Transcript calypso-training

Calypso Training
Application Overview
Trade Viewer
• To open the Trade Viewer click the Trading button on
the Main Entry Panel.
Trade Viewer
Trade Viewer Parameters
•
Pricing Env: The default Pricing Environment
that will be loaded when your workspace is
launched
•
Pricer Config: The Pricer Config associated
with the Pricing Environment
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Quote Set: The Quote Set associated with the
Pricing Environment
•
Pricing Params Set: The Pricing Parameters
associated with the Pricing Environment
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Base Currency: The Base Currency
associated with the Pricing Environment
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Val Datetime: The value date of the loaded
workspace
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Real Time Market Data: This is the datetime of
the marketdata that will be used when pricing in
the launched blotter
•
Real Time Trades Data: Check this box to
refresh blotters with new trades and modified
trades
Trade Viewer
•
Clicking Refresh Domains will refresh
information such as available Pricing
Environments, Trade Filters, etc.
•
Clicking Reload will reload the selected
Pricing Environment and associated
market data.
•
Clicking Apply will propagate changes
to all open blotters and trade
worksheets.
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In addition to the Trade Viewer default
Workspace, other blotter view shortcuts
can be added. For instance, a shortcut
node loading all trades in a Book can
be added by selecting the Book menu
option, selecting Add, and then
selecting a Book.
•
The workspaces of other users can be
viewed by selecting Add under the
Workspace menu. Blotter views
corresponding to the contents of a
Trade Filter can be loaded by selecting
Add under the Portfolio menu.
Trade Viewer
• By double clicking on
any of the workspace
nodes in the Trade
Viewer, an instance of
the trade Blotter can be
launched.
Blotter
•
The trade Blotter is the primary
workspace from which trades can
be viewed. Depending on the
Blotter workspace configuration
specifications, trades will appear
and disappear from the Blotter
view in real-time.
Adding Trades
•
There are several ways to add or
remove trades from your Blotter
workspace.
•
The easiest way to add a trade is
to enter a trade Id in the lower
right corner text box on the Blotter
panel. Below that text box is a
count of all trades in the Blotter.
Blotter
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To add multiple trades to the Blotter, click the ‘Add Trades …’ button to launch the Trade Selector
(Filter Set). This will be covered later, but Filter Sets can be used to load trade batches based on
various attributes. For instance, if you wanted to load every trade in book CPG_VAN_TOR, you
could select the Book attribute, specify book CPG_VAN_TOR, click Show Trades to view all
corresponding trades, and then click Select All to load those trades into the Blotter. Multiple
attributes can be selected to create complex filters.
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Additionally, it is possible to load Blotter contents based on previously saved Filter Sets. To do so,
open the Trade Selector, select attribute ‘Filter Set/IN’, and choose a Filter Set to load.
Blotter
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If you are permissioned to do so, a trade will also appear in your workspace after being saved, as long as
the original trade panel instance was launched from the Blotter. This is noted because trades launched
from outside of the Blotter will not appear in your workspace unless the Blotter is reloaded.
Opening Trades
•
To open a trade, double click on any Blotter row and a corresponding trade panel should open. To open
multiple trades, highlight a set of trades, right click, and select Open Selected Trades.
•
You can also load a trade by launching a blank trade worksheet, entering a trade id, and pressing enter.
However, the trade you are trying to load must be of the same type as the opened trade worksheet.
Opening Trade Worksheets
•
To open a blank trade worksheets form the Blotter, select the Trade menu and then the sought product
type.
Speed Buttons
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Trade speed buttons appear by default for several trade types. They facilitate quick launching of blank
trade worksheets.
•
Risk speed buttons facilitate quick launching of risk reports on trades selected in the Blotter.
•
Both button sets can be configured.
Removing Trades
•
To remove trades, highlight trade rows, right click, and click Remove Selected Trades.
Blotter
Changing and Reloading Pricing
Environments
• When a Blotter is opened, the Pricing
Environment specified in the Trade Viewer is
loaded. Risk reports run in the Blotter will
use that Pricing Environment’s market data.
Additionally, if you open and price a trade
via the Blotter, the results will be based on
the Pricing Environment’s market data.
•
To select a Pricing Environment different from the Trade Viewer default, use the Pricing Env
combo box. The Pricing Environment text will turn cyan indicating the change.
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If the Pricing Environment’s market data has changed (e.g., curves updated), the Pricing
Environment text will turn yellow. In order for this to occur, the Real Time Market Data check box
must be set to true.
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When the Real Time Market Data check box is set to true, the market data associated with the
Blotter Pricing Environment should update automatically. You can also forcibly reload market data
by selecting the Pricing Env menu and then Reload.
Blotter
Running Analysis Reports
•
Risk analysis reports can be
run ‘on-the-fly’ on subsets of
trades selected in the
Blotter. The Analysis combo
box contains the list of all
risk analysis reports. The
Param Set combo box
contains associated report
parameters.
•
To run a risk analysis report,
select the appropriate report
and param set, highlight a
set of trades in the Blotter,
and click Run. The results
will appear in a new window
when the report has finished
running.
Blotter
Positions Panel
•
Bond and futures positions can be loaded in the bottom panel of the trade
Blotter if the Positions box is checked.
Blotter
HELPFUL MENU FEATURES
Blotter Menu
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Trade Columns: Blotter trade Columns can be configured. Over 300 columns to
choose from.
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Export Excel Trades: Export Blotter contents to Excel. You can also export the
contents of any embedded Calypso table to Excel with CTRL+O shortcut key.
Trade
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Any trade panel in Calypso can be launched via the Trade menu.
Edit
•
Select All Trades: Will highlight all trades in the Blotter. Can also highlight all trades
with the CTRL+a shortcut key.
