System Keywords

Trade Allocation

Attaches to the allocated trade(s).

Contains the Trade Id of the allocated trade.

Value = <TradeId>

Example

AllocatedFrom = 10239

Trade Allocation

Attaches to the original and allocated trades. Specifies the Calypso user name of the user who entered the trade allocations.

Value = <CalypsoUserName>

Example

ALLOC_ENTERED_USER = calypso_user

Brokerage Fees

Attaches to trades with brokerage fees. Specifies the name of the broker (the short name defined for the legal entity). If the broker is NONE, the keyword does not attach to the trade.

Value = <BrokerName>

Example

Broker = REUTERS

Option Exercise

Attaches to the underlying trade that the system automatically generates when you exercise the Option trade with physical settlement. Contains the Trade Id of the Option.

Value = <TradeId>

Example

ExercisedOption = 21206

Option Exercise

Attaches to the Option trade. Displays the Trade Id of the underlying trade that the system automatically generates when you exercise the option.

Value = <TradeId>

Example

ExercisedUnder = 21207

Option Exercise

Attaches to the Option trade. Displays the process date and time for the exercised option, which you can enter in the Option Exercise Window. The process date and time is also the Trade Date of the new option that the system generates for physical settlement.

Value = <DateTime>

Example

EXERCISED_DATETIME = 7/22/04 8:12:21 AM

Trade Termination

Attaches to the terminated trade. Contains the forward rate applied when you terminate the trade.

Value = <ForwardRate>

Example

FXTerminateFwd = 117.93

ERS Limits

Set this keyword manually to “Y” when you want to exclude the trade from limit checking.

Value = Y

Value = N (default)

Example

LimitExclude = Y

Rollback

Attaches to the extension trade. Specifies the Trade Id of the original trade with the ROLLBACKED status.

Value = <TradeId>

Example

RolledBackFrom = 9415

Rollback

Attaches to the original trade. Specifies the Trade Id of the extension trade.

Value = <TradeId>

Example

RolledBackTo = 9416

Rollover

Attaches to the extension trade. Specifies the Trade Id of the original trade with the ROLLOVERED status.

Value = <TradeId>

Example

RolledOverFrom = 9513

Rollover

Attaches to the original trade. Specifies the Trade Id of the extension trade.

Value = <TradeId>

Example

RolledOverTo = 9514

Pricing Sheet

Contains the name of the strategy and all of the trade ids that belong to the same strategy.

Value = <StrategyName>:<TradeId1>,<TradeId2>…

Example

StrategyType = Straddle:52007,52008

Trade Termination

Attaches to the terminated trade. Contains the assignee party.

Value = Customer, InterFirm, IntraFirm

Example

TerminationAssignee = Customer

Trade Termination

Attaches to the terminated trade. Contains who terminated the trade.

Value = CounterParty, Party

Example

TerminationAssignor = CounterParty

Trade Termination

Attaches to the terminated trade. Contains the trade’s termination date.

Barrier Options

Attaches to the triggered Barrier Option trade. Contains the trade’s termination date.

Value = <Date>

Example

TerminationDate = 11-12-2003

Trade Termination

Attaches to the terminated trade. Specifies whether to payout the interest and fees that settle during the period between the date that you process the termination and the date when the termination actually occurs.

Value = true, false

Example

TerminationPayIntFlow = true

Trade Termination

Attaches to the terminated trade. Contains the reason for the termination.

Value = Assigned, BoughtBack, ContractRevision, Manual

Example

TerminationReason = Assigned

Trade Termination

Attaches to the terminated trade. Contains the date on which you process the termination.

Barrier Options

Attaches to the triggered Barrier Option trade. Contains the process date and time, at which the option has a value of 0.

Value = <TradeDateAndTime>

Example

TerminationTradeDate = 11/12/03 5:38:23 PM

Trade Termination

Attaches to the terminated trade. Either full or partial type.

