency 6/13/2009 1Y Exercise Price Issue Price 100% CHF Strike Price Upper Barrier CHF (140% of exercise price) Barrier Up Lower Barrier CHF (75% of exercise price) Barrier Down Certificates 73

82 Commercial Paper Template: CommercialPaper.xls Required Worksheet: Bond Terms and Conditions Other Worksheets as Needed: Amount Outstanding Schedules; Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules Bond Terms and Conditions Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Bond. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Issuer Name Enter the issuer name. Issuer Type Choices are Corporate, Government, Supranational, Agency. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) 74 BARRAONE User Assets Importing Guide

83 Bond Terms and Conditions Worksheet (Continued) Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. If not fixed, you must also complete the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Coupon(%) Enter the annualized coupon rate in percent (where 3 = 3%). Coupon Frequency Choices are: 1M, 2M, 3M, 4M, 6M, 1Y.. (Value is ignored for zero coupon bonds.) Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Callable Choices are: Yes, No. If Yes, you must also complete the Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). Commercial Paper 75

84 Bond Terms and Conditions Worksheet (Continued) Sector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. Amount Issued * * Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Japan Subtype [Not used.] Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. 76 BARRAONE User Assets Importing Guide

85 Bond Terms and Conditions Worksheet (Continued) Accrual Basis Issue Date First Accrual Date First Coupon Date Last Coupon Date Coupon Conversion Date Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. * * Required if coupon type is Fixed to Float or Float to Fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Commercial Paper 77

86 Bond Terms and Conditions Worksheet (Continued) Reference Rate * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data). Rate Term * * For Floating, Fixed to Float, or Float to Fixed coupon type. Required for reference rates LIBOR, Swap, Govt, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reset Frequency * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. Notice Days For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the number of days as an integer. Margin For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Multiplier For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the multiplier, such as 0.85, to adjust the reference rate. (For an inverse floater, enter a negative multiplier.) If you leave this field blank, BarraOne uses 1. Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Minimum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Periodic Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum positive change in any reset period. Enter in percent (where 3 = 3%). Periodic Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum negative change in any reset period. Enter in percent (where 3 = 3%). 78 BARRAONE User Assets Importing Guide

87 Bond Terms and Conditions Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Commercial Paper 79

88 Commodity Futures Template: CommodityOrEquityFuture.xls Required Worksheet: Equity Futures (Notes: Do not change worksheet name; Do not mix asset types within a workbook.), Notes: To model futures in BarraOne, you must import your own prices. For details, see Importing Prices for Your Assets on page 13. To import by weight a portfolio consisting entirely of futures, set the assigned base value or portfolio value to a nonzero amount. It is possible to load a vendor-provided commodity future in the BarraOne application using special LocalIDs. For details, see Vendor-Provided Commodity Futures on page 82. Equity Futures Worksheet ID Enter the asset ID of the commodity future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the commodity future. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Commodity Future. Start Date Enter a start date for the asset, if desired. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

89 Equity Futures Worksheet (Continued) Delivery Date Date by which physical delivery of commodity must be complete. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Underlying ID Enter the LocalID of the underlying commodity spot asset. For a list of commodity spot BarraIDs, see Appendix I: Commodity Unit Exposure Assets on page 298. Underlying ID Type Enter LOCALID or BARRAID. Price Currency Enter the currency in which you want the price defined. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) Contract Size Enter the contract size of the commodity future. Note: Because of the way BarraOne handles prices for commodity futures, you might need to enter a different contract size from the market quote. For details, see Adjusting Contract Size for Commodity Futures on page 81. Asset Priority Enter User. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Adjusting Contract Size for Commodity Futures To include commodity futures in your risk analysis, you must import your own prices into BarraOne. BarraOne quotes prices for commodities in U.S. dollars and cents per unit (per barrel for Crude Oil, per pound for Copper, per troy ounce for Silver, and so on). For some commodities, this might differ from the market convention. Commodity Futures 81

90 For some commodity futures, then, you will not be able to use your market quotes directly and will need to adjust either the price you are importing or the contract size specified in the Commodity Futures worksheet. For example: For Live Cattle Futures on the Chicago Mercantile Exchange, the price is quoted in U.S. dollars and cents per hundred pounds, and the trading unit is 40,000 Pounds. But in BarraOne, the price you import is understood as dollars and cents per pound. If the market quote for Live Cattle Futures is $85, that means the price of the future contract = $85*400 = $34,000. To import the Live Cattle Future into BarraOne as a user asset, you would need to adjust the contract size or price. You have three choices: 1 Specify the contract size as 400, and import a price of 85. Price of the future contract = $85*400 = $34, Specify the contract size as 40,000, and import a price of Price of the future contract = 0.85*40,000 = $34, Specify the contract size as 1, and import a price of 34,000. Price of the future contract = 1*$34,000 = $34,000. Vendor-Provided Commodity Futures You can alternatively load vendor-provided commodity futures in the BarraOne application using LocalIDs similar to those used for loading bond futures. The following exchange-traded commodity futures are supported with a LocalID that can be logically constructed using the information below: 82 BARRAONE User Assets Importing Guide

91 The LocalID consists of: 1 Issue Code (one, two, or three letters as enumerated below) 2 Year Code (the last two digits of the four-digit delivery year) 3 Month Code (one letter as provided below) As an example, a Brent Crude future deliverable in December 2011 would have a LocalID of B+11+Z=B11Z., Note: Precious metal contracts are also available for settlement in the current month and the next two calendar months. Exchange-Traded Commodity Futures Commodity Contract (by exchange) Commodity Group Issue Code Contract Size Delivery Dates CBOT Corn Agriculture C 5,000 bushels HKNUZ CBOT Soybean Meal Agriculture SM 100 tons FHKNQUVZ CBOT Soybean Oil Agriculture BO 60,000 lbs FHKNQUVZ CBOT Soybeans Agriculture S 5,000 bushels FHKNQUX CBOT Wheat Agriculture W 5,000 bushels HKNUZ ICE Cocoa Agriculture CC 10 tonnes HKNUZ ICE Coffee Agriculture KC 37,500 lbs HKNUZ ICE Cotton Agriculture CT 50,000 lbs HKNUZ ICE Orange Juice Agriculture OJ 15,000 lbs FHKNUX ICE Sugar Agriculture SB 112,000 lbs HKNV KCBOT Winter Wheat Agriculture KW 5,000 bushels HKNUZ LIFFE Robusta Coffee Agriculture RC 10 tonnes FHKNUX LIFFE White Sugar Agriculture LSU 50 tonnes HKQVZ MGE Spring Wheat Agriculture MWE 5,000 bushels HKNUZ COMEX Copper Base Metal HG 25,000 lbs FGHJKMNQUVXZ LME Aluminum Base Metal AH 25 tonnes FGHJKMNQUVXZ LME Copper Base Metal CA 25 tonnes FGHJKMNQUVXZ LME Lead Base Metal PB 25 tonnes FGHJKMNQUVXZ LME Nickel Base Metal NI 6 tonnes FGHJKMNQUVXZ Commodity Futures 83

92 Exchange-Traded Commodity Futures (Continued) LME Tin Base Metal SN 5 tonnes FGHJKMNQUVXZ LME Zinc Base Metal ZS 25 tonnes FGHJKMNQUVXZ ICE Brent Crude Energy B 1,000 bbl FGHJKMNQUVXZ ICE Gas Oil Energy G 100 tonnes FGHJKMNQUVXZ NYMEX Crude Oil Energy CL 1,000 bbl FGHJKMNQUVXZ NYMEX Gasoline Energy RB 42,000 u gal FGHJKMNQUVXZ NYMEX Heating Oil Energy HO 42,000 u gal FGHJKMNQUVXZ NYMEX Natural Gas Energy NG 10,000 mm btu FGHJKMNQUVXZ CME Feeder Cattle Livestock FC 50,000 lbs FHJKQUVX CME Lean Hogs Livestock LH 40,000 lbs GJKMNQVZ CME Live Cattle Livestock LC 40,000 lbs GJMQVZ COMEX Gold Precious Metal GC 100 oz GJMQVZ COMEX Silver Precious Metal SI 5,000 oz FHKNUZ NYMEX Palladium Precious Metal PAD 100 oz HMUZ NYMEX Platinum Precious Metal PL 50 oz FJNV Exchange-Traded Commodity Future Month Codes Month January February March April May June July August September October November December Code F G H J K M N Q U V X Z 84 BARRAONE User Assets Importing Guide

93 Commodity Future Options Template: CommodityFutureOption.xls Required Worksheet: Commodity Future Options Other Worksheets as Needed: Implied Volatility Schedules; Asian Option Attributes; Asian Option Price Pool To import commodity future options, you must have a user-defined price for the underlying commodity future or commodity index future. For details, see Importing Prices for Your Assets on page 13. Commodity Future Options Worksheet ID Enter the asset ID of the future option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlying commodity future or commodity index future. Underlying ID Type Enter the ID type of the underlying commodity future or commodity index future. Option Type Choices are: Put, P, Call, C. Option Style Choices are: A or American; E or European. Strike Price Enter the strike price in the same currency as the underlying future. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Commodity Future Options 85

94 Commodity Future Options Worksheet (Continued) Start Date Contract Size Issuer Country Asset Priority Implied Volatility ID Types Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter the contract size. If you leave this blank, BarraOne sets the contract size at 100. Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) If you leave this blank, BarraOne uses the country of the underlier. Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Enter the implied volatility (Hull-White) as a decimal (where.03 = 3%). Cannot exceed 2.0. For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 86 BARRAONE User Assets Importing Guide

95 Commodity Index Futures Template: CommodityOrEquityFuture.xls Required Worksheet: Equity Futures (Notes: Do not change worksheet name; Do not mix asset types within a workbook.) For a step-by-step example, see Notes: To model futures in BarraOne, you must import your own prices. For details, see Importing Prices for Your Assets on page 13. To import by weight a portfolio consisting entirely of futures, set the assigned base value or portfolio value to a nonzero amount. Equity Futures Worksheet ID Enter the asset ID of the commodity index future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the commodity index future. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Commodity Index Future. Start Date Enter a start date for the asset, if desired. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Delivery Date Final settlement date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Commodity Index Futures 87

96 Equity Futures Worksheet (Continued) Underlying ID Enter the ID of the underlying commodity index. You must first create a user-defined composite asset for the commodity index portfolio, and then enter the ID of that composite in this column as the Underlying ID. For details, see Creating a Composite for the Underlying Commodity Index on page 88. Underlying ID Type Enter COMPOSITEID. Price Currency Enter the currency you want the price defined in. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) Contract Size Enter the contract size of the commodity index future. This value must be consistent with the convention used for the price of quotation. For example, for GSCI Futures the contract price of quotation is the level of the GSCI Index. The contract size is $250 times the GSCI Index. Asset Priority Enter User. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Creating a Composite for the Underlying Commodity Index, Note: The following instructions describe how to create a composite by importing a file. You can also create composites interactively in BarraOne. For details, see BarraOne s online help. For the Goldman Sachs Commodity Index BarraOne includes the Goldman Sachs Commodity Index in its coverage. You can find the index portfolios listed on BarraOne s Portfolio Admin tab (under SYSTEM portfolios in the sidebar) and on the client support web page at 88 BARRAONE User Assets Importing Guide

