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Exchange Traded Derivatives Oracle FLEXCUBE Universal Banking

1. Clearing House Input By Authorized By Modification Authorized Date Time Date Time Number Open All ET instruments must be designated at inception either as Future or as Option instruments At the time of product definition you would have indicated whether the product being defined is meant for future instruments or options When you associate an instrument with a product the specifications you made for the instrument product are defaulted to the instrument You will not be allowed to change the defaulted specifications Specifying the Instrument details Reference In Oracle FLEXCUBE instrument reference numbers are generated automatically and sequentially by the system This number tag is used to identify the instrument you are entering It is also used in all transactions related to this instrument Here the system generates a unique 16 digit alohanumeric reference value for each instrument Instrument Identification You can provide your own reference number or value for the instrument here This is called the Instrument Identification The Instrument Identification in addition to the Reference generated by the system identifies the instrument The Instrument Identification should be unique and cannot be used to identify any other instrument It also cannot exceed 16 characters By default the instrument Reference number generated by the system is taken as the Instrumen
2. 11 14 ORACLE 11 5 12 EEPS Exchange for physicals in Short Customer Portfolio Accounting Role Amount Tag Applicable Debit BR_SETLM BRIDGE EFP_GAIN Futures Credit PF_SETLM BRIDGE EFP_GAIN Debit PF_SETLM_BRIDGE EFP_LOSS Futures Credit BR SETLM BRIDGE EFP_LOSS Own Portfolio Dr Cr Accounting Role Amount Tag Debit BR_ SETLM_BRIDGE EFP_GAIN Applicable Futures oarpen cans errom Cear pa senm manae eres st covr une soro sser st conr ue orr soto asser oeoa st cove une or sor cows While reversing the accounting entries will be reversed 11 5 13 ERVL Revaluation of Long Position Accounting Role Amount Tag Dr Cr Applicable Indicator Futures Call amp Put BR_SETLM_BRIDGE REALIZED_GAIN REALIZED REALIZED GAINS REALIZED GAIN REALIZED LOSS REALIZED LOSS Debit Futures Call amp Put Options F 11 15 a F Accounting Role Amount Tag Dr Cr Applicable Indicator CONT_ASSET Futures Call Options F CONT ASSET OFF Futures Call Options F CONT LIAB OFF Futures Put Options F CONT LIAB OFF Futures Put Options F REVAL_ASSET Call amp Put Option O 11 5 14 ERVS Revaluation of Short Position Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM_ BRIDGE REALIZED GAIN Debit Futures Call amp Put Options F REALIZED LOSS REALIZED LOSS Debit Futures Call amp Put Options F 11 16
3. PF_SETLM_BRIDGE CLOSE _ PRICE PREMIUM Oe PF _SETLM BRIDGE BOOK VALUE Futures Call amp Put Options O F Accounting Role Amount Tag Applicable Own Portfolio Gat conr ASSET ore son sorsom at cowr Asser feorassroen Goat cowrume sooassetwoa Gat cowr une or feoreevsoosn eraco soosse Gat commore sanra BR_SETLM_BRIDGE CLOSE_PRICE_PREMIUM Futures Call amp Put Options F O je oomo coe Pace me estan serarenooe soowvaue ot rremus eno avermemaweno CONTROL CLOSURE_GAIN Futures Call amp Put Options F O TRADING_LOSS CLOSURE_LOSS Futures Call amp Put Options F O 11 7 ORACLE CONT ASSET OFF SOLD CCY EQ DECR Futures Call Option F 11 5 4 EOSH Opening of Short Position Customer Portfolio Accounting Role Amount Tag Applicable Debit BR_SETLM BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options O Credit PF_SETLM BRIDGE DEAL PREMIUM AMT Own Portfolio Dr Cr Accounting Role Applicable Debit CONT ASSET BOT ASSET Put Option O F Credit CONT ASSET OFF SOLD CCY EQ Debit CONT LIAB OFF BOT CCY EQ Futures Call Option O F Credit CONT LIAB SOLD_ASSET Debit BR_SETLM_ BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options O 11 5 5 ERVS Revaluation of Short Position Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM_ BRIDGE REALIZED GAIN Debit Future Call and Put Options F REALIZED GAINS
4. Portfolio Broker Account Details ttiz Broker Account Annexure A lists all the possible accounting entries for your banks and customer portfolios 6 25 ORACLE 7 1 7 Defining Deal Products Introduction A Deal product is a category or type of deal It provides a general framework and serves to classify or categorize deals A deal product can also represent a specific service offered by your bank The first attribute you can define for a product is its Type In other words you indicate the type of deals that the product can cater to In Oracle FLEXCUBE you can set up products for the following deal types e Liquidation deals LQ deals e Long Short deals LS deals You can use Liquidation type of deal products for processing deals which involve any of the following activities e Manual exercise of options e Manual assignment of options e Exchange for physicals of futures Long Short type of deal products can be used for processing deals involving the following activities e Opening of Long Short Positions in Futures and Options e Closing of Long Short Positions in Futures and Options The accounting entries passed the messages that are generated and the processing of deals involving a product are determined by your entry in the Product Type field Whenever a product is created or modified on authorization of the deal product Oracle FLEXCUBE notifies the external system of the modification and
5. a necenecie ooer oee ooer Pr semm foose O PeRECEWsiE ponorem 11 5 Event wise Accounting Entries for your Own portfolio In the subsequent sections we have defined suggested accounting entries for each of the events in the life cycle of deals involving your banks portfolio product Also note that some of the Amount Tag s linked to the Accounting Roles are user defined 11 5 1 EOLG Opening of Long Position Customer Portfolio Accounting Role Amount Tag Applicable PF_SETLM BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options O BR_SETLM BRIDGE DEAL_PREMIUM_AMT pC Own Portfolio CONT ASSET BOT ASSET Futures Call Options O F CONT LIAB OFF BOT CCY_ EQ Put options O F PREMIUM_ PAID DEAL PREMIUM AMT Call amp Put Options O 11 5 2 EVRL Revaluation of Long Position Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM_ BRIDGE REALIZED GAIN Debit Future Call and Put Options F REALIZED GAINS REALIZED_GAIN Credit Future Call and Put Options F REALIZED LOSS REALIZED LOSS Debit Future Call and Put Options F BR_SETLM_ BRIDGE REALIZED LOSS Credit Future Call and Put Options F CONT_ASSET ASSET Future Future Call Opton F Future Call Opton F F 11 5 3 ECLG Closure of Long Position Customer Portfolio Drier DrlCr Accounting Role Accounting Role Amount Tag Applicable BR_SETLM_BRIDGE CLOSE_PRICE_PREMIUM Futures Call amp Put Options O F
6. 8 2 5 Viewing selecting the custom fields You can view the UDFs only if you have maintained the same for the product involved in the deal To view the UDFs defined for the product click Fields button The list of fields and default values specified for the product to which the deal is associated is displayed User Defined Fields Contract Reference Field Properties B Field Name Field Value o DO l You can add to the list of fields defaulted from the product but you will not be allowed to remove a field from the defaulted list You can change the values defaulted from the product to suit the deal you are processing For more details on defining custom fields in Oracle FLEXCUBE refer the User Defined Fields User Manual 8 8 ORACLE 8 2 6 Viewing Specifying MIS details 8 2 7 You can choose to perform MIS Refinancing on a daily basis for all bill contracts only if this option has been enabled in the Bank wide Preferences screen If the MIS refinancing has been set to a daily frequency you have to indicate the refinance rate pick up specification through the transaction MIS sub screen while processing the contract Click MIS button to invoke the MIS screen Contract Reference Number MIS Group F Link To Group Floating Rate O Related Reference Number Related Reference Rate Code Number Siendi Spre Related Account MIS Head a Cost Code Related Account Rate At i Rate Typ
7. Reversed Reference The reference number of the contract that is being reversed and rebooked is displayed here Source You have to specify the source from which deal is to be uploaded Instrument Identification and Series Identification While entering the details of a deal you should indicate the instrument and series that the deal involves You have already restricted specific instruments from trading in the deal product in the Instrument Restriction screen of the Deal Product screen When you associate a product with the deal the restrictions defined for the particular product are made applicable to the deal You have to select the Instrument Identification which is to be associated with the deal A list of all the allowed instruments is available alongside As you have already maintained the instrument all the attributes of the deal like the contract size and unit commodity details pricing details initial margin per contract days of settlement will be processed based on these details After you associate an instrument with the deal you can the series identification Contracts Indicate the number of contracts that are to be traded The system multiplies the Number of Contracts and the Contract Size to arrive at the quantity of the actual commodity that is involved in the trade Based on the number that you specify the system calculates the quantity of the actual commodity that is involved in the trade and displays
