Capturing Repo Trades

Select a processing organization for which the trade defaulting applies.

You can also check the "ALL" checkbox next to the Processing Org field to apply the trade defaulting to all processing orgs.

Click ... next to the Legal Entity field to select the counterparty for which the trade defaulting applies.

You can also check the "ALL" checkbox next to the Legal Entity field to apply the trade defaulting to all counterparties.

Select a product family, SecurityLending or Repo.

Only applies to Security and Trade Currency Defaulting.

Select a product sub-type, or set this field to match the Product Family field to include all of its sub-types.

Enter the effective date of the trade defaulting.

Click ... next to the PO Children field to select the children of the processing org for which the trade defaulting applies.

You can also check the "ALL" checkbox next to the PO Children field to apply the trade defaulting to all the children of the processing org.

Click ... next to the LE Children field to select the children of the counterparty for which the trade defaulting applies.

You can also check the "ALL" checkbox next to the LE Children field to apply the trade defaulting to all the children of the counterparty.

The first two fields of the Settlement details identify the trade counterparty.

The first field identifies the trade counterparty’s role. The default role is specified using Utilities > Set Default Role. However, you can change it as applicable.

You can select a legal entity of specified role from the second field provided you have set up favorite counterparties. You can also type in a character to display the favorite counterparties that start with that character. Favorite counterparties are specified using Utilities > Configure Favorite Counterparties.

Otherwise, click ... to select a legal entity of specified role from the Legal Entity Chooser. You can also directly enter a Legal Entity short name.

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 set up favorite books. Favorite books are specified using Utilities > Configure 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 changes 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 or 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.

Click ... to select a broker as needed. A broker is a legal entity of role Broker.

Select the type of repo. The following values are available.

 See Security Finance Sweeping for details.

Repo types are defined in the Repo.subtype domain.

Samples of each repo type with additional details are shown later in this document.

Direction of the trade from the book’s perspective. Select Repo or Reverse from the drop down.

If "Current Date Time" is checked, the trade date displays the current date and time and cannot be modified. Otherwise, you can modify it as applicable.

Double-click +/- next to the Trade Date field to show/hide the Current Date Time field.

The start date defaults to the spot date (number of spot days specified in the currency defaults are applied to the trade date).

You can modify the start date as applicable.

Double-click the Start label to adjust the start date if the trade date is modified.

For INTRADAY repos only, the start time. Defaults to the booking time.

Enter the end date, or tenor, of the contract.

Leave this field blank for an open contract (Call Account).

Bonds Maturing On or After Repo End Date

The domain value CA.generateSecFinanceClaimIdXfer allows specifying whether or not to generate a position adjustment technical transfer when a repo trade’s end date is the same as or greater than its underlying bond’s maturity date.

If set to true or not set, the technical transfer (having a ClaimId) is created to offset the security movement on repo return leg.

If set to false, the technical transfer is not created. Note that it also applies if the matured bond is just one piece of a multi-collateral trade. Setting to false can be used if you prefer to handle the redemption as part of a corporate action.

Calculated based on the end date. Or you can input the duration in number of days and the end date will be calculated.

Select “SIX Repo” for repos handled by the SIX agent.

You can generate the transfers of an OPEN repo up to a certain date using Trade Lifecycle > Termination > Terminate with the Generate Transfers action.

To calculate one day of interest for INTRADAY repos, you need to add the corresponding trade currencies or ALL to the domain "SimpleMM.ApplyOneDayInterest".

Upon termination, Notice Days is reset to 0 and the original value is stored in the trade keyword OriginalNoticeDays.

Upon termination, Callable By is reset to NONE and the original Maturity Type is stored in the trade keyword OriginalMaturityType.

The trade keyword CheapestToReturn is automatically populated upon saving based on the type of termination:

When booking a Standard repo, you can decide to follow a FILL process or not. Using a FILL process means that trade booking will be broken into two steps:

1. You first save a shell trade with cash details, a FILL type of MONEY FILL, and no allocated collateral.

2. Then you allocate collateral to the trade.

If this two-step (FILL) booking process is not required, repo trades must be booked with FILL type set to NONE.

For example, with Cash Principal = 200M:

Select the type of collateral allocation:

The trade must be saved without a collateral. The trade attribute MoneyFillAllocation will be set to PendingAllocation.

