External Trades

 

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External Trades allow modeling and importing trades from an external system for back office purposes. Once the trades are defined and captured, you can import the cashflows using the Data Uploader, and the system allows generating confirmations and transfers.

There is no reset support. There is no Risk or Pricing computation. Valuation can be done using P&L marks.

You can configure and capture External Trades using the External Trade window (menu action trading.TradeExternalTradeWindow).

 

External Trades Quick Reference When you open an External Trade window, the Trade tab is selected by default.   Configuring an External Trade Prior to capturing external trades, you need to configure the fields that make up a given external trade by defining a context. Entering Trade Details » You can select a template from the Template field to populate the worksheet with default values. Then modify the fields as applicable. Or you can enter the trade fields directly. They are described below. Note that the Trade Date is entered in the Details panel. » Proceed to the other panels as applicable. Saving a Trade » Hit F5 to save the trade, or choose Trade > Save. You can also hit F3 to save the current trade as a new trade, or choose Trade > Save As New. A description will appear in the title bar of the trade worksheet, a trade id will be assigned to the trade, and the status of the trade will be modified according to the workflow configuration. Pricing a Trade » You can choose Pricing Env > Check to check if all required pricing data are available in the Pricing Environment. » Click Price to price the trade. » Hit F9 to bring up the solver (or choose Analytics > Solve). Trade Lifecycle You can define trade lifecycle actions from the Actions tab.

 

1. Trade Tab

 

 

1.1 Configuring External Trades

The Context window allows you to define fields that make up a given external trade. You can create as many types of external trades as you like by defining a Context.

Click Edit in the Product area to define a Context.

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Click Add to open the Field Editor window. The fields are described below.

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Repeat as needed for other fields.

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Use the Up and Down arrows to move the fields.

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Click Save to save any changes made to this Context.

 

Field Editor

Click Add to open the Field Editor Window and create a new Context Field with the following characteristics:

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Name

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Category

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Type

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Description

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Mandatory Flag

 

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Enter a Name for the Field, such as "Start Date".

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Select a Category as needed. Categories allow grouping during trade capture. See below for information on creating a Category.

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Select a Type for the Field from the drop down list. For an appropriate "Start Date" Field, select "JDate" or "JDateTime".

Domain Value: You can enter the name of the domain that contains the available values.

Image: You can link to an image. The following formats are supported:

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A URL format, such as https://www.calypso.com/images/logo.gif

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A format starting with file:/// such as file:///C:\Downloads\logo.gif

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A notation pointing to Calypso resources starting with resource: such as resource:com/calypso/templates/logo.gif

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A notation pointing to an image stored in the Database (using the Image Repository window) starting with database: and the name of the file (e.g. database:signature).

List: (Multi-valued Field). The data type should be set in the List object type field.

Matrix: Multiple values can be displayed as a matrix. When selected, you should define:

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The number of columns in Number of Object Type

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The data type of each column

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Enter a Description of the Field.

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Check the box to decide if this should be a Mandatory Field or an optional Field.

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Click Ok to save the new Context Field, or click Cancel to cancel the creation of a new Context Field.

 

Creating a Category

To create a Category:

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Select the "Category" Type.

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Name the Category.

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Click Ok to save this Category.

You can then add fields to that Category as described above.

 

1.2 Capturing Trades

Trade Details

Fields	Description
Role/Cpty.	The first two fields of the worksheet 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 setup 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 type [Ctrl-F] to invoke the Legal Entity Chooser, or directly enter a Legal Entity short name.
Book	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 setup 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.
Id Ext Ref Int Ref	Unique identification number of the trade. The trade id is automatically assigned by the system when the trade is saved. You can also display the internal reference of external reference. The default trade reference can be selected in the User Defaults. You can load an existing trade by typing the trade id into this field, and pressing [Enter]. The underlying trades are assigned a sub id.
Status	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.
Template	You can select a template from the Template field to populate the worksheet with default values. Then modify the fields as applicable. You can select a template provided you have setup favorite templates. Favorite templates are specified using Utilities> Configure Favorite Templates.

