Computing Periodic Fees

It is possible to compute periodic fees on all the components of a credit facility.

1. Setup Requirements

1.1 Fee Definition

From the Calypso Navigator, navigate to Configuration > Fees, Haircuts & Margin Calls > Fee Definition.

Enter the Fee Type/Name, Role, Fee Offset, etc.

Select the fee calculator "Periodic". The details of the calculation will be defined in the fee grid.

1.2 Fee Grid

From the Calypso Navigator, navigate to Configuration > Fees, Haircuts & Margin Calls > Fee Grid.

Define the calculation rules for the periodic fee using the Trade Fee Grid.

An example is presented below for a 1% Periodic Fee:

1.3 Date Rule

At Credit Facility / Credit Tranche / Credit Drawdown level, the user can attach a periodic fee by adding that fee as a "trade fee" in the Fees panel.

When a Periodic Fee is added to the Fees panel of the Trade, the system displays a Date Rule field where the user can enter the fee frequency (predefined through a date rule).

An example is presented below for a Credit Tranche:

2. Periodic Fees Generation

Periodic Fees transfers (and posting) are triggered by the scheduled task OPEN_MATURITYPROCESS, one business day before the fee payment date.

The scheduled task attribute "Include Product With Maturity" must be set to true to generate the Periodic Fee.

The scheduled task works with the current system date (not the val date).

3. Accounting Events

The following accounting events are available for Periodic Fees.

Accounting Events	Description
<PERIODICFEENAME>	Book the Periodic Fee Amount. This event is triggered by VERIFIED_TRADE, TERMINATED_TRADE and CANCELED_TRADE. It is a Fee Related Accounting Event. The PERIODIC_FEE accounting event is generated by the accounting engine as soon as the periodic fee flow is created through the scheduled task OPEN_MATURITYPROCESS.
<PERIODICFEENAME>_AM	Book the linear amortization (or accrual) for the Periodic Fee over the Fee Period (Fee End Date – Fee Start Date). This is a Fee Related Event, triggered by TRADE_VALUATION and CANCELED_TRADE. This type of accounting event is generated by the scheduled task EOD_TRADE_VALUATION.

Accounting Events

Description

Book the Periodic Fee Amount.

This event is triggered by VERIFIED_TRADE, TERMINATED_TRADE and CANCELED_TRADE.

It is a Fee Related Accounting Event.

The PERIODIC_FEE accounting event is generated by the accounting engine as soon as the periodic fee flow is created through the scheduled task OPEN_MATURITYPROCESS.

<PERIODICFEENAME>_AM

Book the linear amortization (or accrual) for the Periodic Fee over the Fee Period (Fee End Date – Fee Start Date).

This is a Fee Related Event, triggered by TRADE_VALUATION and CANCELED_TRADE.

This type of accounting event is generated by the scheduled task EOD_TRADE_VALUATION.