Cashflows Columns

Whether there is actual exchange of principal.

Used in products where the secondary market loan is an underlying instrument, such as the Performance Swap.

The rate used to calculate the interest amount on the cash flow.

For floaters, All-in Rate = Rate + Spread

For fixed, All-In Rate = Fixed Rate

If there are caps or floors, apply those, too.

It is checked when the reset rate is known, or clear when it is missing.

If the rate reset has been explicitly set to "0", it will appear checked.

Amortized amount.

Amortization rate.

Cash

Displays the amortization rate entered in the scheduler.

Brady Bond

Setting the capitalization rate will compute the capitalization factor, which will in turn compute the face value, notional amount, and amortization amount.

Brady Bond

Pay-in-kind rate. The coupon cap that accrues on the outstanding principal.

Begin date of compounding period.

Notional for calculation of compounding flows (notional + accumulated interest).

End date of compounding period.

Displays the compounded interest amount defined at that particular period. When the interest payments are made, the application resets the compounded interest amount, and the subsequent interest payments are made on the following accrued interest.

Specifies the currency of the cash flow, which you define in the Trade panel.

Day count convention.

Refer to the Calypso Navigator's Help > Day-Count Conventions for a description of the conventions.

Payment period length.

The number of days in the interest period, according to the Day Count convention of the flow.

Bonds

Number of decimal places for the coupon; the coupon digits set in the bond product.

Bonds

Displays the date that the issuer defaulted, which is set in the Bond product. The interest flow is zero.

Discount factor used to discount the payment when calculating the present value.

ID of some external system from which the flow has been imported.

Bonds

Ex-dividend date of the coupon.

Bonds

Value of the bond at maturity, set on the Bond product.

Inflation Swap

The final inflation index level.

Inflation Swap

The final publication date of the inflation index level.

Interest Rate Derivatives

Rate * Index Factor + Spread = Final Rate

Spread Swap and Spread Cap Floor

(Rate 1 * Index Factor 1 + Spread 1) + (Rate 2 * Index Factor 2 + Spread 2) = Final Rate

 Ⓘ   [NOTE: Rounding can be applied in different ways based on the Rate Index attributes ROUND_FINAL_RATE and ROUND_FINAL_RATE_ISDA]

Inflation Swap

The final reference date when the inflation is effective.

The checkbox is selected if the interest rate is fixed.

To use a floating rate for a flow, customize the cashflows. Deselect the Fixed checkbox. Double-click the Index Name column, and select the currency, index name, tenor, and rate source from the drop-down menu.

Start/end date of the forward period for which the pricer forecasts the floating rate in the swap.

Forecasted forward rate for the interest or compounding period.

Interest Rate Derivatives

Forward rate for factored indices.

The FX rate used in conversion from one currency to another (trade currency to settlement currency for example).

Date that the FX rate is reset on the cash flow.

Repos and Security Lending

Selected if the underlying Bond has a custom coupon schedule.

Index factor.

A flow using a floating interest rate displays the name of the index from which it receives the rate. Uses the index that you selected in the Trade panel, however, you can select a different index in the Cashflows panel for an individual flow.

Tenor of the reference index.

Inflation Swap using Inflation Indexation

Final inflation level /Initial inflation level

Inflation Swap

The initial inflation index level.

Inflation Swap

The initial publication date of the inflation index level.

Inflation Swap

The initial reference date when the inflation is effective.

Interest face value.

Cash

The interest amount and the compounding interest amount.

Interest Amt + Cmp Int Amt

Payment amount. For floating rate payments, this will be zero until the rate is set.

Checkbox that indicates if the index tenor for the flow is interpolated.

Interpolating rounding method.

Interpolating rounding method decimal places.

When this checkbox is selected, the Compounding occurs at the End of the Period.

Floor and Collar

Projected amount of a floorlet.

Specifies that the payment amount is a calculated amount that you have changed to a fixed amount by entering the amount manually. Applies to interest and price change flows. Changing parameters normally used in the amount calculation (fixed rate, interest start and end dates) do not change the payment amount when Manual Amt is selected.

The application selects this checkbox when you edit the Interest Amt manually. Allows you to modify the interest amount independently of the reset rate.