Value = FullTermination, PartialTermination

Example

TerminationType = FullTermination

Barrier Options

Attaches to Barrier Options that are hit. Contains the details of the hit barrier.

Value = <Up|Down>Barrier<IN|OUT>

Example

TerminationType = DownBarrierOut

Attaches to the Vanilla option generated from knocking-in a Barrier option. Contains the process date.

Value = <ProcessDate>

Example

12-03-2004

Attaches to the Vanilla option generated from knocking-in a Barrier option. Contains the Trade Id of the Barrier option.

Value = <BarrierOptionTradeId>

Example

TransferFrom = 29308

Attaches to the Vanilla option that the system automatically generates when you knock-in a Barrier option. Contains the process date and time at which the Vanilla option replaces the Barrier option. Thus, the Vanilla option has a non-zero value.

Value = <ProcessDate> <ProcessTime>

Example

TransferTradeDate = 12/3/04 11:50:36 AM

Attaches to the Vanilla option generated from knocking-in a Barrier option. Contains the details of the triggered barrier.

Value = <Up|Down>Barrier<IN|OUT>

Example

TransferType = UpBarrierIN

Value Today Spot Trades

Attaches to FX Spot trades where the trade date and value date are the same, but the trade time is after the settlement cutoff time for either currency in the currency pair. The system requires you to enter a mandatory comment with the trade. You can view the comment in the Trade Blotter in the Comment column.

Value = Y

Example

AfterSettlementCutoffTime = Y

Brokerage Fees

Attaches to trades with brokerage fees. Specifies the method used to calculate the fee.

Value = Fixed — The fee applies to all trades falling within the configured range.

Value = Quantity — The fee applies to all trades in the configured range; it increases according to the specified increment.

Example

BrokerageFeeType = Fixed

Brokerage Fees

Attaches to trades with brokerage fees where the brokerage fee config uses the Quantity calculation method. Specifies the currency used in the calculation.

Value = <Currency>

Example

CalcAmountCurrency = USD

Brokerage Fees

Attaches to trades with brokerage fees where the brokerage fee config uses the Quantity calculation method. Specifies the increment used in the calculation.

Value = <Amount>

Example

CalcAmountUnits = 1,000,000.00

Auto-Generated Cash Trades

Attaches to trades that the system automatically generates. Contains the Trade ID of the original trade, which is the trade entered with the customer as the counterparty.

Value = <TradeID>

Example

CashOriginalTradeID = 35505

CLS Settlement

CLS is set to true on FX trades, when there is a legal agreement of type CLS between the processing organization and the counterparty. This allows triggering the CLS settlement process - Refer to the Calypso CLS Integration Guide for complete details.

Value = true

Example

CLS = true

FX Swaps

For FX Swaps, FAR_CLS and NEAR_CLS are used instead of CLS: one for the far leg, and one for the near leg.

CLS Settlement

Use CLS_ELIGIBLE to manually override CLS settlement on FX trades in case a CLS agreement exists between the processing organization and the counterparty but you do not want to trigger the CLS settlement process. The trade uses the next settlement method defined by the priority in the settlement instructions.

Value = false (to override the CLS settlement process)

Example

CLS_ELIGIBLE = false

FX Swaps

For FX Swaps, CLS_ELIGIBLE_FAR and CLS_ELIGIBLE_NEAR are used instead of CLS_ELIGIBLE: CLS_ELIGIBLE_NEAR allows overriding NEAR_CLS when set to false, and CLS_ELIGIBLE_FAR allows overriding FAR_CLS when set to false.

Pricing Sheet

The system sets this keyword in the FX Options Pricing Sheet when you save a constant property.

Value = <Property>=<ConstantValue>

Example

ConstProps = Term=1M, Strike=1.18

Spread Engine

The spread from the Customer Quote Server.

Value = <Spread in Basis Points>

Example

CQS_Spread = 4

Single Currency Cash Flows

Specifies the currency pair that a single currency cash flow (for example, a fee, premium, loan or deposit) attaches to for inclusion in the position in risk reports. The system automatically sets this keyword based on the defined currency pair group configuration. You can manually change the currency pair value to attach the cash flow to a different currency pair.