8. 11 5 8 EXPS Expiry of Short Position Customer Portfolio Accounting Role Amount Tag Applicable Debit BR SETLM BRIDGE DEAL_PREMIUM_AMT Call amp Put Options F Credit PF_SETLM BRIDGE DEAL PREMIUM AMT Own Portfolio Dr Cr Accounting Role Applicable Debit CONT_ASSET OFF SOLD CCY_ EQ Put Options O F Credit CONT _ASSET BOT ASSET Debit CONT LIAB SOLD ASSET Call Options O amp F 11 11 ORACLE 11 5 9 EXRL Exercise in Long Position Customer Portfolio Own Portfolio zeni Gal opion a F 11 12 ORACLE REALIZED LOSS EXERCISE LOSS Call amp Put options O F CONTROL DEAL_PREMIUM_AMT Call amp Put Options F BR_SETLM_BRIDGE DEAL_PREMIUM_AMT pe 11 5 10 EAXS Assignment in Short Position Customer Portfolio cst an senm sanae sron smeo ct Pr seron srooe oen ramma Own Portfolio CONTROL SPOT STRIKE DIFF Debit Call amp Put options O F Credit BR_SETLM_BRIDGE SPOT_STRIKE_DIFF BC ASSIGN_ LOSS EXERCISE ASSIGN LOSS Call amp Put options O F Credit EXERCISE ASSIGN LOSS CONTROL ee EXERCISE _ASSIGN_GAIN CONTROL Call amp Put options O F Dr Cr Accounting Role Applicable Credit EXERCISE ASSIGN GAIN ASSIGN_GAIN ae Debit DEAL_PREMIUM_AMT BR_SETLM_BRIDGE Call amp Put options F Credit DEAL_PREMIUM_AMT CONTROL 11 5 11 EEPL Exchange of physicals in Lon Customer Portfolio Own Portfolio
9. 7 7 ORACLE 8 1 8 Processing an ET Deal Introduction Using the ETD module of Oracle FLEXCUBE you can process the following deal types e Liquidation Deals e _Long Short Deals These could be value dated today or back value dated deals Each deal that you enter in Oracle FLEXCUBE should necessarily be associated with a deal product You have already defined deal products to group together or categorize deals that share broad similarities Deal products provide a general framework and serve to classify or categorize deals Under each Product that you have defined you can enter specific deals based on your requirement By default a deal inherits all the attributes of the product which is associated with it A deal would require information on the following e ET instrument involved in the deal e Series which is being traded e Number of contracts that are traded e Deal Type being processed whether it is a buy sell or liquidation type of deal e Option Premium or the price at which an option is bought or sold excluding any commissions trading fees and applicable levies The option premium is expressed in index points per contract While capturing future deals you will have to indicate the Future Price e Value Date of the money settlement e Portfolio involved in the deal whether it is a customer or bank portfolio e Broker involved in the deal e Details of the broker account involved in the deal In the ETD module y
10. TIME _ This is the exact time at which the deal transaction took place in the exchange _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _BRKACC _ This is the broker account involved in the transaction _ASSCYY _ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT _ This is the Commodity spot price multiplied by the commodity pricing multiple for the instrument 12 3 5 EFP Confirm Notice BRANCH __ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters _BRNADD3_ There are three lines in which the branch address for correspondence can be keyed in _ASSTYP __ This is the Asset Type under which the underlying commodity is grouped _COMDTY __ This is the name of the underlying commodity _COMDESC __ This is the description assigned to the underlying commodity _ASSNAT _ This indicates the basic nature of the commodity COMPRSZ_ This indicates the manner in which the commodity has been prized in the market _COMPRUT_ This is the Prizing Unit at which the commodity has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC _ This is the descripti
11. holiday The system completes the revaluation on the 30 June which happens to be a working day Specifying Statement Details Frequency If you have indicated that a Statement of holdings and transaction should be generated for the customer portfolio you have to indicate the frequency with which a statement should be generated The frequency that you specify can be e Daily e Monthly e Quarterly e Half yearly or e Yearly Based on the frequency that you specify you can also indicate the start date and month for the generation of the statement The system generates a statement of holding and transactions automatically as part of the end of cycle processing based on the preferences that you specified here When the statement generation date falls on a holiday the statement is generated on the next working day after the holiday 6 20 ORACLE 6 7 2 Specifying Role to Head mapping preferences As part of defining the portfolio product you have associated the product with an appropriate accounting class To associate accounting role to head mappings or classes for the first three hierarchical levels click Role To Head button in the Portfolio Definition screen Role To Head Mapping Portfolio Role To Head Class Mapping Portfolio Id RoleToHead az Portfolio Description Description Instrument Product Role To Head Class Mapping DGH eS ol z L l Instrument Role To Head Class Mapping NE i
12. 13 O7 OPTION DEALS ator cen sate e E E E EEE E OE E O E 10 15 10 7 1 European Option Deals with Option style Premium cccccccccccccccssseessccccccccaeesssecceeeeeaaseeeeceeeeeaaaeees 10 15 10 7 2 Deal lI Reference Number DIOL O3 iccccccccccccccssscccccccccccsssecsecceeeeaeeeeseeeeeeesaaeesseeeeeeeesauaaeeeeceeeesaaaaees 10 17 10 7 3 Deal IT Reference Number D1020 cccccccccccccsssccccccccececenesssecceeeeaseneseeeeeeeeaaeeeseeeseesaaaaseeeeeeeegagages 10 18 10 7 4 Deal Il Reference Number D10402 cccccccccccccsssssccccccceecensssseecceeeeeassseeeeceeeeaaaeseeeeeeeesaaaaeeeeeeseeaaags 10 19 10 7 5 American Option Deals with Future Style premium c ccccccccccccssneeesccceceecaaseeeecceceeeaaaeeeeeeseesaaaeees 10 20 10 7 6 DealI Reference Number D20104 iiccccccccccccsssccccccccescssssssecceeeeaaaeseeeeeessaaaseseseceeeseaaaaeeeeeeeesaaaaees 10 22 10 7 7 Deal IT Reference Number D20601 cccccccccccsssscccccccececeeesseecceeeeaaseaeeseeceeeesaaaseeeeeeeeeeaaaaeeseeeeeeaas 10 23 11 ANNEXURE A EVENT WISE ACCOUNTING ENTRIES FOR YOUR OWN PORTFOLIO 11 1 11 1 ACCOUNTING ENTRIES FOR A BANK PORTFOLIO cccccccccecccecccececccececcecccecccecceeccecceceeeceeeeeeeeeeeeeeeeeeeeees 11 1 I ETDE NI S eepe eo ee eae ee ERER 11 1 IE AMO A e a E EEEE E E EE EE EE EEE E EE E O 11 2 A A OU TORO a E A E AE E N A T E 11 4 11 5 EVENT WISE ACCOUNTING ENTRIES FOR YOUR OWN PORTFOLIO ssssessenneeeceeceeeeeeeeeeeeeeeee
13. Accordingly you have priced the instrument in the following manner Instrument Pricing Size Instrument Pricing Size Unit Kilogram The system calculates and displays the Deal Value of the contract in the adjacent field based on your entry in this field The Deal Value is calculated in the following manner Example Futures Price Option Premium X Number of Contracts X Instrument Pricing Multiple You are capturing the details of a Short type of deal with the following details Product DP01 Long Short deals for Portfolio Customers Description Chicago Board of Trade European Style call option Series 4 00 NOV 2000 Number of Contracts 12 Deal Type Short Option Premium 0 25 USD Per KG The Instrument Details which will be taken into account for processing are e The Contract Size 10 Kilograms 8 4 ORACLE e The Asset Currency USD e The Pricing Currency USD e The Pricing Multiple 10 Since the Number of Contracts involved is 12 the quantity of the actual commodity involved in the trade will be calculated as follows 12 Number of Contracts X10 Contract Size 120 KGs The Option Premium is 0 25 USD Per Kilogram Therefore the Deal Value will be calculated as follows 0 25 Option Premium X 12 Number of Contracts X_10 Pricing Multiple The Deal Value will be displayed as 30 USD Value Date Specify the Value Date here The Value Date represents the date from which the obligation or th
14. As part of settling all Closing deals for the day the system calculates and posts accounting entries for the closure gain or loss The events that can be triggered in Oracle FLEXCUBE for processing the closure of deals are ECLG Closure of Long Positions ECSH Closure of Short Positions 10 3 ORACLE 10 3 4 Liquidation of all Open positions on the Expiry Date As of the Expiry Date the system will identify all series expiring on that day and liquidate all Open positions in the series The system reverses contingents The events that will be triggered in Oracle FLEXCUBE for liquidating open positions on the Expiry Date are EEPL Liquidation of Long Positions EEPS Liquidation of Short Positions 10 4 Automatic events executed during End of Day for Options 10 4 1 Settlement of Opening deals for options While running this process the system updates the cost of the portfolio based on the new holdings This is done as per the costing method Deal Matching Weighted Average LIFO FIFO defined for the portfolio Sron Note that costing is applicable only for your bank s own portfolios For customer portfolios the system only facilitates the money settlement of the Deal Premium It does not so any costing The events that will be triggered in Oracle FLEXCUBE for processing the settlement of opening deals for options are EOLG Opening of Long Positions EOSH Opening of Short Positions 10 4 2 Settlement of Closing de
15. BRNADD3 There are three lines in which the branch address for correspondence can be keyed in COMPRSZ_ This indicates the manner in which the commodity has been prized in the market 12 12 ORACLE This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE TIME _ This is the exact time at which the deal transaction took place in the exchange _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _BRKACC _ This is the broker account involved in the transaction _ASSCYY _ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT _ This is the Commodity spot price multiplied by the commodity pricing multiple for the instrument 12 3 4 Exercise Confirm Notice BRANCH __ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is
