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Application Overview
Trade Viewer
Trade Viewer
Trade Viewer Parameters
Trade Viewer
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
Blotter
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.
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
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
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.
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 Environments market data.
Additionally, if you open and price a trade
via the Blotter, the results will be based on
the Pricing Environments 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.
If the Pricing Environments 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.
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
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
Trade Columns: Blotter trade Columns can be configured. Over 300 columns to
choose from.
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
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
Trade templates
automatically populate
standard trade details such
as credit events, trade
maturity, notional, holidays
and settlement types.
Trading a CDS
Trading a CDS
Trading a CDS
Trading a CDS
Trading a CDS
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
In the Details tab, enter additional details such as Trader, Trade Date,
Salesperson, and Keywords.
Trading a CDS
Finally, click Price to generate cashflows (see cashflows tab) and price
the deal.
Trading a CDS
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
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.
Once the notional is modified, each issue amount will match those in the basket.
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).
To trade a bond, a
corresponding Bond
product must exist
Issue/Maturity dates
Holidays
Roll Day
Pmt Frequency
CashFlows tab
Trading FX
Choose Trade>FX>FX to
open a FX trade 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
Term, Principal,
Interest
Rates,
Averaging
Frequency
Weighting/Equal
Custom/Match
1st Reset
Actual rate input
Frequency
Payment Date
Roll
roll day
roll lag
Payment Daycount
Payment Holidays
Cashflows Panel
Trade Workflow
Workflow Overview
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
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.
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
Trade Workflow
Amendments
Trade Workflow
Terminal Statuses
Trade Workflow
Workflow and trade lifecycle
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.
To display Back Office operations activity of any trade, select BackOffice>BO Window
From the BOWindow, a trades 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
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.
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
Risk Analysis
Risk Analysis
Selecting Trades by Book
& Product Attributes
Risk Analysis
To launch the Trade Selector (Filter Set), click the Add Trades button on
the lower left portion of the panel.
Risk Analysis
Risk Analysis
Click OK and notice that the Trade Selector Window now contains the
Book and Product Type attributes.
Risk Analysis
Risk Analysis
Click the Show Trades button on the Trade Selector to load all
CDS trades in book CPG_VAN_TOR.
Risk Analysis
Risk Analysis
Lets also try creating a filter
by trade maturity date.
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
Calypsos 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.
Lets 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
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
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.
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
Market Data
Market Data
In the Quotes panel, enter the quote values for each of your
curve underlyings.
Market Data
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.
Market Data
Currency
Products for which the
curve is to be used
Index/tenor/curve
name
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
Market Data
Market Data
The Graph to
view the curve.
Market Data
Market Data
Market Data
Market Data
Market Data
Market Data
Reports
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.
To open the back office reports from Main Entry, select Reporting
> Back Office > (and the relevant back office report).
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.
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.
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.
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.
Terminate Window
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.
(427,239,266.35)
(62,305.73)
(427,301,572.08)
Principal
Interest
Final Amount
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
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.
The Corporate
Action product
supports
Corporate Actions.
It is used
extensively for
processing bond
coupons.
Task Station
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 trades
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
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
Processing Org
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.
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.
Filter Set
Generally used to specify which data from
the database is to appear on reports.
Trade Filter
Used in the Portfolio Manager, the Position Keeper and in running Risk
Analyses.
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
Each Trade Filter may have a Parent Trade Filter selected for it through the
Parent drop-down menu.
Instead, application of Trade Filters with parents will select trades using its
criteria combined (logically ANDd) with the criteria of all of the Trade Filters in
the hierarchy above it as implied by the parents chosen for each.