Warrant Product Definition

Name given by the user when the Warrant or Certificate is saved.

Unique id given by the system when the Warrant or Certificate is saved.

Select a product class: Warrant or Certificate.

The class cannot be changed once the product is saved.

Options for Warrant: CBBC, Capped, CurrencyWarrant, Exotic, IndexWarrant, InstalmentWarrant, InternationalWarrant, InvestmentWarrant, MINI, Quantofixe, Quantovar, TradingWarrant, or Vanilla. By default, the field type is set to "TradingWarrant".

For Certificate, the only option is Exotic.

Select CALL or PUT. This field is available only for Warrants.

Select a type of exercise: American, European, or Bermudan.

Enter the Warrant strike.

This field is available only for Warrants.

The value represents the exercise price.

This field is available only for Capped Warrants.

The Strike 2 value represents the cap level.

Select the type of price: Price, PriceC, or CleanPrice.

Available for Warrants (expect Exotic, Quantofixe, Quantovar, and Vanilla).

The checkbox indicates whether or not the warrant is covered.

A covered warrant, unlike a regular warrant, is issued by a financial institution and not the company that issued the underlying security. Usually the underlying shares are placed in a trust.

[NOTE: No processing is associated with this field; it is just for information.]

Select the type of underlying product.

For Currency Warrants, the underlying must be a currency pair.

If the underlying product is managed in Calypso, click ... and select a product with the Product Chooser window. Following the selection, the code and description are displayed.

For the products not managed in Calypso, the description must be entered by the user. This field is editable if the underlying product type belongs to the domain Warrant.UnderlyingEditable or Certificate.UnderlyingEditable.

For the products managed in Calypso, a double-click on the underlying description opens the window of the related product.

This field is editable only for the products not managed in Calypso.

For the others, this field displays the currency of the underlying product.

This field is editable only for the products not managed in Calypso, or products that have no exchange place (e.g. FX, Basket).

For the others, this field displays the exchange place of the underlying product.

Enter the issue date.

Enter the Announcement date.

Fixed maturity date.

For open end maturity warrants, such as MINI, this field is not mandatory.

Maturity date expressed as Tenor relative to the issue date.

Number of days prior to Maturity Date in which the warrant is no longer traded.

Only applies to MINI. When a MINI is knocked out, the issuer can buy back the MINI during the buy-back period. The period starts at the knock out date and usually last several business days.

The warrant can only be sold to the issuer at the Remaining value, which is calculated as:

Remaining Value = (Stop Loss Termination Price - Current Price) / Conversion Price

Click Observation Dates to enter the different notification and maturity dates. This screen allows generating a range of dates depending on a frequency. It also allows adding specific dates.

All these dates will appear in the Trade Diary report.

Enter the total face amount of the issue.

Enter the minimum nominal tradable. Default value = 1.

Enter the expiry size. Default value = 1.

Enter the nominal tradable beyond the minimum trading size. Default value = 0.

Enter the issue price.

This field is only editable if the Price Type is "PriceC" or "CleanPrice". Enter the price with the variable nominal. Default value = 1.

Enter the face value variation.

Only used for warrants that have a nominal different from the face value.

Select the delivery type in case of exercise/assignment of the product. The options include Cash, Mix, Not Known, and Physical. The default value is Cash.

[NOTE: For International Warrants, the Delivery Type field defaults to "Physical".]

Select the settlement currency. The default is the underlying currency.

[NOTE: For International Warrants, the Currency field defaults to the currency of the “Underlying to deliver”.]

Tick the checkbox for products eligible for automatic expiry / exercise / knock out by dedicated scheduled task.

Tick the checkbox to use an average price as the final reference level. If the box is ticked, the Average Price Schedule tab will be enabled.

Instead of using the final closing price or an average final price, a warrant can use a special quote as the final reference level. At expiry / exercise, the warrant is settled against the special quote.

Available for Currency Warrant, Index Warrant, International Warrant, and Trading Warrant.

Field can only be selected if the Settlement currency is different than the Underlying currency.

Select Quanto or Compo.

Only available for International Warrants. Specify the equity to deliver if the warrant is "in the money" at expiry.

Tick the checkbox if the warrant is eligible for ordinary dividends, in which case, the corporate action module will generate a CASH Dividend CA.

For Quanto, enter an FX Rate. For Compo, select an FX Reset.

Select the quantity of warrant to exercise (From) to obtain a quantity of underlying (To).

Enter the settlement date for trades on the Primary/Grey Markets.

If the field is left blank, the settlement date of the Primary trades will be the Issue Date.

Number of days to calculate the settlement date of trades on the Secondary Market.

Don’t forget to setup calendar(s) on the Market Place.

Number of days to calculate the settlement date of trades generated at maturity.

Name of the Issue Paying Agent for a new issue. The agent should be previously created as a Legal Entity with the role IPA.

The Issue Paying Agent will be used for issuance trades.

Double-click on the Issue Paying Agent description displayed in red to open the Legal Entity screen.

Name of the Calculator Agent for events. It should be previously created as a Legal Entity with the role Calc_Agent.

Only for information at the moment.

Double-click on the Calculator Agent description displayed in red to open the Legal Entity screen.

Name of the Guarantor. It should be previously created as a Legal Entity with the role Guarantor.

Double-click on the Guarantor description displayed in red to open the Legal Entity screen.

Select the country in which the product issued belongs.

Enter here a Static Data Filter. The goal is to have a workflow rule which will alert the user in case of trades with a non-allowed counterparty.

Click ... to select a Static Data Filter.

Click the heading of this field to create a new Static Data Filter or to modify an existing Static Data Filter.

Range of dates when the product can be used in the system.

Tick this checkbox to capture the coupon characteristics. It is editable only for Certificates.

Then, click ... to open a new screen.

The coupon characteristics will be captured as a bond (with a dedicated class = BondCertificate) linked to the Certificate. The main fields are initialized (Issue Date, Dated Date, Maturity Date, Total Issued, Face Value, Issuer, Country) and the Comment displays the Name and the Id of the Certificate.

Help is available from that window.

Select the exchange where the product is issued.

Choose the Issuer.

Select a Product Code.

Click Codes to specify code values using the Code Window.

Select a status for the product.

Enter a comment as applicable.

Click Templates to select a template operation.

Click Attributes to bring up the Attributes Window.

Tick the checkbox if the warrant has a barrier.

Select IN or OUT.

Select UP or DOWN.

Enter an absolute value to represent the barrier level.

For simple knock out warrants, the barrier level is usually equal to the strike price.

Select CLOSING or CONTINUOUS. CLOSING is set as the default. In terms of processing, the monitoring type does not impact the settlement.