97 To create a user-defined composite asset for the index portfolio: 1 Download the import template. On the client support website ( click the composites import template (composites.xls) and save it with the name and in the location you want. 2 Create your composites import file. Open the saved template file and fill in the spreadsheet with terms and conditions of the composite. This is where you specify which index portfolio to use (such as GSCIAGRID) and assign it an ID. Follow the guidelines under Composites on page 91 of this guide. 3 Import the composites file into BarraOne, either through BarraOne s Import tab or with MSCI DataConnect. Select BarraOne User Assets as the Data Type you are importing. 4 Verify the import. When the import job is finished, check BarraOne s User Asset View (Data Admin tab > User Assets) to verify that your composite was imported successfully: From the Select Asset Types dropdown, choose Composites. From the Validation Status dropdown, choose Valid. Click Refresh. If the composite file did not import correctly, follow the steps in Fixing an Invalid User Asset on page 20 of this guide. For Other Commodity Indices For commodity indices that BarraOne does not include in its native coverage, such as the JP Morgan Commodity Index, you would need to: 1 Create a proxy portfolio to represent the index. 2 Create a composite asset based on that portfolio. Commodity Index Futures 89

98 To create a proxy portfolio, work with your client support consultant to build a portfolio using Barra s commodity unit exposure assets. The unit exposure assets are Barra-supplied assets with 100% exposure to a single commodity factor in the Barra Integrated Model, such as Kansas Wheat. (For a list of these assets, see Appendix I: Commodity Unit Exposure Assets on page 298.) Your client support consultant will help you create a portfolio of the assets you need, weighted to reflect the composition of the index you are proxying. After creating and importing your proxy portfolio, create a composite asset for the portfolio by following the same steps as For the Goldman Sachs Commodity Index on page BARRAONE User Assets Importing Guide

99 Composites Template: Composites.xls Required Worksheet: Composites, Notes: You can also create composites interactively in BarraOne. For details, see BarraOne s online help. Composites cannot be created on an aggregate node (System or User). Users must have access to each portfolio node on which they want to base a composite. Composites Worksheet ID Specify a unique ID for your composite asset, up to 64 characters. This can be any custom ID you want, but it must not duplicate the ID of any other user asset or composite. (IDs of user-defined composite assets have an identifier type of COMPOSITEID in BarraOne.) ID Type Enter the ID type of the composite asset. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the name of the composite asset, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Portfolio Enter the name of the portfolio on which the composite is based. The portfolio must already exist in BarraOne. Owner Enter the owner of the underlying portfolio. You can leave this field blank if the owner is also the owner of the import job. If the portfolio is a Barra-supplied index portfolio, enter SYSTEM. Default Price Enter the price you want for the composite. If you leave the field blank, BarraOne uses a default price of 100. Composites 91

100 Composites Worksheet (Continued) Default Price Currency Contract Size Hedge Hedge Currency Hedge Percentage Price Type ID Types Enter the currency in which you want the price defined. (For choices, see Appendix H: Country and Currency Codes on page 289.) If you leave the field blank, BarraOne uses USD. Enter the contract size. If you leave this blank, BarraOne sets the contract size at 1. BarraOne calculates the market value of each position as price x holdings x contract size. This field lets you tell BarraOne whether to hedge the currency exposure of the composite s constituents (position-level hedging within the composite). Choices are: Yes, No. If you leave the field blank, BarraOne uses No. If Hedge is Yes, enter the currency code for the hedging currency you want. (For choices, see Appendix H: Country and Currency Codes on page 289.) If you leave this field blank, and if Hedge is set to Yes, then BarraOne rejects the asset. If Hedge is Yes, enter the hedge percentage you want (where 3 = 3%). If you leave the field blank, BarraOne uses 0. Indicate how the application should determine the market value of the composite. Choices are: Imported/Defaulted or Market Value of underlying portfolio. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Be sure not to duplicate the IDs of any other user assets or composites. 92 BARRAONE User Assets Importing Guide

101 Contracts for Difference Template: CFD.xls Required Worksheet: Contract for Differences Contract for Differences Worksheet ID Enter the asset ID of the contract for difference, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the asset. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Start Date Enter a start date for the asset, if desired. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. End Date Final settlement date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Underlying ID Enter the ID of the underlying equity. The underlier can be an equity security, composite, ADR, GDR, or link proxy to an equity. Underlying ID Type Enter the ID type of the underlying equity. Contract Size Enter the contract size. If you leave this blank, BarraOne sets the contract size at 100. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Contracts for Difference 93

102 Contract for Differences Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 94 BARRAONE User Assets Importing Guide

103 Convertible Bonds Template: ConvertibleBond.xls Required Worksheet: Convertible Bonds; Conversion Schedules Other Worksheets as Needed: Amount Outstanding Schedules; Convertible Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules, Note: Reverse convertibles are modeled as certificates in BarraOne. Refer to Certificates on page 53., Note: BarraOne currently supports convertible bonds for the following markets (currencies) only: Australia (AUD) Canada (CAD) China (CNY) Czech Republic (CZK) Denmark (DKK) Eurozone (EUR) Hong Kong (HKD) Japan (JPY) Korea (KRW) Malaysia (MYR) New Zealand (NZD) Norway (NOK) Philippines (PHP) Poland (PLN) Singapore (SGD) South Africa (ZAR) Sweden (SEK) Switzerland (CHF) Taiwan (TWD) UK (GBP) US (USD) Convertible Bonds 95

104 Convertible Bonds Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type of the bond. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Choices are: Convertible, Convertible Preferred, Convertible Floater, Convertible Preferred Floater. This field determines how BarraOne quotes prices. Convertibles are quoted as percent of par; Preferreds are quoted as market price. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for convertible bonds see table above.) Issuer Name Enter the issuer name. Issuer Type Type of issuer of security. Choices are: Government (default), Supranational, Corporate, Agency. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. This must be the same country as the underlying equity. Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). 96 BARRAONE User Assets Importing Guide

105 Convertible Bonds Worksheet (Continued) Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. If not fixed, you must also complete the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Coupon(%) Enter the annualized coupon rate in percent (where 3 = 3%). Coupon Frequency Choices are: 1M, 3M, 4M, 6M, 1Y. Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. For the convertible to be treated as a Perpetual, set the maturity date 65 years in the future. Callable Choices are: Yes, No. If Yes, you must also complete the Convertible Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). Amount Issued * * Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Convertible Bonds 97

106 Convertible Bonds Worksheet (Continued) Sector Subsector Japan Subtype Asset Priority Issue Date For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. [Not used.] Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

107 Convertible Bonds Worksheet (Continued) First Accrual Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. First Coupon Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last Coupon Date Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Underlying ID Enter the ID of the underlying. The underlying can be only an equity or link proxy for an equity. Composite assets are not permitted, even if they hold only equity assets. Underlying ID Type Enter the ID type of the underlying equity. Underlier Implied Volatility Enter the implied volatility of the underlying equity. (Enter the percent volatility as a decimal, where.03 = 3%). Cannot exceed 2.0. Convertible Bonds 99

108 Convertible Bonds Worksheet (Continued) Conversion Style Determines if the conversion option is continuous or if there are specific conversion dates. Regardless of style, you must specify a conversion start date in the Conversion Schedules worksheet (see Conversion Schedules Worksheet on page 104). Choices for this field are: A or American. The bond is convertible continuously from the date specified in the schedule. E or European. The bond is convertible only for the one date specified in the schedule. B or Bermudan. The bond is convertible on each date specified in the schedule. Convertible Type Choices are: Regular, PRIDES, PERCS. If you leave this field blank, BarraOne uses Regular. For Regular convertibles, the issue holder has the right to convert. For all other types, the issuer holds the right to convert. Initial Share Price Issue price of the convertible security. Valid only for PRIDES or PERCS. If the Convertible Type is PRIDES and you leave this field blank, BarraOne sets the price equal to Par. If the Convertible Type is PERCS and you leave this field blank, BarraOne uses the price of the underlying equity security at the time of issue. Cash Amount Paid Amount of cash that will be paid when the bond is converted. Enter the amount in the currency of issue. Fixed Exchange Rate Foreign exchange rate used for convertibles where the bond and the underlying are denominated in different currencies. Calculated as the number of stock currency units per one bond currency unit. For example, if the stock price is in JPY and the bond price is in USD, then the value of this field is the number of JPY equivalent to one USD. Enter the rate as a decimal value. If you leave this field blank, BarraOne uses the spot rate on the valuation date. 100 BARRAONE User Assets Importing Guide

109 Convertible Bonds Worksheet (Continued) PERCS Cap Yield(%) * * Required if Convertible Type is PERCS (and valid only for PERCS). The maximum appreciation (cap) of the underlying stock price in percent (where 5 = 5%) allowed from its Initial Share Price. Redemption is capped at Initial Share Price. Max Conversion Ratio Valid only if Convertible Type is PRIDES. The maximum number of shares of common stock the convertible can be exchanged for. Screw Clause Choices are: TRUE, FALSE. Indicates whether a screw clause is in place (TRUE) or not (FALSE). Note: BarraOne currently uses FALSE for this field (no screw clause) regardless of what you enter. Accrual Basis Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Calibration Determines whether or not BarraOne calibrates the OAS to the market price and equity volatility. Refer to the BarraOne Analytics Guide for details. Choices are: TRUE, FALSE. true (BarraOne adjusts the option-adjusted spread (OAS) to satisfy the supplied market price and underlying equity volatility in the market data) false (BarraOne performs theoretical valuation based on the supplied spread and underlying equity volatility in the market data) default Is Perpetual Determines whether the convertible bond has a maturity date, or whether it is perpetual. Choices are: TRUE, FALSE. Reference Rate * * Required for Coupon Type of Floating, Fixed to Float, and Float to Fixed. Base rate index. Choices are: LIBOR, Swap, Govt, EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), MMD (municipal market data). Convertible Bonds 101

110 Convertible Bonds Worksheet (Continued) Rate Term * * Required for Coupon Type of Floating, Fixed to Float, and Float to Fixed with reference rates LIBOR, SWAP, GOVT, INFLATION, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). The term of the reference rate (e.g., 6M for 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reset Frequency * * Required for Coupon Type of Floating, Fixed to Float, and Float to Fixed. Periodicity at which the rate for discounting and payment computation is fixed by observing the level of the underlying rate index. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. Coupon Conversion Date Notice Days Margin Multiplier * * Required for Coupon Type of Fixed to Float and Float to Fixed. Date at which the coupon type converts to float or fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Days between rate reset and coupon (or inflation rate). For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Margin amount added to the base rate index. Must be set to greater than 1 for an inverse floater. Default = 0. For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Enter a floating rate multiplier, such as 0.85, to adjust the reference rate. Set to a negative number for an inverse floater. Default = BARRAONE User Assets Importing Guide

111 Convertible Bonds Worksheet (Continued) Cap Floor Periodic Cap Periodic Floor ID Types For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Maximum value the total coupon (or inflation) rate can reach in the life of the pool. Enter in percent (where 3 = 3%). For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Minimum value the total coupon (or inflation) rate can reach in the life of the pool. Enter in percent (where 3 = 3%). For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Periodic rate cap (i.e., the maximum positive change in any rate-resetting period). Enter in percent (where 3 = 3%). For Coupon Type of Floating, Fixed to Float, and Float to Fixed. Periodic rate floor (i.e., the maximum negative change in any rate-resetting period). Enter in percent (where 3 = 3%). If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Convertible Bonds 103

112 Conversion Schedules Worksheet ID Enter the asset ID and ID type of the convertible bond you ID Type defined in the Convertible Bonds worksheet. This associates the conversion schedule attributes with the convertible bond definition. Start Date Enter the conversion date(s). Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Conversion Ratio Enter the conversion ratio. Trigger Price Enter the trigger price in the same currency as the convertible bond. [Not currently used by BarraOne.] Trigger Conversion Ratio Enter the trigger conversion ratio of the convertible bond. 104 BARRAONE User Assets Importing Guide

