Credit Market Data Window

To enter a trade for the selected curve / tenor. The trade can be created using a default template if you have selected one from Trade Util > Configure Default Template. If you have configured a default template then also the trade gets Trader/Sales names from user defaults.

Trades can be populated with default settlement information if specified using Calypso Navigator > Configuration > Credit Derivatives > CDS Settlement Matrix.

See Utilities menu for details.

Select a formula cell to copy.

Select a formula to paste.

See Utilities menu for details.

Opens Curve Underlyings window. Help is available from that window.

Displays the selected curve in the Curve Window. Help is available from that window.

This allows you to quickly base a Dependent curve off a Base curve.

For example, say you have the following curves: FORD_SU, FORD_SECD, FORD_SUB, FORD_LT2, FORD_T1, and FORD_UT2.

In Credit Market Data, you can select FORD_SECD and choose Set Dependency. Now you can specify the Base curve as FORD_SU and after that specify the spread in additive or multiplicative fashion.

Opens the Curves Util window to show the current spreads in the Graph.

Opens the Curves Util window to show the historical spread of the 5 year point on a graph. The user can select the start date and end date to see the graph.

Opens the Multi Chart Window Forward Data to display the curves with different forward tenors, and comparison of the forward curves with spot curve.

You can also customize the look of the graph by changing the text format or color. The graph can be printed or saved as an image file.

Calculates the changes of tenor for the selected rows.

Create a new curve based on the selected curve. You will be prompted to select an issuer and a seniority level.

The application automatically generates a name for the curve using the format: <Currency>­_<IssuerShortName>_<Seniority>_<RestructuringCode>

The new curve appears in the Credit Market Data window.

The system automatically adds the curve to the pricer configuration associated with the selected pricing environment.

Click this to get a complete list of configurable columns such as issuer name, seniority, rating values, user, quotes for underlying instruments (e.g. CDS), etc.

Opens Sort Columns window to allow you to rearrange the columns display.

Opens the Credit Curve Filter Dialog which allows filtering which market data you want to display. Click on a row to add filter values from the relevant list which will appear to the right of the table.

Allows you to configure columns of the tree view.

This checkbox menu item lets you specify whether the template configuration is public or private. Saving a public template in the Credit Market Data window will give other users access to those templates.

A private template will be accessible only by logging in as the user who created that template in the first place. Access to non-private templates can be defined in the Group Access panel of the Access Permissions window (Calypso Navigator > Configuration > User Access Control > Access Permissions window).

 Please refer to the Calypso Security User Guide for a more detailed treatment of access permissions.

This function is no longer supported.

For defining custom columns.

You can configure your columns, sort order and filter and save the configuration under a name.

Loads a previously saved configuration of column/sort/filter combinations.

Deletes a previously saved configuration of column/sort/filter combinations.

Closes the Credit Market Data window.

This checkbox enables a Tree View as the default setting.

Use this to define a sort order to sort by multiple columns. To sort by any single column, double-click on the column header.

Select which speed buttons should appear in the Credit Market Data window.

They will appear along the top of the window.

Enter the number of fixed columns.

For example, if you enter 3, then the first 3 columns in the credit curves blotter remain fixed when you scroll.

If you resize the Credit Market Data window, choose this function to adjust the credit curves table.

Select one of the following modes for viewing and editing quotes. The curve must be set with the LAST instance or the pricing parameter use_bid_ask must be set to true.

The Mid is the average (ask, bid).

Spread = Ask - Bid. If you change the spread, the mid stays constant and:

New Ask = Mid + Spread / 2

New Bid = Mid - Spread / 2

Enter the fee precision.

Enter the spread precision. It will round to Nearest.

Enter the recovery rate precision.

Sorts according to your sort configuration.

When you select Add Curve, the Choose Value Dialog window opens to let you add an existing curve to the credit curve blotter/credit market data window (PricerConfig). Select the curve type and click OK.

This will open the Selection window. Set the parameters to load the existing curve.