Calypso Training
Trading
Trading a CDS
•
From the Blotter, select either menu Trade > Credit Derivatives >
CreditDefaultSwap, or click the CDS trade speed button, if one is setup.
Trading a CDS
Trade Templates
•
After opening the CDS
trade panel, select a CDS
trade template from the
Template combo box.
•
Trade templates
automatically populate
standard trade details such
as credit events, trade
maturity, notional, holidays
and settlement types.
•
Templates are especially
useful for CDS trades
which require multiple
credit event, reference
obligation, and settlement
fields.
Trading a CDS
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Next, choose a Counterparty using the Legal Entity Chooser.
Trading a CDS
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Select a book from the
Book combo box.
Double click on the blue
Buy/Sell Credit
Protection label to
specify the trade
direction.
The Pay/Rec label on the
premium side of the
trade will change
accordingly.
Specify a currency and
notional amount (default
is 10,000,000.)
The notional amount is
automatically
propagated to the
premium side.
Trading a CDS
•
To select an issuer, click the Select … button to launch the Issuers
dialog. It is possible to search for issuers by either Short Name or Full
Name (long name).
Trading a CDS
•
Select a Reference Obligation by
choosing a product through the
Product Chooser, or double click
the Select Product label and enter
an Identification String.
•
Next, enter trade Start and End
dates. If a date text box is
highlighted red, that date is a
holiday. Calypso will automatically
roll cashflow payment and reset
dates for holidays.
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Next, enter either a fixed premium
rate or double click the blue Fix
label and enter a Floating rate.
•
Enter payment details like payment
frequency and compounding. To
specify a roll date of the 15th, click
on the R Day check box and enter
15 in the adjacent text box.
Trading a CDS
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Enter any trade fees via the Fees tab. Fee information should include Fee
Type, fee direction (Pay/Rec), Amount, fee legal entity, and fee dates. The
Fee Date, Start Date, and End Date should generally be identical.
Trading a CDS
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In the Details tab, enter additional details such as Trader, Trade Date,
Salesperson, and Keywords.
Trading a CDS
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Finally, click Price to generate cashflows (see cashflows tab) and price
the deal.
Trading a CDS
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After building the trade, press F5 or select the Trade menu and then
Save.
Trading a CDS
•
If trade financial details have changed between save attempts, you will
be prompted with the following message. If you reprice a trade prior to
saving, you should not encounter this message.
Trading a CDS
•
After saving, the trade will be in Pending status.
Trading a CDS - Bulk CDS Entry
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CDS hedges for CDS Swap baskets can are created using the CDS Bulk Entry interface.
To access the CDS Bulk Entry interface, go to Trade>Credit Derivatives>CDSBulkEntry.
To load a reference CDS Basket, go to Configure>Basket Trades and select a basket.
The basket loads with a default notional of 10,000,000. To change this amount, go to
Configure>CDS Trade Default Notional and enter a new amount.
Trading a CDS - Bulk CDS Entry
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Once the notional is modified, each issue amount will match those in the basket.
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By right-clicking, counterparties can be assigned through the GUI.
Trading a CDS - Bulk CDS Entry
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To save a CDS hedge, select a counterparty and click Save Selected or Save All.
A unique Trade Id will be assigned to the hedge. The hedge trade can be opened by
double clicking.
Trading a Bond
•
Open the Bond Trade screen. This can be done from the Main Entry GUI (Trade ->
Security -> Bond) or through the Trade Blotter.
•From the Blotter,
select either menu
Trade > Security >
Bond, or click the
Bond trade speed
button. A default
price is shown (taken
from the bond quote).
•Enter the required
trade details (e.g.,
price, quantity or
trade amt, settle date,
counterparty, book).
There is a buy/sell
toggle as well.
Trading a Bond
•
Click Price to generate cashflows (see cashflows tab) and price the deal (or
press F8 to generate cashflows).
Trading a Bond - Bond Products
•
To trade a bond, a
corresponding Bond
product must exist
•
To load an existing bond,
select a Security Code type
(e.g., CUSIP) and enter a
code in the adjacent text
box. Click Load.
•
Clicking Load at the bottom
of the window will open the
Product Chooser.
•
Save: You will be prompted
to enter a bond name. A
quote name will be
automatically generated.
Trading a Bond - Bond Products
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The Bond tab contains
bond definition
specifications including:
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Bond Class (e.g.,
BondAssetBacked,
BondBrady)
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Bond Type (e.g., Generic,
UST, GILT)
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Issue/Maturity dates
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Issuer and country
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Issue price, issue quantity,
and face value.
Trading a Bond - Bond Products
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The Coupon tab contains :
•
Coupon rate (Fixed or
Floating - double click the
label to switch)
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Payment details including:
–
–
–
Holidays
Roll Day
Pmt Frequency
•
The Market and Special
tabs contain market
conventions, and other
special characteristics
•
The Call Schedule, Credit
Events, and ABS tabs
store special information for
corresponding bond types.
Trading a Bond - Bond Products
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CashFlows tab
•
Specify a Val Date, select a
Pricing Env, and click
Generate (flows do not
regenerate if customized
and locked).
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Display: Select the
cashflows you want to
display (interest only, or
principal only.)
•
Forecast flows: Checkbox
to forecast floating flows.
•
Check “Custom Flows” to
customize the flows. The
CashFlow tab will turn red.
Trading FX
•
Choose Trade>FX>FX to
open a FX trade worksheet.
•
Enter Trade and Settle Dates.
•
Double click Buy/Sell to
specify the trade direction.
•
Select Base and Quote
currencies and specify the
base currency amount.