Value = <CurrencyPair>

Example

CurrencyPair = EUR/USD

Back-to-Back

Attaches to the original trade when you set a custom B2B configuration in the B2B Details dialog window.

Value = <CurrencyPair>, <ProductType>, <OriginalBookId>, <StaticDataFilter>, <PVFwdAmountBoolean>, <TransferMarginBoolean>, <TransferBookId1>, <TransferBookId2>

Example

CustomB2BInfo = USD/JPY,FXForward,37,NONE,TRUE,TRUE,32,35

Back-to-Back

Attaches to the original trade when you either select the B2B checkbox or clear the B2B checkbox in the trade window.

Value = YES — When you manually select the B2B checkbox in the trade window, the system automatically sets the keyword to YES.

Value = NO — When you manually clear the B2B checkbox in the trade window, the system automatically sets the keyword to NO.

Examples

CustomB2BSetting = YES

CustomB2BSetting = NO

Customer Quote Engine

Attaches to trades saved with an expired quote from the Customer Quote Engine.

Value = <ExpiredMessage>

Example

CUSTOMER_QUOTE = Quote for USD/JPY expired

Forward Risk Transfer

Attaches to the original trade. Contains a value if you use a different book than the book specified in the forward risk transfer routing.

Forward risk transfer routing is done for FXNDF trades.

Cross-Currency Split

Attaches to the original trade. Contains a value if you use a different book than the book specified in the split routing.

Value = <SplitCcy>, <CcyPair1Base>, <Book1Id>, <CcyPair2>, <Book2Id>

Example

CustomSplitInfo = USD,USD/CAD,8307,USD/JPY,6903

Cross-Currency Split

Attaches to the original trade. Contains a value if you switch on or off splitting manually (Split checkbox), that is, the setting on the trade is different from the split configuration.

Value = Split or No split

Example

CustomSplitSetting = NO

Spot Risk Transfer

Attaches to the original trade. Contains the book id for the transfer trade if you select a different book than specified in the spot risk transfer routing.

Value = <CustomBookId>

Example

CustomTransferInfo = 37

Spot Risk Transfer

Attaches to the original trade if you switch on or off the transfer function manually, that is, the setting is different from the routing.

Value = YES — A spot risk transfer configuration does not exist; you manually select Spot Tran in the trade window.

Value = NO — The system selects Spot Tran because a configuration exists for the currency pair and book that you selected; you manually deselect Spot Tran in the trade window.

Example

CustomTransferSetting = NO

Exchange For Physical (EFP)

Attaches to the FX trade. Contains the Future FX trade id.

Attaches to the FX offset trade. Contains the Future FX trade id.

Value = <FutureFXTradeId>

Example

EFP_FUTURE_TRADE = 49009

Exchange For Physical (EFP)

Attaches to the FX trade that you exchange for the Future FX. Contains the FX offset trade id.

Value = <FXOffsetTradeId>

Example

EFP_OFFSET_TRADE = 49010

Exchange For Physical (EFP)

Attaches to the Future FX trade created from saving the EFP deal. Contains the original FX trade id.

Attaches to the FX offset trade. Contains the original FX trade id.

Value = <SpotTradeId>

Example

EFP_SPOT_TRADE = 49007

FX Order Management

Attaches to the trade that fills an order. Contains the Order Id from the customer order.

Value = <OrderId>

Example

ExecutedFromOrderId = 11509

FX Swap

Specifies the margin set on the far leg of the swap. The system sets this keyword to be blank for FX swaps that do not have a spot margin.

Value = <MarginPoints>

Example

FAR_MARGIN = 1

FX Swap

Specifies the margin points attributed to the forward trader.