113 Convertible Call Schedules Worksheet ID Enter the asset ID and ID type of the convertible bond you ID Type defined in the Convertible Bonds worksheet. This associates the convertible call schedule attributes with the convertible bond definition. Start Date Enter the call date. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Price For a Convertible Preferred bond, enter the call price in the same currency as the bond. For a Convertible bond, enter the call price as a percent of par (where 93 = 93%). Option Style Choices are: A or American, E or European, B or Bermudan. Trigger Level Soft call trigger level, specified as the price of the underlying equity in local currency. For example, if a convertible bond issued in EUR is convertible to Toyota stock, specify the Trigger Level in JPY. If the stock price stays above the value entered here for the number of days entered in the Soft Call Days column, the issuer gains the right to call the convertible bond at the price specified in the Price column. Soft Call Days Enter the number of business days (excluding Saturdays and Sundays). If the stock price stays above the Trigger Level value for the number of days entered here, the issuer gains the right to call the convertible bond at the price specified in the Price column. Convertible Bonds 105

114 Corporate Bonds Template: CorporateBond.xls Required Worksheet: Bond Terms and Conditions Other Worksheets as Needed: Amount Outstanding Schedules; Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules Bond Terms and Conditions Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Bond. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Issuer Name Enter the issuer name. Issuer Type Enter Corporate. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. 106 BARRAONE User Assets Importing Guide

115 Bond Terms and Conditions Worksheet (Continued) Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. If not fixed, you must also complete the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Coupon(%) Enter the annualized coupon rate in percent (where 3 = 3%). Coupon Frequency Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. (Value is ignored for zero coupon bonds.) Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Callable Choices are: Yes, No. If Yes, you must also complete the Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). Corporate Bonds 107

116 Bond Terms and Conditions Worksheet (Continued) Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). Sector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. Amount Issued * * Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Japan Subtype [Not used.] Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. 108 BARRAONE User Assets Importing Guide

117 Bond Terms and Conditions Worksheet (Continued) Accrual Basis Issue Date First Accrual Date First Coupon Date Last Coupon Date Coupon Conversion Date Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. * * Required if coupon type is Fixed to Float or Float to Fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Corporate Bonds 109

118 Bond Terms and Conditions Worksheet (Continued) Reference Rate * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data). Rate Term * * For Floating, Fixed to Float, or Float to Fixed coupon type. Required for reference rates LIBOR, Swap, Govt, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reset Frequency * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. Notice Days For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the number of days as an integer. Margin For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Multiplier For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the multiplier, such as 0.85, to adjust the reference rate. (For an inverse floater, enter a negative multiplier.) If you leave this field blank, BarraOne uses 1. Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Minimum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Periodic Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum positive change in any reset period. Enter in percent (where 3 = 3%). Periodic Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum negative change in any reset period. Enter in percent (where 3 = 3%). 110 BARRAONE User Assets Importing Guide

119 Bond Terms and Conditions Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Corporate Bonds 111

120 Credit Default Swaps (CD Swap) Template: CDS.xls Required Worksheet: CDS Other Worksheets as Needed: Deal Spread Schedules, Note: Users must load the spreads for CDS on government bonds; otherwise, an incorrect default spread will be used. CDS Worksheet ID Enter the asset ID of the CDS, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the CDS. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Enter User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Underlying ID Enter the ID of the underlying reference bond. To use a system-provided spread curve, use a reference bond from this list (subject to user license). Underlying ID Type Enter the ID type of the underlying reference bond. Contract Size Enter the contract size (the notional amount of the contract). Price Currency Enter the currency of the contract price, which may differ from the currency of the underlier. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) Start Date Enter a start date for the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

121 CDS Worksheet (Continued) Expiration Date Termination date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Deal Spread Price of the default protection to be paid annually. Enter the amount in basis points per unit of notional. If a deal spread schedule is specified, then the value for this field is ignored. Recovery Rate The recovery rate assumption for the CDS contract. Used for valuation and default probability calibration. Default = 40 (for 40% recovery rate). Fixed Recovery A fixed recovery rate to use for a binary CDS. Accrual Basis Cay count basis. Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, N/A. If you leave this blank, BarraOne uses 30/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Coupon Frequency The frequency at which the coupon is paid. Choices are: 1M, 3M (default), 6M, 1Y. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Credit Default Swaps (CD Swap) 113

122 Deal Spread Schedules Worksheet ID Enter the asset ID and ID type of the CDS you defined in ID Type the CDS worksheet. This associates the deal spread schedule attributes with the CDS definition. Start Date The date of the deal spread. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Deal Spread The deal spread, expressed in basis points per unit of notional. Note: If a deal spread schedule is specified, then a deal spread entry is required for every cash flow date., Note: If a deal spread schedule is specified, then a deal spread entry is required for every cash flow date. 114 BARRAONE User Assets Importing Guide

123 Credit Default Swap Baskets (CDS Basket) Unfunded Template: CDSBasketUnfunded.xls Required Worksheet: CDS Baskets; CDS Basket Constituents, Note: Alternatively, to simply use an ID to add a system-provided CDS basket (index) to a portfolio (subject to user license), refer to this list. CDS Baskets Worksheet ID Enter the asset ID of the CDS basket, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the CDS basket. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name (description of the contract), up to 128 characters. Asset Priority Enter User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Contract Size Enter the contract size (the notional amount of the contract). Price Currency Enter the currency of the CDS basket contract, which may differ from the currency of the constituents. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) Start Date Enter a start date for the contract. Note that the start date must be earlier than or equal to the maturity date of the basket constituents, and later than or equal to the start date of the basket constituents. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Credit Default Swap Baskets (CDS Basket) Unfunded 115

124 CDS Baskets Worksheet (Continued) Expiration Date Termination date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Deal Spread Price of the default protection to be paid annually. Enter the amount in basis points per unit of notional. Recovery Rate The recovery rate assumption for the CDS basket. Used for valuation and default probability calibration. Default = 40 (for 40% recovery rate). Coupon Frequency The frequency at which the coupon is paid. Choices are: 1M, 3M (default), 6M, 1Y. Accrual Basis Day count basis. Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, N/A. If you leave this blank, BarraOne uses 30/360. Note: These codes are case sensitive. For example, 30/360e is valid; 30/360E is not. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 116 BARRAONE User Assets Importing Guide

125 CDS Basket Constituents Worksheet ID Enter the asset ID and ID type of the CDS basket you ID Type defined in the CDS Baskets worksheet. This associates the constituent with the CDS basket definition. Underlying ID Enter the ID of the underlying reference bond. To use a system-provided spread curve, use a reference bond from this list (subject to user license). Underlying ID Type Enter the ID type of the underlying reference bond., Note: The weights of the constituents of user-defined CDS baskets are assumed to be equal. Credit Default Swap Baskets (CDS Basket) Unfunded 117

126 Credit Default Swap Baskets (CDS Basket) Funded Template: CDSBasketFunded.xls Required Worksheet: CDS Baskets; CDS Basket Constituents Other Worksheets as Needed: CDS Basket Coupon Schedules, Note: Alternatively, to simply use an ID to add a system-provided CDS basket (index) to a portfolio (subject to user license), refer to this list. CDS Baskets Worksheet ID Enter the asset ID of the CDS basket, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the CDS basket. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name (description of the contract), up to 128 characters. Asset Priority Enter User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Funded Enter TRUE. Indicates that the CDS basket is funded. Contract Size Enter the contract size (the notional amount of the contract). Price Currency Enter the currency of the CDS basket contract, which may differ from the currency of the constituents. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) 118 BARRAONE User Assets Importing Guide

127 CDS Baskets Worksheet (Continued) Start Date Enter a start date for the contract. Note that the start date must be earlier than or equal to the maturity date of the basket constituents, and later than or equal to the start date of the basket constituents. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Expiration Date Termination date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Recovery Rate The recovery rate assumption for the CDS basket. Used for valuation and default probability calibration. Default = 40 (for 40% recovery rate). Principal Protection The percentage of principal that is protected by the CDS basket (e.g., 0.7 for 7%). Coupon Type The type of coupon. Choices are: FIXED, FLOATING. Coupon Base rate of interest for fixed coupon type, or the last reset rate for floating coupon CDS baskets. Enter the coupon in percent (where 3 = 3%). For floating coupon CDS baskets: BarraOne uses the coupon to calculate accrued interest, taking the most recent coupon as of the current analysis date. If you have a complete record of coupon changes (coupon history), enter the coupon with CDS Basket Coupon Schedules data. BarraOne looks at the coupon history first to determine the most recent coupon rate relative to the current analysis date. If you do not have a complete coupon history, enter the current coupon (as of the last reset date). In the absence of a coupon history, BarraOne uses the coupon you specify here for any analysis date calculation. Coupon Frequency The frequency at which the coupon is paid. Choices are: 1M, 3M (default), 6M, 1Y. Credit Default Swap Baskets (CDS Basket) Funded 119

128 CDS Baskets Worksheet (Continued) Accrual Basis Rate Index Margin ID Types Day count basis. Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, N/A. If you leave this blank, BarraOne uses 30/360. Note: These codes are case sensitive. For example, 30/360e is valid; 30/360E is not. Enter LIBOR. This is the reference rate for floating coupon payments. Not applicable for fixed coupon type CDS baskets. The spread over the rate index that the CDS basket holder receives. Not applicable for fixed coupon type CDS baskets. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). CDS Basket Constituents Worksheet ID Enter the asset ID and ID type of the CDS basket you ID Type defined in the CDS Baskets worksheet. This associates the constituent with the CDS basket definition. Underlying ID Enter the ID of the underlying reference bond. To use a system-provided spread curve, use a reference bond from this list (subject to user license). Underlying ID Type Enter the ID type of the underlying reference bond., Note: The weights of the constituents of user-defined CDS baskets are assumed to be equal. 120 BARRAONE User Assets Importing Guide

129 CDS Basket Coupon Schedules Worksheet ID Enter the asset ID and ID type of the CDS basket you ID Type defined in the CDS Baskets worksheet. This associates the CDS basket coupon schedule with the CDS basket definition. Start Date The date for which the specified coupon is used. For floating coupon types, this value is used for the next coupon. For fixed coupon types, this value is used to calculate the actual coupon, rather than the date for which the coupon begins accruing (as would be the case for a normal step-up bond). Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Coupon Enter the coupon, in percent (where 3 = 3%), that corresponds to the coupon date., Note: If a coupon schedule is specified, then a coupon entry is required for every coupon date. Credit Default Swap Baskets (CDS Basket) Funded 121

130 Credit Linked Notes (CLN) Template: CLN.xls Required Worksheet: Credit Linked Notes Other Worksheets as Needed: CLN Coupon Rate Schedules Credit Linked Notes Worksheet ID Enter the asset ID of the CLN, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the CLN. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name (description of the contract), up to 128 characters. Asset Priority Enter User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Underlying ID Enter the asset ID of the underlying reference bond. Underlying ID Type Enter the ID type of the underlying reference bond. Contract Size Enter the contract size (the notional amount of the contract). Price Currency Enter the currency of contract price, which may differ for the currency of the underlier. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) If you leave the field blank, BarraOne uses USD. Start Date Enter the start or inception date for the CLN contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

131 Credit Linked Notes Worksheet (Continued) Maturity Date Maturity or termination date of the CLN contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Recovery Rate The recovery rate assumption for the CLN. Used for valuation and default probability calibration. Default = 40 (for 40% recovery rate). Principal Protection The percentage of principal that is protected by the CLN (e.g., 0.7 for 7%). Coupon Type The type of coupon. Choices are: FIXED, FLOATING. Coupon Base rate of interest for fixed coupon type, or the last reset rate for floating coupon CLNs. Enter the coupon in percent (where 3 = 3%). For floating coupon CLNs: BarraOne uses the coupon to calculate accrued interest, taking the most recent coupon as of the current analysis date. If you have a complete record of coupon changes (coupon history), enter the coupon with CLN Coupon Rate Schedules data. BarraOne looks at the coupon history first to determine the most recent coupon relative to the current analysis date. If you do not have a complete coupon history, enter the current coupon (as of the last reset date). In the absence of a coupon history, BarraOne uses the coupon you specify here for any analysis date calculation. Coupon Frequency The frequency at which the coupon is paid. Choices are: 1M, 3M, 6M, 1Y. Accrual Basis Day count basis. Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Rate Index Enter LIBOR. This is the reference rate for floating coupon payments. Not applicable for fixed coupon type CLNs. Credit Linked Notes (CLN) 123

