Defining Funds

Enter a name to identify the fund throughout the system.

It populates the Legal Entity Full Name.

Displays the fund's name.

The system creates a legal entity with roles ProcessingOrg and CounterParty for the fund. It uses this name as the legal entity short name and full name.

Enter an account number for the fund. This is optional.

Enter the fund’s tax id number. This is optional.

Select whether the fund is Internal or External.

Select the fund's currency.

Select the asset class of the fund.

These values come from the domain UnitizedFund.subtype.

Select the distribution policy:

Enter the cut-off time for pricing. It defaults to 11:59 PM.

It is for information purposes only and is not used to determine NAV date when subscribing to a fund.

Select the reference timezone for the cut-off time. It defaults to the timezone selected in the User Defaults.

Enter the number of days between the trade date and the settlement date in the form T+<number of days>.

Enter the first quote date of the fund. It defaults to today's date.

Enter the first date that the fund reports returns. This could be "Start Date +1" if the fund reports daily returns, or it could be "Start Date + n" if the fund reports monthly returns. It defaults to "Start Date +1".

Enter the maturity date of the fund as needed. The fund may be open-ended.

The fund units may be redeemed on the maturity date according to the selected redemption type. The maturity date may later be extended on the fund.

Select the redemption type: At Value, At Par, or Guaranteed Par.

Typically, a fund that pays regular dividends will be redeemed at par. Certain funds include a principal protection provision. Such funds will also redeem at par.

Select Guaranteed Par if the fund should redeem at the higher of the two values: At Value or At Par.

Select the default product code. It will be displayed by default in the trade window. It defaults to the product code selected in the User Defaults.

You can click to specify product code values.

See Setting Product Code Values for details.

Enter the face value of one unit of the fund. It is designated in the fund's currency.

Example: If the unit size of a fund is 100 USD and you buy 1000 units, the nominal position is 100,000 USD.

Enter the number of decimal places of the units.

Displays the latest number of units as recorded in the Unit Schedule panel, and neither the cumulative number of units nor the remaining number of units.

See Unit Schedule Panel for details.

Displays the current number of assets under management as recorded in the AUM panel.

It can be updated using the scheduled task AM_EOD_AUM_UPDATE.

 See AM_EOD_AUM_UPDATE Scheduled Task for details.

If checked, dividends accrue daily and are paid at the end of the dividend period.

You can define the dividend period in the Daily Dividend Definition panel. The dividend rate is based on the quote "Fund.<fund name>.DailyDividend". You need to set this quote every day of the dividend period.

You can also define a rebate in the Rebate Definition panel.

Using the Corporate Action window, you can generate the corporate actions based on the Dividend History panel, and apply the corporate actions to the positions.

The checkboxes "Guaranteed" and "Performance" are disabled in this case.

If checked, dividends are guaranteed based on a rate index.

You can define the rate index in the Guaranteed Dividend Definition panel, and the actual dividend schedule in the Dividend History panel.

Using the Corporate Action window, you can generate the corporate actions based on the Dividend History panel, and apply the corporate actions to the positions.

The checkbox "Daily" is disabled in this case.

If checked, dividends are based on the fund's performance. Performance dividends can be paid in addition to guaranteed dividends or independently.

You can define the actual dividends in the Dividend History panel.

Using the Corporate Action window, you can generate the corporate actions based on the Dividend History panel, and apply the corporate actions to the positions.

The checkbox "Daily" is disabled in this case.

You can click ... to select a benchmark, and a secondary benchmark if desired, for analysis purposes as needed.

Benchmarks are created using Configuration > Asset Management > Benchmark from the Calypso Navigator.

See Defining Benchmarks for details.

You can also link a benchmark to a portfolio instead of an individual fund.

See Portfolio Hierarchy for details.

For lookthrough of external funds, the constituents of the external fund are represented in Calypso by a benchmark. In this context, the benchmark is not actually used as a benchmark for relative performance, but rather just to describe the external fund constituents.

 See Lookthrough for details on external fund lookthrough.

Click ... to select a constituents benchmark.

Benchmarks are created using Configuration > Asset Management > Benchmark from the Calypso Navigator.

See Defining Benchmarks for details.

You can select a risk free rate index as needed.

You can select a benchmark rate index as needed.

To do so, select the type RateIndex. Then select the rate index and enter a spread as needed.

Enter the number of decimal places of the fund's price.

The rounding method is NEAREST.

Enter the number of decimal places of the fund's cumulative price.

The rounding method is NEAREST.

Enter the number of decimal places of the fund's daily dividend price.

The rounding method is NEAREST.

The id is given by the system upon saving.

Enter the class name.

Select the class currency. It defaults to the fund's currency.

Enter the class start date. It defines when the class is opened.

Enter the class end date. It defines when/if the class is closed.

Enter the number of trading units of the class. It defaults to the fund's unit size.

Enter the number of decimal places of the class price.

Click to set product codes for the class as needed.

Enter a class description as needed.

Not currently used.

Not currently used.

The id is given by the system upon saving.

Enter the series name.