16. Closing Deal can either be a Long Short type of a deal or can be an Exercise Assignment Deal This closing deal has to be matched to one or more opening deals However while matching deals you should take care of the following e The Value Date of the Opening Deal should be less than or equal to the Value Date of the Closing Deal e lf value date of the Closing Deal is equal to the Value Date of the Opening Deal then the Trade Time Stamp of the Opening Deal should be less than the Trade Time Stamp of Closing Deal Also the total number of contracts of the Closing Deal that should be matched should be equal to the number of contracts that you wish to close Example Scenario Let us assume you are 20 Contracts long in a particular instrument where the instrument details are as follows Strike Price 10 USD Contract Size is 1 Unit of the Underlying Commodity The balance of 20 Contracts have been built up by the following deals 10 Contracts Deal001 Premium Paid 2 USD per Contract 4 Contracts Deal002 Premium Paid 3 USD per Contract 6 Contracts Deal003 Premium Paid 4 USD per Contract Let us assume you are doing an Exercise Deal for 12 Contracts Deal004 Commodity Price 12 USD You would like to match this Exercise Deal of 12 Contracts ail to Deal001 and Deal003 Your deal matching preferences in the Deal Matching screen will read as follows Deal004 matched to Deal001 6 Contracts Deal004 matche
17. Day the event ERVL will be triggered and the following entries will be passed Accounting Dr Cr Currency Description Role Indicator Contingent Asset Debit USD 5000 Increase in Contingent asset on Revaluation in Pricing Currency Contingent Asset Credit USD 5000 offset Customer Debit USD 5000 Revaluation Gain realized in pricing currency 10 6 3 Deal Il Reference Number D20302 Nature of Contract Partial Liquidation of Long Position for your Own Portfolio Deal Number D20302 Deal Product DPO3 Instrument ID CME 90 day US T bill Future Instrument Series Nov 00 Buy Sell 10 12 ORACLE Booking Date 23 Nov 2000 Value Date 23 Nov 2000 Expiry Date 24 Nov 2000 Trade Rate 97 75 No of Contracts 100 In this case since the Portfolio Instrument Series Broker and Broker Account combination is the same as the one that was used to process the earlier deal D20101 the system uses the same basket BSKO001 The balance in the basket prior to processing this deal was 200 Long contracts Since we are processing a short deal the balance in the basket will come down to 100 long contracts The accounting entries posted for partial liquidation of long contracts will be as follows Event Code ECLG Accounting Role Dr Cr Currency Description Indicator Contingent Asset USD 3500 Increase in Contingent Asset Contingent Asset Credit USD 3500 offset Contingent Asset Debit USD 977500 Eq Amt in pricing curr
18. EUR 210 and beyond EUR 10 For each expiration month there are at least three call and three put series providing an in the money at the money and out of the money exercise price For options contracts with lifetimes of 18 or 24 months XXL Options the exercise price intervals are doubled Underlying Instruments Eurex equity options on German shares are traded in the following groups according to their expiration months cms owe owe 1 2 3 6 and 9 months 1 2 3 6 9 and 12 months 1 2 3 6 9 12 18 and 24 months Shares with a calculated nominal value of DEM 5 or equivalent in euro Adidas ADS Bay Hypo und Vereinsbank Allianz Holding ALV HVM Degussa Huls DHA Dresdner Bank DRB BASF BAS Henkel Vz HENS Lufthansa LHA Bayer BAY Metro MEO Mannesmann MMN Commerzbank CBk Munchener Ruck versicherung RWE RWE Daimler Chrysler DCX MUV2 SAP Vz SAPS Thyssen Krupp TKA Deutsche Bank DBK Schering SCH ee Deutsche Telekom DTE Munchener Ruckversicherung MVUZ Shares with a nominal or calculated value of DEM 50 or equivalent in euro Karstadt KAR BMW BMW Linde LIN Preussag PRS MAN MAN VIAG VIA Trading Hours CET 9 00 a m until 5 00 p m CET All equity options are subject to mandatory market making Option Premium Payable in full on the exchange trading day immediately following the trade date 5 4 7 In Oracle FLEXCUBE The detail
19. MIS transaction codes under which portfolios within the product are to report to These transaction codes will be defaulted to portfolio You can choose to change the defaults specifically for a portfolio Click MIS button in the Portfolio Definition screen The Transaction MIS Maintenance screen will be displayed Z MIS Web Page Dialog Contract Reference MIS Group F Link To Group Number Floating Rate Input Rate Code Related Reference Number Related Account la Spread MIS Head laz Cost Code Pool Code Contract Level Rate Type Fixed 7 Interest Method zj Fronsactton Mis Code Composite MIS Code Funds MIS Code MIS Group Rate Amendment Rate Change Log Balance Transfer Log Identify the transaction code s under which you would like to report the portfolio Refer to the Common Procedures manual for a detailed procedure 6 7 6 Associating Brokers and Broker Accounts with a portfolio Through the Portfolio Broker Account Linkage screen you can e Identify the brokers that are to be associated with the portfolio e Identify broker accounts and map them to relevant Broker codes 6 24 ORACLE A portfolio can have positions only in the broker accounts that you maintain in this screen Click Broker button in the Portfolio Definition screen The Broker Details screen gets displayed Broker Details Portfolio Id Portfolio Description
20. ORACLE Accounting Role Amount Tag Dr Cr Applicable Indicator CONT LIAB OFF BOT CCY EQ DECR Futures Call Options F REA WCOE NOTOWLOAN owe emae orowe 11 6 Event wise Accounting Entries for your Customer s portfolio In this section we have defined suggested accounting entries for each of the events in the life cycle of deals involving customer portfolio product 11 6 1 EOLG Opening of Long Position Accounting Role Amount Tag Dr Cr Indicator Applicable PF_SETLM BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options O BR_SETLM_ BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options O 11 6 2 EVRL cone of Long Position Accounting Role Role Amount Tag Dr Cr Indicator Applicable BR_SETLM_BRIDGE REALISED GAIN Call amp Put Options F Futures PF_SETLM_BRIDGE REALISED GAIN Call amp Put Options F Futures PF_SETLM_BRIDGE REALISED LOSS Debit Call amp Put Options F Futures BR _SETLM BRIDGE REALISED LOSS Call amp Put Options F Futures 11 17 ORACLE 11 6 3 ECLG Closure of Long Position Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM_BRIDGE CLOSE_ PRICE PREMIUM Debit Call Options O amp F Put Options O amp F Futures PF_SETLM BRIDGE CLOSE _PRICE_ PREMIUM Credit Call Options O amp F Put Options O amp F Futures PF_SETLM BRIDGE BOOK_VALUE Debit Call Options O amp F Put Options O amp F Futures BR_S
21. a basket BSK002 with the following combination PF001 CME90DTB CL E 0OP 96 Nov 00 CITI CB001 The basket will be created with a balance of 80 Long contracts At EOD the event that needs to be processed in the Basket because of this Deal is EOLG The accounting entries posted for this event are as follows Contingent Asset 768000 Bought Asset Value 10 17 ORACLE For the event ERVL the following entries will be posted Unrealized Expense Notional Loss on Reval 10 7 3 Deal Il Reference Number D10201 Nature of Contract Open Long European Call with Option style Premium on own account mere e esa p The balance in the basket prior to processing this deal was 80 Long contracts Since we are processing a long deal the current balance in the basket will go up to 100 Long contracts At EOD the event that needs to be processed in the Basket because of this Deal is EOLG The accounting entries posted for this event are as follows Contingent Asset 192000 Bought Asset Value 10 18 ORACLE ERVL will be triggered and the following entries will be posted Reval Asset Notional Gain on Reval 10 7 4 Deal Il Reference Number D10402 Nature of Contract Auto Exercise of Long position in an In the Money European Call on Expiry saree e The current balance in the basket BSKO02 is 100 long contracts Since the instrument expires on 24 Nov 2000 all 100 contracts within the basket will cease to exist
22. as follows Accounting Role Contingent Asset Offset Contingent Asset Control Dr Cr Currency Description Indicator INR 404000 Reversal of contingents INR 50000 Spot strike difference Accounting Role Settlement Bridge Settlement Bridge Control Control Income Dr Cr Currency Description Indicator 10 24 6000 Gain on Assignment of positions 11 Annexure A Event wise Accounting Entries for your Own Portfolio 11 1 Accounting entries for a Bank portfolio This section contains details of the suggested accounting entries that can be maintained while setting up a portfolio product for your bank and for your customer s as well for the ETD module of Oracle FLEXCUBE The details of the suggested accounting entries are listed event wise 11 2 ETD Events The following is an exhaustive list of events that can take place during the lifecycle of an ET deals In the subsequent paragraphs we shall examine the accounting entries for each of the events listed below 11 1 ORACLE Reversal Expiry of Short Position 11 3 Amount Tags The Amount Tags listed below are provided in Oracle FLEXCUBE 11 2 ORACLE In addition to these you can define any number of amount tags as per your requirement 11 3 ORACLE 11 4 Accounting Roles The following list contains details of the accounting Roles that are applicable to deals involving portfolio products 11 4 ORACLE om semene foose
23. as there is no physical delivery of the index involved you must leave this box unchecked Prior Settlement Possible Positions in the Options contracts can be exchanged for the underlying assets commodities by exercising the options Similarly positions in Futures contracts can be settled by exchanging them for the underlying physical assets commodities You have to indicate whether the positions of instruments involving this product can be exchanged for positions in the underlying asset before the expiry date Select the Prior Settlement Possible check box to allow exchange of positions before the expiry date Leave this box unchecked to indicate that exchange of positions should not be allowed Auto Exercise Select this check box to indicate that instruments should be exercised automatically During EOD process any instrument will be automatically exercised only if this option is checked for the underlying product Whenever an instrument is liquidated before expiry the instrument will be open until it is exercised manually or through an upload from an external system An example of how to define an Instrument Product in Oracle FLEXCUBE Let us assume you want to define an American Currency Option where the product code ACYO It should be linked to the underlying asset type Currency You want to allow the long party to take possession of the underlying asset Moreover the instrument involving this product can be settled before the expi