The number of calendar days in the interest period, between the Pmt Begin date and the Pmt End date.

Principal amount for the period.

The accretion index last reset date.

Notional principal + interest amount.

Inflation Indexed Bond

Notional index value set on the bond.

Capped Swap

Payout formula type, for example, Range Floater.

Commodity Cap Floor

Specifies whether the option type is Cap, Floor, Collar, or Straddle.

In floating rate bonds, the real rate used to calculate the interest amount (includes the spread and considers the floor and cap).

Period length expressed in years.

Payment amount of the flow.

Payment period start date.

Payment date.

Payment period end date.

Forward rate before basis conversion of projected forward rate.

Rate before basis conversion of automatic reset rates.

The principal amount exchanged in that flow.

Projected amount for the flow.

The projected FX rate.

Projected notional.

Interest Amt * df

Pmt Amt * df

Interest rate.

Rounding method for the stub period.

Rounding method decimal places.

Bonds

Displays the record date for information purposes, only. The record date is the ex-dividend date of the coupon unless the Bond product includes a record days offset.

Repo

Displays the reset rate set in Reset Samples on the flow generated to clean-up the interest.

Reset date for the floating interest rate.

Sample begin date for averaging resets.

Sample end date for averaging resets.

Spread to be applied to the floating interest rate.

If you customize the Spread, that flow changes; any remaining open flows keep the original spread.

Commodities

Specifies the spread entered according to the delivery location. You can enter the spread in the Definition panel, or customize the spread for each delivery period in the cashflows.

Interest Rate Derivatives

Notional * Spread * Period

The floor rate.

The cap rate.

Bonds

Withholding tax set in the Bond product.

Displays the type of flow. Examples include: COMMODITY, DIVIDEND, INTEREST, PRICE_CHANGE, and PRINCIPAL.

Inflation Swap using Inflation Indexation on Principal Flows

The principal amount prior to applying any inflation indexation. See Inflation Factor.

Inflation Swap using Inflation Indexation on Interest Flows

The interest amount prior to applying any inflation indexation. See Inflation Factor.

Cap and Collar

Projected amount of the caplet.

Exotic Cap Floor

The barrier volatility.

You can overwrite the barrier volatility value in the BARRIER_VOL transient parameter.

The put volatility.

The call volatility.

In dual currency bonds, the coupon currency is different than the nominal currency. You can customize the FX rate for each coupon.

Selected if the pay-down schedule is varying.

Intex integration. Interest shortfall.

Intex integration. Interest shortfall payback.

Outstanding pool principal divided by original principal, expressed as a decimal between 0 and 1.

Intex integration. Principal shortfall.

Intex integration. Principal writedown.

Principal for the period.

Intex integration. Scheduled principal amount.

Intex integration. Unscheduled principal amount.

Inflation Indexed Bonds

Point on the Inflation Curve on the payment date of the flow.

On the base date of the Inflation Curve we try to get the index factor from the quote set, for example 122. Then we normalize it to calculate the inflation factor by dividing it by the notional index value (for example 101, which is product specific).

Unadjusted flow amount.

Inflation by which we adjust the notional amount of a flow at time t = indexFactor * inflationFactor.

Initial Inflation Reset date.

Initial reference number projection date. Taken from the Bond Product Definition.

Projected initial reference number. Taken from the Bond Product Definition.

Final inflation reset date.Reset is computed based on the end period of the cashflows.

Final reference number projection date.

Projected final reference number.

PricerBond

Credit Derivatives

Present value of the credit coupon. Proj Amt = Credit Coupon + Credit Principal

If the INCL_RECOVERY_COUPON and INCL_RECOVERY_PRINCIPAL pricing parameters are true, then Credit Coupon = Pmt Amt * (End Survival Prob. + (Recovery Rate * (Start Survival Prob. - End Survival Prob.))

If INCL_RECOVERY_COUPON and INCL_RECOVERY_PRINCIPAL are false, then Credit Coupon = Pmt Amt * End Survial Prob.