Value = <MarginPoints>

Example

FAR_MARGIN_FWD_PART = 8

FX Sales Margin Hedge

Stores the forward points used in the calculation of the sales margin hedge amount. The value is empty if the forward points are zero.

Value = <ForwardPoints>

Example

FwdPointForSMHedge = 10

FX Sales Margin Hedge

Stores the forward points on the FX Swap far leg used in the calculation of the sales margin hedge amount.

Value = <ForwardPoints>

Example

FwdPointForFarLegSMHedge = 10

FX Spot, FX Spot Reserve, and FX Forward

Displays the trade date of a trade entered in the FX Bulk Trades window.

Value = <TradeDate>

Example

FXBulkTrade = 12/11/2003

Rollover and Rollback

Attaches to the extension trade(s). Contains the date of the original trade rollover.

Value = <RolloverDate>

Example

FXHRRFirstRollDt = 05/13/2004

Rollover and Rollback

Attaches to the extension trade when you apply a rollover or rollback to a trade. Specifies the rate for funding the rollover or rollback using the historical rate.

Value = <FundingRate>

Example

FXHRRFundingIntRate = 0.02554812039517475

Rollover and Rollback

Attaches to the extension trade. Specifies the funding points in pips.

Value = <FundingPointPips>

Example

FXHRRFundingPtPips = 0.030695938866199996

Rollover and Rollback

Attaches to the extension trade. Specifies the historical spot rate used in the original trade.

Value = <HistoricalRate>

Example

FXHRRHistoricalRate = 117.38

FX TTM

Set for all trades linked to a TTM trade for which the TTM rate has not been set.

Value = Y

Example

FXLinkedStatusAwaitTTM = Y

FX Option Hedge Trade

Attaches to the FX Option trade. Displays the Trade Id of the spot or forward hedge trade the system automatically generates.

Value = <TradeId>

Example

FXOpt_Hedge_TradeId = 19311

Auto-Generated FX Trades

Attaches to trades that the system automatically generates, including trades generated from mirror deals, spot risk transfer, cross-currency split, spot mismatch, and back-to-back. Contains the Trade ID of the original trade, which is the trade entered with the customer as the counterparty.

Value = <TradeID>

Example

FXOriginalTradeID = 35505

All FX Products

Attaches to all FX trades that you enter in the system (original trades, not generated trades). Specifies the name of the pricing environment (PE) used when you saved the trade.

Value = <PEName>

Example

FXPricingEnv = default

Rollover and Rollback

Attaches to the swap extension trade. Specifies the forward points for the far leg.

Value = <ForwardPoints>

Example

FXRollOverFarFwdPt = -51.56000000000063

Rollover and Rollback

Attaches to the swap extension trade. Specifies the forward points for the near leg.

Value = <ForwardPoints>

Example

FXRollOverNearFwdPt = -18.319999999999936

Rollover and Rollback

Attaches to the swap extension trade. Specifies the spot rate used in the swap extension trade.

Value = <SpotRate>

Example

FXRollOverSpotRt = 118.40

FX Spot Reserve

In the swap trade, contains the original Spot Reserve Trade Id.

Value = <SpotReserveTradeId>

Example

FXSpotResTransFrom = 6707

FX Spot Reserve

When you set a value date on the Spot Reserve that is before the spot date, this keyword attaches to the generated swap.

Value = Y

Example

FXSpotResValDtBeforeSpot = Y

Trade Termination

Attaches to the terminated trade. Contains the forward rate applied when you terminate the trade.

Value = <ForwardRate>

Example

FXTerminateFwd = 117.93

Trade Termination

Attaches to the terminated trade. Contains the margin points applied when you terminate the trade.

Value = <MarginPoints>

Example

FXTerminateMargin = 2

Trade Termination

Attaches to the terminated trade. Contains the spot rate applied when you terminate the trade.

Value = <SpotRate>

Example

FXTerminateSpot = 117.88

FX Options Pricing Sheet

Attaches to the trades linked for hedging. Contains the trade ids of the trades.

