Capturing Fixed Income Trades

Displays the discount.

For floating rate bonds, displays the DISC_MARGIN pricer measure, which calculates the spread added to current rates to equal the bond yield.

You can enter a discounted margin to solve for the clean price.

Displays the product type based on the selected strategy.

Enter the Nominal in this field. It will update the Quantity accordingly.

Displays the nominal currency of the selected bond.

Select the direction of the trade: Buy or Sell.

Displays the Proceed currency.

Displays the date for the next coupon payment.

Select the pricer used to price the trade. It defaults to the pricer set in the pricer configuration.

You can also specify pricing parameters associated with the selected pricing model.

Click here for a description of all pricing parameters.

Displays the Sales Fee in premium currency.

Sales Premium for Bond allows you to enter a flat amount rather than enter the Sales Price. Alternatively, entering the Sales Price will automatically calculate the Sales Premium.

Displays the settlement amount in the settlement currency.

Displays the settlement principal.

Displays the settlement accrual.

Displays the current nominal.

Enter the clean price (value of bond - accrued interest).

Enter the dirty price (value of bond + accrued interest).

Enter the bond product identifier.

The settlement date defaults to the trade date plus the number of Settle Days specified in the bond product's Bond Window.

The settlement date uses the holiday calendar of the bond product to identify business days.

If you change the trade date, double-click in the Settlement Date field to update the settlement date accordingly.

Displays the Product ID for the bond underlying the trade. Double-click the field and enter the bond name or security code. Once you begin typing, a list of bonds matching the entered information is populated.

Alternatively, you can search for a bond using the Search Bonds window. See the Underlying property below.

Displays the Bond Product details for the selected treasury bond product. To select a bond product, double-click this field to open the Search Bonds window.

 Ⓘ   [NOTE: After selecting a bond, you can open the Bond Window by displaying either Leg Details or Underlying Details in the Tools Panel, and clicking beside the Underlying field or Product ID field, respectively. See Calypso Using the Pricing Sheet documentation for more details on Tools Panel features.]

The Delivery Date is based on Lockout Date plus Settlement Lag/Holidays. The date is populated automatically once the Lockout Date is entered, although it can be overridden manually in the Delivery Date field. See description of the Settle Type property below.

The system sets the value to Cash Settle Clean Price, Cash Settle Dirty Price, or Cash Settle Yield, depending on the Negotiated Price Type.

The following properties can also be set by clicking the Settle Type label:

Examples: 3D Calendar, 1M Calendar, 1Y Business, etc.

The yield for the locked period. Enter a value for Lock Yield when the Negotiated Price Type is set to Yield.

If the Negotiated Price Type is CleanPrice or DirtyPrice, the Lock Yield field value is a converted yield.

The price for the locked period. Enter a value for Lock Price when the Negotiated Price Type is set to either CleanPrice or DirtyPrice.

If the Negotiated Price Type is Yield, the Lock Price field value is a converted price.

The quantity is linked to the Notional value and is calculated by the system once the Notional has been entered. The Quantity equals the Notional divided by the face value of the bond.

Clean Price: Clean Price is the underlying bond's clean spot price based on the Settlement Date.

Yield: Yield is the underlying bond's spot rate for yield based on the Settlement Date.

Dirty Price: Dirty Price is calculated as the underlying bond's dirty spot price based on the Settlement Date.

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 two digits represent the number of sixteenths of a thirty second (or 1/512, between 1 and 15). Note that the four-digit logic only applies to bonds with the tick size 512.

Set at the exercise of the trade and captures price or yield on the lockout date.

Set at the exercise of the trade when Settle Type is Cash Settle Yield and captures DV01 on the lockout date.

Select the settle type: Cash Settle Price, Cash Settle Yield, or Physical Settle.

The following properties can also be set:

Examples: 3D Calendar, 1M Calendar, 1Y Business, etc.

Enter the delivery date.

This date is based on Lockout Date + Settlement Lag/Holidays.

Displays the trader price: either Yield or Price type based on the selected Negotiated Price Type.

The yield for the locked period.

If the Negotiated Price Type is "Dirty Price", then the Lock Yield will convert to Yield after a dirty price is entered into the Lock Price field.

Enter the lock price.

If the Negotiated Price Type is a "Yield", then the Lock Price will convert to Dirty Price after a yield is entered into the Lock Yield field.

Displays how the Lockout Rate is calculated, as a Single Yield or Average Yield.

In the case of an Average Yield, you can reset the yield using the standard reset process. You can also right-click "Average Yield" and choose "Supplemental" to view the resets.

Displays the number of daily fixings for averaging the yield.

The following properties can also be viewed:

The settlement date defaults to the trade date + the number of settle days specified in the bond product.

The settlement date uses the holiday calendar of the bond product to identify business days.

If you change the trade date, double-click in the Settlement Date field to update the settlement date accordingly.

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

The dirty price is clean price + unit accrual.

The gross price is the inflation adjusted price.

For bonds quoted using Price32, you can enter the trade’s price with two, three, or four digits after the dash. The first two 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 two digits represent the number of sixteenths of a thirty second (or 1/512, between 1 and 15). Note that the four-digit logic only applies to bonds with the tick size 512.