•
Enter Spot Rate. The amount
of the other currency will be
automatically calculated.
Common IRD Trade Parameters
Swap Trade Worksheet
The Swap Leg panel
consists of 3 distinct sections
indicated by colored shading:
• Trade term, principal, float
index or fixed rate,
amortization, interest
computation
• Resets
• Payments
Note: Refer to Calypso’s
‘Interest Rate Derivatives
User Guide’ for a
description of each field in
the panels.
Common IRD Trade
Parameters:
Swap Leg Panel of a Swap worksheet
Swap Detail
Window
• Double-clicking on selected red text in the trade
worksheet will open the ‘Swap Detail’ Window
through which financial attributes may be
modified.
Swap Detail Window
Common IRD Trade
Parameters:
Swap Leg Panel of a Swap worksheet
Term, Principal,
Interest
Rates,
Term, Principal, Rates, Interest:
• Deal term (start, end dates)
• Principal, Currency
• Principal Amortization
• Fixed Rate - or Floating Rate Index/Tenor/Source
• Spread
• Interest Computation
• compounding period
• compounding start
• computation holidays
• payout formula
Common IRD Trade Parameters:
Resetting
Resetting:
Swap Leg Panel of a Swap worksheet
• Averaging
• Frequency
• Weighting/Equal
• Custom/Match
• 1st Reset
• Actual rate input
Common IRD Trade Parameters:
Payments
Payments:
Swap Leg Panel of a Swap worksheet
• Frequency
• Payment Date
• Roll
• roll day
• roll lag
• Payment Daycount
• Payment Holidays
Customizing IRD Cashflows
• On most IRD trade worksheets, the cashflow data may be edited.
• Checking the ‘Customized’ checkbox permits individual cell values to be modified.
Swap Trade Worksheet
Cashflows Panel
• To edit any cell, users click
the cell to change the
existing value.
• Changed values can be
‘locked’ so that changes in
other trade attributes do
now revert the customized
values back.
• Once customized, the
cashflows for the trade will
be saved into the database.
Trade Worksheets – Option Exercise Tab
• ‘Exercise’ related tabs appear for the Cancellable Swap, Extendible Swap, and Swaption
trade worksheets.
Trade Worksheet – ‘Exercise/Settlement’ Tab
• The screen may vary slightly
between product type.
• Defaults for cash settlement
values may be input by product
type into the Main>Static
Data>Reference Data> Cash
Settlement Defaults window.
• When the ‘Rate Source’ field is
left blank, users may enter
multiple reference bank names to
serve as the rate source.
Trade Workflow
Workflow Overview
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Workflows are the framework within with trade lifecycle objects are
handled in Calypso. Trades, payments, and messages each have their
own workflows within which associated objects are processed from
creation to completion. Each lifecycle stage is called a Status. Status
examples include PENDING trades, VERIFIED confirmations, and
SETTLED transfers.
Users move trades, payments, or messages to different workflow
Statuses by executing workflow Actions. For instance, one might
Execute a trade or Settle a transfer.
Calypso can also be configured to automatically move objects between
Statuses using a feature called straight through processing, or STP.
As organizations evolve, workflows sometimes change. However, for
go-live purposes, static trade, transfer, and message workflows will be
in place.
The trade workflow is the foundation of the trade lifecycle in Calypso.
Trade Workflow
Trade Workflow
Trade Booking and Review
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A trade created and saved by the Front Office (FO) begins in Pending
status. When FO executes a trade (by applying the Execute action) the
trade status becomes FO_Confirmed. A trade in FO_Confirmed status
will be active for the purpose of PL reporting.
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The back office (BO) will perform a Verify action on the trade if they
agree with the booking after which the trade status will change to
Verified. In the event discrepancies exist between the booking and
available trade information, the trade will remain in FO_Confirmed
status. When trades reach ‘Verified’ status, associated transfers
(payments), messages (confirmations and payment messages), and
accounting postings will be generated.
Trade Workflow
Workflow Rules and Keywords
•
Validation Rules determine whether an
action can be performed.
•
For instance, in order to Authorize a
trade task (move a trade task from
PENDING and FO_CONFIRMED in
the trade workflow) a trade must
“pass” the
CheckFOConfirmedKeyword workflow
rule.
•
The CheckFOConfirmedKeyword rule
requires that the BookDesk and
BookFolder trade keywords (used by
FO for P&L reporting) are populated.
•
Some workflow rules prohibit a trade
from moving between transitions while
others just give a warning.
Trade Workflow
Amendments
•
When FO amends a Verified trade, the trade status becomes
FO_Amended. In this event, the trade will appear in a BO Task Station
indicating the trade should be reviewed. Task Station is a tool that
allows groups to monitor and perform tasks on different Calypso task
objects.
•
When BO amends a Verified trade, the status becomes BO_Amended
and the trade is then automatically moved (straight through processed)
back to Verified.
Trade Workflow
Terminal Statuses
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When a trade reaches a terminal status, its processing lifecycle is over.
Terminal statuses include Terminated (indicating a terminated trade),
Exercised (exercised option), Matured (trade for which the maturity data
has passed), and Rollovered (used to indicate a rollover on a deposit
trade).
Trade Workflow
Workflow and trade lifecycle
•
To simulate part of the trade
lifecycle, we can book a
trade and move it through
some of the workflow.
•
First I’ll go the trade Blotter
and create a new trade.
Upon saving, the trade will
be in Pending status.
Trade Workflow
On the trade Details
tab, I will select the
AUTHORIZE action and
resave after which the
trade will be in
FO_CONFIRMED
status.
Trade Workflow
Again from the Details tab, I will select the ‘Verify’ action which will move
the trade to Verified status.