132 Credit Linked Notes Worksheet (Continued) Margin ID Types The spread over the rate index that the CLN holder receives (e.g., 2.5 for 2.5%). Not applicable for fixed coupon type CLNs. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). CLN Coupon Rate Schedules Worksheet ID Enter the asset ID and ID type of the CLN you defined in ID Type the Credit Linked Notes worksheet. This associates the coupon rate schedule with the CLN definition. Start Date The date for which the specified coupon is used. For floating coupon types, this value is used for the next coupon. For fixed coupon types, this value is used to calculate the actual coupon, rather than the date for which the coupon begins accruing (as would be the case for a normal step-up bond). Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Coupon Enter the coupon, in percent (where 3 = 3%), that corresponds to the coupon date., Note: If a coupon schedule is specified, then a coupon entry is required for every coupon date. 124 BARRAONE User Assets Importing Guide

133 Currencies (Cash) Template: Currency.xls Required Worksheet: Link Proxies, Notes: You can also create link proxies interactively in BarraOne. For details, see BarraOne s online help. The asset to which you link is restricted to equities, currencies/cash, and cash bonds that is, composites, ETFs, derivatives, and other link proxies cannot be used as underliers to a link proxy. For currencies, the Underlying ID is an ISO currency code. Link Proxies Worksheet ID Enter the asset ID you want to use for the currency, up to 64 characters. ID Type Enter the ID Type you want to use for the currency. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the currency name, up to 128 characters. Underlying ID Enter the 3-letter ISO code of the currency in the BarraOne database you are linking to as a proxy. Codes are listed in Appendix H: Country and Currency Codes on page 289. Underlying ID Type Enter BARRAID. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Price Currency Enter the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289. If you leave the field blank, BarraOne uses the price currency of the underlying asset. Currencies (Cash) 125

134 Link Proxies Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 126 BARRAONE User Assets Importing Guide

135 Currency Forwards (FX Forward) Template: fxfwd.xls Required Worksheet: FX Forwards FX Forwards Worksheet ID Enter the asset ID of the forward, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type you want to use for the asset. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Currency Enter the 3-letter ISO code for the receive currency. Codes are listed in Appendix H: Country and Currency Codes on page 289. Quote Currency Enter the 3-letter ISO code for the quote (pay) currency. Codes are listed in Appendix H: Country and Currency Codes on page 289. Contract Size Enter the contract size. This is the receive amount of the forward expressed in receive currency. Contract Exchange Rate Start Date Enter the contract exchange rate, i.e., units of quote currency (pay) per one unit of currency (receive). Enter the start date of the forward. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Delivery Date Enter the delivery date for the forward. Currency Forwards (FX Forward) 127

136 FX Forwards Worksheet (Continued) Country ID Types This field is used for grouping in BarraOne, so you can group your assets by country. Enter the 3-letter ISO country code. Codes are listed in Appendix H: Country and Currency Codes on page 289. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283)., Note: If your terms and conditions sheet contains only the values for pay amount and receive amount, you will need to enter the Currency, Quote Currency, and Contract Size, and then calculate the Contract Exchange Rate as follows: Column Currency Quote Currency Contract Size Contract Exchange Rate Expressed As Receive currency Pay currency Receive amount in receive currency Units of pay currency (quote currency) per one unit of receive currency Example Currency: AUD Receive Amount: 17,000, Quote Currency: CAD Pay Amount: 13,400, Then, Contract Exchange Rate: 13,400, ,000, BARRAONE User Assets Importing Guide

137 Currency Futures (FX Future) Template: fxfut.xls Required Worksheet: FX Futures FX Futures Worksheet ID Enter the asset ID of the future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type you want to use for the asset. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Currency Enter the 3-letter ISO code for the receive currency. Codes are listed in Appendix H: Country and Currency Codes on page 289. Quote Currency Enter the 3-letter ISO code for the quote (pay) currency. Codes are listed in Appendix H: Country and Currency Codes on page 289. Contract Size Enter the contract size. This is the receive amount of the future. Start Date Enter the start date of the future. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Delivery Date Enter the last trade date for the future. Currency Futures (FX Future) 129

138 FX Futures Worksheet (Continued) Country ID Types This field is used for grouping in BarraOne, so you can group your assets by country. Enter the 3-letter ISO country code. Codes are listed in Appendix H: Country and Currency Codes on page 289. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 130 BARRAONE User Assets Importing Guide

139 Currency Options (FX Option) Template: FXoption.xls Required Worksheet: FX Options Other Worksheets as Needed: FX Option Exercise Schedules; Implied Volatility Schedules; Asian Option Attributes; Asian Option Price Pool, Note: Refer to Examples on page 133 for details about the Contract Size, Currency, Quote Currency, and Strike Price columns. FX Options Worksheet ID Enter the asset ID of the currency option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Contract Size Enter the notional amount of the FX option, expressed in the currency to be received (call) or paid (put). Currency Enter the 3-letter ISO code for the currency to be received (call) or paid (put). Codes are listed in Appendix H: Country and Currency Codes on page 289. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Currency Options (FX Option) 131

140 FX Options Worksheet (Continued) Implied Volatility Enter the percentage as a decimal (where.03 = 3%). Cannot exceed 2.0. If you want to change implied volatility over time, you must also complete the Implied Volatility Schedules worksheet (see Implied Volatility Schedules Worksheet on page 265). For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. Quote Currency Enter the 3-letter ISO code for the currency to be paid (call) or received (put). Codes are listed in Appendix H: Country and Currency Codes on page 289. Option Style Choices are: A or American, E or European, B or Bermudan. Notes: For Bermudan-style options, you must also complete the FX Option Exercise Schedules Worksheet on page 134). For European-style Asian options, you must also complete the Asian Option Attributes Worksheet on page 263 data and possibly Asian Option Price Pool Worksheet on page 264. Option Type Choices are: Put, P, Call, C. Start Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: Start Date is required for import but is not currently used by BarraOne. Strike Price Enter the strike in terms of units of Quote Currency per one unit of Currency. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 132 BARRAONE User Assets Importing Guide

141 Examples Call option on EUR/USD (an option to buy 75,000 EUR with USD): Column Expressed in Pay or Receive (Currency) Example Contract Size Receive (EUR) 75,000 Currency Receive EUR Quote Currency Pay USD Strike Price Pay per Receive (USD/EUR) Call option on USD/EUR (an option to buy 100,000 USD with EUR): Column Expressed in Pay or Receive (Currency) Example Contract Size Receive (USD) 100,000 Currency Receive USD Quote Currency Pay EUR Strike Price Pay per Receive (EUR/USD) Put option on EUR/USD (an option to sell 75,000 EUR for USD): Column Expressed in Pay or Receive (Currency) Example Contract Size Pay (EUR) 75,000 Currency Pay EUR Quote Currency Receive USD Strike Price Receive per Pay (USD/EUR) Currency Options (FX Option) 133

142 , Note: If your terms and conditions sheet contains only the values for pay amount and receive amount, you will need to enter the Contract Size, Currency, and Quote Currency, and then calculate the Strike Price as follows: Call Put Contract Size Receive amount Pay amount Currency Receive Pay Quote Currency Pay Receive Strike Price Pay amount/receive amount Receive amount/ Pay amount FX Option Exercise Schedules Worksheet ID Enter the asset ID and ID type of the FX option you defined in ID Type the FX Options worksheet. This associates the exercise schedule with the FX option definition. Price Enter the strike price of the option as of the exercise date. Exercise Date Enter the date on which the Bermudan option can be called. (Exercise schedules can be used only with Bermudan options.) Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

143 Currency Future Options (FX Future Option) Template: FXfutoption.xls Required Worksheet: FX Future Options Other Worksheets as Needed: FXFO Implied Volatilities FX Future Options Worksheet ID Enter the asset ID of the currency future option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Contract Size Enter the notional amount of the FX future option, expressed in the currency to be received (call) or paid (put). Currency Enter the 3-letter ISO code for the currency to be received (call) or paid (put). Codes are listed in Appendix G: Language Settings and Date Formats on page 285. Expiration Date Contract expiration date. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Currency Future Options (FX Future Option) 135

144 FX Future Options Worksheet (Continued) Implied Volatility Enter the implied volatility of the underlying FX future. Enter the percentage as a decimal (where.03 = 3%). Cannot exceed 2.0. If you want to change implied volatility over time, you must also complete the FXFO Implied Volatilities worksheet (see FXFO Implied Volatilities on page 137). For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. Quote Currency Enter the 3-letter ISO code for the currency to be paid (call) or received (put). Codes are listed in Appendix H: Country and Currency Codes on page 289. Option Style Choices are: A or American; E or European. Option Type Choices are: Put, P, Call, C. Start Date The start date of the option contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: Start Date is required for import but is not currently used by BarraOne. Delivery Date The delivery date or last trade date of the FX future. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: Delivery Date is required for import but is not currently used by BarraOne. Strike Price Enter the strike in terms of units of Quote Currency per one unit of Currency. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 136 BARRAONE User Assets Importing Guide

145 FXFO Implied Volatilities ID Enter the asset ID of the option. ID Type Enter the ID type of the option. For acceptable types, see Appendix F: Supported ID Types on page 283. Implied Volatility Enter the implied volatility percent as a decimal (where.03 = 3%). Cannot exceed 2.0. Start Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Currency Future Options (FX Future Option) 137

146 Deletions Template: Deletions.xls Required Worksheet: Deletions Deletions Worksheet ID Enter the ID of the asset you want to delete. ID Type Enter the ID Type of the asset you want to delete., Note: When you initially create a user asset, you can assign it one or more identifiers, such as CUSIP, ISIN, SEDOL, and so on. When you edit, reimport, or delete a user asset, you must explicitly supply the same combination of IDs as when it was created. If the IDs do not match exactly, BarraOne cannot update the existing asset and will treat the new information as belonging to a new asset. 138 BARRAONE User Assets Importing Guide

147 Duration Proxies Template: DurationProxy.xls, Required Worksheet: Duration Proxies; Duration Proxy Market Data, Note: Fixed income exposures are subject to an aging rule in BarraOne and will expire after four (4) days. The user must reload duration proxy rules more frequently than this interval in order to refresh their exposures; otherwise, the system cannot evaluate these assets. Duration Proxies Worksheet ID Enter the asset ID of the duration proxy, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Asset Type The type of asset. This is used, along with Currency and Country, to map the proxy to the correct term structure exposures, credit exposures, and specific risk. Choices are: Government, Supranational, Corporate, Agency, Muni, IPB. Currency Enter the ISO code for the currency to which the duration proxy is exposed. This is used, along with Country and Asset Type, to map the proxy to the correct term structure exposures, credit exposures, and specific risk. For IPB: Currency of Issue must be USD, GBP, EUR, BRL, JPY, CAD, AUD, NZD, SEK, or ZAR. Codes are listed in Appendix H: Country and Currency Codes on page 289. Duration Proxies 139