Value = <TradeId>

Example

HedgedTrades= 52005, 52006

FX Options

Attaches to the saved trade. Specifies the currency used in the inception PL calculation, which is the delta currency for the currency pair.

The delta currency is the quoting currency in the currency pair by default. However, in the Currency Defaults you can set the Primary Delta Term flag to set the primary currency as the delta currency.

Value = <Currency>

Example

INCEPTION_CURRENCY = USD

FX Options

Attaches to the saved trade. Contains the Inception PL.

Inception PL = PV trade + PV fees + PV hedge trade

Value = <InceptionPL>

Example

INCEPTION_PL = 5,909,057.68

FX Options

Attaches to the saved trade. Contains the option PV.

Value = <PV>

Example

INCEPTION_PV = 63,293.93

FX Options

Attaches to the saved trade. Contains the PV of the premium.

Value = <FeePV>

Example

INCEPTION_FEE = -63,293.67

FX Options

Attaches to the saved trade. Contains the hedge trade PV.

Value = <HedgePV>

Example

INCEPTION_HEDGE_PV = 5,909,057.42

Spread Engine

Rate from the curve + spread.

Value = <Rate>

Example

InternalRate = 10.8084

This keyword should de used in the context of late FX trades, and should contain the position effective date and time.

See Position Configuration for details.

Spread Engine

Stores the capital spread applied to loan trades. The capital spread is defined in the legal entity attribute Capital Spread.

Value = <Spread in Basis Points>

Example

LE_CapitalSpread = 25

FX Margin

Currency pair of the FX quote used in the margin calculation.

Value = <CurrencyPair>

Example

MarginFXCcyPair = EUR/USD

FX Options

Stores the rate used to convert the margin amount to the converted margin amount. Used when the premium currency is different than the margin currency, for example, the premium currency is the primary currency and the margin currency is the base currency as defined in the pricing environment. The converted margin amount is the FX Option margin fee that attaches to the trade.

Value = <FXRate>

Example

MarginFXRate = 1.1812

FX Options

Displays whether the sales margin is a percentage of the base amount or entered as pips, and the rate.

Value = <%> or <pips>

Examples

MarginRate = %=1.00

MarginRate = Pips=200

FX Options

Attaches to the trade generated from exercise of the FX Option. Displays the trader name from the FX Option trade.

Value = <TraderName>

Examples

MirrorTrader = TRADER1

FX Products

An FX transaction is typically made up of two currency amounts, CCY1 and CCY2 and a rate, with these three inputs always triangulating. When an FX transaction is negotiated, one of the currency amounts (CCY1 or CCY2) and the rate are negotiated between the two parties and the other currency amount is calculated off the first two. The currency that is negotiated is called the Negotiated Currency and needs to be held “locked” for the life of the trade. The “locking” on the negotiated currency needs to be stored with the trade and be available when ever the trade is brought up again, or any trade lifecycle performed on it.

When you enter an amount in the primary amount or secondary amount field, the application automatically assumes that currency is the negotiated currency. It locks that currency for the life of the trade, and displays the locked padlock icon next to that amount field.

When you save the trade, the trade keyword NegotiatedCurrency stores the currency value.

Value = <LockedCurrency>

Example

NegotiatedCurrency = EUR

No longer used since v15 Maint.

Replaced by Expiry Delivery Link property.

FX Products

Attaches to a trade saved with a rate that is outside of the tolerance range defined for the currency pair in the Deal Entry Rate Tolerance configuration. The Comment column in the Trade Browser displays the Deal Entry Rate Tolerance Comment required for saving the trade.

Value = Y

Example

Off_Market_Rate = Y

Precious Metals

Attaches to the precious metal trade captured in the FX Spot, FX Forward, FX Swap, or FX Option trade window. Specifies whether the precious metal is allocated or unallocated.

Allocated — when a client requires the precious metal to be physically segregated, with a list of bar weights and assays (purity tests). Each bar has an identification code against which its details are recorded and the client holds full title of this bar. It is merely held in custody.