24. between the spot price of the commodity and the acquisition price of the instrument 2 2 2 Customer Portfolio Opening long and short positions gt You can define the premium exchange involved in Option Style Options and book the premium amount gt You have the facility to define and book the charges involved in the deal Closing long and short positions gt You can calculate the closing gains and losses and book appropriate entries for the same Revaluation gt Based on the closing price of the instrument and the series you can perform realized revaluation on futures and future style options on a daily basis as part of the end of day activities Exercise of Options gt You can book the premium for future style options gt The difference between the Strike Price and the Commodity Price is calculated and the appropriate accounting entries are booked for the same Assignment of Options gt You can book the premium for future style options gt You can book the difference between the Commodity Price and the Strike Price of the instrument and pass entries for the same Exchange of futures for physicals gt You can book the difference between the commodity price and the acquisition price and book entries for the same Expiry of Options 2 2 ORACLE gt As on the expiry date if the series is Out of the Money the system will process an automatic expiry for the series Similarly if the series is In the Money auto
25. creation of deal products The notification code used will be NOTIF_ET DEALPRODUCT Refer the documentation on Messages for further information on Notification Message 7 1 ORACLE 7 2 Creating a Deal product The information about the deal product is captured through the Exchange Derivatives Deal Product Definition screen You can invoke this screen by typing EDDDLPRD in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Portfolio Product Product Code Exchange Rate Variancetin Product Description Override Limit Product Type Stop Limit Description Rate Code Slogan Product Group Rate Type Product Group Description start Date End Date Remarks Accounting Roles Branch Currency Portfolio Restrictions Instrument Restrictions Maker Date Time Mod Mo Checker Date Time Record Status Authorization Status In this screen you need to capture the basic information about the product This includes e Assigning a Code and Description to the product e Specifying the type of product e Associating the product with a Product Group e Creating a slogan for the product e Specifying the life span of a product The basic details about the product are common for every product that you capture in the ETD module of Oracle FLEXCUBE However while defining a deal product you need to specifically indicate the exchange rate variance that is to be associated wit
26. e Money settlement of the deal This information will be printed on all the advices that are sent to your portfolio customers If you identify Contract Standard as an Advice Tag while specifying message formats in the Messaging sub system Margin Maintenance at Instrument Level Initial and maintenance margins are maintained at the instrument level for a combination of instrument ID and portfolio The Instrument Margin screen can be used to capture details regarding percentage of initial and maintenance margins for each open contract Invoke the Instrument Margin screen by typing ENDINMR in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button 57 ORACLE Instrument Margin Branch Instrument Id Description Portfolio Id Description Initial Margin Levelt Maintenance Margin Levelt Modification Authorized Authorized By Date Time Date Time Number Open Branch The current logged in branch is displayed here Instrument Identification Select the instrument ID from the adjoining list of values provided Portfolio Identification Select the portfolio ID from the adjoining list of values provided Initial Margin Level Indicate the initial margin percentage per open contract for a combination of instrument ID and Portfolio Maint Margin Level Indicate the maintenance margin percentage per open contract for a combination o
27. for the scheme The Scheme ID in addition to the Reference generated by the system will identify the scheme This ID should be unique and cannot be used to identify any other scheme Besides it cannot exceed 16 characters By default the instrument Reference number generated by the system will be taken as the Scheme ID Scheme Type When you select the product the Scheme Type will be displayed here You will not be allowed to change the same Description You can capture a brief description that is to be associated with the scheme The description that you enter cannot exceed 35 characters ORACLE 6 14 Customer No Select the customer for whom the scheme is being created Rate Type Select the Rate Type You have the following options e Buy Sell Rate e Mid Rate The system will pick this up during conversion to scheme currency Currency Select the currency in which the scheme is to be maintained Rate Code Select the Rate Code from the option list provided The system will pick this up during conversion to scheme currency Fund ID Select the fund id from the option list provided Settlement Branch and Account The settlement branch and account will be defaulted for the scheme You will be allowed to change the same Auto settlement during margin call You can indicate if the system needs to collect the required margin when the margin balance is lesser than the maintenance margin If you che
28. has been defined as Fund Branch you must associate the portfolio with a Fund ID Since there might be multiple funds defined in the branch you must select the appropriate Fund ID from the available list The portfolio that is associated with the Fund ID becomes the fund s portfolio Costing Method A costing method is used to determine your holding cost in a portfolio Since futures and options with future style of premium are revalued on a cash basis Variation Margin everyday the system automatically uses the Weighted Average method as the basis for costing these instruments However while setting up a bank portfolio for options with option style of premium you have to indicate the costing method that is to be used Based on the preference of your bank you can select an option from the option list The costing methods for options are as given below e Weighted Average Cost WAC e Last in first out LIFO 6 18 ORACLE 6 7 1 1 e First in first out FIFO e Deal matching DMAT The costing method for futures will only be WAC In Oracle FLEXCUBE profit and loss calculations are maintained only for the bank s own portfolio Therefore you can specify this preference only while setting up your own portfolios Note the following e If the costing method is LIFO or FIFO at the time of processing EOLG EOSH and Exchange of physicals the system will automatically do a matching of deals based on deal time stamp to arrive
29. on the adjoining arrow button Portfolio Product Product Code Exchange Rate Variancet in s Product Description Override Limit Product Type Stop Limit Description Rate Code slogan Rate Type Preferred Product Group Product Group Description Start Date End Date Remarks Accounting Roles Branch Currency Maker Date Time Mod No Checker Date Time Record Status Authorization Status In this screen you can enter the following basic details of the product e Product code and module e Description of the product e Product type e Slogan for the product e Group to which the product belongs e Start Date of the product e End Date of the product e Remarks a ORACLE Product Code and Product Description You can identify a product that you maintain with a unique Product Code and a brief description In the Product Code field you must assign the product a unique code which is unique across all the modules of Oracle FLEXCUBE This code helps in identifying the product You can briefly describe a product that you create in the Description field Product Module The services that you offer in a module will be specific to the module For example a portfolio maintenance scheme is specific to the ETD Portfolio module You can view the module in which you are creating a product in the Product Module field Product Type The first attribute that you define for a portfolio product is its type You can broadly classify
30. portfolio products into two types e Customer Portfolio C the definition and maintenance of customer portfolio products help you manage your customer s trades and investments e Own Portfolio O the definition and maintenance of Own portfolio products help you manage your banks own trades and investments Under each type you can create multiple portfolio products Product Slogan You can enter a slogan for the product that you are creating In the Slogan field enter a slogan that suitably announces the product to your customers If you are creating your own portfolio you can identify it with an appropriate slogan for your bank s internal reference purposes Product Group Grouping products according to the common features they share helps you organize information relating to the services you provide This helps you retrieve information easily You can invoke a list of all the product groups that you have maintained in your bank Choose the product group to which the product you are creating belongs Product Start Date and End Date When you create a product you must also specify a date from which it can be offered You may also specify the date upto which you would like to offer the product Enter these dates in the Start Date and End Date fields gt Note that you cannot offer a product beyond the specified end date If you do not specify an end date for a product you can offer it for an indefinite period Remar