148 Duration Proxies Worksheet (Continued) Country Enter the 3-letter ISO code of the country in which the duration proxy was issued. This is used, along with Currency and Asset Type, to map the proxy to the correct term structure exposures, credit exposures, and specific risk. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Issuer Name Enter the issuer name for the duration proxy. Sector The sector to which the duration proxy belongs. This entry determines the credit exposure for markets where a sector-by-rating credit spread model is available. For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. For IPBs, if the sector is Government, then the issue is mapped to a government IPB. For any other sector, the issue is mapped to a corporate IPB. Subsector The subsector to which the duration proxy belongs. This entry may determine the credit exposure for markets where a sector-by-rating credit spread model is available. For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Japan Subtype [Not used.] Par Enter the duration proxy s par value. This entry is used to compute the market value of the duration proxy based on the formula User Price * Par. Coupon Frequency The frequency at which the coupon is paid. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. 140 BARRAONE User Assets Importing Guide

149 Duration Proxies Worksheet (Continued) Coupon Type Maturity Date ID Types The type of coupon. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. Duration proxy maturity or termination date. This entry is used to compute the appropriate KRD exposures using the user-provided effective duration (and optionally the user-provided spread duration). If KRDs are not provided by the user using the Duration Proxy Market Data worksheet, then this entry is required, and the user must also provide a value for Duration (effective duration) using the Duration Proxy Market Data worksheet. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Duration Proxies 141

150 Duration Proxy Market Data Worksheet ID Enter the asset ID and ID type of the duration proxy you ID Type defined in the Duration Proxies worksheet. This associates the market data with the duration proxy definition. Start Date Enter the date for the market data specified, corresponding to the date for which the user-supplied durations have been computed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Accrued Interest(%) Accrued interest as a percent of par. Rating Source The rating vendor source. Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating. Rating The instrument rating based on the vendor-specific rating scheme. For markets where a sector-by-rating model is available, this entry is used to map spread duration to the appropriate credit factors. If you enter a rating, you must also enter a rating source. (For rating choices, see Appendix D: Ratings on page 280.) Duration The effective duration of the duration proxy. This entry (and optionally the user-provided spread duration) is used to compute the appropriate KRD exposures using the maturity date. If KRDs are not provided by the user, then this entry is required, and the user must also provide a value for Maturity Date using the Duration Proxies worksheet. Convexity Convexity of the duration proxy. If not provided by the user, then the value is assumed to be zero (0). OAS The option-adjusted spread over the treasury curve, expressed in basis points. If not provided by the user, then the value is assumed to be zero (0). Spread Duration The spread duration of the duration proxy. If not supplied by the user, then the value for effective duration is used. 142 BARRAONE User Assets Importing Guide

151 Duration Proxy Market Data Worksheet (Continued) KRD 1-year KRD 2-year KRD 3-year KRD 5-year KRD 7-year KRD 10-year KRD 20-year KRD 30-year Macaulay Duration Modified Duration Coupon(%) Yield To Maturity(%) Yield To Best(%) Yield To Worst(%) Average Life Key rate durations for the duration proxy, for the appropriate terms based on instrument maturity. If KRDs are not provided by the user, then an entry for Duration (effective duration) is required (and optionally the user-provided spread duration), and the user must also provide a value for Maturity Date using the Duration Proxies worksheet. Macaulay duration. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Modified duration. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Enter the coupon rate in percent (where 3 = 3%). This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Yield to maturity. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Yield to best. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Yield to worst. This is used for display or grouping purposes only and will not be used in any BarraOne calculations. Weighted average life. This is used for display or grouping purposes only and will not be used in any BarraOne calculations., Note: There is no direct valuation of duration proxies. Therefore, the user must also import the asset price (as the clean price as percent of par). Duration Proxies 143

152 Equity Claims Template: equityclaim.xls Required Worksheet: Equity Claims Equity Claims Worksheet ID Enter the asset ID of the equity claim, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the asset. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Underlying ID Enter the ID of the underlying equity. The underlier can be an equity security only (not ADR, GDR, or link proxy). Underlying ID Type Enter the ID type of the underlying equity. ExRight Date Enter the ex-rights date (starting date on which subscription rights can be exercised). Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Redemption Date Enter the redemption date for the subscription right. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Redemption Price Enter the price for subscription right. Conversion Ratio Enter the conversion ratio for the equity claim (number of shares per claim). 144 BARRAONE User Assets Importing Guide

153 Equity Claims Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Equity Claims 145

154 Equity Futures Template: CommodityOrEquityFuture.xls Required Worksheet: Equity Futures (Notes: Do not change worksheet name; Do not mix asset types within a workbook.), Notes: To model futures in BarraOne, you must import your own prices. For details, see Importing Prices for Your Assets on page 13. To import by weight a portfolio consisting entirely of futures, set the assigned base value or portfolio value to a nonzero amount. Equity Futures Worksheet ID Enter the asset ID of the equity future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the equity future. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Equity Future. Start Date Enter a start date for the asset, if desired. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Delivery Date Final settlement date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Underlying ID Enter the ID of the underlying equity. The underlier can be an equity security, ADR, GDR, or link proxy to an equity. 146 BARRAONE User Assets Importing Guide

155 Equity Futures Worksheet (Continued) Underlying ID Type Enter the ID type of the underlying equity. Price Currency Enter the currency in which you want the price defined. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) Contract Size Enter the contract size of the equity future. Asset Priority Enter User. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Equity Futures 147

156 Equity Index Futures Template: CommodityOrEquityFuture.xls Required Worksheet: Equity Futures (Notes: Do not change worksheet name; Do not mix asset types within a workbook.), Notes: To model futures in BarraOne, you must import your own prices. For details, see Importing Prices for Your Assets on page 13. To import by weight a portfolio consisting entirely of futures, set the assigned base value or portfolio value to a nonzero amount. Equity Futures Worksheet ID Enter the asset ID of the equity index future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID type of the equity index future. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Equity Index Future. Start Date Enter a start date for the asset, if desired. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Delivery Date Final settlement date of the contract. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

157 Equity Futures Worksheet (Continued) Underlying ID Enter the ID of the underlier. The underlier can be either: a composite asset based on an equity index an ETF BarraOne includes composites and ETFs in its native coverage. For a list of Barra-supplied composites, see ns/default.asp. Note that the BarraID for a composite is constructed by appending a D (daily update) or an M (monthly update) to the end of its Portfolio name, depending upon the frequency of the portfolio update. For a list of ETFs, see ns/barraone_etf.asp. If Barra does not supply an asset for the index you want, you must create a user-defined composite for the equity index portfolio, and then enter the ID of that composite in this column as the Underlying ID. For details, see Creating a Composite for the Underlying Equity Index on page 150. Underlying ID Type Enter the ID type of the underlier: For Barra-supplied composites, this is BarraID. For Barra-supplied ETFs, this is CUSIP, SEDOL, etc. For user-defined composites, this is COMPOSITEID. Price Currency Enter the currency in which you want the price defined. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) Contract Size Enter the contract size of the equity index future. This value must be consistent with the convention used for the price of quotation. For example, for S&P 500 Futures on the Chicago Mercantile Exchange, the contract price of quotation is the level of the S&P 500 Index. The contract size is $250 times the S&P 500 Index. The default value is 100. Asset Priority Enter User. Equity Index Futures 149

158 Equity Futures Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Creating a Composite for the Underlying Equity Index, Note: The following instructions describe how to create a composite by importing a file. You can also create composites interactively in BarraOne. For details, see BarraOne s online help. Barra includes an extensive list of equity indexes in its coverage. You can find the index portfolios listed by vendor on BarraOne s Portfolio Admin tab (under SYSTEM portfolios in the sidebar) and on the client support website at To create a user-defined composite asset for the index portfolio: 1 Download the import template. On the client support website ( click the composites import template (composites.xls) and save it with the name and in the location you want. 2 Create your composites import file. Open the saved template file and fill in the spreadsheet with terms and conditions of the composite. This is where you specify which index portfolio to use and assign it an ID. Follow the guidelines under Composites on page 91 of this guide. 3 Import the composites file into BarraOne, either through BarraOne s Import tab or with MSCI DataConnect. Select BarraOne User Assets as the Data Type you are importing. 150 BARRAONE User Assets Importing Guide

159 4 Verify the import. When the import job is finished, check BarraOne s User Asset View (Data Admin tab > User Assets) to verify that your composite was imported successfully: From the Select Asset Types dropdown, choose Composites. From the Validation Status dropdown, choose Valid. Click Refresh. If the composite file did not import correctly, follow the steps in Fixing an Invalid User Asset on page 20 of this guide. Equity Index Futures 151

160 Equity Index Future Options Template: EquityIndexFutureOption.xls Required Worksheet: Equity Index Future Options Other Worksheets as Needed: Implied Volatility Schedules; Asian Option Attributes; Asian Option Price Pool To import equity index future options, you must have a user-defined price for the underlying equity future or equity index future. For details, see Importing Prices for Your Assets on page 13. Equity Index Future Options Worksheet ID Enter the asset ID of the future option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlying equity future or equity index future. Underlying ID Type Enter the ID type of the underlying equity future or equity index future. Option Type Choices are: Put, P, Call, C. Option Style Choices are: A or American; E or European. Strike Price Enter the strike price in the same currency as the underlying future. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

161 Equity Index Future Options Worksheet (Continued) Start Date Contract Size Issuer Country Asset Priority Implied Volatility ID Types Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter the contract size. If you leave this blank, BarraOne sets the contract size at 100. Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) If you leave this blank, BarraOne uses the country of the underlier. Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Enter the implied volatility (Hull-White) as a decimal (where.03 = 3%). Cannot exceed 2.0. For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Equity Index Future Options 153

162 Equity Options or Equity Index Options Template: EquityOption.xls Required Worksheet: Equity Options Other Worksheets as Needed: Exercise Schedules; Implied Volatility Schedules; Asian Option Attributes; Asian Option Price Pool Equity Options Worksheet ID Enter the asset ID of the equity option or equity index option. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlier. The underlier can be either: an equity a composite asset based on an equity index an ETF BarraOne includes composites and ETFs in its native coverage. For a list of Barra-supplied composites, see ions/default.asp. Note that the BarraID for a composite is constructed by appending a D (daily update) or an M (monthly update) to the end of its Portfolio name, depending upon the frequency of the portfolio update. For a list of ETFs, see ions/barraone_etf.asp. If Barra does not supply an asset for the index you want, you must create a user-defined composite for the equity index portfolio, and then enter the ID of that composite in this column as the Underlying ID. For details, see Creating a Composite for the Underlying Equity Index on page BARRAONE User Assets Importing Guide

163 Equity Options Worksheet (Continued) Underlying ID Type Enter the ID type of the underlier. For Barra-supplied composites, this is BarraID. For Barra-supplied ETFs, this is CUSIP, SEDOL, etc. For user-defined composites, this is COMPOSITEID. Option Type Choices are: Put, P, Call, C. Option Style Choices are: A or American, E or European, B or Bermudan. For Bermudan, you must also complete the Exercise Schedules worksheet (see Exercise Schedules Worksheet on page 156). Strike Price Enter the strike price in the same currency as the underlying equity. For Bermudan options, this price must match the price you enter in the Exercise Schedules worksheet. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. For Bermudan options (which require you to also complete the Exercise Schedules worksheet), the expiration date is ignored, as the last exercise date is considered the expiration of Bermudan options. Dividend Yield Enter as a percentage (where 3 = 3%). Contract Size Enter the contract size. If you leave this blank, BarraOne sets the contract size at 100. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Equity Options or Equity Index Options 155

164 Equity Options Worksheet (Continued) Implied Volatility Enter the percentage as a decimal (where.03 = 3%). Cannot exceed 2.0. If you want to change implied volatility over time, you must also complete the Implied Volatility Schedules worksheet (see Implied Volatility Schedules Worksheet on page 265). For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Exercise Schedules Worksheet ID Enter the asset ID and ID type of the equity option you ID Type defined in the Equity Options worksheet. This associates the exercise schedule with the equity option definition. Price Enter the strike price. This price must match the strike price you enter in the Equity Options worksheet. Exercise Date Enter the date on which the Bermudan option can be called. (Exercise schedules can be used only with "Bermudan" options.) Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

