CDS - Curve Underlying

 

Before you begin

• Create issuers using Configuration > Legal Data > Entities from the Calypso Navigator.

 

Creating a CDS Underlying

Create an underlying representing a Credit Default Swap for an issuer and different tenors. The quotes are the market spreads for each tenor.

» Select a currency at the bottom of the window.

You can click Load to load any existing underlying.

» Click New to create a new underlying.

Complete the fields described below.

» Click Save to save the underlying. It is given a unique ID by the system, and is displayed in the table.

 

The system creates quote names like "CDS.<Currency>.<Issue>.<Seniority>/<Tenor>/<Restructuring type>", and if "Has Upfront Fee" is checked additional quote names like "CDS.<Currency>.<Issue>.<Seniority>/<Tenor>/<Restructuring type>/FEE".

Example "CDS.USD.BLOOMBERG.SENIOR_UNSECURED/3M/NR".

 

Fields Details

Fields Description

Issuer

Select the issuer.

Tenor

Select one or multiple tenors.

Currency

Displays the currency selected at the bottom of the window.

Ticker

Optional. Click ... to select a ticker.

A ticker is a combination of currency, issuer, seniority, and reference obligation used as selection criteria – You can create tickers from the Probability Curve window, or Credit Market Data window.

Seniority

Select the seniority.

Restruct

Select the restructuring type:

• NR – No Restructuring
• R – Standard Restructuring
• MR – Restruct Mat Limit and Fully Transferable Obligation
• MMR – Mod Restruct Mat Limit and Conditionally Transferable
• NR14 – No Restructuring, with 2014 ISDA provisions
• R14 – Standard Restructuring, with 2014 ISDA provisions
• MR14 – Restruct Mat Limit and Fully Transferable Obligation, with 2014 ISDA provisions
• MM14 – Mod Restruct Mat Limit and Conditionally Transferable, with 2014 ISDA provisions

Frq

Select the frequency.

DayCount

Select the day count convention.

DateRoll

Select the date roll convention.

Hol

Select the holiday calendar to define the business days.

Start Lag

Define the start offset in business or calendar days.

Roll Maturity

Roll the maturity to the 20th of the month, quarterly, or semi-annual months.

Stub

Select the rule to apply in case of a stub period:

• LONG FIRST
• LONG LAST
• SHORT FIRST
• SHORT LAST

Period Rule

Select the period rule:

• ADJUSTED – Adjusts the period’s end date if it falls on a non-business day, according to the payment date roll convention. Rolling the end date adjusts the period length, so a rolled date changes the interest amount.
• UNADJUSTED – Does not adjust the period’s end date for non-business days.
• MAT_UNADJUSTED – Adjusts the period’s end date if it falls on a weekend unless it is the last period (maturity), in which case it is not adjusted. Thus the adjustment method may affect intermediate interest amounts, but it does not change the maturity date.

Has Upfront Fee

If you check “Has Upfront Fee,” you can enter two quotes for the curve underlying, the spread plus a fee. The second quote appears when you select the curve underlying in the curve application. Note that the second quote is currently not used by our generator.

Fee Lag

You can enter a number of days lag for the upfront fee, and select whether the lag is business days or calendar days.

 

Scheduled Task for Updating Roll Maturity

The scheduled task UPDATE_CURVE_UNDERLYING can be used for bulk updating the roll maturity of CDS curve underlyings and regenerating the curves.

Task Attributes

• UNDERLYING TYPE – Select the underlying type: CDS, Generic CDS, or Fixed Coupon CDS.
• UNDERLYING CCY – Select a currency as needed to be updated, or leave blank to update all.
• ROLL FREQUENCY – Select the roll frequency: SA or QTR.