31. price at a specified future date An underlying asset or also called Commodity of the derivative contract is the one that is to be bought or sold on a future date Existing currencies within Oracle FLEXCUBE can be identified as underlying assets For example U S Dollar USD which is recognized as a currency in Oracle FLEXCUBE would be the underlying asset for a US Dollar option Similarly Equities Bonds and Zero Coupon bonds can also be defined as underlying assets This chapter details the procedures for defining Commodities or Underlying Assets in Oracle FLEXCUBE Defining Commodities In Oracle FLEXCUBE the underlying assets or commodities can be categorized and maintained through the Commodity Definition screen You can invoke this screen by typing EDDCOMDF in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Commodity Definition Type laz commodity commodity Description fe Pricing Size AssetNature Real Contingent Commodity Pricing Unit Input By Authorized By Modification Authorized Date Time Date Time Number Te Exit To enter new records in this screen click new icon You can specify the following details in the screen Commodity Specify a name for the commodity here This name that you give to a commodity identifies the commodity throughout the module Ensure that the name assigned to the commodity is unique and is not use
32. product names are trademarks of the respective companies with which they are associated
33. provided alongside this field contains all the allowed portfolios for this product Select the appropriate portfolio form this list Sron If you are capturing the details of a deal on behalf of your customer s portfolio then the CIF ID and the Name of the customer involved in the portfolio are defaulted in the respective fields 8 5 ORACLE 8 2 1 8 2 2 Broker Clearing Member Specify the Broker ID of the broker through whom the deal was brokered You can select a Broker ID from the available list The available list contains the codes assigned to brokers with whom you can enter deals Broker Account Select the Broker Account from the adjoining list This account represents the actual account where the positions will be updated Basket Reference The Basket Reference number is the unique reference number or identifier that the system assigns each time you process a deal with the following combination Portfolio ID Instrument ID Series ID Broker Broker Account The reference number is referred to as the Basket Reference Once generated all subsequent deals in the same combination will be referenced with this ID Life cycle processing for all events in the basket will be carried out based on the basket reference number Other Details These details of the instrument involved in the deal are displayed in the respective fields These details include e Strike Price if any of the instrument series e Expiry d
34. result in a balance of 5 Short 8 18 ORACLE 8 4 1 Operations you can perform on a Matched and Unmatched Deal The deal matching operation results in the event EMAT for the closing deal You will need to authorize this event either through the Long Short or the Liquidation deal depending on the Deal Type of the Closing Deal To Un match the deal you must first select the Matched deal which has to be Unmatched using the list of values under the Branch field Then click QUERY Button If you need to unmatch or remove the matching associated with a particular deal you can do so by clicking Unmatch button in the Deal Matching screen The unmatching operation also introduces an event EUMT in the closing deal You will have to authorize this event Authorization of the EMUT Unmatching event results in the reversal of the Closing Deal During the end of day batch run the system will compute the number of contracts for which a closing operation has to be performed EXRL EAXS ECLG ECSH If the number of contracts that have been matched for the closing deal does not tally with the number of contracts that need to be closed the entire basket will be skipped as an exception This basket will be subsequently picked up for processing the next day provided the matching has been rectified 8 19 ORACLE 9 1 9 2 9 General Maintenance Introduction As part of the general maintenance required for the successful fu
35. s margin requirement e Customer Margin Product PF the definition and maintenance of Customer portfolio products help you manage the margin requirement of the bank that the customer is to satisfy Under each type you can create multiple portfolio products Product Slogan You can enter a slogan for the product that you are creating In the Slogan field enter a slogan that suitably announces the product to your customers If you are creating your own portfolio you can identify it with an appropriate slogan for your bank s internal reference purposes Product Group Grouping products according to the common features they share helps you organize information relating to the services you provide This helps you retrieve information easily You can invoke a list of all the product groups that you have maintained in your bank Choose the product group to which the product you are creating belongs Product Start Date and End Date When you create a product you must also specify a date from which it can be offered You may also specify the date up to which you would like to offer the product Enter these dates in the Start Date and End Date fields Note that you cannot offer a product beyond the specified end date If you do not specify an end date for a product you can offer it for an indefinite period Remarks If you want to enter any remarks regarding the product do so in the Remarks field 6 3 1 Specifying your Pref
36. selected Under Price Detail you can specify the following details Price Code Select the commodity price code from the option list The option list includes all price codes that you have maintained through the Price Code Maintenance screen Currency Indicate the currency in which the price of the commodity is to be revalued Market Price The Market Price is the price of the commodity as quoted in the market on that date 9 3 ORACLE 9 5 9 6 Market Date This is the date for which the market price is maintained Maintaining Instrument Price Details Since prices of underlying assets commodities linked to instruments keep fluctuating based on the market conditions the prices of instruments maintained in Oracle FLEXCUBE have to be revalued on a daily basis You should capture the revalued prices for each instrument through the Instrument Price Definition screen You can invoke this screen by typing EDDINRAT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Instrument Price Maintenance Branch Instrument Id Pricing Currency Series Details l o p Input By Authorized By Modification Authorized Date Time Date Time Number cee As part of indicating the Instrument Price you have to capture the following details Instrument Identification Select the instrument for which you are maintaining prices You can specify the followin
37. the Liquidation Deals screen by typing EDDMATCH in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Deal Matching Basket Reference Broker Id Instrument Id Broker Account series Id Portfolio Id Closing Deal Reference na Query Criteria Closing Deal Type Branch Lanta Value Date Time Latest Event Sequence Number Matched Unmatched Number of Contracts Open Deal Details E CS E E P c az Input By Authorized By Contract Fi Authorized Date Time Date Time Status Basket Reference In this screen first you specify the Basket Reference for which you intend to do the Deal Matching The Basket Reference number available in the option list is displayed based on the following criteria 4 The Portfolio involved in the basket should be your Bank s own portfolio 5 The Option Costing Method specified for the portfolio should be Deal Matching 6 The Instrument involved in the Basket should be an Option with Option Style Premium 8 16 ORACLE You can select a valid Basket Reference Number from the available list The other details involved in the Basket are displayed in the respective fields on saving your entries These details include e Instrument ID e Series ID e Portfolio ID e Broker ID e Broker Account Closing Deal Reference After having specified the Basket Reference you should indicate the closing deal reference number The
38. the Commodity Price to arrive at the price per contract Example Let us assume that you are maintaining the details of a Gold Option The Contract Size you have specified is as follows Contract Size The commodity you have linked to this instrument is Gold and it is priced in terms of 10 grams The Pricing Multiple that you define for this contract will be 10 kilograms of gold 10 grams of gold 1000 Thus on the option Exercise Date if the Sport Price of Gold is 50 USD for 10 grams of gold the instrument will be considered to be at the money if it has a Strike Price of 50000 USD 50 USD X 1000 per contract Indicate the multiplication factor that should be applied to the commodity price Price Code A single commodity can be linked to several instruments issued at various exchanges As a result there might be slight price variations in the closing price of the same commodity in each exchange where the instrument is traded Since the system automatically picks up all open position contracts for auto Expiry Exercise on the expiry date of the instrument the closing price of the commodity is required for triggering this process Therefore if each of the exchanges where the commodity trades is identified by a unique price code it becomes possible to associate the price code to be used to pick up the closing price of the commodity for processing the Expiry Exercise event On saving the record the other details of the commodit