The collateral allocation can be performed after the trade is saved using the Money Fill allocation window, the Trade Allocation Manager, or the Collateral Bulk Entry window for Reverse repos.

In both the Money Fill Allocation window and the Trade Allocation Manager, the required collateral amount will be set to the Repo Principal value. The MONEY FILL process will select collateral until the total Security Value(s) reaches this Principal target amount (taking into account the predefined allocation type rounding methodology).

If you want the Repo Principal to be computed after collateral allocation, check the “Allow modif money” checkbox.

You can set the collateral source into the product code "REPO_FILL_SOURCE_BOOK".

Fill Type Domain Values

The domain SecFinance.FillType controls the values available for selection in the "Fill type" field of Repo and SecLending Sec Vs Cash trades. By default, the values are MONEY FILL and NONE. Note that these are the only possible values that can be used and no other values should be added.

The field allows to select books with attribute REPO_FILL_SOURCE_BOOK = true. It is used by the constraint Fill-Source-Book in the Trade Allocation Manager to filter eligible books.

Used when allocating the collateral to the repo. It drives the adjustment of the price or par of the repo collaterals when the repo money amount is not exactly equal to the Nominal * Dirty Price.

For example, you have a 200M MONEY FILL repo, and 75M of CUSIP A and 300M of CUSIP B in your inventory. From the Money Fill allocation window, you can double-click on CUSIP A and the system will add 75M of CUSIP A at the market price to your repo, and you will then have roughly 125M left to allocate. You then double-click on CUSIP B, and since the position is large enough to fully allocate the repo, the system will calculate how much to allocate based on the allocation type.

Assuming that the dirty price of CUSIP B is 101:

The repo principal. Click to compute the principal amount.

Cash Driven Trading

When cash driven trading is enabled, the principal amount of the repo drives the nominal of the security.

Example: Two collaterals have a computed principal of 2M+.

"Cash Driven" is checked and Allocation type = Under Collateralized, the second collateral is selected, and the principal is set to 2M. The nominal of the second collateral is reduced.

The initial margin on the funding leg. Enter a value in percentage.

Example: To book a margin of 5%, enter either 105 or 95, depending on whether you want to increase or decrease the principal.

Select the currency.

Select FIXED or FLOATING and enter the fields shown below, or you can click ... to open the Money Market Cash window and apply the values from there. Fixed or Floating must be selected prior to clicking ....

FIXED

FLOATING

These are non-default floating rate fields which can be added to the trade window using the right-click > Select fields functionality.

Select a payment frequency.

These fields are used to support the Colombian (BANREP) Repo Rounding Convention with fixed and floating rate. (These fields only apply to Repo Standard sub-type. These are non-default floating rate fields which can be added to the trade window using the right-click > Select fields functionality.)

This is a non-default field which can be added to the trade window using the right-click > Select fields functionality.

Single security: [((Dirty Money Value * FX Rate) - Cash Principal) / Dirty Money Value * FX Rate] * 100

Multiple securities: [(Sum (Dirty Money Values * FX Rates) - Cash Principal) / (Sum (Dirty Money Values * FX Rates)] * 100

This is a non-default field which can be added to the trade window using the right-click > Select fields functionality.

You can select an eligibility filter to be used for security eligibility checking.

If a Repo Legal Agreement with eligibility rules is present on the trade, the matching SD filters from the eligibility rules will be displayed in a list. If no Repo Legal Agreement is present, all SD filters of group "ANY" will be displayed in a list.

Note that if Fill Category is used, the security must be eligible to both the selected eligibility filter AND to the Wrong Way Risk, if any is defined in the haircut rule on the Repo Legal Agreement.

 See Defining Legal Agreements for complete details on configuring Repo Legal Agreements and Eligibility Rules.

This is a non-default field which can be added to the trade window using the right-click > Select fields functionality.

Select the discount method:

Interest = Final Amount - Principal, where Final Amount = Principal * (1 + Rate) ^ Period

The impacted calculations are cashflows and the pricer measures ACCRUAL, PRICE, and NPV.

(Must set to EXP for Colombian repo rounding.)

This is a non-default field which can be added to the trade window using the right-click > Select fields functionality.

For a repo settled in non-native currency, you can specify a holiday calendar to be used instead of the currency calendar.

Direction of the cash from the book’s perspective. Double-click the Loan label to change to Deposit as applicable.