Credit Derivatives

Present value of the credit principal. Proj Amt = Credit Coupon + Credit Principal

If INCL_RECOVERY_PRINCIPAL is true, then Credit Principal = Notional * (End Survival Prob. + Recovery Rate * (Start Survival Prob. - End Survival Prob.))

If INCL_RECOVERY_PRINCIPAL is false, then Credit Principal = Notional * End Survival Prob.

The probable amount that will be received. This is the fixed or floating amount adjusted by the riskiness of the bond. This is stored in the user data of the flow, not in the projected amount.

The npv of the flow. This is stored for display purposes only and is used by the cashflow table. This is the discount factor times the probable amount.

Credit Derivatives

Displays the expected recovery if the issuer defaults.

Credit Derivatives

Probability that default will occur. 1 - Start Survival Prob.

Probability that default will occur. 1 - End Survival Prob.

Credit Derivatives

Probability that default will not occur based on the Pmt Begin date.

Survival probability (interpolated) based on Pmt End date.

PricerBondAssetBacked

Prepay annual rate %.

Face Value included in the Principal PrePayment Estimation.

Projected amount.

Pool Factor included in the Principal PrePayment Estimation.

Scheduled Principal * CPR

Original notional amount + estimated principal prepayment amount.

The scheduled mortgage payment for the period.

Value of the Scheduled Principal Payment (Scheduled Payment - Scheduled Interest).

PricerBondAusCPI – Australian Capital Indexed Bonds

The compounded inflation-adjusted principal value.

Average inflation between the reported Consumer Price Index (CPI) for that date and the figure six months previous.

Internal Rate + Internal Spread + Sales Margin

Internal Rate from the yield curve.

Internal spread from the Quote Engine.

Sales margin entered in the trade or from the Customer Quote Engine.

Displays the payoff factor that you entered in the Trade panel. This factor applies to all caplets that payout.

In the Cashflows panel you can customize the factor for an individual caplet by changing the factor percentage.

PricerCapFloor

The put volatility.

For Collar or Straddle trades, both PRICER_UPPERSTRIKEVOL and PRICER_LOWERSTRIKEVOL are populated. For Cap trades, PRICER_UPPERSTRIKEVOL only; for Floor trades, PRICER_LOWERSTRIKEVOL only.

The call volatility.

PricerCapFloorBpVol

The Black equivalent volatility.

The DELTA measures how the options' value (which is the same as the current premium) varies with changes in the underlying price. Mathematically, Delta is the first partial derivative of the option price with respect to the underlying.

GAMMA measures how much the Delta of an option changes with changes in the underlying price. Mathematically this is the second partial derivative of the option price with respect to the underlying price.

Intrinsic value of the option.

Theta is the change in an option's value relative to a change in the time left to expiry. In other words, Theta measures how much an option's value changes with changes in time to maturity. Mathematically, this is the partial derivative of the option price with respect to the time to maturity.

Time value of the option.

Change in an option's value relative to a change in the underlying instrument's volatility. Mathematically, this is the first partial derivative of the option price with respect to volatility.

PricerCapFloorCMSHagan

Unadjusted forward rate for the period.

Internal Rate + Internal Spread + Sales Margin

Internal Rate from the yield curve.

Internal spread from the Quote Engine.

Sales margin entered in the trade or from the Customer Quote Engine.

Displays the withholding tax fee applied to the cash flow.

The amount of correction corresponding to a shortfall amount that was understated and a recovery amount overstated.

The amount of correction corresponding to a shortfall that was overstated and a recovery amount understated.

The interest amount shortfall, which is the difference between the expected interest payment and the actual interest payment paid on the reference obligation.

The recovery amount of an interest shortfall previously reported.

The pool factor for coupon and principal reduction factors. The initial value of the pool factor is 1, and it decreases with the reduction factors.

The principal shortfall amount, which occurs if the reference ABS fails to pay off principal by its legal final maturity, or when the collateral pool supporting the reference obligation is liquidated.

Recovery amount of the a principal shortfall previously reported.

The writedown amount, or a reduction in the principal.

The recovery amount of a writedown previously reported.

The loss amount.

The pool factor for coupon and principal reduction factors. The initial value of the pool factor is 1, and it decreases with the reduction factors.

Reimbursement amount.

ATM volatility for the option.