Unallocated — when specific bars are not set aside and the client retains a general entitlement to the metal. It is at its most convenient in this form, as it can be credited and debited electronically between parties.

Value = <allocated | unallocated>

Example

PreciousMetal-allocation = allocated

Precious Metals

Attaches to the precious metal trade captured in the FX Spot, FX Forward, FX Swap, or FX Option trade window. Specifies the location where the precious metal trades.

Value = <Location>

Example

PreciousMetal-location = London

Precious Metals

Attaches to the precious metal trade captured in the FX Spot, FX Forward, FX Swap, or FX Option trade window. Specifies the location spread over the base rate.

Value = <LocationSpread>

Example

PreciousMetal-loco-spread = .3

Precious Metals

Attaches to the precious metal trade captured in the FX Spot, FX Forward, FX Swap, or FX Option trade window. Specifies the location spread over the base rate, converted to the cross pair (for example, the unconverted spread is in XAU/USD, and the converted spread is in XAU/AUD).

Value = <LocationSpreadConverted>

Example

PreciousMetal-loco-spread-converted = .0025

FX Options

Displays whether the premium is a percentage of the base amount or entered as pips, and the rate.

Value = <%> or <pips>

Examples

PremRate =%=-1.05467

PremRate =Pips=-2.00000

Sales Margin

For reporting purposes, you can define the primary specialist for the sales counterparty in the Primary Specialist legal entity attribute. During trade capture, the system automatically sets the primary specialist name in the Primary Specialist trade keyword. You can include the Primary Specialist trade keyword in the Sales Margin Report to report the fee with the primary specialist.

Value = <PrimarySpecialistName>

Example

Primary Specialist = John Doe

All FX Products

Attaches to FX trades. Displays the decimal precision for the rate fields. It takes the default values defined by currency pair in the Currency Default window. However, you can change the precision in the trade window by selecting the rate field and pressing [F12] to increase the precision or [F11] to decrease the precision.

Value = <Ccy1>/<Ccy2>=<DecimalPrecision>

Also displays the precision for cross-currency split pairs:

<SplitPr1Ccy1>/<SplitPr1Ccy2>=<DecimalPrecision>

<SplitPr2Ccy1>/<SplitPr2Ccy2>=<DecimalPrecision>

Examples

RatesPrecision = USD/JPY=4

RatesPrecision = CAD/JPY=5,USD/JPY=15,USD/CAD=4

All FX Products

This keyword contains the rounding method applied to the trade.

Value = NEAREST, UP, DOWN

Example

ROUNDING = UP

Back-to-Back

Attaches to the original trade. Contains the id(s) of the transfer book(s).

Value = <TransferBookId>…

Examples

SalesB2B = Transfer To=7803

SalesB2B = Spot Transfer Book=7803,Swap Transfer Book=7804

Back-to-Back

Attaches to the SalesB2B internal trade(s). Contains the Trade Id of the original trade.

Value = <OriginalTradeId>

Example

SalesB2BFrom = 8025

Back-to-Back

Attaches to the original trade. Contains the Trade Id(s) of the SalesB2B internal trades(s).

Value = <SalesB2BTradeId>

Example

SalesB2BTo = 8026,8028

Spread Engine

Sales margin applied to the trade; total of the spreads.

Value = <Margin in Basis Points>

Example

SalesMargin = 29

Spot Risk Transfer

Attaches to the trade that originated the spot risk transfer. Contains the transfer details, regardless if the transfer uses a configuration or a custom setting.

Value = <CcyPair>, <ProductType>, <BookId>, <TransferBookId>

Example

SavedTransferInfo = USD/JPY,FXForward,38,7754

Cross-Currency Split

Attaches to the trade that originated the cross-currency split. Contains the split details, regardless if the split uses a configuration or a custom setting.

