Portfolio Swap Definition

Select the processing organization. The processing organization is a legal entity with the role ProcessingOrg.

Choose PROVIDER or USER.

The provider receives trading commissions on buy and sell trades. The user pays the trading commissions.

Each contract must have one provider and one user.

Select the counterparty of the contract.

Select a particular market type or ALL. Selecting a particular market type enables the Location field and provides an option for specifying values.

See Regions section below for information on defining regions.

Specify the start date of the contract.

Specify the end date of the contract.

Select the currency used for all types of settlements (Performance, Funding, Dividend, Commission, etc.). All individual trades booked under the same contract will use the same settlement currency.

Usually, the settlement currency is the same as the funding rate index currency.

Select the FX Conversion method for multi-currency positions (underlying security currency is different from the contract settlement currency).

Select one of the following options:

If you select Effective Date, please select Effective Date for Trading Gain Pay Method as well.

Select the method of liquidation to be applied on all trades/positions booked under the contract.

It is recommended to use FIFO.

Average Price liquidation is supported with the following constraints:

Select the method for paying commissions to the provider of the contract.

Select the method for paying the trading gain.

Select the method for paying dividends.

If checked: Basic Interest charges (service charges) are paid by the user of the contract according to the funding schedule.

If unchecked: no Basic Interest charges are to be paid by the user.

If checked: the Cash Collateral tab is added to the Portfolio Swap Contract window (click on the Cash Collateral tab for details). Cash collateral measures are generated for the position aggregations on the contract level.

If unchecked: the Cash Collateral tab is disabled and no cash collateral measures are generated.

You can select the type of underlying product supported for this contract or All for all product types.

Available product types are specified in domain "PFSContractUnderlying".

Select the method to determine the settlement lag:

Click to add new attributes. Attributes are displayed in the Attributes pane. A value can be added for each attribute.

Choose the performance payoff schedule.

Select a payoff frequency, a roll day for weekly and monthly frequencies, stub rule, and period rule.

The Period Rule can be ADJUSTED or UNADJUSTED to determine if the end date of a payoff period is adjusted when it falls on a non-business day (applicable with BUS lag payment). Other options include FRN and MAT_UNADJUSTED.

For the fixing date lag, the default is zero business days.

Specify the number of days to offset the payment, whether the payment is based on business or calendar days, holidays, and date roll.

Check to define a different funding rate for long positions in the Long Rate Index tab and short positions in the Short Rate Index tab, or clear otherwise (the funding leg defined in the Long Rate Index tab applies to both Long and Short positions).

Select Fixed or Float.

Enter the percentage rate when Leg Type is Fixed.

When Leg Type is Float:

For example, select DLY for daily compounding rate indices.

Use Observation Shift Period - When checked, it includes an Observation Shift that allows shifting the whole Sample Period in addition to the Reset Dates, such that the weights of any given daily fixing remains the same.

Check Compounding to enable compounding and specify the following fields as needed.

Frequency - It is set to the reset frequency. For WK/BIWK/LUN, you can select Original or Regular. Difference between Original and Regular (Example for a 3M swap paying MONTHLY compounding WEEKLY):

Compounded cashflows with reset frequency higher than payment frequencies for IBOR rate indices is supported with Compounding Method = NoCmp.

Cutoff Lag - Only available for DLY frequency. You can enter a number of days for the cutoff lag, bus / cal days and holidays.

Sample Timing - Only available for DLY frequency. Select BEG_PER / END_PER.

Method - The only available method currently available is NoCmp. A cashflow is created at the compounding period without actually compounding the interest. The daily rate resets for the floating rate are used to calculate the simple interest everyday and summed to find the total interest for the period.

Diff. Reset Date - Check to generate the reset dates based on the coupon frequency. It uses the index tenor otherwise.

Multiplicative Spread - Check "Multiplicative Spread" so that the spread over the rate index is multiplicative rather than additive.

Specify the day-count convention.

Daycount defaults to the day count of the Rate Index.

See Calypso Navigator > Help > Day-Count Conventions for descriptions of the day-count conventions.

You can select NONE for no discount, or EXP for exponential interest calculation.

 Ⓘ   [NOTE: The EXP discount method is only supported for contracts with Date Calculation Method = Independent]

Select the payment frequency and configure Roll On day and Payment At options. Roll On Day can be set by the user to generate desired compounded cashflows dates.

Select the rule to apply in case of a stub period and configure the stub rule as needed.

Select an adjustment method.

Specify the number of days to offset the payment, bus / cal days, holidays and date roll.

If checked, the notional to be used for the basic interest, funding and borrow charge calculation is the current day notional. It means that the interest accruals on the start date correspond to 1 day of accrual.

If unchecked, the notional used for the basic interest, funding and borrow charge calculation is the previous day notional. There is no accrual on the start date.

If checked: Cash margin call position is included in the funding flow calculation. The funding is paid by the user of the portfolio swap contract regardless of the direction of the position.

If unchecked: Cash margin call position is not included in the funding flow calculation.

If checked: Borrow charge flows are paid by the user of the portfolio swap contract on short positions.

If unchecked: Borrow charge flows are not paid.

If checked: Funding spreads can be edited at trade level for all trades associated with the contract.

If not checked: The contract information is used to calculate the funding spreads.

When the first version of the country grid is saved, the version number defaults to 0.

You can click to create a new version of the existing rules. In this case, the existing rules are duplicated and the version number is increased.

When a trade is created, the latest version of the rules is used and is stored in the trade keyword PortfolioSwapPositionSpreadVersion.

Select the country of the product or Any.

Click ... in the Security field and navigate the Product Chooser window to select a product, or leave as Any.

The start date of the period to which the country grid applies.

The end date of the period to which the country grid applies.

Enter the default commission rates for trade activity. The commission rate is applied to all trades booked under a particular portfolio swap contract. The Long Commission is paid/received on buy trades. The Short Commission is paid/received on sell trades.

A fee of type COMMISSION is computed upon saving the portfolio swap trades.

Enter the dividend retrocession rate applied on long and short positions. Receivable Dividend is the percentage of the dividend received by the processing organization on a long position. Payable Dividend is the percentage of the dividend paid by the processing organization on a short position.

Enter a funding spread to be applied on long positions.

Enter a funding spread to be applied on short positions.

Enter a Borrow Charge Spread to be applied on the user's long positions. In the Corporate Action calculation, the Borrow Charge Spread is added to the Borrow Charge Rate for calculating the Borrow Charge accrual and CA amount.

Select a margin call contract that applies to the portfolio swap contract.

 See Creating a Margin Call Contract for details on defining and creating a margin call contract.

The start date of the period to which the ratios apply.

The end date of the period to which the ratios apply.

Enter the initial margin ratio used in margin call measures calculation.

Enter the maintenance margin ratio used in margin call measures calculation.

Enter the pre-agreed % for cash withdrawal used in cash balance measures calculation.