Price at which a zero profit is recorded for the optionlet in deal currency per deal unit.

Direction of the optionlet.

Commodity reset selected in the trade.

You can select custom fixing dates when you select a cash flow, right-click and choose Show Fixings.

Defaults to the payment currency selected in the trade.

Delta in deal currency per deal unit.

Gamma in deal currency per deal unit.

Projected amount in deal currency.

Max(0, (Deal Proj. Price in strik units - Strike)) * deal quantity

Projected price in deal currency per reference unit.

Quantity captured in the trade.

Units specified in the trade.

Projected price in deal currency per strike unit.

Deal Delta (dealUnits) / discount factor

PV (dealCurr) / discount factor

Price for the optionlet.

Start and end dates for the cash flow.

PV in deal currency.

Reference currency as specified in the commodity reset.

Delta in deal currency per reference unit.

Floating price in reference currency per reference unit.

Gamma in deal currency per reference unit.

Projected price in reference currency per reference unit.

Quantity specified in reference currency and unit.

Realized price in reference currency per reference unit.

Reference unit as specified in the commodity reset.

Floating price in reference currency per strike unit.

Projected price in reference currency per strike unit.

Realized price in reference currency per strike unit.

Strike price in deal currency.

Lower Strike price in deal currency.

Upper Strike price in deal currency.

Units for the strike.

Measures the optionlet’s value relative to a change in the time left to expiry.

Total commodity fixings for a cash flow period.

Fixings with known prices.

Fixing with prices not yet known.

Vega in deal currency.

Volatility from the surface.

The FX Quote averaged across the fixings by the Averaging Policy.

Payment currency for the cash flow.

This checkbox is select if you have specified custom fixing dates for the period in the Commodity Fixings dialog window.

Number of days in the period.

The deal quantity specified for the period.

Units specified in the trade.

Delta in the reference unit as specified in the commodity reset definition.

This column does not appear by default, as the Average FX Rate column may be used.

For the DF Weighted FX Rate column, the known fixings have a discount factor of 1.

The date that the price is fixed for the settlement.

The price that is fixed for the settlement.

The start and end dates of the fixing period.

Floating price in deal currency per deal unit.

Floating price in deal currency per reference unit.

Floating price in deal currency per strike unit.

Number of known fixing dates in the period.

Payment amount in the deal currency.

Date that the swaplet payment date occurs.

Start and end date of the swaplet period.

Projected amount in deal currency.

Projected Price in Reference Currency per Reference Unit * Reference Quantity

Projected price in deal currency per deal unit.

Projected price in deal currency per reference unit.

Projected price in deal currency per strike unit.

Projected price in reference currency per reference unit.

PV in the deal currency.

Realized price in deal currency per deal unit.

Realized price in deal currency per reference unit.

Realized price in deal currency per strike unit.

Currency of the underlying commodity as defined in the commodity reset definition.

The deal quantity converted to the reference units.

The units specified for the underlying commodity in the commodity reset definition.

Spread adjusted price in deal currency per deal unit.

Spread adjusted price in reference currency per deal unit.

Price at which a zero profit is recorded for the swaplet in deal currency per deal unit.

Price at which a zero profit is recorded for the swaplet in deal currency per reference unit.

Price at which a zero profit is recorded for the swaplet in deal currency per strike unit.

Total number of fixings for the swaplet.

Number of the fixings that have not yet occurred for the swaplet.

Displays the total adjustment in CMS rate.

Displays the correlation between payment index and rate index.

Displays the payment index volatility in percentage.

Displays the rate index volatility in percentage.

PV Credit = - (termination payment * (Start Survival Prob. – End Survival Prob.) * df)

Termination payment is typically notional – recovery.

Interest Amt * df * Start Survival Prob.

Survival probability based on Pmt Begin date.

Survival probability (interpolated) based on Pmt End date.

The interest amount shortfall, which is the difference between the expected interest payment and the actual interest payment paid on the reference obligation.

The recovery amount of an interest shortfall previously reported.

The pool factor for coupon and principal reduction factors. The initial value of the pool factor is 1, and it decreases with the reduction factors.