Value = <CrossPair>, <ProductType>, <BookId>, <SplitCcy>, <SplitPair1>, <SplitPair1BookId>, <SplitPair2>, <SplitPair2BookId>

Example

SavedXccySplitInfo = AUD/JPY,FX,32,USD,AUD/USD,32,USD/JPY,32

In this example, the system generated all trades in the same book.

Cross-Currency Split with Spot Mismatch

Attaches to a cross-currency trade that has a spot mismatch. One or both of the spot dates on the split trades do not match the spot date on the original trade. The system generates an FX Swap deal to account for the difference. The keyword contains the details of the generated FX Swap deal.

Value = <SplitPair>, <OriginalBookId>, <FXSwapBookId>

Example

SavedXccySpotMismatchInfo = USD/CAD,353,8308

FX Options

Attaches to trades that you save by clicking WhatIf in the trade window. These are temporary trades.

Value = Y

Example

ScratchPadTrade = Y

Bulk FX Option

Attaches to trades that you save in the Bulk FX Option application. Specifies whether the system generates one bulk confirmation including the details of each trade, or an individual confirmation statement for each trade.

Value = true — one bulk confirmation generated.

Value = false (default value) — confirmations generated for each trade.

Example

SINGLE_CONFIRM = true

Bulk FX Option

Attaches to trades that you save in the Bulk FX Option application. Specifies whether the system generates a single netted premium payment, or individual premium payments for each trade.

Value = true — one netted premium payment.

Value = false (default value) — individual premium payments.

Example

SINGLE_PAYMENT = true

All FX Products

Specifies the margin points. The system sets this keyword to be blank for FX products that do not have a spot margin.

Value = <MarginPoints>

Example

SPOT_MARGIN = 2

FX Forward, FX TTM, FX NDF, FX Option Forward

Specifies the margin points attributed to the forward trader.

Value = <MarginPoints>

Example

SPOT_MARGIN_FWD_PART = 8

TTM with Spot Reserve

Attaches to the generated Spot Reserve trade. Specifies the Trade Id of the original TTM trade.

Value = <TTMTradeId>

Example

SPOT_RES_TTM_TRADE_ID = 16927

Spot Risk Transfer

Attaches to the original trade. Contains the transfer amount for the automatically generated trade. By default, the transfer amount for the Spot Risk Transfer is opposite the value of the PV pricer measure (-PV).

Value = <TransferAmount>

Example

SPOT_RISK_TRANS_AMT = -1072.39

FX Position Rollover

Attaches to the original spot trade. Specifies the currency pair, roll date, and book for the new trade.

Value = <PositionCcy>, <HomeCcy>, <RollFromDate>, <RollOverBookId>

Example

SPOT_ROLLOVER = JPY,USD,05/14/2004,8305

Spot Risk Transfer

Attaches to the transfer trade. Contains the original Trade Id.

Value = <OriginalTradeId>

Example

Spot_Transfer_From = 7368

Spot Risk Transfer

Attaches to the original trade. Contains the transfer Trade Id.

Value = <TransferTradeId>

Example

Spot_Transfer_To = 7369

FX Sales Margin Hedge

Stores the spot rate used in the calculation of the sales margin hedge amount.

Value = <SpotRate>

Example

SpotRateForSMHedge = 108.03

Spread Engine

Stores the spread as defined in the spread configuration and captured in the trade.

Value = <Spread in Basis Points>

Example

Spread = 11

FX Options Sales Margin

Attaches to option trades where the sales margin is generated between the trading book processing organization and the parent of the subsidiary. Stores the name of the subsidiary.

Value = <SubsidiaryLegalEntityShortName>

Example

Subsidiary = CHICAGO

TTM with Spot Reserve

Attaches to the original TTM trade. Specifies the Trade Id of the generated Spot Reserve trade.

Value = <SpotReserveTradeId>

Example

TTM_ SPOT_RES _ID = 16928

Spot Reserve

Attaches to the original Spot Reserve trade. Specifies that the value date is set.