Enter the amount of cash.

Cash currency.

Displays the loan currency by default. You can change the cash currency as applicable.

The holiday calendar of the loan currency. You can modify the cash holiday calendar as applicable.

Fixed Rate or Floating Rate must be selected in the trade window.

Fixed

Floating

The Bus label indicates that the payment lag is a number of business days. Double-click the Bus label to change to Cal as applicable for indicating that the payment lag is a number of calendar days.

Average reset only applies to floating rates.

Check the "Avg Reset" checkbox to sample resets at a frequency different from the payment frequency. Otherwise, the resets are sampled at the payment frequency.

Double-click the Equal label to toggle between:

Double-click the Match label to toggle between:

Double-click the BEG_PER label to toggle between:

Double-click the FLW_PER label to toggle between:

If this flow contains some compound periods (coming from amortizing for example), they will use the same rate reset ranges.

It is the existing and default Calypso behavior.

Each compound period will use its own resets. Others resets existing on the parent flow will not be used.

Select a daycount convention from the drop down.

If checked, PRINCIPAL includes INTEREST. A discounted repo prevents partial returns because of unknown amortizing.

You can specify the billing parameters using these fields, or you can select from the Billing Period field.

Select the payment frequency from the Frequency field. Defaults to ZC, zero coupon.

Enter the number of days that the interest should be rolled in the Roll Day field, to force the interest date as applicable.

Select the date roll convention if the coupon date is not a business day from the Date Roll field. See Calypso Navigator > Help > Date Roll Conventions for details.

Select the payment rule from the Period field. The following payment rules are available:

Check the "Actual Principal" checkbox for all trades.

When checked there is actually an exchange of principal against the security. Otherwise, only the interest is exchanged against the security (for security lending trades).

Select the amortization type of the trade interest from the Amortizing field. Defaults to Bullet, no amortization.

The Amount field only applies to step down amortization. Enter the step down amount.

The start date of the trade.

The end date of the trade.

Select the compounding frequency. The compounding frequency must be more frequent than the payment frequency.

Select the compounding type if applicable, or None.

Double-click the red label next to the Stub field to open the Cash Detail window for specifying the details of the stub period.

You can select a security in several ways:

If you have specified a quick entry template, the search will look into the products of the quick entry template.

You can view or modify the details of the selected security by clicking .

Security eligibility rules can be defined in the Eligibility Rule window and added to legal agreements.

 See Defining Legal Agreements for complete details on configuring Repo Legal Agreements and Eligibility Rules.

Double-click +/- next to the Sec. Product field to show/hide the Selected Security field.

Displays the security currently selected and its details.

 See Repo Collateral Bulk Entry for details.

You can configure the columns of this panel by right-clicking in the column headings and selecting Configure > Configure Columns.

The code and code format of the underlying security. The code type defaults to the Security Code specified in the User Defaults, but you can change the selection using the drop down.

The currency of the underlying security.

Enter the amount of nominal / quantity that is traded. Field behavior depends on security type and quote type of security.

For Nominal, this is the original nominal. The corresponding quantity is displayed.

 Ⓘ   [NOTE: You can enable the field "Quantity" for all quote types if the domain UseQuantity contains the value true. Setting to true will enable both fields. If UseQuantity is set to false, then Quantity field will be un-editable regardless of quote type]

Displays the Bond Coupon Currency.

This will convert the Bond Coupon flow into Bond Coupon currency. This FX rate value will be captured at trade inception.

Displays the latest quote on the settlement date if any.

This field is enabled when the security’s currency is different from the trade’s currency.

Enter the FX rate between the security’s currency and the trade’s currency. If the trade is not cross currency, the value will default to 1 and the field will not be editable.

Enter the clean price, dirty price, allin price, or yield, and the other fields will be calculated accordingly.

The dirty price is clean price + accrual.

For bonds quoted using Price32, you can enter the trade’s price with 2, 3, or 4 digits after the dash. The first 2 digits represent the number of thirty-seconds (between 1 and 31).

If the price contains 3 digits, the third digit represents the number of eighths of a thirty second (or 1/256, between 1 and 7). A bond price entered as "99-022" will be read as [99 + 2/32 + 2/8(1/32)], or 99.0703125. The third digit can also be +, indicating 4/8 of a thirty second.

If the price contains 4 digits, the last 2 digits represent the number of sixteenths of a thirty second (or 1/512, between 1 and 15).