165 Equity Rule-Based Proxies Template: EquityRuleBasedProxies.xls Required Worksheet: Equity Rule-Based Proxies; Equity Proxy Data Schedules Other Worksheets as Needed: Equity Proxy Industry Mapping, Notes: There is no direct valuation of equity rule-based proxies. Therefore, the user must also import the asset price using the instructions for Importing Prices for Your Assets on page 13. Equity asset exposures are subject to an aging rule in BarraOne and will expire after sixty (60) days. The user must reload equity proxy rules more frequently than this interval in order to refresh their exposures; otherwise, the system cannot evaluate these assets. Equity Rule-Based Proxies Worksheet ID Enter the asset ID of your equity security. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type of your equity security. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Country Enter the 3-letter ISO code of the country in which the equity rule-based proxy was issued. For choices, see Appendix H: Country and Currency Codes on page 289. Equity Rule-Based Proxies 157

166 Equity Rule-Based Proxies Worksheet (Continued) Currency Enter the 3-letter ISO code for the currency to which the equity rule-based proxy is exposed. For choices, see Appendix H: Country and Currency Codes on page 289. GICS Code Enter the full, 8-digit code for the GICS (Global Industry Classification System) to which the equity rule-based proxy belongs. The S&P/MSCI Barra GICS scheme uses an 8-digit code in which each of the four 2-digit pairs represent Sector, Industry Group, Industry, and Sub-Industry, from left to right respectively. For more information on GICS, see cs_structure.html. Industry [For use only with BIM as a legacy column for backward compatibility. For BIM301L or GEM2L, users must use the Equity Proxy Industry Mapping worksheet. This worksheet is recommended for BIM users, as well.] Enter the industry to which the equity rule-based proxy belongs. For model-based industry lists, refer to Industries per Equity Model on page 308. Traded Indicate if the equity rule-based proxy is traded. Choices are: TRUE, FALSE. true (publicly traded security that is not covered by BarraOne) false (private equity holding that is not traded) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 158 BARRAONE User Assets Importing Guide

167 Equity Proxy Data Schedules Worksheet ID Enter the asset ID and ID type of the asset to which the ID Type equity proxy data schedule applies. This associates the equity proxy data schedule with the asset. Start Date Enter the data date for which rules-based proxy exposure will be computed. BarraOne uses the risk model data available in the system as of this analysis date. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Market Capitalization Enter the market capitalization or market value of the equity asset being modeled, specified in the currency of the equity rule-based proxy. Specific Risk Multiplier Specific Risk Level Enter the specific risk multiplier for the equity rule-based proxy. This value is used as scalar of the cap-weighted average of the specific risk exposures of all assets covered by the risk model that are not in the estimation universe and that share the same industry classification. If both the Specific Risk Level and Specific Risk Multiplier are provided, BarraOne applies the multiplier to the provided specific risk level. Acceptable values: If not specified, BarraOne sets the value to 1. Enter the specific risk level for the equity rule-based proxy. This value is the absolution specific risk level in terms of standard deviation. If both the Specific Risk Level and Specific Risk Multiplier are provided, BarraOne applies the multiplier to the provided specific risk level. Acceptable values: If not specified, BarraOne sets the value to the cap-weighted average of the specific risk exposures of all assets covered by the risk model that are not in the estimation universe and that share the same industry classification. Equity Rule-Based Proxies 159

168 Equity Proxy Data Schedules Worksheet (Continued) Exposure Scalar Barra provides an exposure level, but users may enter their own exposure scalar for the holding to scale (multiply) the Barra-provided value for exposure. Acceptable values: If not specified, BarraOne sets the value to 1. Equity Proxy Industry Mapping Worksheet ID Enter the asset ID and ID type of the equity proxy you ID Type defined in the Equity Rule-Based Proxies worksheet. This associates the industry map with the equity proxy. Model Class Enter the model name to which the industry used for the equity rule-based proxy belongs. Choices are BIM, BIM301L, GEM2L. Industry Enter the industry to which the equity rule-based proxy belongs. For BIM and BIM301L model-based industry lists, refer to Industries per Equity Model on page 308. For GEM2L industries, refer to GEM2L Industries on page BARRAONE User Assets Importing Guide

169 Private Equities Template: PrivateEquity.xls Required Worksheet: Private Equities Other Worksheets as Needed: Private Equity Industry Mapping, Notes: There is no direct valuation of private equities. Therefore, the user must also import the asset price using the instructions for Importing Prices for Your Assets on page 13. Private equity asset exposures are subject to an aging rule in BarraOne and will expire after sixty (60) days. The user must reload private equity assets more frequently than this interval in order to refresh their exposures; otherwise, the system cannot evaluate these assets. Private Equities Worksheet ID Enter the asset ID of your private equity security, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type of your private equity security. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Instrument Type Private Equity (default) is the only acceptable value. Country Enter the 3-letter ISO code of the country in which the equity rule-based proxy was issued. USA is the only acceptable value. Private Equities 161

170 Private Equities Worksheet (Continued) Currency Enter the 3-letter ISO code for the currency to which the equity rule-based proxy is exposed. USD is the only acceptable value. Investment Type Choices: US Early Stage/Balanced Ventures (combined category) US Late Stage Ventures US Small Buyouts US Large Buyouts Specific Risk Scalar A number used to adjust the specific risk value relative to the computed value, according to the user's estimates. If both the Specific Risk and Specific Risk Scalar are provided, BarraOne applies the provided specific risk. Acceptable values: If not specified, BarraOne sets the value to 1. Specific Risk If the user chooses not to use the computed specific risk, enter a more appropriate value according to the user's estimate. This value is the absolute specific risk level in terms of standard deviation. If both the Specific Risk and Specific Risk Scalar are provided, BarraOne applies the provided specific risk. Acceptable values: Common Factor Risk Scalar Proxy Portfolio Barra provides a common factor exposure level, but users may enter their own exposure scalar for the holding to scale (multiply) the Barra-provided value for exposure. All factor exposures (including private equity factor exposures), except currency exposures, are affected. Acceptable values: If not specified, BarraOne sets the value to 1. This enables you to define the proxy portfolio (must be a single-country equity portfolio). If this option is defined, the GICS Code and the Industry are ignored. Enter the short name of the portfolio. Note: If the proxy portfolio or ETF contains cash, ADRs, or GDRs, these assets will be ignored in the analysis. 162 BARRAONE User Assets Importing Guide

171 Private Equities Worksheet (Continued) Portfolio Owner GICS Code ID Types If you have specified a Proxy Portfolio, enter the name of the portfolio owner. Enter the full, 8-digit code for the GICS (Global Industry Classification System) to which the private equity belongs. The S&P/MSCI Barra GICS scheme uses an 8-digit code in which each of the four 2-digit pairs represent Sector, Industry Group, Industry, and Sub-Industry, from left to right respectively. For more information on GICS, see cs_structure.html. Ignored if Proxy Portfolio is specified. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Private Equity Industry Mapping Worksheet ID Enter the asset ID and ID type of the private equity you ID Type defined in the Private Equities worksheet. This associates the industry map with the private equity. Model Class Enter the model name of the industry used for the private equity. Choices are BIM301L, GEM2L. Industry Enter the industry to which the private equity belongs. Must be U.S. industry for BIM301L, or global indsutry for GEM2L. For model-based industry lists, refer to Industries per Equity Model on page 308 or GEM2L Industries on page 386. Private Equities 163

172 Equity Securities Template: LinkProxies.xls Required Worksheet: Link Proxies, Notes: You can also create link proxies interactively in BarraOne. For details, see BarraOne s online help. The asset to which you link is restricted to equities, currencies/cash, and cash bonds that is, composites, ETFs, derivatives, and other link proxies cannot be used as underliers to a link proxy. Link Proxies Worksheet ID Enter the asset ID of your equity security. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type of your equity security. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlying asset in the BarraOne database to which you are linking as a proxy. The asset to which you link is restricted to equities, currencies/cash, and cash bonds that is, composites, ETFs, derivatives, and other link proxies cannot be used as underliers to a link proxy. Underlying ID Type Enter the ID type of the underlying asset in the BarraOne database to which you are linking as a proxy. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. 164 BARRAONE User Assets Importing Guide

173 Link Proxies Worksheet (Continued) Price Currency ID Types Enter the currency in which you want the price defined. (Specify the 3-letter ISO code for the currency. Codes are listed in Appendix H: Country and Currency Codes on page 289.) If you leave the field blank, BarraOne uses the price currency of the underlying asset. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Equity Securities 165

174 Equity Volatility Future Template: EquityVolatilityFuture.xls Required Worksheet: Equity Volatility Futures, Notes: This template enables you to import a Variance Future or Volatility Future on either the VIX or VSTOXX Index. Users may import VIX or VSTOXX levels as prices for the underlier. It is also possible to load a vendor-provided equity volatility future in the BarraOne application using special LocalIDs. For details, see Vendor-Provided Equity Volatility Futures on page 167. Equity Volatility Futures Worksheet ID Enter the asset ID of your security. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type of your security. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Contract Size Enter the contract size (the notional amount of the futures contract). Country The 3-character ISO code of the country corresponding to the price currency. Choices are: EMU, USA. Currency The 3-character ISO code of the price currency. Choices are: EUR, USD. 166 BARRAONE User Assets Importing Guide

175 Equity Volatility Futures Worksheet (Continued) Expiration Date Enter the expiration date of the future in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Instrument Type Choices are: Equity Volatility Future, Variance Future. Underlier Name Enter the name of the index used as an underlier for the future. Choices are: VIX, VSTOXX. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). Vendor-Provided Equity Volatility Futures You can alternatively load vendor-provided equity volatility futures in the BarraOne application using LocalIDs similar to those used for loading bond futures. The following exchange-traded equity volatility futures are supported with a LocalID that can be logically constructed using the information below: The LocalID consists of: 1 Issue Code (one, two, or three letters as enumerated below) 2 Year Code (the last two digits of the four-digit delivery year) 3 Month Code (one letter as provided below) As an example, a Dow Jones EUROSTOXX 50 Future Deliverable in December 2011 would have a LOCALID of FVSX+11+Z=FVSX11Z. Equity Volatility Future 167

176 Exchange-Traded Volatility Futures Volatility Index Issue Code Contract Size Dow Jones EURO STOXX 50 Volatility FVSX EUR 1000 per index point Dow Jones EURO STOXX 50 Volatility (mini) FVS EUR 100 per index point CBOE Volatility VX $1000 per index point, Notes: DOW Jones EURO STOXX 50 Volatility futures (FVSX) are available from August DOW Jones EURO STOXX 50 Volatility Mini futures (FVS) are available from June Exchange-Traded Equity Volatility Future Month Codes Month January February March April May June July August September October November December Code F G H J K M N Q U V X Z 168 BARRAONE User Assets Importing Guide

177 Volatility Swap Template: VolatilitySwap.xls Required Worksheet: Volatility Swaps, Note: This template enables you to import a Volatility Swap, Variance Swap, or Forward Volatility Agreement on either the VIX or VSTOXX Index. Volatility Swaps Worksheet ID Enter the asset ID of your security, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type of your security. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Country The 3-character ISO code of the country corresponding to the price currency. Choices are: EMU, USA. Currency The 3-character ISO code of the price currency. Choices are: EUR, USD. Expiration Date Enter the expiration date of the swap contact in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Instrument Type Choices are: Volatility Swap, Variance Swap, Forward Volatility Agreement. Is Vega Notional Choices are: Yes, No. Notional Amount Enter the notional amount of the swap contract. Volatility Swap 169