39. 2 SZ Specifying the Commodity details ccccccccccsseecccccccccceeseseseceeeeeaesssseeceeeeeaaeneeeeeeeeaaaeaeeeeeeeeesaaaaeseeeeeeeaas 5 4 JA Specifying the Price Details of the inStrumMent cccccccccccccccccccsseesecccceeecaseeseecceeeeaeaaasseeeeceeseaaaeeeeeeeeas 5 4 5 2 4 Specifying the Price Movement details cccccccccccccccsssessccecceeccaeesseeeceeeeeaeseseeeeeeeeeeaaesseeeeeeeeaaaaseeeeeeeeaas 5 5 I Specifying Maximum Open Positions details ccccccccccccccccccccccssecceeeccceeeeaeesseecceeeeauaeeseeeeeeesaaaaeeeeeeeeeaas 5 6 5 2 6 Specifying the Days for Settlement cccccccccsccccccccscnsesssecccceeaaesesseeceeeaaeaaessseeceeeeaaaaseeeeeeeeaaaaaseeceseeeeaas 5 6 Ded Specifying the Initial Margin for Open contracts ccccsccccccccccceseeseccccceeenaeeesseeeeeeeaaaeeseeeceeeeaaaaeseeeeeeeaas 5 6 5 2 8 Speci yine TIC 1O Sv cueaeatseratinsnsncmoniedubstepeitessnacdacensusmuuosenssteaaanesinaneanoessaanadieonsanenieaenreees 5 7 5 2 9 Margin Maintenance at Instrument Level i cccccccccccccccccccssssescecceececneessseseeceeeeaaaessesceeeesaaaeeeeeeeeeeuaaaaeees 5 7 5 3 UPLOADING MARGIN DETAILS AND INSTRUMENT PRICE DETAILS 0 eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeees 5 9 5 4 DEFINING THE SERIES ASSOCIATED WITH THE INSTRUMENT ssseeeeeeenneeeeeceeeeeeeeeeeeeeeeeennaaeeeeeeeeeeeeees 5 9 5 4 1 Examples of capturing Actual Instruments in Oracle FLEXCUBE j ccccccccsssseeececcceeeeceneeeeseseeeees 5 1 5
40. 4 2 Example I One Month Euribor Futures ccccccccccccecccccccccceeeeeesceeceeeeaasesseseeeeeaaaeesseeeeeeeaaaasseeeeeeeaaaaes 5 11 5 4 3 i Oracle TLL XCUDL Dmpnmer erence terete reece eet Terre ee reer A A erer err cer eeereey etre 5 12 5 4 4 Example II Option on Three month Euribor Futures cccccccccccccccssseeeccecccececaeasssseeceeeeeaaaeseseeeeeeaas 5 13 5 4 5 in Oracle PLEXCUBE ywstsaissasasasvsncavarnedsncdbieitontnania vas EEr Eni ENTENTE ENTANET ESAERAN iaaiiai 5 14 5 4 6 Example III Equity Options on German Shares nneeneenessesssssseseeeererssssssssssssssseerrresessssss 5 15 5 4 7 in Oracle PLEX CUBE cerisiers eranen EEEa EA ETETE EAEE ETENE ai 5 18 ORACLE 5 4 8 Example IV Dax PUT Cio vas cnctsasviaiuadaeanntananaasaedsseasdssaaaaitsaentas eae hacincdaddnan ad asoeaanaatiaaweads 5 19 5 4 9 in Oracle PLEXCUDL sirimiri A A asda 5 20 5 4 10 Example V Dax Opus iaisisosscisrsasnaaiaaainstitaanicesietssieacasaaieiaasaiatoauaalssancuaamaaeasuceoanaaidauiens 5 21 Dade dn Oracle FLEX CU BE x aisicsaiseiidamasscoamsaaieacasaarsatasone a E 5 22 6 CREATING PORTFOLIO PRODUCTS AND PORTFOLIOS ccccccccccccrscsscsssssssssssscccsccsossccssoes 6 1 6 1 WOD TO N renner nner ne E cere nr ne ne nner es tr cee er re ee re 6 1 G2 CREATING PO ROO PRODUC setae roca nance ae cate scenes gine E ran naiestecac NAE 6 1 6 2 1 Specifying other Details for the Portfolio Product ccccccccccsseeecccccceenaneeeseeeee
41. BE ACI has determined the reference interest rate EURIBOR pertaining to one month euro time deposits otherwise the preceding day Trading in the maturing contract ceases at 11 00 am CET Daily Settlement Price The volume weighted average price of the last five trades of the day provided they are not older than 15 minutes or if more than five trades have occurred during the final minute trading then the volume weighted average price of all trades that occurred during that final minute If such a price cannot be determined or if the price so determined does not reasonably reflect prevailing market conditions then Eurex will establish the official settlement price 5 11 ORACLE Final Settlement Price Eurex establishes the final settlement price at 11 00 am CET on the last trading day based on the reference interest rate EURIBOR for one month euro time deposits as determined by FBE ACI To fix the Final Settlement Price the EURIBOR rate is rounded to the nearest price interval 0 005 0 01 or multiple thereof and is then subtracted from 100 Trading Hours 8 45 am until 7 00 pm CET 5 4 3 In Oracle FLEXCUBE To fit this requirement in Oracle FLEXCUBE you have to specify the following details in the Instrument Definition screen Product Code FEU1 Option Future Asset Type Time Deposit Physical Settlement Settle Before Expiry Yes Instrument Details eave Ra 5 4 4 Commodity Details Commodity ETD 1 Month Eurib
42. BRNADD2 Each line of the address can contain a maximum of 35 characters BRNADD3 ea ai three lines in which the branch address for correspondence can be _COMPRSZ_ This indicates the manner in which the commodity has been prized in the market ORACLE This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated BRKACC _ This is the account number of the broker involved in the deal _OPTFUT _ This indicates whether the contract is an Option or a Future _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated TIME _ This is the exact time at which the deal transaction took place in the exchange _ASSCYY _ This is the Asset Currency _PRICCY _ This is the currency in which the instrument is prized _FUTPRI_ This is the future price which is expressed in terms of the instrument pricing unit For index based futures this price is expressed in terms of index points per contract OPTPRM Th
43. D LOSS Futures Call amp Put Options F 11 6 14 ERVS Revaluation of Short Position Accounting Role Amount Tag Dr Cr Indicator Applicable BR_SETLM_ BRIDGE REALIZED GAIN Futures Call amp Put Options F PF_SETLM_BRIDGE REALIZED_GAIN PF_SETLM_ BRIDGE REALIZED LOSS Futures Call amp Put Options F BR_SETLM_BRIDGE REALIZED LOSS 11 21 ORACLE 12 Annexure B Advice tags and their descriptions 12 1 Introduction All the Advice Tags available in the ETD module have been classified under relevant sub heads and listed along with their descriptions 12 2 Branch Details _BRNNAME_ This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters BRNADD3 ate og three lines in which the branch address for correspondence can be 12 2 1 Customer Details _CSNAME_ This is the name of the receiver of the advice This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in 12 2 2 Commodity Details _ASSTYP __ This is the Asset Type under which the underlying commodity is grouped _COMDTY__ This is the name of the underlying commodity _COMDESC_ This is the description assigned
44. D_CCY_EQ CL002 ACRO3 Accounting Role Account Head BOT ASSET CA003 SOLD _CCY_EQ CL003 ACR04 Accounting Role Account Head BOT ASSET CA004 SOLD _CCY_ EQ CL004 Scenario You want to Open a Long Position EOLG in the Currency Option USD_Options_CME in PF1 The accounting entries that need to be posted at the initiation of this event are as follows Accounting Role Dr Cr Indicator Contingent Asset Asset Value Contingent Asset Offset Asset Value When this event is triggered the system posts the relevant accounting entries only after identifying the respective Role to Head mapping based on the preferential hierarchy that we have set up oe ORACLE Since we have not associated an accounting class with the PF1 USD _Options_CME Portfolio ID Instrument ID combination it will move to the next level and search for the class associated with the PF1 CCYO Portfolio ID Instrument Product combination We have already associated the accounting class ACRO2 with this combination therefore the relevant accounting entries are posted to GLs maintained within this class Accounting Role Account Head Dr Cr Indicator BOT ASSET Asset Value CA002 Debit SOLD_CCY_EQ CLO02 Credit Scenario Il Similarly assume you want to Open a Long Position in the Index Option DAX_OPTION_FSE in PFI As in the previous case the Contingent Asset is to be debited and the Offset account is to be credited
45. ETLM_ BRIDGE BOOK_VALUE Credit Call Options O amp F Put Options O amp F Futures 11 6 4 EOSH Opening of Short Position Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM_ BRIDGE DEAL _PREMIUM_AMT Debit Call Option O Put Option O PF_SETLM BRIDGE DEAL_PREMIUM_ AMT Credit Call Option O Put Option O 11 6 5 a Revaluation of Short Position Accounting Role Role Amount Tag Dr Cr Indicator Applicable BR_SETLM_BRIDGE REALISED GAIN Debit Call amp Put Options F Futures PF_SETLM_BRIDGE REALISED GAIN Credit Call amp Put Options F Futures PF_SETLM_BRIDGE REALISED LOSS Debit Call amp Put Options F Futures BR_SETLM_BRIDGE REALISED LOSS Call amp Put Options F Futures 11 6 6 ECSH Closure of Short Positions Accounting Role Amount Tag Dr Cr Applicable Indicator PF_SETLM BRIDGE CLOSE_PRICE_ Debit Call Options O amp F Put PREMIUM Options O amp F Futures BR_ BR_SETLM BRIDGE BRIDGE CLOSE_PRICE_PREMIUM Call Options O amp F Put Call Options O amp F Put O amp F Put Accounting Role Amount Tag Dr Cr Applicable Indicator Options O amp F Futures O amp F Futures BR_SETLM_BRIDGE BOOK VALUE Debit Call Options O amp F Put Options O amp F Futures PF_SETLM_BRIDGE BOOK VALUE Credit Call Options O amp F Put Options O amp F Futures 11 6 7 EXPL Expiry
46. Exchange Traded Derivatives Oracle FLEXCUBE Universal Banking Release 11 3 0 May 2011 Oracle Part Number E51535 01 ORACLE FINANCIAL SERVICES ORACLE Exchange Traded Derivatives Table of Contents DT Naa 1 1 1 1 ENERO CO CTO IN sa crgcacnitveisuantsare E E E E seotiano l 1 111 Audience uo ceeccccccccce se eseseececeee nn eeeeeeeeeeeaeeeeseeeeeeeGaeeeeeeeeeeeeGGseeeeeeeeGGsaseeeeeeeeeeeaaaeeseeeeeeeaasaaaessseeeeeeeauaaeeeeees l 1 1 1 2 APOPEVITU ONS iira O EEE EE E NEENA EIEE EAE ENNE E l l 1 1 3 Conventions used in this MANua u cccccccssccccccccccccceeecseccceeeeaenssesecceeeeeaaeesseeeeeeeeaaesseeeeseesauaaeseeeeeeeaeeaaaes l 1 1 2 RIG ATI AT a E S 1 2 1 3 GLOSSARY OF TCON e ESE E EE EEE E E E T 1 3 1 4 RELATED DOCUMENTS cniccoctcrcanccasudeactanaven gece onGnusoeneyautanasimdpuieyseseoeitesanteanaeanatnqlaaevoutosateusarkeyoxsevegdooseoeedes 1 4 2 EXCHANGE TRADED DERIVATIVES AN OVERVIEW cssssssssssssssccccssssssscsssssssssccscccsssssssces 2 1 2l TINE NON CE E E A E E EAE E AA 2 1 De FPE E OPORI OC O e E ET ENEA IAE IEOS 2 1 2 2 1 DATE TOM OO ENEI TOE A T N E IA EN A VENE E A A T 2 1 222 CUS OCF OT VO a E EEEE np evins O ce wisi resieai TENE EE EOE 2 2 2 2 3 PV CS EITS INEN ES OE E A O I EOE PON VA O E 2 3 2 3 INTERACTION WITH THE MARGIN MAINTENANCE SUB SYSTEM 0 seeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeees 2 3 2 4 ILLUSTRATION OF THE ETD WORKFLOW lt ccccscaisscesseatnsanacasnsesienameeis