 Ⓘ   [NOTE: The curve will also be added to the pricer configuration of the selected pricing environment]

Select a row and then select Remove Curve from the Market Data menu to remove an existing curve from the credit curve blotter/credit market data window.

 Ⓘ   [NOTE: The curve will also be removed from the pricer configuration of the selected pricing environment]

A separate instance of the curve will be saved with Instance_type = 'Close'. For example, the trader may be looking at the Instance_Type = 'Last' in the Credit Market data. But when using Save as Close, the curve will be saved as Instance_type = 'Close', which can be used for End of Day revaluations.

Opens Pricing Environment window.

Updates window with latest changes.

Updates selected curves.

Saves quotes from the selected curve to the quote set.

Propagates selected curve.

Check this option to retain the curve shape. This allows you to change a cell, but update the entire row by the same factor. For example, if the 5y point is 65, and it is updated to 67, it will update all other points by the same factor 67/65.

Lets you select curves to apply shift. These can be set dynamically.

This allows you to quickly base a Dependent curve off a Base curve.

For example, say you have the following curves: FORD_SU, FORD_SECD, FORD_SUB, FORD_LT2, FORD_T1, and FORD_UT2.

In Credit Market Data, you can select FORD_SECD and choose Set Dependency. Now you can specify the Base curve as FORD_SU and after that specify the spread in additive or multiplicative fashion.

Applies to curves with “Has Upfront Fee” checked in the CDS curve underlying instrument.

Choose this menu item to toggle whether the curve is running with the spread or running with the spread + upfront fee.

The application highlights the curve when a change occurs. You can include the column “Has Upfront” in the blotter to see whether the curve includes the upfront fee.

To set a default trade template. You will be prompted to select a default template.

Lets you configure the CDS Quick Entry window.

The default is trading.CDSFrame.

When you right-click a curve and choose Buy Protection or Sell Protection, the selected quick entry window will appear instead of the trade worksheet.

Enter the default notional amount that will be used when you right-click a curve and choose Buy Protection or Sell Protection.

Opens the Legal Entity window to let you add an Issuer.

Online help is available in this window.

Opens Issuers window to let you search for an Issuer. Enter the name of the issuer, hit [Enter] to see the whole list, or enter the first letter of the name of the issuer to see all issuers beginning with that letter.

Use the Configure button to define a list of issuer attributes which can be used to filter the results.

Check this if you wish to be notified of changes to the market data you have in your blotter. When curves that are in your blotter get updated in the database, the corresponding rows will turn yellow and show the updated values.

Enter the percentage of spread movement that should trigger a warning.

Enter the percentage of recovery movement that should trigger a warning.

Exports the credit curve blotter data to Excel.

 Ⓘ   [NOTE: You can use the shortcut [Ctrl+O] to export the data to Excel]

Not currently supported.

To monitor the progress of loading the curves. Shows the total number of curves and loading curves in multiple steps.

Explains how to enter a formula for different tenors directly in their definition cells.

Type the name of the new ticker.

Select the currency of the entity (e.g. curve) that this ticker will be associated with.

Select the name of the Issuer that this ticker will reference.

Select the seniority of the reference obligation.

Opens the Product Chooser window to permit selection of a default reference obligation to be associated with the ticker.

When a ticker with a reference obligation is applied to credit market data or credit-based trades, the reference obligation associated with the ticker serves as the default reference obligation of the curve or trade.

The reference obligation of a credit curve, associated through the assignment of a ticker:

The reference obligation of a trade, associated through the assignment of a ticker:

The reference obligation as assigned through a ticker may be overridden on a trade through the Reference Obligation Select button.

Click the Domain button to open the Ticker Keyword Domain window for the addition of new Ticker Keywords.

See Ticker Keywords for details.

Double-click within the Value field next to a keyword enter a value for the keyword.

At the Credit Market Data window, you can view the keywords in the table. Choose Credit Market Data > Configure Columns to add and position the keyword and Ticker columns in the table.