178 Volatility Swaps Worksheet (Continued) Start Date Enter the start date of the swap contract in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Strike Price Enter the strike price of the swap in the same currency as the underlying asset. Underlier Name Enter the name of the index used as an underlier for the option. Choices are: SAP500, STOXX. Volatility Frequency Indicate if the volatility frequency is daily, weekly, or monthly. Choices are: 1D (default), 7D, 1M. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 170 BARRAONE User Assets Importing Guide

179 Volatility Option Template: VolatilityOption.xls Required Worksheet: Volatility Options, Note: This template enables you to import a Volatility Option on either the VIX or VSTOXX Index. Users may import implied volatility surfaces for the options. The existing Implied Volatility Surface Data Template may be used to import the volatility data. Volatility Options Worksheet ID Enter the asset ID of your securityup to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type s usual format. ID Type Enter the ID Type of your security. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Country The 3-character ISO code of the country corresponding to the price currency (default is the country of the underlier currency). Choices are: EMU, USA. Currency The 3-character ISO code of the price currency (default is the currency of the underlier). Choices are: EUR, USD. Expiration Date Enter the date on which the option expires in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Implied Volatility Enter the implied volatility percentage of the underlying security as a decimal (where.03 = 3%). Cannot exceed 2.0. Option Style Choices are: A (American) or E (European). Volatility Option 171

180 Volatility Options Worksheet (Continued) Option Type Choices are: Call, C, Put, P. Strike Price Enter the strike price in the same currency as the underlying asset. Underlier Name Enter the name of the index used as an underlier for the option. Choices are: VIX, VSTOXX. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 172 BARRAONE User Assets Importing Guide

181 Eurobonds Template: EuroBond.xls Required Worksheet: Bond Terms and Conditions Other Worksheets as Needed: Amount Outstanding Schedules; Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules Bond Terms and Conditions Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Bond. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Issuer Name Enter the issuer name. Issuer Type Enter Corporate. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This change does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. Eurobonds 173

182 Bond Terms and Conditions Worksheet (Continued) Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. If not fixed, you must also complete the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Coupon(%) Enter the annualized coupon rate in percent (where 3 = 3%). Coupon Frequency Choices are: 1M, 2M, 3M, 4M, 6M, 1Y.. (Value is ignored for zero coupon bonds.) Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Callable Choices are: Yes, No. If Yes, you must also complete the Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). 174 BARRAONE User Assets Importing Guide

183 Bond Terms and Conditions Worksheet (Continued) Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). Sector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. Amount Issued * * Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Japan Subtype [Not used.] Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Eurobonds 175

184 Bond Terms and Conditions Worksheet (Continued) Accrual Basis Issue Date First Accrual Date First Coupon Date Last Coupon Date Coupon Conversion Date Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. * * Required if coupon type is Fixed to Float or Float to Fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

185 Bond Terms and Conditions Worksheet (Continued) Reference Rate * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data). Rate Term * * For Floating, Fixed to Float, or Float to Fixed coupon type. Required for reference rates LIBOR, Swap, Govt, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reset Frequency * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y.. Notice Days For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the number of days as an integer. Margin For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Multiplier For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the multiplier, such as 0.85, to adjust the reference rate. (For an inverse floater, enter a negative multiplier.) If you leave this field blank, BarraOne uses 1. Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Minimum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Periodic Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum positive change in any reset period. Enter in percent (where 3 = 3%). Periodic Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum negative change in any reset period. Enter in percent (where 3 = 3%). Eurobonds 177

186 Bond Terms and Conditions Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 178 BARRAONE User Assets Importing Guide

187 EuroDollar Futures Template: EurodollarFuture.xls Required Worksheets: Eurodollar Futures, Note: For EURIBOR futures, specify EUR for the currency and LIBOR for the Reference Rate. Eurodollar Futures Worksheet ID Enter the asset ID of the future, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Country Enter the 3-letter ISO country code corresponding to the price currency. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Currency Enter the 3-letter ISO code for the price currency. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Price Currency.). Start Date Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Delivery Date Enter the contract delivery date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract Size Enter the contract size (the amount of the USD deposit, such as ). Reference Rate Choices are: LIBOR, OIS. EuroDollar Futures 179

188 Eurodollar Futures Worksheet (Continued) Rate Term Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Asset Priority Enter User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 180 BARRAONE User Assets Importing Guide

189 EuroDollar Future Options Template: EurodollarFutureOption.xls Required Worksheet: Eurodollar Future Options Other Worksheets as Needed: Implied Volatility Schedules; Asian Option Attributes; Asian Option Price Pool Eurodollar Future Options Worksheet ID Enter the asset ID of the future option, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Underlying ID Enter the ID of the underlying future. Underlying ID Type Enter the ID type of the underlying future. Option Type Choices are: Put, P, Call, C. Option Style Choices are: E or European. Strike Price Enter the strike price in the same currency as the underlying future. Expiration Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Start Date Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Contract Size Enter the contract size. If you leave this blank, BarraOne sets the contract size to 100. EuroDollar Future Options 181

190 Eurodollar Future Options Worksheet (Continued) Issuer Country Asset Priority Implied Volatility ID Types Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) If you leave this blank, BarraOne uses the country of the underlier. Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Enter the implied volatility (Black) as a decimal (where.03 = 3%). Cannot exceed 2.0. For details on how BarraOne uses implied volatility to value the option, see Valuing Equity Options, Equity Index Options, Equity Index Future Options, Volatility Options, Eurodollar Future Options, Commodity Future Options, FX Options, and FX Future Options on page 12. If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 182 BARRAONE User Assets Importing Guide

191 Floating Rate Notes Template: FloatRateNote.xls Required Worksheet: Bond Terms and Conditions Other Worksheets as Needed: Amount Outstanding Schedules; Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules Bond Terms and Conditions Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Bond. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Issuer Name Enter the issuer name. Issuer Type Choices are: Government, Supranational, Corporate, Agency. (Corporate must be specified for OIS Reference Rate.) Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This change does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. Floating Rate Notes 183

192 Bond Terms and Conditions Worksheet (Continued) Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Floating, Fixed to Float, Float to Fixed. 184 BARRAONE User Assets Importing Guide

193 Bond Terms and Conditions Worksheet (Continued) Coupon(%) BarraOne uses the coupon to calculate accrued interest, taking the most recent coupon rate as of the current analysis date. If you have a record of coupon rate changes (coupon history), enter a zero (for 0%) in this column, and fill in the coupon history in the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Ideally, you would specify a coupon rate for each reset date, but a complete history is not required. BarraOne looks at the coupon history first to determine the most recent coupon rate relative to the current analysis date. If you do not have a coupon history, enter the current coupon rate (as of the last reset date) in this column (in percent, where 3 = 3%). In the absence of a coupon history, BarraOne uses the coupon you specify here for any analysis date calculation. If you do not have a coupon history and you have specified 0% in this column, BarraOne calculates the coupon value as [(Reference Rate x Multiplier) + Margin] as of the analysis date. Note: When the reset rate for the floating leg changes, enter the new reset value in the Coupon Rate Schedules worksheet and reimport the file (with all three worksheets). Coupon Frequency * Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. *Required unless Reference Rate is OIS. (Value is ignored for zero coupon bonds.) Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Callable Choices are: Yes, No. If Yes, you must also complete the Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). Floating Rate Notes 185

194 Bond Terms and Conditions Worksheet (Continued) Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). Sector * * Required if you specify Government as the Issuer Type. For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the sector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. Amount Issued * *Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Japan Subtype [Not used.] Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. 186 BARRAONE User Assets Importing Guide

195 Bond Terms and Conditions Worksheet (Continued) Accrual Basis Issue Date First Accrual Date First Coupon Date Last Coupon Date Coupon Conversion Date Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. * * Required if coupon type is Fixed to Float or Float to Fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Floating Rate Notes 187

196 Bond Terms and Conditions Worksheet (Continued) Reference Rate Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data), OIS (Overnight Index Swap). Notes: 1) OIS Reference Rate is appropriate only for Corporate Issuer Type; 2) Coupon Rate Schedules are incompatible with an OIS Reference Rate (the OIS schedule is supplied by BarraOne). Rate Term * * Required for reference rates LIBOR, Swap, Govt, OIS, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. Reset Frequency Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. Notice Days Enter the number of days as an integer. Margin Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Multiplier Enter the multiplier, such as 0.85, to adjust the reference rate. (For an inverse floater, enter a negative multiplier.) If you leave this field blank, BarraOne uses 1. Cap (%) Maximum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Floor (%) Minimum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Periodic Cap (%) Maximum positive change in any reset period. Enter in percent (where 3 = 3%). Periodic Floor (%) Maximum negative change in any reset period. Enter in percent (where 3 = 3%). ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 188 BARRAONE User Assets Importing Guide

197 Forward Rate Agreement (FRA) Template: fra.xls Required Worksheets: FRA FRA Worksheet ID Enter the asset ID of the Forward Rate Agreement, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Currency Enter the 3-letter ISO code for the currency of the payments. For choices, see Appendix H: Country and Currency Codes on page 289. Start Date Enter the contract start date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Settlement Date Enter the contract settlement date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. End Date Enter the contract end date in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Notional Amount Enter the notional amount of the contract. Forward Rate Agreement (FRA) 189

198 FRA Worksheet (Continued) Accrual Basis Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Rate Term * * Required for reference rates LIBOR, Swap, Govt, OIS, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y. FRA Rate(%) Enter the amount of the fixed rate in percent (where 3 = 3%). Reference Rate Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data), OIS (Overnight Index Swap). Multiplier Enter the multiplier, such as 0.85, to adjust the reference rate. If you leave this field blank, BarraOne uses 1. Margin Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 190 BARRAONE User Assets Importing Guide

199 Government Notes/Bonds Template: GovernmentBond.xls Required Worksheet: Bond Terms and Conditions Other Worksheets as Needed: Amount Outstanding Schedules; Call Schedules; Coupon Rate Schedules; Put Schedules; Rating Schedules; Sink Schedules; Subsector Schedules Bond Terms and Conditions Worksheet ID Enter the asset ID of the bond, up to 64 characters. This can be either a market identifier or your own custom ID. It does not need to conform to the ID type's usual format. ID Type Enter the ID Type. For acceptable types, see Appendix F: Supported ID Types on page 283. Asset Name Enter the asset name, up to 128 characters. Instrument Type Enter Bond. Currency of Issue Enter the 3-letter ISO currency code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Currency of Issue.) Issuer Name Enter the issuer name. Issuer Type Enter Government. Note: When there is a conflict between Issuer Type and Sector for a user asset, then BarraOne determines the factor exposures using the Issuer Type. For example, if Issuer Type for a user asset is set to AGENCY and the Sector is set to Financial, then the factor exposure is to the appropriate Agency factor (depending on rating) and not to a Financial factor. This change does not affect BarraOne System assets, because Issuer Type and Sector cannot conflict for System assets. Issuer Country Enter the 3-letter ISO country code. For choices, see Appendix H: Country and Currency Codes on page 289. (Be sure your choice is supported for Issuer Country.) Government Notes/Bonds 191