Note that the 4-digit logic only applies to bonds with the tick size 512.

For securities with tick size other than 100: You can convert clean price to decimal format when dirty price or yield are specified on trade screen. For this, you need to set the security product code SECFINANCE_QUOTE_BASE = 100.

Enter the haircut percentage, expressed in basis points (enter 0 for no haircut).

Haircut rules and defaults can be specified in the Legal Agreement window – See Legal Agreement documentation for details.

Sec Dirty Price, including haircut, expressed in security currency.

Applies when the coupon is not passed through to the original bond holder at coupon date, but at repo maturity.

The rate for calculating indemnity. It can be different from the repo rate.

Indemnity = Indemnity Rate % * Coupon Amount * (Repo End Date - Coupon Payment Date) / Rate Basis

Check to pass the coupon / dividend through to the original owner at coupon / dividend date (repos). Or clear to keep the coupon / dividend until the end date, and return it to the original owner against an indemnity fee (buy sell backs / security lendings).

In any case, the actual coupons and dividends are generated using the Corporate Action process.

Only applies to ABS bonds and sinking bonds.

Pool Factor = Face Value (Val Date) / Face Value (Start Date)

You can override the pool factor value by checking "Sec. Override Pool Factor", which makes "Sec. Pool Factor" editable so you can specify the new value.

Only displayed when a legal agreement is selected.

It appears as checked if the selected security is eligible to the selected legal agreement.

This is a non-default field which can be added to the trade window using the right-click > Select fields functionality.

It will only be visible for MONEY FILL repos.

Collateral attributes are similar to trade keywords but are stored at the collateral level, so multi-collateral trades can have a different value per collateral for the same attribute.

You can define collateral attributes in the domain CollateralAttribute.

You can define collateral attributes to be propagated to the transfer attributes in the domain PropagateCollateralAttribute. The PropagateCollateralAttribute transfer workflow rule is also required. The collateral attributes that you want to propagate must also be added to the domain XferAttributes.

BSB Specific Fields – These fields only appear when BSB is selected as the Repo Type

Sum of all BSB cashflows at maturity (principal and interest), excluding the coupon and indemnity (even if not passed through).

BSB Start Cash * [1 + (Repo Rate % * Repo Number of Days / Basis)]

Sum of all BSB cashflows at maturity (principal, interest, coupon, and indemnity). Equivalent to BSB End Cash if the coupon is passed through.

BSB Start Cash * [1 + (Repo Rate % * Repo Number of Days / Basis)] - Coupon * [1 + (Indemnity Rate % * Repo End Date - Coupon Payment Date) / Basis)]

(BSB Adjusted End Cash / Nominal) * 100 - (Bond Accrual at Repo End Date)

Select the Trade workflow action to be applied.

Select DFP, DAP, or Default.

Defaults to the applicable legal agreement if any. However, you can change it as applicable to any available legal agreement. Legal agreements are defined using Configuration > Legal Data > Agreements.

Click the down arrow to bring up a selector window.

You can view or modify the details of the selected legal agreement by clicking .

The legal agreement attribute "CrystalizationDays" can be used to define the number of crystallization days for the EONIA rate index on security finance trades paying interest at maturity.

Select a Margin Call Contract from the selector window.

Defaults to the applicable Margin Call Contract if only one is defined for the given combination of processing org and counterparty.

You can view the details of the selected Margin Call Contract by clicking .

Select a trader.

You can click ... to add new traders. You will be prompted to enter a trader name. Trader names are defined in the trader domain.

Select a sales person.

You can click ... to add new sales persons. You will be prompted to enter a sales person name. Sales persons are defined in the salesPerson domain.

Enter a free form comment as applicable.

This is a non-default field which can be added to the trade window using the right-click > Select fields functionality.

Only applies to repos with multiple securities. Does not apply to Triparty repos.

Select from the following:

The split will only occur if the delivery type is DAP.

Xfer Other Amount

When the cash interest is dispatched across multiple DAP transfers for multi-collateral repo trades, the proportional calculation is driven by the ‘Sec. All in money value’ field. The dispatched interest amounts are populated in the ‘Xfer Other Amount’ field. You can base this calculation on the ‘Sec. Nominal’ field instead by setting the domain value SecFin_InterestDispatch_Nominal to true. Default is false.