From this point, the trade could potentially be Terminated, or upon
reaching the trade end date, Matured.
Trade Workflow - Back Office Window
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To display Back Office operations activity of any trade, select BackOffice>BO Window
From the BOWindow, a trade’s SDIs, transfers, messages (confirmations and pmt
messages), and accounting postings can be viewed.
Much of this information can also be viewed via Task Station.
Risk Analysis
• Calypso offers several tools for the creation of various risk reports
listed below
–
–
–
–
Hedge
Bucket Hedge
Scenario
Reset Risk
– Sensitivity
• Reports can be pre-configured and run automatically via the
Calypso scheduled task feature.
• Risk reports can be re-run on the fly via the Trade Blotter.
Risk Analysis
• Risk Analysis Reports can be selected from the Analysis combo box on the Blotter.
• Parameter sets appear in the adjacent Param Set combo box.
• Parameter sets are used to adjust risk analysis report calculation inputs
• View calculation inputs for
the MRAR_CS01 risk
report by selecting the
Scenario Risk Analysis
report and MRAR_CS01
Param Set, and then
clicking the “…” button
next to the Param Set
combo box.
Never attempt to change any saved report parameters.
Risk Analysis
• To run the report,
select some trades
in the Blotter and
click the Run
button adjacent to
the Param Set
combo box
• The report results
will appear in a
new window.
Risk Analysis
•
Occasionally, report execution exceptions will appear after running on-thefly reports. Such exceptions are almost always the result of missing market
data.
•
To resolve these exceptions, market data needs to be added (presumably
by a market data support group). For instance, if you attempt to run a
Sensitivity report on a CDS trade without a probability curve, an error like
this might appear:
Risk Analysis
Using Filter Sets to add and remove trades
We have already discussed how filter sets can be
used to add and remove trades from the Blotter.
Lets now try a few examples.
Risk Analysis
Selecting Trades by Book
& Product Attributes
•
Populate the Blotter only
with trades in the
CPG_VAN_TOR book.
•
From the Edit menu, click
Select All Trades.
Risk Analysis
• Then from the Blotter
menu, click Remove
Selected Trades to clear
the Blotter
To launch the Trade Selector (Filter Set), click the Add Trades button on
the lower left portion of the panel.
Risk Analysis
•
From the Filter
Set, click the
Attributes button
to launch the
Attributes (filter
set elements)
dialog.
•
Select the ‘Book’
and ‘Product
Type’ Attributes
by using the right
chevrons button.
Risk Analysis
Click OK and notice that the Trade Selector Window now contains the
Book and Product Type attributes.
• To specify all trades in book
CPG_VAN_TOR, click the gray Add
button which will launch a dialog
listing all Books in the system.
• Find CPG_VAN_TOR and click the
right chevrons to select the Book.
Risk Analysis
• Next, click the Add button on
the Product Type row to
launch the dialog listing all
products.
• Select CreditDefaultSwap.
Risk Analysis
• Click the Show Trades button on the Trade Selector to load all
CDS trades in book CPG_VAN_TOR.
Risk Analysis
• To populate the Blotter
with these trades, click
the Select All button on
the Trade Selector.
Risk Analysis
• Let’s also try creating a filter
by trade maturity date.
•
Click the Add Trades button to
launch the Trade Selector.
•
Click the Attributes button and
select the Maturity Date
attribute.
• In this case, the query criteria is a
Date Range.
• Using the Date Range Selector dialog,
enter the range of trade maturity dates
that you would like to capture.
Risk Analysis
Comparing Filter Sets and Trade Filters
•
Trade Filters and Filter Sets effectively function in an identical manner. Both
features are used to query subsets of trades – however, different reports require
different filter types. The existence of two filter primary types is a result of
Calypso’s evolving development – there are no perceptible functional differences
between Filter Sets and Trade Filters. (A third filter type called a Static Data
Filter is generally used for system configuration settings.)
•
Trade Filters are generally used to query subsets of trades for front-office reports
(although not exclusively). Filter Sets are generally used to query subsets of
trades for back-office reports. It is possible to setup identical queries using filter
sets and trade filters.
•
Let’s try to create a Trade Filter based on a Filter Set containing a Trade ID
Range (1010-1500), Book (CPG_VAN_TOR), Product Types (Swaps and
CreditDefaultSwaps), and Book Desk keyword value (ASG).
Risk Analysis
The Filter Set would be set up with the following attributes:
Risk Analysis
• To setup an equivalent
filter using the Trade Filter
window, first specify a
Trade ID range on the
Ranges tab.
Risk Analysis
• On the Product Criteria tab,
select Product Types
CreditDefaultSwap and
Swap.
Risk Analysis
• On the Trade Criteria tab,
select Book CPG_VAN_TOR
and using the second (right)
Keyword Value combo box,
select Keyword Value
‘Book_Desk’. In the adjacent
enabled (white) text box,
enter the keyword value ASG.
• This Trade Filter can now be
used in a scheduled task
which automatically runs a
risk report.
Market Data
• Most market data in the system can be accessed via the Market Data
menu.
Market Data
Pricing Environment
•
The pricing environment specifies
the market data and pricers
(Pricer Config), Quote Set, and
special pricer parameters (Pricing
Params Set) used to value each
product.
•
Because they often use different
curve and quote instances, the
front office and back office will
generally use different Pricing
Environments.
•
To open the Pricer Environment
window, select the Market Data
menu and then Pricer
Environment.
Market Data
Pricer Config
• To open the Pricer Config, select the Market Data menu and
then Pricer Configuration.
• The Pricer Configuration defines what pricer to use for different
products.
• Market data items (curves, volatility surfaces, etc.) used to
price trades are set in the Pricer Config.