47. In addition to the product preferences you will have to capture the other details of the instrument They include e Instrument details e Commodity details e Pricing details e Price movement details e Max Open and Long positions e Days of settlement e Initial margin per contract Each of the above are explained in the subsequent sections 5 1 ORACLE 5 2 5 2 1 Defining Instruments Invoke the Instrument Definition screen by typing ENDUINST in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button instrument Definition X Derivatives Product az Asset Type Physical Settlement Prior Settlement Option Future Instrument Details Instrument Id Description Reference Unit Contract Size Call Put value Premium Commodity details Pricing Size Pricing Unit Commodity Pricing Multiple Price Code Asset Nature Price Details Asset Currency Precision Pricing Currency Pricing Unit Multiple Pricing Size Max Open Position Self Price Movement Long Customer Self Minimum Movement short customer Maximum Movement Days For Settlement B Initial Margin Per Open Contract Money Long Physical Short Currency az Other Details Issuer Default Broker Contract Standard
48. LO trAnSAction csccccccccccesvesceccccceccaaaeesseeecseeeaaaes 5 14 6 3 4 SPec VIN INC Ad ES J OFC GEO eer E E EE AEE Siteoswnsidie used A 8 14 8 3 5 VEC WIC SELECTING the custom eld S vosisciusssaucuststs dauweottscmanctesd sailwsiaeieaesivebrcca Bou AEE E ARES 5 14 8 3 6 Viewin OT SPECI Yne MIS CLAUS iorsin Ir E shad E EE E EE EE A ON 5 14 ORACLE 6 3 7 Associating a Broker and Product with Rule ccccccccccsssccccccccccssesseeceeeecaasesseceeeeaaaaeeeeeeeeeaaaaaeseseeeeas 8 15 8 3 8 Liquidation Deal Financial AMeENdMEN1 11ssccccccccccccceececeeee cece ee eeseeeeeeeeseeeeeeeeeeeeeeaaaaaaaaaasssseeeeess 8 15 on ga D hs E rerrerr errr crr rere ter E eee re ee re rrr 8 16 8 4 1 Operations you can perform on a Matched and Unmatched Deal icccccccccccsssccccccccccnesssesecceseenaaneeees 5 19 9 GENERAL MAINIENANG E rasa occa cence nea cece tes ssn ccen es cegieu ca apex ce cen dees nce evesscegeucsttadecesecczives tes 9 1 9 1 PODO TON ere ee eee E eee ern errr 9 1 9 2 MAINTAINING BANK PARAMETERS ccccccccccececeeeceeeeeeeeececccccccccccccccccecececececeeeececeeceeeeeeeeeeeeeeeeeeeeeeeeeeees 9 1 9 3 MAINTAINING PRICE CODE DETAILS ssssssssssseeeeeesssssssssstssrrreeeeessssssssseeettrereeesesssssssssetttrereeeeesessssseeestrtetet 9 2 9 4 MAINTAINING COMMODITY PRICES scccccccccceeeeeeeeeeeeeeesnaaceececeeeeeeeeeesseesessnaaaeeeeeeeeeeeeeeeeeeeseeeeaaaeeeees 9 3 9 5 MAINTAINING INSTRUMENT PRICE DETAILS 000
49. ME 0 01 10 10000 10000 100000 100000 CITI CME 10 10 NSCC USD 10 10 Series Instrument Description Bonds future 90 Day T Bill USCMENon 00 Instrument Start Date 28 Aug 2000 Instrument Expiry Date 24 Nov 2000 As mentioned earlier in the manual each time you process a deal with the following combination Basket Portfolio ID Instrument ID Series ID Broker Broker Account The system assigns a unique reference number known as the Basket Reference Number to this combination The details of the Basket involved in the deals used in our examples are as follows Basket Reference Number g BSK001 Portfolio ID PF001 Instrument ID B CME 90 day US T bill Future sees E Broker ID 7 CITI Broker Account a CBO01 10 6 2 Deal Reference Number D20101 Nature of Contract Open Long Position for Own Portfolio C 10 11 ORACLE No of Contracts 200 The Basket BSKO001 will be updated with a balance of 200 Long contracts The event that needs to be processed in the Basket because of this Deal is EOLG The accounting entries posted for this event are as follows Accounting Role Dr Cr Currency Description Indicator Contingent Asset Debit USD 1940000 Bought Asset at Asset Currency Contingent Asset Credit USD 1940000 Bought Asset at Pricing offset Currency Realized Revaluation entries at EOD Let us assume that the EOD price of the Instrument is 97 25 USD At the End of
50. Out of Money options on the Option Expiry Date gt Automatic Exercise Assignment of In the Money options on the Option Expiry Date All the deals within a basket are processed in the order of the Value Date Trade Time Stamp of the Deal Running the ETD batch processes at EOD The ETD batch process is a POST EOTI batch function The batch can be run anytime after marking EOTI and before marking EOFI As part of End of Day EOD process for ETD the system does an automatic deal settlement in the order in which the deals have been booked during the day All deals within a basket are processed in the order of Value Date Time Stamp of deal Notional Revaluation done during previous EOD will be reversed before processing for the day begins If there is a back dated deal all the events in the basket after the back valued timestamp will be reversed during EOD and all deals booked after that back valued timestamp will be processed again 10 1 ORACLE To run the Batch process use the End of Day Batch Start screen You can invoke this screen by typing AEDEODST in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button C Select Time Level Continue with AEOD O Thereafter click Ok button to start the batch process at the EOD To exit the screen without running the batch click Exit or Cancel button Sron You cannot cancel an EOD Batch process onc
51. Portfolio Product screen If you restrict a specific branch from using the portfolio product the branch will not be allowed to use the particular portfolio product for defining portfolios Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed procedure on how to restrict specific branches for a portfolio product Restricting Customer Categories Customers can be grouped according to the common characteristics that they share For example you can group your customers into any of the following e Banks e Corporates e Financial Institutions excluding banks e Individuals While defining Customer Portfolio products you can choose to restrict specific customer categories from using the customer portfolio product through the Customer Categories Restriction screen To invoke this screen click Customers button from the Portfolio Product screen Exempting specific customers belonging to a category You can exempt customers belonging to a particular category from the allowed or disallowed list that you maintain Example You have maintained Financial Institutions as a customer category You do not want the product to be made available to Financial Institutions You however wish to make the product available to the financial institution Cavillieri and Barrett Inc ORACLE When you include Financial Institutions in your disallowed list all customers belonging to the category wil
52. Product Definition Main screen 7 2 2 Specifying Preferences for the Deal Product Click Preferences button to specify preferences for the product The Deal Product Preferences screen is invoked Preference Product Code Product Description Rekey Fields Portfolio ld Key Instrument ld Key series Id Key Broker Id Key Broker Account Key Mo of Contracts Key Price Key 7 2 2 1 Indicating Rekey Fields In Oracle FLEXCUBE all operations on a deal input amendment modification etc have to be authorized by a user other than the one who entered the deal details These operations have to be carried out before the end of day activities have begun Authorization is a way of checking the entries made by a user 7 3 ORACLE 7 2 3 As part of specifying the preferences for a deal product you can indicate that details of certain fields should be re entered when a deal is invoked for authorization as a cross checking mechanism The complete details of the deal will be displayed only after the values to these fields are entered The fields for which the values have to be given are called the re key fields You can specify any or all of the following as re key fields e Broker Account e Instrument ID e Portfolio ID e Series ID e Broker ID e Number of Contracts e Price If no re key fields have been defined the details of the deal involving the product will be displayed immediately when the authorizer calls t
53. R Futures contract Pse o Pricing Size Unit Future Contract 30000 Pricing Unit Multiple 30000 Price Code Example Ill Equity Options on German Shares Contract Size Contracts are generally based on 100 shares of the underlying instrument However for shares with a nominal or calculated value of DEM 50 or equivalent in euro the contract size is 10 shares Options on Munich Re and Allianz have a contract size of 50 shares Minimum Price Change The minimum price change for options is EUR 0 01 In the case of options on shares with a nominal value of DEM 50 price changes of DEM 0 1 are possible Settlement Physical delivery of 10 50 or 100 shares respectively of the underlying security Settlement Day Two exchange trading days after exercise Last Trading Day The third Friday of the expiration month if this is an exchange trading day otherwise the exchange trading day immediately preceding that Friday Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Exercise American style i e an option can be exercised until 18 30 on any exchange trading day during the lifetime of the option except on days where resolutions regarding dividends take place 5 15 ORACLE Expiration Months Group A shares the three n