The principal shortfall amount, which occurs if the reference ABS fails to pay off principal by its legal final maturity, or when the collateral pool supporting the reference obligation is liquidated.

Recovery amount of the a principal shortfall previously reported.

The writedown amount, or a reduction in the principal.

The recovery amount of a writedown previously reported.

Price Change Cashflows

Date that a price or rate is fixed on the cash flow.

The projected start and end price of the equity in the pay currency.

The start and end price of the equity in the pay currency.

If the reference currency does not match the pay currency, then the Proj. Start Price and Proj. End Price will be converted into the pay currency using the projected FX rates.

Projected Start and End price of the equity from the dividend curve.

Projected start and end quantity.

The currency of the underlying equity.

If the reference currency does not match the pay currency, then the Start Price and End Price will be converted into the pay currency using the FX rates.

Start and End Price of the equity.

Start and end quantity of the equity.

Dividend Cashflows

Projected dividend ex-date based on the dividend rule associated with the trade.

Number of shares negotiated at transaction level.

100%.

Projected dividend date based on the dividend curve associated with the trade.

Retrocession Rate negotiated at transaction level. Final Dividend Amount adjusted by this coefficient.

Refund the taxes attached to the dividend.

The dividend unit amount is based on the projected dividend of the dividend curve associated with the trades.

Note that in order to generate projected dividends, the dividend curve associated with the trade must be a discrete dividend curve.

Projected dividend unit amount.

Displays the total adjustment.

Displays the correlation between the payment index and the rate index.

Displays the payment index volatility in percentage.

Displays the rate index volatility in percentage.

The discount factor converted to the settlement currency.

The interest amount in the native or non-deliverable currency.

The native or non-deliverable currency.

Interest Amount (settle ccy) * df (settle ccy)

Includes the currency pair and the FX Reset name.

The FX reset rate used to convert the interest amount to the settlement currency.

Date of the FX Reset.

Price Change Cashflows

Date that a price or rate is fixed on the cash flow.

If the reference currency does not match the pay currency, then the Proj. Start Price and Proj. End Price will be converted into the pay currency using the projected FX rates.

Projected Start and End price of the equity from the dividend curve.

Projected start and end quantity.

The currency of the underlying equity.

If the reference currency does not match the pay currency, then the Start Price and End Price will be converted into the pay currency using the FX rates.

Start and End Price of the underlying.

Start and end notional of the underlying.

Id of the underlying.

Dividend Cashflows

Projected dividend ex-date based on the dividend rule associated with the trade.

Number of shares negotiated at transaction level.

100%.

Projected dividend date based on the dividend curve associated with the trade.

Retrocession Rate negotiated at transaction level. Final Dividend Amount adjusted by this coefficient.

Refund the taxes attached to the dividend.

The dividend unit amount is based on the projected dividend of the dividend curve associated with the trades.

Note that in order to generate projected dividends, the dividend curve associated with the trade must be a discrete dividend curve.

Projected dividend unit amount.

Bond Index Cashflows

Bond index - start modified adjusted duration for the period.

Bond index - end modified adjusted duration for the period.

Bond index - start spread for the period.

Bond index - end spread for the period.

Interest amount in the precious metal currency before it is converted using the FX rate.

Displays the total adjustment.

Displays the correlation between the FX rate and the rate index.

Displays the FX rate volatility.

Displays the index rate volatility in percentage.

Interest Amt(Sales Margin) * df.

Present value of the sales margin cash flow.

Sales margin amount for the payment period.

Percentage of the notional applied on the premium date.

The quotable variable defined in the exotic structure.

Displays the notional or variable that represents the notional amount in the exotic structure.

Displays the net projected amount from both legs’ flows. If the net projected amount contains flows that are more than 5 days apart, then the amount has an asterisk (*) displayed after the number.

Displays the net amount from both legs’ flows. If the net amount contains flows that are more than 5 days apart, then the amount has an asterisk (*) displayed after the number.

The redemption formula defined in the exotic structure.

Displays the FX rate used to calculate the adjustment amount.

Displays the FX Adjustment reset date.

Shows which period requires the FX Adjustment.

Shows the adjustment amount for the period.

Displays the interest payment amount.