• You can also launch instances of market data item windows
(e.g., curve windows) directly from the Pricer Config.
Market Data
Example, Discount Curve tab
• Contains zero curves used as discount curves.
Market Data
Example, Volatility Surface tab
• Contains volatility surfaces
Market Data
Credit Curve tab
• Contains credit curves (probability and recovery)
Market Data
Quote Sets
•
Quote sets provide price and rate quotes for market-traded instruments,
currencies, exchange rates, and interest rate indices. Quotes are used to
value trades, price portfolio instruments, and generate other market data
like curves.
Market Data
Pricing Parameters
•
Pricing Parameters
provide additional
settings for pricing
models. For instance,
setting the
NPV_INCLUDE_CASH
parameter to true will
include cash in NPV
calculations.
•
To access the Pricing
Parameter window
select the Market Data
menu and then Pricer
Configuration.
Market Data
• Certain pricing
parameters can also
be viewed and
toggled via the Pricer
Params tab on the
bottom of trade
panels.
Market Data
Curve Underlyings
•
Instruments used to
generate curve points
are called curve
underlyings.
•
Curve underlyings
include MoneyMarket,
Futures, Bonds, Swaps,
etc.
•
To see curve
underlyings, go to Main
Entry>Market
Data>Underlyings.
Market Data
Curve Setup
•
Curves can be setup via the
Market Data > Curves menu.
•
For instance, to setup a zero
curve, select Market Data >
Curves > Curve Zero.
•
You can click Load to modify an
existing curve or click new to
create a new one.
•
From the Definition tab, you can
select a curve currency, index,
tenor, interpolator, and curve
generation algorithm. If you want
to create your curve based on
instruments, select “Generate from
instruments.”
Market Data
•
In the Underlying panel,
select the underlying
instruments from which
your curve will be
constructed. Select the
instrument type (for
example, Money
Market, Future, Swaps).
•
The list of instruments
appears in the left
window. Select the
appropriate instruments,
and move them to the
right side by clicking the
right pointing chevrons.
Market Data
• In the Quotes panel, enter the quote values for each of your curve
underlyings.
Market Data
• From the Points panel, click Generate to create your curve
Market Data
• Finally, from the Graph tab you can view your curve.
Market Data
•
To save the curve, click Save and give the curve a name.
•
You can load or query saved curves based on curve Currency,
Index/Tenor, Name, Instance, Date/Time.
Market Data
•
The curve will not be
used unless added to
the Pricer Config.
•
From the Pricer Config
Discount Curves tab,
you can add the zero
curve by selecting
–
–
–
Currency
Products for which the
curve is to be used
Index/tenor/curve
name
and then clicking Add.
•
The curve will now be
contained in the
Discount Curves list
box.
Market Data
•
Depending on the
Pricer Config
specified in your
Pricer Environment,
the curve added to
your Pricer Config will
automatically be used
when relevant trades
are opened or saved.
•
By double clicking,
you can also launch
market data item
windows directly via
the Market Data Tab
on the bottom of the
trade panel.
Market Data
Probability Curve Setup
•
Probability Curve setup is similar to the zero curve setup just described.
•
To load an existing curve from the Definition window, click Load to open
the curve selection dialog. Using this dialog, specify curve details
including Currency, Legal Entity (issuer), Seniority, etc.
Market Data
•
The probability curve
Definition tab contains all
curve specifications except
for underlyings and
associated CDS spread
quotes.
•
Definition tab information
includes Currency, Issuer,
Seniority, whether or not the
curve is simple or derived
(Generate from Instruments
check box), curve generation
algorithm, the associated
zero (riskless) curve, a Base
Credit Curve (if any),
Recovery Rate, and
Interpolator.
Market Data
•
Like the zero curve,
the Underlyings tab is
used for selecting
CDS underlying
instruments.
•
Clicking the Show
Only Selected
Issuer’s Underlyings
check box will limit
the selectable
underlyings to only
those associated with
the Issuer specified
on the Definition tab.
Market Data
•
Again like the
zero curve, the
Quotes tab is
used for
specifying CDS
underlying quote
spread values
•
The Points tab
is used for
generating the
curve points
•
The Graph to
view the curve.
Market Data
Market Data
Market Data
•
When a CDS trade with an
Issuer matching that of a
probability curve stored in
the Pricer Config is opened
or loaded, the trade
automatically uses that
probability curve.
•
And like the zero curve
demonstration, the curve
instance can be launched
from the trade via the
Market Data Tab on the
bottom of the trade panel.
•
If a market data item on the
trade MarketData tab turns
yellow, this indicates that a
real-time modification to the
curve has occurred.
•
To refresh all market data
on a trade, select the
Pricing Env menu and then
Reload.
Market Data
•
Volatility Surfaces for
Swaptions, CapFloors, and other
products can be created in
Calypso.
•
To open a Volatility Surface,
select Main Entry > MarketData >
Surfaces > VolatilitySurface3D.
•
The volatility surface Definition
tab contains all surface
specifications except for Tenors,
Expirations, and Strikes. Fields
include Currency, Index,
Generator, vol surface type, and
others.
Market Data
• On the Offsets tab,
select Tenors,
Expirations, and
Strikes (for simple Vol
Surfaces).
Market Data
•
•
Finally, the Points tab
shows the generated vol
matrix.
For simple vol surfaces,
volatilities can be entered
directly into the surface
Reports
• Calypso contains several out-of-the box reports useful for quickly
querying trades, transfers, messages, and postings. I’ll just cover
a few of those reports. Most of the reports share the same basic
interface features.
• Report templates can also be created and saved in Calypso.