 

General Panel: Trade Characteristics

The Trade characteristics are input through a dedicated panel called "General".

The panel contains three fields:

Fields	Description
SubType	Select a SubType as needed. SubTypes can be defined in the domain "ExternalTrade.subtype". You can set pricers and market data by SubType. By default, the Product Type for External Trades is ExternalTrade. When setting the SubType, the Product Type is set to "ExternalTrade<SubType>". For example, if SubType = Swap, Product Type = ExternalTradeSwap.
ExtendedType	Select an ExtendedType as needed. ExtendedType can be defined in the domain "ExternalTrade.extendedtype". You can set pricers and market data by ExtendedType.
Currency	Select the trade currency.

 

Product Panel: Product Characteristics

Select a context from the Context field, and enter the fields corresponding to the selected context. The fields depend on what you have configured in the Context window.

You can then save the trade and proceed to the other panels as applicable.

 

2. Capturing Cashflows

You can enter cashflows manually or import cashflows using the Data Uploader.

Please refer to Calypso Data Uploader documentation for information on importing External Trade cashflows.

 

2.1 Edit Flows Panel

The Edit Flows panel shows the entered / imported trade flows:

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Type

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Start Date

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End Date

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Payment Date

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Amount

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Currency

 

When a row is highlighted in the panel, the trade flow details will be displayed in the Input panel on the right.

The rows are sorted by ascending Payment Date and Type (PRINCIPAL, then INTEREST, COMMODITY, DIVIDEND, PRICE_CHANGE).

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Click Add to create a new row with the following values:

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Type = INTEREST

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Payment Date = Current Date

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Payment Currency = Trade Currency

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Payment Amount = 0

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Edit these values in the Input panel.

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You can click Duplicate to clone the selected row with the following changes only:

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Start Date = duplicated Cash Flow End Date if set.

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End Date = Start + number of Days between duplicated Cash Flow End Date and Start Date if set.

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Payment Date = duplicated End Date if set; otherwise, duplicated Cash Flow Payment Date.

 

2.2 Input Panel

The Input panel is used to set the values of the trade flows.

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Select a flow type from the drop down list, which will determine the other values below.

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Enter in all remaining values. You will be notified if there is a required value that you have not entered.

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Your changes will automatically update in the Edit Flows panel.

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Click to generate the standard Cash Flows based on the input trade flows.

 

3. Defining Actions

You can define the following actions for External Trades:

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Notional Increase

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Rerate

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Reprice

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Termination

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Novation

 

These actions are for informational purposes only.

 

3.1 Edit Actions Panel

The Edit Actions panel shows all the actions that have been applied to the trade.

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Click on Remove to remove the selected Action from the list.

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Click on an Action to edit its values in the Input panel on the right.

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Click on Update to update the list to reflect any values you have changed in the Input panel.

 

3.2 Input Panel

Use the Input panel to enter in all details of Actions you wish to create.

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Select an Action Type from the drop down list, which will determine the other available values below.

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Enter in all remaining values. You will be notified if there is a required value that you have not entered.

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Click on Add to add this new Action to the list in the Edit Actions panel.

 

Notional Increase

You can increase the notional amount using the Notional Increase action.

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Enter the amount of notional in the Amount field.

 

Rerate

You can change the rate of the trade using the Rerate action.

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Enter the new rate in the Amount field.

 

Reprice

You can change the price of the trade using the Reprice action.

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Enter the new price in the Amount field.

 

Termination

You can terminate the trade using the Termination action.

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Enter the termination amount, termination reason, select the termination type (full or partial), and select the FFCP option as needed (Full First Calculation Period. Used in the case of partial termination to determine the Xfer Trade Date and Pmt Begin Date on the first cashflow of the new trade).