Value = Y

Example

ValueDateSet = Y

FX Options

Contains the volatility captured in the trade.

Value = <Vol%>

Example

VOLATILITY = 9.3117

FX Options

Contains the market volatility.

Value = <Vol%>

Example

VOLATILITY1 = 9.3389

Cross-Currency Split

Attaches to the original trade and split trades. Specifies the rates of the split cross-currency trades.

Value = <CcyPair1>=<SpotRate1>,<CcyPair2>=<FwdRate2>, <CcyPair1>=<FwdRate1>,<CcyPair2>=<SpotRate2>

Example

XCcySplitRates = USD/CAD_SPOT=1.3375, USD/JPY_FWD=0.0, USD/CAD_FWD=0.0, USD/JPY_SPOT=107.94

Cross-Currency Split

You can create the split trades in the same book as the original trade for the cross pair. Also, you can create one split trade in the original book and the other split trade in a different book. In these cases, the system generates an offset trade for the split trade(s), which is the reverse of the split trade. The keyword attaches to the offset trade and contains the Trade Id of the split trade.

Value = <SplitTradeId>

Example

XCcy_Offset_From = 41404

Cross-Currency Split

You can create the split trades in the same book as the original trade for the cross pair. Also, you can create one split trade in the original book and the other split trade in a different book. In these cases, the system generates an offset trade for the split trade(s), which is the reverse of the split trade. The keyword attaches to the split trade and contains the Trade Id of the offset trade.

Value = <OffsetTradeId>

Example

XCcy_Offset_To = 41406

Cross-Currency Split

Attaches to the split trade. Contains the id of the trade that originates the split trades.

Value = <OriginalTradeId>

Example

XCcy_Split_From = 10805

Cross-Currency Split

You can select to create split trades for the forward points, only. Attaches to the original trade.

Value = Y

Example

XCcy_Split_Fwd_Only = Y

Cross-Currency Split

Attaches to the original trade. Contains the ids of the split trades.

Value = <SplitTrade1Id>,<SplitTrade2Id>

Example

XCcy_Split_To = 10808,10810

Cross-Currency Split

Attaches to the original trade when the system generates one or both split pair trades in the same book as the original trade. Contains the Trade Id of the first split trade.

Value = <SplitTradeId> or <SplitTrade1Id>

Example

XCcy_Split_Trade1_Offset_To = 41406

Cross-Currency Split

Attaches to the original trade when the system generates both split pair trades in the same book as the original trade. Contains the Trade Id of the second split trade.

Value = <SplitTrade2Id>

Example

XCcy_Split_Trade2_Offset_To = 41408

Cross-Currency Split

When you split a cross-currency position (or recreate a cross-currency position) in the Spot Position Blotter by using the “Split Position Trade” function, the XCcyInternalSplit=YES keyword attaches to the trade that you capture. It causes the system to generate the internal split trades, and prevents mirror trades from being generated.

Value = <YES | NO>

Example

XCcyInternalSplit = YES

Spot Mismatch

Attaches to the original trade, mismatch swap, and split trades. Stores the spot rates and forward points for the mismatch swap trade(s).

Value = <CcyPair1>=<SpotRate>,<CcyPair2>=<FwdPts>, <CcyPair1>=<FwdPts>,<CcyPair2>=<SpotRate>

Example

XccySptMismatchRates = USD/CAD_SPOT=1.3365, USD/JPY_FWD=0.0, USD/CAD_FWD=-10.0, USD/JPY_SPOT=107.94

Spot Mismatch

Attaches to the mismatch swap trade. Contains the id of the trade that originates the mismatch.

Value = <OriginalTradeId>

Example

XccySptMismatchSplitFrom = 10805

Spot Mismatch

Attaches to the original trade. Contains the id of the mismatch swap trade.

Value = <Ccy1/Ccy2>=<SwapTradeId>…

Note: There could be a second mismatch swap for the second currency pair.

Example

XccySptMismatchSplitTo=USD/CAD = 10806