Report templates store report configurations, including report
parameters and custom column configurations. Most report
results can be exported to Excel, HTML, or text files. Many
reports can be setup to run automatically via scheduled task.
Reports
Trade Report
•
To open the Trade Report from Main Entry, select Reporting > Reports >
Trade Report.
•
The Trade Report displays information about saved trades. Most of the
information available in the Trade Report can also be accessed via the
Trade Blotter.
•
Trade Report parameters include Val Date (only trades with a trade date
preceding the Val Date will appear), the Undo Date which will load an
instance of a trade from the trade audit trail as of the Val Date, the Trade
Filter, and a specific Trade Id. The performance difference between the
Load and Fast Load buttons is ambiguous.
Reports
Trade Report
•
There are over 300 configurable columns on the Trade Report (Utilities menu >
Configure Columns…) and report parameter configurations can be saved as a
Template.
Reports
Audit Report
•
The audit report provides a history of changes to trades, static data, system configuration
settings, and some back office process tasks. Effectively, any change to the system will be
saved in the Audit Report along with the time of the change and the login name of the user
that made the change.
•
Audit Report queries can be refined based on system component, user, the date of the change
to the object, or the object id. TD will also deploy custom trade audit and legal entity audit
reports based on the standard Calypso model.
Reports – Back Office Reports
Transfer, Message, Posting, Task
• To open the back office reports from Main Entry, select Reporting
> Back Office > (and the relevant back office report).
• Back office reports can be used to query transfers, messages and
Task Station tasks outside of the Task Station.
• The Posting Report can be used to query postings (which are not
included in Task Station).
• The basic query template is similar for all of these reports. Fields
like object Start and End dates, Trade Ids, Product Types, object
workflow status, and Filter Sets can all usually be specified.
Reports – Back Office Reports
Transfer, Message, Posting, Task
•
For instance, open the Transfer report and in the Product Family text box select
‘CreditDefaultSwap’. Click Load. Since no other parameters are specified, the
report will load every existing transfer in the system for CreditDefaultSwaps.
•
To further refine the report by payment date, you could add a Start and End
Date. Additionally, the report parameters could be saved as a template.
Reports – Cashflow Reports
•
The Cash Flow Report displays expected cashflows based on saved trades.
•
To access the Cash Flow report, select Main Entry > Reporting > Cash Flow
Report. The report results can be refined based on a trade filter, specific trade
Id, cashflow start and end dates, and currency. In the event of trade
amendments, the Undo Date button will display the cashflow as of the historical
trade configuration stored in the audit trail.
Trade Lifecycle Menu
• There are a number of
trade ‘lifecycle’
functions that can are
performed via the Trade
Lifecycle menu.
• Lifecycle functions generally perform expected
processes upon trades that have reached the
‘live’ or ‘VERIFIED’ status.
• Many of Lifecycle functions initiate Back
Office processing of data.
• Workflow Monitoring (Task Station) is also
part of the Lifecycle menu.
• Several Lifecycle functions are relevant only
for certain product types.
Trade Lifecycle – Daily and Periodic Functions
• Trade Lifecycle functions relevant to IRD trades generally fall into two categories:
those that are performed daily and those that are performed periodically.
Daily IRD Trade Lifecycle Functions
• Portfolio Manager
• Introduction
• EOD
• MTM postings
• Rate Reset
• Option Exercise/Expiry
Periodic IRD Trade Lifecycle Functions
• Manual Postings
• Cancellation
• Termination
• Early Termination
Daily Lifecycle Functions: Portfolio Manager
• The Portfolio Manager allows the user to carry • Two types of valuations
out a valuation at any time on a set of trades.
may be performed:
Portfolio Manager Window
Trade Valuation: Calculates
the NPV and Accrual for
each trade in a portfolio.
Position Valuation:
Calculates the NPV,
Accrual, Open Quantity,
Open Position, Realized,
and Net Position (sum of
the realized and
unrealized on the position
or the global Mark-toMarket of the position )
for trade activity by
Trading Book.
• Static Data Filters and Trade Filters and may be applied to filter input data and
Trading Book Hierarchies may be applied to organize the report results.
Daily Lifecycle Functions: Rate Reset
• The Rate Reset application allows
the user to perform manual rate
resets on any type of floating rate
deal in the system.
• The Rate Reset Window is split into
three panels:
• The All Resets panel gives you
a summary of all the rates in the
system for your chosen period.
• The Trade Resets panel shows
you only the indices for which
saved trades require resets
within your specified period.
• The Trade Flows panel lets you
calculate your individual trade
flows.
Rate Reset Window
• Resets may also be carried out
automatically via a Scheduled Task.
• Rate resets get stored in the Quote Set
of the selected Pricing Environment
Trade Lifecycle - Price Fixings
•
The Price Fixing Window
works like the Rate Reset
window, except for Bond
quotes. Publish price fixings
via this window to generate
TRS transfers.
•
The Window has two panels.
–
The Prices panel gives a
summary of all the Prices in
the system for the chosen
period.
–
The Trade Flows panel
shows only the indices for
which saved trades require
Prices within the specified
period.
Daily Lifecycle Functions: Option Exercise/Expiry
• The Option Exercise Window is used to view option trades and their underlying
instruments and to exercise cash-settled and physically-settled options.
• Users may also
view the exercise
settlement amount
for cash-settled
options
Option Exercise Window
Periodic Lifecycle Functions: Cancellation/Termination
• The Terminate function is available for certain products for which product
termination calculations have been defined.*
Trade Lifecycle
•
Choosing Back Office > Terminate from
a trade worksheet will automatically
show the corresponding trade in the
Termination window.
Repo Trade Worksheet
Terminate Window
• The Terminate window is used for terminating open term trades.