Select the share class.

For the main series, do not select anything.

For a sub series, select the main series.

Enter the series start date.

Enter the series end date.

Enter the number of trading units of the series. It defaults to the fund's unit size.

Enter the number of decimal places of the series price.

Click to set product codes for the series as needed.

Enter a series description as needed.

Not currently used.

Not currently used.

Displays the valuation date of the ratio.

Select the owner (investor or other investment vehicle). An owner is defined in Calypso as a legal entity with role Investor.

Enter the percentage of ownership.

Select Pending or Validated. This field is optional and for information purposes only.

The Rolled status is displayed, along with the latest available ownership in the past, when ownership was entered on a previous day with no entry thereafter. Once an ownership ratio is set to 0 it will not be further rolled.

Note that setting an ownership ratio to 0 will close the lookthrough positions, however to completely close the original unitized fund position, the unitized fund trade must also be closed.

Displays the date entered.

Displays the source type: Manually Keyed if entered manually, or Imported if done by scheduled task.

Displays the source of the ratio, either the user name who entered it, or the source as defined in the CSV file.

Select the payment frequency.

Select whether the payment lag is in business days or calendar days. The default value is Bus for business days.

Enter the number of days between the dividend date and the payment date.

It defaults to the spot days associated with the fund's currency.

Specify the holiday calendar(s) to use when calculating the payment date.

Specify the date roll convention to roll non-business days.

From the Calypso Navigator, navigate to Help > Date Roll Conventions for descriptions of the date roll conventions.

Specify the day count convention to determine the number of days in a dividend period.

From the Calypso Navigator, navigate to Help > Day-Count Conventions for descriptions of the day count conventions.

Enter the day of the month on which the dividend period starts and ends.

Select the adjustment method of the dividend period:

Select the payment frequency.

Select whether the payment lag is in business days or calendar days. The default value is Bus for business days.

Enter the number of days between the dividend date and the payment date.

It defaults to the spot days associated with the fund's currency.

Specify the holiday calendar(s) to use when calculating the payment date.

Specify the date roll convention to roll non-business days.

From the Calypso Navigator, navigate to Help > Date Roll Conventions for descriptions of the date roll conventions.

Specify the day count convention to determine the number of days in a rebate period.

From the Calypso Navigator, navigate to Help > Day-Count Conventions for descriptions of the day count conventions.

Enter the day of the month on which the rebate period starts and ends.

Select the adjustment method of the rebate period:

All payment frequencies are supported except ZC. This defaults to and is driven by the index tenor.

Specify whether the payment lag is in business days or calendar days. The default value is Bus for business days.

Specify the number of payment lag days. The default is the spot days associated with the fund currency, as defined in the currency definition.

Specify the holiday calendar(s) to use when calculating the payment date. The default is the Pay Holidays specified in the rate index definition.

Specify the date roll convention to roll non-business days.

From the Calypso Navigator, navigate to Help > Date Roll Conventions for descriptions of the date roll conventions.

Specify the day count convention to determine the number of days in an interest period.

From the Calypso Navigator, navigate to Help > Day-Count Conventions for descriptions of the day count conventions.

The reset frequency must be more frequent than the payment frequency. The default is driven by the payment frequency.

Specify whether the reset lag is in business days or calendar days. The default value is Bus for business days.

Specify the number of reset lag days. The default is the Reset Days specified in the rate index definition.

Specify the holiday calendar(s) to use when calculating the reset date.

Check to apply compounding.

Select the compounding frequency if compounding is selected.

To copy and paste into cashflow cells.

Select a cell, type [Ctrl+C], then select another cell and type [Ctrl+V]. The content of the first cell will be pasted into the second cell.

To add a cashflow.

Right-click a row and choose Add. The selected row will be split between two rows. The first one will be one day long, and the second one will fill the remaining term of the original period. You can edit the periods as applicable.

To remove a cashflow.

Right-click a row and choose Remove. The selected row will be removed.

To define an amortization schedule for the principal.

This menu item requires customized cashflows.

Right-click one or multiple Notional cells and choose Scheduler. It will bring up the Scheduler Notional window. You can select a Step-Down, Equal Principal, or Annuity structure.

Not applicable.

Not applicable.

Not applicable.

To lock a customized column.

Right-click a customized column and choose Lock Column so that the values will not be overridden when the cashflows are generated.

A locked column will show a star to the left of the column heading.

Note that cashflows columns which are locked but not modified will cause the corresponding fields to be outlined in blue in the trade worksheet.

To lock all customized columns.

To unlock a locked column.

Right-click a locked column and choose Unlock Column to unlock it.

To unlock all locked columns.

When cashflows have been customized, choose Recalc to display the cashflows without overriding unlocked columns.

To generate the cashflows.

Note that if you have customized the cashflows, you should not choose Generate if you have not locked the columns that contain modified values, because those columns will be overridden. You should instead choose Recalc.

To select and organize the displayed columns.

To save the column configuration.

To export the cashflows to an Excel spreadsheet.

To export the cashflows to an HTML page.