200 Bond Terms and Conditions Worksheet (Continued) Rating Source Choices are: Moody s, S&P, JCR, R&I. If you enter a rating source, you must also enter a rating, or the bond will be rejected. Also complete the Rating Schedules worksheet (see Rating Schedules Worksheet on page 267). Rating If you enter the bond s rating, you must also enter a rating source, or the bond will be rejected. (For rating choices, see Appendix D: Ratings on page 280.) Par Enter the value of the security as it appears on the certificate of the instrument. This is the amount of principal due the bondholder at maturity, and it is the amount on which interest payments are calculated. It is the same as face value or face amount, i.e., the holding unit to the imported position. When Par is set to 1000, an imported position of size 1 becomes 1000 in terms of the currency. Coupon Type Choices are: Fixed, Stepped, Floating, Fixed to Float, Float to Fixed. If not fixed, you must also complete the Coupon Rate Schedules worksheet (see Coupon Rate Schedules Worksheet on page 265). Coupon(%) Enter the annualized coupon rate in percent (where 3 = 3%). Coupon Frequency Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. (Value is ignored for zero coupon bonds.) Maturity Date Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Callable Choices are: Yes, No. If Yes, you must also complete the Call Schedules worksheet (see Call Schedules Worksheet on page 264). Putable Choices are: Yes, No. If Yes, you must also complete the Put Schedules worksheet (see Put Schedules Worksheet on page 266). Sinkable Choices are: Yes, No. If Yes, you must also complete the Sink Schedules worksheet (see Sink Schedules Worksheet on page 267). 192 BARRAONE User Assets Importing Guide

201 Bond Terms and Conditions Worksheet (Continued) Sector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. Note: For markets where Barra supports a detailed credit model (AUD, CAD, EUR, JPY, CHF, GBP, USD), if you do not specify a sector: BarraOne assumes that the bond is exposed to the swap factor only. This means that the bond will be valued using the swap curve (using a swap spread over the treasury). The bond s rating is ignored and is not used in the valuation or risk calculation. For other markets, BarraOne uses the swap spread regardless of the subsector you specify. Subsector For choices in the AUD, CAD, EUR, CHF, GBP, or USD markets, see Appendix B: Sectors and Subsectors on page 269. For choices in the JPY market, see Appendix C: Japan Sectors and Subsectors on page 277. You can enter either the short name or the long name. If the subsector classification has been or will be changed, you must also complete the Subsector Schedules worksheet (see Subsector Schedules Worksheet on page 268) to specify the start date for each classification. Amount Issued * * Required if Sinkable is Yes. BarraOne uses the amount issued and the bond s sink schedules as of the analysis date to calculate the amount outstanding. Japan Subtype [Not used.]. Asset Priority Choices are: Barra, User. If a position corresponds to both a user-defined asset and a Barra asset, the Asset Priority tells BarraOne which definition to use. If you do not specify a priority, BarraOne uses Barra. Government Notes/Bonds 193

202 Bond Terms and Conditions Worksheet (Continued) Accrual Basis Issue Date First Accrual Date First Coupon Date Last Coupon Date Coupon Conversion Date Choices are: 30/360, 30/360e, 30E/360, 30E/360e, 30E+/360, 30E/360 ITA, 30/ACT, ACT/360, ACT/365, ACT/365 CA, ACT/365e, ACT/365L, ACT/ACT, ACT/ACTe, BUS/252 (primarily for Brazilian bonds), N/A. If you leave this blank, BarraOne uses ACT/360. Note: These codes are case-sensitive. For example, 30/360e is valid; 30/360E is not. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Note: If you specify a first accrual date, be aware that BarraOne does not perform valuation for the bond before that date. If, after importing the bond, you view it for an analysis date prior to the first accrual date, it will be listed as rejected with a valuation error. If you do not specify a first accrual date, no error occurs. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. Last date coupon will be paid. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page 285. * * Required if coupon type is Fixed to Float or Float to Fixed. Enter dates in the format that matches your language/country setting in BarraOne. For a list of languages and date formats BarraOne supports, see Appendix G: Language Settings and Date Formats on page BARRAONE User Assets Importing Guide

203 Bond Terms and Conditions Worksheet (Continued) Reference Rate * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: LIBOR, Swap, Govt, 30 yr mtg, 1M CP (1 Month Commercial Paper), US Fed Funds, US Prime, US COF (11th District Cost of Funds Index - COFI), EURIBOR (Europe Interbank Offered Rate), CMS (constant maturity swap), Inflation (inflation swap), MMD (municipal market data). Rate Term * * For Floating, Fixed to Float, or Float to Fixed coupon type. Required for reference rates LIBOR, Swap, Govt, and EURIBOR, so BarraOne will know what rate to use as of the analysis date (such as 6-month LIBOR). Choices are: 1M, 2M, 3M, 4M, 6M, 9M, 10M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y.. Reset Frequency * * Required if coupon type is Floating, Fixed to Float, or Float to Fixed. Choices are: 1M, 2M, 3M, 4M, 6M, 1Y. Notice Days For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the number of days as an integer. Margin For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the margin in percent (where 3 = 3%). If you leave this field blank, BarraOne uses 0. Multiplier For Floating, Fixed to Float, or Float to Fixed coupon type. Enter the multiplier, such as 0.85, to adjust the reference rate. (For an inverse floater, enter a negative multiplier.) If you leave this field blank, BarraOne uses 1. Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Minimum rate the coupon can reach in the life of the bond. Enter in percent (where 3 = 3%). Periodic Cap (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum positive change in any reset period. Enter in percent (where 3 = 3%). Periodic Floor (%) For Floating, Fixed to Float, or Float to Fixed coupon type. Maximum negative change in any reset period. Enter in percent (where 3 = 3%). Government Notes/Bonds 195

204 Bond Terms and Conditions Worksheet (Continued) ID Types If you want to use additional IDs for an asset, specify the ID type in the last column headers of the sheet and enter the identifiers in the rows. For example, you could add additional columns which have headers labeled as ISIN, SEDOL, and/or CUSIP. You can use any of the ID types BarraOne supports (see Appendix F: Supported ID Types on page 283). 196 BARRAONE User Assets Importing Guide

205 Hedge Funds BarraOne can provide returns-based analysis of your hedge funds, using the same functionality as for other user assets: You submit returns data in a spreadsheet file, and BarraOne generates the fund s exposures to the hedge fund factors (as well as other risk factors) in the Barra Integrated Model., Note: This is a special service available by subscription only. The functionality will work only if you have subscribed to it. How It Works How Long It Takes Exposure generation takes about 72 hours from the time you import your returns. This allows for fine-tuning the methodology based on the exact return characteristics you supply. What You Provide You must supply at least 24 monthly returns for a fund.all returns supplied must be contiguous (i.e., no return history gaps are allowed). For HFM2 (BIM301), the Hedge Fund Exposure Generator drops all hedge funds that have any gaps in the historical returns, even a single, one-month gap. Here are the Hedge Fund Exposure Generator (HFM2) return screening rules that are applied to each hedge fund. A hedge fund will be dropped from the analysis under any of the following conditions: Return history is shorter than 24 months. 25% of the return history is identical % of the return history equals either of 2 values. 50% of the return history equals either of 3 values. Hedge Funds 197

206 The return history consists of identical returns for at least 7 consecutive months. A single monthly return value is either 100% or 500%. One or more duplicate return dates were provided for a given hedge fund. There is a return history gap (i.e., one or more months of returns is missing). An explanation is provided in the QA report for any hedge fund that was dropped. For HFM1 (), occasional one-month gaps are allowed. However, too many gaps in the return history provided for a single hedge fund will cause the entire case being processed by the Hedge Fund Exposure Generator to fail. What BarraOne Does BarraOne generates exposures for the last monthly return you supply. For example if you enter returns for June, July,... February, BarraOne calculates exposures for the February returns. For a given month s returns, BarraOne generates exposures for the following month. For example, for February returns, BarraOne produces exposures for March 1. Those exposures are then available in BarraOne for three months. For example, March 1 exposures are available until May 31 (unless you import corrected returns for February and BarraOne generates new March exposures). 198 BARRAONE User Assets Importing Guide

207 When You Can Import Returns You can import returns for a given month starting 45 days after the month-end of those returns. For example, when importing month-end returns for December 2006, BarraOne will accept them beginning February 15, This ensures that the hedge fund model has been updated for the given month. Barra-Supplied Template for Importing Your Data Barra supplies a sample Excel workbook you can easily use as a template for importing your hedge fund data. You can download the workbook from the client support website at The workbook contains three worksheets: Funds Master The master record describing the fund and giving it an ID for BarraOne to recognize it. This sheet is required. Fund Returns Enables you to specify the returns history. This sheet is required. Fund Attributes Enables you to specify a fund s style, sector, geographic focus. This sheet is optional., Note: Do not rename the worksheets. Hedge Funds 199

208 Example 1: Importing a Single Style Hedge Fund Suppose you invest in a UK-focused, market-neutral equity fund that you want to model in BarraOne. You would: 1 On the client support website ( click the hedge fund import template (HedgeFund.xls) and save it with the name and in the location you want. 2 Fill in the Funds Master worksheet as described on page 204. For Primary Style, enter NOBIAS_STATARB_EQ (for equity market neutral, as listed in Appendix L: Hedge Fund Styles on page 303). 3 Fill in the Fund Attributes worksheet as described on page 206. For Geo Focus, enter GBR (for United Kingdom, as listed in Appendix O: Hedge Fund Geographic Codes on page 307). 4 Fill in the Fund Returns worksheet as described on page 205. Enter enough records to include 24 monthly returns. (BarraOne generates exposures for the last monthly return you supply. For example if you enter returns for June... February, BarraOne calculates exposures for February returns.) 5 Save your file. 6 Import the file into BarraOne, either through BarraOne s Import tab or with MSCI DataConnect. (When importing, select BarraOne User Assets as the Data Type.) Alternative Steps Suppose, in this same example, the fund changes geographic focus from UK-only to Western Europe countries. You indicate this change in the Fund Attributes worksheet: For the GBR entry in the worksheet, you would also specify a Start Date and an End Date, as described in the Fund Attributes Worksheet on page 206. Enter a second geographic focus of WEB, plus a Start Date. 200 BARRAONE User Assets Importing Guide

209 Example 2: Importing a Fund of Hedge Funds Suppose you invest in a fund of hedge funds that you want to model in BarraOne. Assume the fund has three sub-funds: Global Macro, US Long-Short, US Convertible Arbitrage. You would: 1 On the client support website ( click the hedge fund import template (HedgeFund.xls) and save it with the name and in the location you want. 2 Fill in the Funds Master worksheet as described on page 204. For Primary Style, enter FUND_OF_HF (as listed in Appendix L: Hedge Fund Styles on page 303). 3 Fill in the Fund Attributes worksheet as described on page 206. For Style, enter three records to describe the sub-funds: DISCRETION_GMAC, for Discretionary Trading (e.g. Global Macro), as listed in Appendix L: Hedge Fund Styles on page 303 LONGVAR_BIAS_EQ, for Long & Variable Bias (e.g. Long Short Equity) CONVERT_ARB, for Convertible Arbitrage For Geo Focus, enter: WLD, Global Diversified, for record 1 USA for record 2 USA for record 3 4 Fill in the Fund Returns worksheet as described on page 205. Enter enough records to include 24 monthly returns. (BarraOne generates exposures for the last monthly return you supply. For example if you enter returns for June... February, BarraOne calculates exposures for February returns.) 5 Save your file. Hedge Funds 201

210 6 Import the file into BarraOne, either through BarraOne s Import tab or with MSCI DataConnect. (When importing, select BarraOne User Assets as the Data Type.) Monitoring the Status of Your Exposures After importing your file successfully, you can check on the status of your fund s exposures. (Remember, exposure generation takes about 72 hours.) 1 In BarraOne s User Asset View (Data Admin tab > User Assets): From the Select Asset Types dropdown, choose Hedge Funds. From the Validation Status dropdown, choose Valid. Click Refresh. BarraOne lists the valid funds: 2 For each fund you imported, check the Exposure Status column to see if exposure generation is Completed or still Processing. 3 If processing is Completed, verify that the date in the Latest Exposures column matches the fund s most recent monthly returns. (You can click the date to see a history of the fund s exposure dates.) 4 If the Exposure Status still shows Processing after 72 hours, contact your client services representative for assistance. 202 BARRAONE User Assets Importing Guide