Capturing Equity Structured Option Trades

The first two fields in the worksheet identify the trade counterparty.

You can select a legal entity of specified role from the first field provided you have setup favorite counterparties. Favorite counterparties are specified using Utilities > Configure Favorite Counterparties. Alternatively, double-click the Cpty label to set the list of favorite counterparties. You can also type in a character to display the favorite counterparties that start with that character.

Otherwise, click ... to select a legal entity of specified role from the Legal Entity Chooser.

The second field identifies the trade counterparty’s role. The default role is specified using Utilities > Set Default Role. However, you can change it as applicable. Alternatively, double-click the CounterParty label to change the role.

Trading book to which the trade belongs. Defaults to the book selected in the User Defaults. You can modify as applicable.

You can select a book provided you have setup favorite books. Favorite books are specified using Utilities > Configure Favorite Books. Alternatively, double-click the Book label to set the list of favorite books.

Otherwise, click ... to select a book.

The owner of the book (a processing organization) identifies your side of the trade.

Current status of the trade. The status is automatically assigned by the system based on the workflow configuration.

The status will change over the lifetime of the trade according to the workflow configuration and the actions performed on the trade.

Unique identification number of the trade. The trade id is automatically assigned by the system when the trade is saved.

You can load an existing trade by typing the trade id into this field, and pressing [Enter].

You can also display the internal reference of external reference. The default trade reference to be displayed can be selected in the User Defaults.

The internal reference and external reference can be set in the Details panel of the trade worksheet.

You can select a template from the Template field to populate the worksheet with default values. Then modify the fields as applicable.

The dates will be saved as relative in the trade templates only if the dates are entered as tenors.

Effective Date should be a tenor compared to the valuation date.

Expiration Date should be a tenor compared to the effective date.

Premium Pay Date should be a tenor compared to the effective date.

Trade settlement date should be a tenor compared to the expiration date (defined in trade settlement date lag).

An automatic roll will be applied on the Effective Date, Expiration Date and Premium Pay Date. The roll convention will be set as FOLLOWING in the trade template.

Effective Date and Expiration Date will use the calendar of the Exchange.

Premium Pay Date will use the calendar of the underlying currency.

Select the Payout.

Based on the payout, you will be prompted to select additional details.

Select BUY or SELL from the perspective of the processing org.

The amount of an option can be represented in units of underlying (Quantity) or Notional.

Check "Performance Based" to specify the amount in notional, or clear "Performance Based" to specify the amount in quantity.

Enter the number of shares for a non performance-based trade.

Enter the notional for a performance-based trade.

Select the notional currency for a performance-based trade.

Select the FX rate reset for a performance-based trade. FX rate resets are defined from the Calypso Navigator using Configuration > Foreign Exchange > FX Rate Definitions.

Enter the start date. Start time - Enter Start Time. The Effective Date and Time is in Expiry time zone.

Enter the last exercise date for American or Bermudan options, or the exercise date for European options.

You can double-click the Expiration Date label to specify view additional parameters:

Enter the option price in units or percentage.

Displays the premium amount.

It generates a fee of type PREMIUM by default. Otherwise, you can specify the type of the fee in the domain EquityStructuredOptionPremiumType.

Select the settlement currency of the premium.

Enter the FX rate if the premium settles in a different currency.

Select the underlying: It can be an equity, an equity index or a basket. You can also type in the underlying's name.

You cannot select a basket underlying for the payouts Chooser and Compound.

 Ⓘ   [NOTE: A performance-based trade does not accept baskets weighted in quantity as underlying]

 Ⓘ   [NOTE: Only baskets of equity and equity index are supported]

You can click Product Info to view the details of the underlying.

Displays the type of underlying.

Displays the currency of the underlying.

Choose a roll convention to be applied on basket components when defining the fixing date/s. The roll convention will be the same for all basket components but the Holiday of each component (defined on the Exchange level) will be respected separately.

This field is no longer used. You can select an equity reset or set the fixing price in the Resets panel.

See Resets Details for more information.

Select whether the payment occurs in cash or physical delivery.

 Ⓘ   [NOTE: Physical settlement on ESO with Basket or Equity Index underlying is not supported. Physical settlement on Performance based ESO with any type of underlying is not supported]

Displays the currency of the underlying equity, equity index or basket.

Specify the trade date lag for calculating the delivery date. The default value is 2 business days following the expiration date. To modify this value, click … to define the date lag adjustment.

Displays the payment date for a European style option. You can modify as needed.

Select the option type: PUT or CALL.

Enter the strike price of the option in units. You can also enter a percentage of spot.

Select the exercise style.

You can enter the first exercise date in the First Ex Date field. It defaults to the effective date of the trade.

You can enter the exercise dates in the Bermudan Dates field. It brings up the Bermudan Dates dialog.

Click to add a date row then edit the start and end dates as needed. Repeat for each exercise date.