• CFD Trades are terminated in a special window.
• Process Trades can also be used to Cancel or Terminate trades.
* Products that are routinely terminated in the marketplace are equipped with this property in Calypso.
Periodic Lifecycle Functions: Manual Postings
• This functionality allows
the user to create manual
postings.
• Manual postings can be
generated in relationship to
an existing trade, one of
several event types, an
existing posting, or without
respect to any existing data
Manual Posting Window
Trade Lifecycle – Credit Events
Overview
•
Calypso captures credit events, such as changes in the credit rating of an issuer,
in order to apply them to the appropriate credit derivative trades.
•
The Credit Event window allows you to capture credit events. After capturing the
credit event, you can search for affected trades and manage these credit events.
•
Credit events are changes in credit rating or one of the ISDA-specified credit
events such as a bankruptcy or a failure to pay. Credit ratings are dated, like
curves. Thus it is possible to trace the full history or credit rating changes over
time.
•
Credit events which are entered into the Credit Event Window can be used to
terminate or partially terminate a Credit Default Swap, CDSNthDefault, or
CDSNthLoss trade.
•
When a stored credit event is applied to a potentially affected trade, the effect of a
trade termination or partial trade termination can be observed in the trade.
Trade Lifecycle – Credit Events
Creating
•
Information captured on the
Edit tab includes the
reference issuer, seniority,
and credit event type.
Other information like the
reference obligation type
and recovery rate can also
be specified.
•
When an event is added, a
blue record will appear in
the embedded table. It is
necessary to save the
added event.
Trade Lifecycle – Credit Events
•
•
•
•
After an event is saved, search for trades
affected by the credit event using the Browse
tab. Generally, this means searching for
CDS, Nth to Default, and Nth Loss trades
which reference the issuer for which the
credit event occurred.
To search for affected events, specify a
Reference Issuer, Seniority, Event Type, and
Event Date range and then click Search for
Affected Trades.
Select trades to which to apply the credit
event and then click ‘Apply to Selected
Trades.’
The notional and cashflows on CDS, Nth to
Default, and Nth Loss trades will update
automatically. However, there is no
automation in Calypso around the processing
of credit event payments.
Trade Lifecycle – Credit Events
Single name CDS trades
affected by the credit
event will be terminated
while the component
issuers in Nth to Default
and Nth Loss trades will
turn yellow.
Trade Lifecycle – Rollovers
Overnight Funding
• Overnight funding tickets
use the Simple MM trade
type. The start day of
the trade should be
entered as today and the
end date as the next
business day.
(427,239,266.35)
(62,305.73)
(427,301,572.08)
Principal
Interest
Final Amount
Trade Lifecycle –Rollovers
• The Rollover window allows users to roll forward money market and FX trades.
Using the Rollover function the next day, funding tickets will be updated.
• Note that only trades that start on or before the valuation date and end on or after
the valuation date will be loaded.
• Trades can be selected through either a Trade Filter or a specific trade ID.
Trade Lifecycle –Rollovers
• Once the rollover is
applied, the status of
the original trade is
automatically set to
“Rollovered”.
Trade Lifecycle –Rollovers
• Rollover history can be viewed from both the original trade and the new
trade. From a Simple MM trade, select Backoffice > Rollover History.
Position Keeper Window
• Position reports permit configuration
of the displayed columns.
• The aggregation by Book attribute
can also be modified for a report.
Standard Columns
Aggregation
Accounting Book
Common
Book
Accrual Realized
Amount
CUSIP
Current Mkt
Price
Nominal
RGA
Product Id
Global Position
Currency
Realized
Quantity
Clean Realized
P&L
DebtSeniority
Accrual
Local
Unrealized
Description
Break Even
Average Price
Repoable Position
ISIN
Position Keeper Features
•
The system does not just present raw numbers. It enables the user to:
• See their positions at different nodes in the book hierarchies drill down
using a book hierarchy to see which books (and hence trades) are
responsible for changes in position.
• Look at positions as of trade date or settle date.
• Switch between “theoretical” positions or “actual” positions that take
failures into account.
• Look at the balance on each date or the changes from day to day.
• Drill down from the daily aggregate number to see each of the individual
movements and whether they are due to trade settlements, coupon
repayments, option exercises, repo terminations, return of collateral,
closeout of loans etc.
• Inspect any position to see how much is due to simple trading (buying
and selling), security lending and borrowing, or repos and reverse repos.
This view also indicates how much of the position is not available for
resale.
Trade Lifecycle – Corporate Actions
•
The Corporate
Action product
supports
Corporate Actions.
•
It is used
extensively for
processing bond
coupons.
Task Station
• Most lifecycle processing of trades, payments and messages
(including confirmations and payment messages) occurs in the
Task Station. Task Station can also be used to monitor errors that
occur during processing.
• Different Task Stations will eventually be setup for the lifecycle
processing of trades, payments and messages. For the purpose
of this demonstration, I’ll just be using one Task Station
containing tabs the processing of trades, payments and
messages.
Task Station
• Within each Task Station tab are tasks corresponding to statuses
in the trade, message, and transfer workflows.
• Tasks can be placed Under Processing by users effectively
locking access to that task. To unlock a task, or move a task out
of the Under Processing state, click Free.
• Once a task is Under Processing, a user can move that task to a
different status in the workflow.
Task Station
•
For instance, under the transfers tab are several Pending transfer tasks – each
corresponding to a transfer in pending status in the workflow. If I place the task
Under Processing and then select the Action menu, I can move the transfer to a
Verified status by applying the Approve action (actual actions and statuses may
differ).
Task Station
• Tasks can be loaded in Task Station based on Start and End
Dates. These dates mean different things for different task
types.