 

Novation

You can novate the trade using the Novation action.

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Enter the novation amount, and select the novation type (full or partial), the transferor (the party that terminates the trade), and the transferee (the new party).

 

4. Trade Processing

 

4.1 Workflow

Two specific TradeRules can be used for External Trades:

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CheckMandatoryFields: Checks if all Product Properties set as Mandatory have been filled. If not, an Exception is raised.

NB: for manual input, a Trade Validator is implemented preventing the Trades with empty Mandatory Fields to be saved.

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CheckCustomFlows: Checks if Trade Flows have been set on the Trade. If not, an Exception is raised.

 

Below is a Workflow example:

 

4.2 Messaging

Message Setup

A dedicated Template external_trade.html has been created for External Trades and can be used in the Message Setup.

 

Message Keywords

The following specific Message Keywords can be used to build your own Templates:

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"Iterator ExternalTradeField": Display all Trade Properties.

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"REPORT#Context [Context Name].[Field Name]": Display one specific Trade Property.

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"REPORT#Context [Context Name].[Category Name]:[Field Name]": Display one specific Trade Property Category.

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"Iterator ExternalTradeAction": Display all Actions.

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"LatestExternalTradeAction": Display the LATEST Action.

 

4.3 Valuation

External Trades rely on PricerFromDB to retrieve the Pricer Measures imported from external systems.

The usage of PLMarks (pricing parameter USE_MARKS=True) is recommended.

 

4.4 Accounting

The following Accounting Events are supported for External Trades.

 

Trade Based Events

Accounting Event	Description	Booking Date	Effective Date	Amount
NOM_TD	To book the notional on Trade Date	Entered Date	Trade Date	Notional
NOM_TD_REV	To book the reverse of notional on Start Date	Entered Date	Start Date	Notional
NOM_SD	To book the notional on Start Date	Entered Date	Start Date	Notional
NOM_MAT	To book the notional at maturity	Entered Date	Maturity Date	Notional
NOM_CHG	To book the notional change (Increase + Decrease)	Entered Date	Notional change amount Date (from CF)	Notional change amount.
INTEREST	To book Interest amounts	Entered Date	Payment Date (from CF)	Interest Flow Amount
DIVIDEND	To book Dividend amount	Entered Date	Payment date (from CF)	Dividend Flow amount
COMMODITY	To book Commodity amount	Entered Date	Payment date (from CF)	Commodity Flow amount
PRINCIPAL	To book Principal amount	Entered Date	Payment date (from CF)	Principal Flow amount
PRICE_FIXING	To book  Price Change amount	Entered Date	Payment date (from CF)	Price Change Flow amount
FULL_COUPON	To book Coupon amount	Entered Date	Payment date (from CF)	Coupon amount

 

Transfers Based Events

Accounting Event	Description	Booking Date	Effective Date	Amount
CST	To book actual cash payments	Entered Date	Settle Date	Real settlement amount
CST_NET	To book actual cash payments (Netted Transfers with NET Event Property)	Entered Date	Settle Date	Real settlement amount
CST_UNNET	To book actual cash payments (Netted Transfers with UNNET Event Property)	Entered Date	Settle Date	Real settlement amount

 

Valuation Related Events

Accounting Event	Description	Booking Date	Effective Date	Amount
DAILY_VALUATION	To book daily Pricer Measures	Entered Date	Valuation Date	Pricer measure amounts One Event per PM
MTM_FULL MTM_PAYLEG MTM_RECLEG	To book NPV-related Pricer Measures	Entered Date	Valuation Date	Pricer measure amounts One Event per PM
ACCRUAL ACCRUAL_PAYLEG ACCRUAL_RECLEG	To book ACCRUAL-related pricer measures	Entered Date	Valuation Date	Pricer measure amounts One Event per PM

 

4.5 Report

All Contexts and Product Properties are available in Reports under Product \ ExternalTrade.