Capturing Portfolio Swap Trades

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

The counterparty's role is displayed next to the counterparty field. Double-click the label to change the role.

You can select a legal entity of the specified role provided you have set up favorite counterparties. 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.

Favorite characters are specified using Utilities > Configure Favorite Counterparties.

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

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

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

You can select a book provided you have set up favorite books.

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 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 the Enter key.

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

The internal and external reference can be set on the Details tab of the Trade worksheet.

You can select a template from the Template field to populate the worksheet with default values. Modify the fields as necessary.

Enter the trade date. Double-click the plus sign (+) to make Trade Time and Current options available. Select the Current checkbox to use the current date and time.

The contract is automatically displayed based on the Processing Organization of the selected trade book, the counterparty, and the trade date.

If several contracts have the same Processing Organization and Counterparty, no contract will be chosen by default. The user will be able to select the contract from a list of contracts active at trade date.

 Ⓘ   [NOTE: There must be a saved Portfolio Swap contract whose legal entities and roles match those selected in the trade window before you can select the contract in the Portfolio Swap Contracts search window]

You can click to view the contract details.

Effective date of the underlying contract.

End date of the underlying contract.

The commission fee rate in bps defaulted from the underlying contract. The user can override the default value.

Commission pay method of the underlying contract.

Accruals payment at liquidation method for the underlying contract.

Trading gain pay method of the underlying contract.

Settlement currency of the underlying contract.

FX conversion method of the underlying contract.

Direction of the leg from the Processing Organization's perspective. Select either Pay or Receive.

Select the underlying product.

You can click to view the underlying details.

Enter the number of shares.

Enter the negotiated trade price.

Calculated by the system. In the case of Embedded Commission Pay Method, the commission rate / price is included in the Initial Price. In any other case, the Initial Price is equal to the Gross Price. This price is used to calculate the first payoff of a swap.

Displays the current market price.

When the settlement currency is different from the contract currency, you can set the initial FX rate in this field.

This field is displayed when the settlement currency is different from the contract currency and the FX Conversion Method is Compo. It is defined as the initial price converted into settlement currency using the Initial FX Reset of the trade.

When the settlement currency is different from the contract currency, the FX Reset Reference as defined in the underlying contract is displayed here.

Displays the performance payoff schedule of the underlying contract.

Displays the dividend payment schedule of the underlying contract.

Pay or Receive. The selection is based on the performance leg's direction.

Initial funding notional in pricing currency. Pricing currency is underlying the underlying security currency for the Flexo conversion method. Pricing currency is settlement currency for the Compo conversion method.

Displays the value entered in the contract

Borrow charge rate of the underlying contract.

The borrow charge rate can be seen in the Trade Browser in the following columns:

Fixed or Float (based on the underlying contract).

For a fixed leg, displays the fixed rate of the underlying contract by default.

You can click to enter a fixed rate schedule.

Displays the funding spread of the underlying contract by default using the latest version of the country grid. You can see the version number in the trade keyword PortfolioSwapPositionSpreadVersion. If you customize the spread at the trade level, the version number is increased and prefixed with "-" to indicate it is customized.

You can click to enter a spread schedule if the contract allows.

The spread as of trade start date can be displayed in the Trade Browser in the column "SettleDateSpread".

For a floating leg, select the rate index: currency, reference index, tenor, and source (from the underlying contract).

You can also set the following parameters:

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Spread (%) - You can click to enter a spread schedule.

Displays the daycount from the underlying contract.

Displays the coupon schedule from the underlying contract.

Displays the funding payment frequency from the underlying contract.

Displays the stub rule defined in the underlying contract.

Displays the period rule from the underlying contract.

Select a Trader.

Click ... to add new traders. You will be prompted to enter a new trader name.

Select a Sales Person.

Click ... to add a new sales person. You will be prompted to enter a new sales person name.

Shows the action currently performed on the trade based on the workflow configuration.

You can select an action that will be applied on the trade upon saving as applicable.

Status of the trade.

Select None, Primary, Re-Issue, Secondary, or When-Issued.

Click ... to select a subsidiary. The Legal Entity Chooser will appear. You will prompted to select a legal entity for the role of subsidiary.

Transferor from a Step-In Novation done through DTCC.

Click ... to select a calculation agent. The calculation agent is the party who acts as the referee in the event of a disagreement about a payment detail. The calculation agent will be designated in a legal agreement.

Enter a comment as applicable.

See Portfolio Swap Mirror Trades.

Enter an internal reference for the trade as needed.

It can be used for reporting purposes, and you can search trades using their internal reference throughout the system.

You can set the environment property AUTO_FEED_INTERNAL_REF to true to automatically populate the internal reference with the ID of the original trade for trades created through partial termination and novation, else with the trade ID.

Enter the fee amount for a flat fee only (method NONE). Otherwise, the amount will be calculated with the designated method.

Select a fee calculation method and click Calc to calculate the fee. Keep in mind that the NONE method does not require calculation.

When defining a fee type, you can select a default fee calculator.

Click ? for information on a given method.

Start Date and End Date will be set to the Fee Date, unless you choose to amortize the fee over a given period.

Allows you to enter a fee for a given date when you choose to amortize the fee over a give period.

Enter a fee with a known date and click Add. A fee row will be added for the date. The known date must be between the start and date.

To generate the cashflows.

 Ⓘ   [NOTE: If you have customized the cashflows and not locked the columns containing modified values, you should not choose Generate, because those columns will be overridden. You should choose Recalc instead]

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

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 on a row and choose Add. The selected row will be split between two rows. The right one will be one day long, and the second one will fit the remaining term of the original period. You can edit the periods as applicable.

To remove a cashflow.

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

To add or remove compounding periods.

These menu items require customized cashflows and a compounding trade. Then you can add or remove compounding periods.

To define an amortization schedule for the principal.

Right-click one or multiple Notional cells, and choose Scheduler. It will bring up the Scheduler Notional window.

To lock a customized cashflow.

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

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.

To select and organize displayed columns.

To save the column configuration.

To export the cashflows to an Excel spreadsheet.

To export the cashflows to an HTML page.