• For trade tasks, the Start and End load tasks based on trade’s
last amendment date.
• For transfer tasks, the Start and End load tasks based on the
payment date attached to the transfer.
• For message tasks, the Start and End load tasks based on the
message creation date or message update date (for instance,
confirmation update date).
Task Station
•
Task Station has menus and right click options for task and trade research.
For instance, if you wanted to search for tasks corresponding to a certain
trade you could select Find > Find Trade and then enter the Trade ID.
Task Station
• Using the right
click menu option
from any task
record, you can
view a trade, SDIs,
transfer flows,
messages (e.g.
confirmations),
contact
information, and
view trade audit
information.
Task Station
• The bottom panel of each Task Station tab contains additional
information regarding transfer, message, and task specific
information such as payment amount and SDIs.
• Using the Utilities menu, the contents of any Task Station can
also be exported to Excel.
Static Data
• In Calypso, Static Data is entered and managed
through the Main>Static Data Menu.
Static Data – Legal Data Menu
• Legal Entities: Represents an
independent business unit within your
organization, or an independent business
unit outside your organization.
• Contact Personnel: Names and addresses
of the LE’s contacts.
• Attributes: List of user definable values
that can related to an LE. Attributes can be
used to control processing of workflow,
accounting, and scheduled tasks.
• Settlement and Delivery Instructions
(SDI’s): Defines how payments are to be
made to and received from this LE.
Legal Entity - Roles
•
A Legal Entity will have one or more ROLES such as: agent, broker, calculation agent, counterparty,
investor, issuer, processing organization, …
•
A Processing Organization (PO) is a unit of our organization and each has its own specific set of
processing rules
•
A Legal Entity is further defined by contacts, credit rating, legal agreement, attributes, message set-up,
settlement and delivery instructions (SDI) and netting method
Legal Entity - Roles
•
Processing Org
•
•
•
•
•
•
“Us”’, the user of the Calypso System.
Maintains G/L accounts
Always on one side of the trade
Owns trading books
Placed on one side of a deal through it’s trading book
Counterparty
An organization with whom you trade - Your internal and external trading partners must be
designated as Counterparties.
•
Agent
An organization to whom or from whom cash or securities will move – custodians, clearing
houses and cash correspondents are agents. When you define your settlement instructions,
you can add agents for your organization and for your counterparties.
•
Broker
A broker in any type of deal - In the trade entry worksheets, you can add fees paid to brokers.
Legal Entity - Roles
•
Calculation Agent
Used for interest rate derivatives deals - The calculation agent is the party who acts as the
referee in the event of a disagreement about a deal's rate reset or other payment detail The calculation agent will be designated in a legal agreement such as an ISDA agreement.
• Issuer
The issuer of a debt issue - Used in the Issuance Trade window.
•
IPA
An issue-paying agent for debt issuance - Used in the Issuance trade window.
•
Trustee
The trustee for a debt issue
•
Investor
A purchaser of a debt issue - Used in the Issuance Trade window.
Static Data – Legal Entity Contacts
• Contacts are people
within the your LE
organizations
(Processing
Organizations) and at
external Legal Entities
(counterparties, agents,
etc.) who send and
receive payments and
confirms and act as
your contacts in all
trade-related activity.
• They serve mainly to
provide information on
messages/advices, and
payments.
Static Data – Reference Data Menu
• Books (Trading)
• Trade Filter
• A set of search criteria that is used to load
or target sets of trades.
• It has the same function as a trade
‘portfolio’ by providing a specific ‘view’
of the organization’s trades.
•
Filter Set
• Generally used to specify which data from
the database is to appear on reports.
•
Static Data Filter
• Used to control Back Office operations
processing and to configure user views.
Trade Filter
•
Used in the Portfolio Manager, the Position Keeper and in running Risk
Analyses.
•
Created and managed through:
– Main Entry > Static data > Reference data > Trade Filter
– Main Entry > Trade Viewer (Trading …) > Portfolio > New
•
Trade Filters are saved and retrieved by name.
•
Filter criteria includes:
– Date/Time minimum and maximum parameters
– Product attributes
– Trade attributes
– Other …
•
May defined as an SQL statement or through modification of the SQL statement
produced through entry of data into filter fields.
•
Parent-child hierarchy can be defined where child filters include criteria from
parent trade filters.
Filter Sets
• Used in the Workspace as an Exclusion Filter.
• A query on the database, to request specific data on
reports.
• Some overlapping function with trade filters, only more
general.
• Created and managed through:
– Main Entry > Static data > Reference data > Filter Set
Static Data Filters
• Used to control Back Office operations processing and to
configure user views.
• Typically applied in advance as part of the Back Office
operations initial set-up.
• Almost identical to a Filter Set, slight differences in criteria
choices.
• Like Filter Sets, defined in part by where it is used.
• Created and managed through:
–Main Entry > Static data > Reference data > Static
Data Filter
Trade Filter Parent Hierarchies
•
Each Trade Filter may have a Parent Trade Filter selected for it through the
Parent drop-down menu.
•
By selecting its parent, a Trade Filter becomes part of a hierarchy of 2 or more
filters. Any Trade Filter which has a parent (or more than one parent if it’s
parent filter(s) also has a parent and so forth) does not select trades solely by
the criteria defined within it.
•
Instead, application of Trade Filters with parents will select trades using its
criteria combined (logically AND’d) with the criteria of all of the Trade Filters in
the hierarchy above it as implied by the parents chosen for each.
Static Data – Products Menu
•
The Static Data > Products menu permits
users to enter (multiply-traded) product
definitions which may be referenced in
trade worksheets (Ex. Futures trades) or
as underlying instruments for the
generation of curves/surfaces.