54. REALIZED_GAIN Credit Future Call and Put Options F REALIZED LOSS REALIZED LOSS Debit Future Call and Put Options F BR _SETLM BRIDGE REALIZED LOSS Credit Future Call and Put Options F CONT LIAB OFF Call Option F Futures CONT_LIAB Call Option F Futures CONT_LIAB Call Option F Futures CONT LIAB OFF Call Option F Futures REVAL_ASSET Call amp Put Options O UNREAL INCOME Call amp Put Options O REVAL LIAB Call amp Put Options O 11 5 6 ECSH Closure of Short Positions Customer Portfolio Accounting Role Amount Tag Applicable Debit PF_SETLM BRIDGE CLOSE_PRICE_PREMIUM Futures Call amp Put Options O F Credit BR_ SETLM BRIDGE CLOSE _PRICE_PREMIUM Debit BR_SETLM BRIDGE BOOK VALUE Futures Call amp Put Options O F Credit PF_SETLM BRIDGE BOOK VALUE Own Portfolio Gatco ASSET ore saw orson at cowr Asser eors oecon sanser at cowr une or ooreen coafor fso cenlo ore sws CONTROL CLOSE _ PRICE _ PREMIUM Futures Call amp Put Options F BR_SETLM_BRIDGE CLOSE _ PRICE _ PREMIUM a BR _SETLM BRIDGE BOOK VALUE Futures Call amp Put Options F O OC PREMUM CEN cst monon foom o O 11 10 ORACLE 11 5 7 EXPL Expiry of Long Position Customer Portfolio Accounting Role Amount Tag Applicable Debit PF_SETLM BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options F Credit BR_SETLM_BRIDGE DEAL_PREMIUM_AMT Own Portfolio
55. Since the system has to pick up the relevant accounting entries based on the hierarchical preference it will search for the accounting class associated with the 1 PF1 DAX_OPTION_FSE Portfolio ID Instrument ID combination 2 PF1 INDO Portfolio ID Instrument Product combination 3 PF1 Portfolio ID We have associated the accounting class ACRO3 with PF1 The accounting entries that are passed for this event will be as follows Accounting Role Account Head Dr Cr Indicator BOT ASSET Option Strike Price CA003 SOLD _CCY_EQ Option Strike Price CL003 Therefore to open a long position for both Index and Currency options within the portfolio PF1 the accounting treatment remains the same However the Account Heads GLs that are impacted debited credited while posting the entries differ For the Currency Option in P F1 the account heads that are impacted are e CA002 Contingent Asset e CL002 Contingent Asset Offset For the Index Option in PF1 the account heads that are impacted are e CA003 Contingent Asset e CLO03 Contingent Asset Offset Scenario Ill Assume you have not maintained the first three hierarchical preferences When the search results prove unsuccessful the accounting entries will be posted directly to the default GLs maintained at the portfolio product level ae ORACLE Since we have associated the accounting class ACR04 with BKPF the account heads that will be impacted will be as
56. aaas 11 15 11 5 14 ERVS Revaluation of Short POS ON ccccccccccseeecccccceec eee eeseeeeeeeea ae eeeeeeeeeesaaaeeeeeeeeesaaaaeeeeeeeeaaas 11 16 11 6 EVENT WISE ACCOUNTING ENTRIES FOR YOUR CUSTOMER S PORTFOLIO ccccccccceceeeeeeeeeeseeeenaneeeees 11 17 11 6 1 EOLG Opening of Long Position 00nnnneennnnnnnnnnnnnnnssesennnnssssseeronssssseereossssseereessssseerrenssssesseeeeo 11 17 11 6 2 EVRL Revaluation of Long Position cccccccccccseecccccccc ceca eeeseeeeeee cea eeseeeeeeeeaaeeeseeeeeeeaaaaaeeseeeeeeaaaaees 11 17 10 5 CLG Closure af Lons POSIION sisirain a aa Sa a 11 18 11 6 4 EOSH Opening of Short Position o cccccccsecccssccsscsasesasscccscevssessseccsctovossdessvessceassasdeecedecossdesasecanscasees 11 18 11 6 5 ERVS Revaluation of Short POSUtit ON ccccccccccsecccccccccec ea eesseeeceeeea a eeseeeeeeeeaaaeeeeeeseeaaaaaeeeeeeseaaaaees 11 18 110 6 ECSH Clostive Of Short Positions siscsescssasiscnueerassnsstscsenceevenioeeQiioesuoeeassoerdhisa racer EET ES 11 18 LEO TXT L puyo Lone LO SiO saas a end ncn ase oe TT cea Sada eed acto dca 11 19 ILOG EXPS Expiry Of SHOT POS UION nicas E TTE E TE 11 19 ILOS FPAKG erce n Lon FONON irises E EA TT E ATES 11 19 11 6 10 FAXS Assignment in Short POSTON cissescsssosiscssaccedadasasesandvenascseetierssdnenadssepeoevaddvsmcdiseseoeserdoerades 11 19 11 6 11 EEPL Exchange of physicals in LONE srccsorusinaasinvwscisayucssassnenescsepnorsndnsyvapedecadeacmincsneu
57. als As part of the settlement of Closing deals for your bank own portfolios the closure gain or loss will be computed and accounted for depending on the portfolio Costing Method While processing settlement of closing deals for customer portfolios the system does not process any accounting for profit and loss However the deal premium will be passed from the Broker Customer to the Customer Broker The events that will be triggered in Oracle FLEXCUBE for processing the settlement of closing deals for options are as follows ECLG Closure of Long position 10 4 ORACLE ECSH Closure of Short Position 10 4 3 Notional Revaluation of Open Positions for Options with Option Style Premium Notional revaluation of open positions can be done only for your bank s own portfolios The system does a notional revaluation of open positions to compare the current Option Premium with the Acquisition Premium of the basket and to compute the revaluation gain loss The events that will be triggered in Oracle FLEXCUBE for calculating the Notional Revaluation of open positions is as follows EVRL Revaluation of Long Positions ERVS Revaluation of Short Positions 10 4 4 Automatic Exercise of options Assignment of Exercise For Automatic Exercise Assignment exercise of options the system will identify all In the Money instruments on the Expiry Date and fire automatic exercise for Long Positions and Assignment of Exercise for Sho
58. ample are as follows Basket Reference Number BSK003 Portfolio ID B PF001 Instrument ID E NSE HLL 230 Option Put 10 21 Broker ID a CITI Broker Account CB001 10 7 6 Deal Reference Number D20104 Nature of Contract Open Short in American Put Future Style Option As a result of processing this deal the system creates a basket BSK003 with the following combination PF001 NSE HLL 230 Option Put 230 Jan 01 CITI CB001 The basket will be created with 20 short contracts At EOD the event that needs to be processed in the Basket because of this Deal is EOSH The accounting entries posted for this event are as follows Contingent Asset Offset 390000 Asset value net of premium 10 22 ORACLE For the event ERVS the following entries will be posted Accounting Role Contingent Asset Contingent Asset Offset Customer Income Dr Cr Currency Description Indicator Debit INR 6000 Realized gain on revaluation 10 7 7 Deal Il Reference Number D20601 Nature of Contract Assignment Prior to Expiry of Own Short Position in American Put Deal Number Deal Type Deal Product Instrument ID Instrument Series Strike Price Booking Date Value Date Expiry Date No of Contracts D20601 XRS NSE HLL PUT A FP 230 Jan 01 230 Ca 20 At EOD the event that needs to be processed in the Basket because of this Deal is EAXS The accounting entries posted for this event are
59. articular day by the exchange 5 5 ORACLE 5 2 5 Specifying Maximum Open Positions details Certain exchanges you deal in may place restrictions to mitigate the default risk by the various investors Irrespective of the exchange having this restriction your bank may want to impose a restriction on the open positions held by your portfolio customers You can do this by specifying the maximum open long and short positions Your entries in this field are meant purely for information purposes Oracle FLEXCUBE being a back end processing system will not perform any validations against these values that you capture in these fields 5 2 6 Specifying the Days for Settlement Money Specify the Money settlement days here When a particular deal involves money settlement Option Premium in case of an Open Deal for an Option or an Exercise deal the money settlement days are used to arrive at the date on which the money settlement should take place For instance if you indicate that the money settlement date is two days the system calculates the money settlement date in the following manner Deal Date 2 Working Days Your entry in this field determines the Value Date for Money Settlement Physical When a particular deal involves physical settlement of the underlying asset Exercise of Stock Options or Interest Rate Options you need to indicate the physical settlement days The system calculates the Value Date of the Physical Settlement base
60. at the closure and EFP gain or loss e lf the costing method is DMAT you will have to carry out a manual matching based on which the system will compute the closure gain or loss at the end of the day e If the costing method is DMAT and deal matching has not been done the EOD Batch will skip the basket For a Non WAC Portfolio the Closure and EFP gain or loss is computed as follows Number of contracts Cost per contract of the closing expiry deal Total deal cost The total deal cost is computed as follows Cost per contract No of matched contracts for deals that are matched with the closing deal During EEPL EEPS the closing deal will be the liquidation deal booked manually or automatically at expiry For a WAC Portfolio the Closure and EFP gain or loss is computed as follows Number of contracts Cost per contract of closing expiry deal Latest WAC for the basket Specifying Revaluation Details Notional Revaluation Required Check the box Notional Reval Reqd to indicate the portfolio has to be revalued notionally Frequency If you have indicated that the portfolio has to be revalued notionally you have to specify the frequency at which it has to be revalued The options available are as follows e Daily e Monthly e Yearly In the case of monthly quarterly half yearly or yearly revaluation you should specify the date on which the revaluation should be done during the month For example if you
61. ate the ID of the broker clearing member involved in the deal A list of all customers categorized as brokers and clearing members through the Customer Information maintenance screen are available in the list of options You can choose the appropriate ID Subsequently whenever this instrument is chosen in the deal the broker for the deal is defaulted from this value You can change the broker ID if necessary Issuer This is the ID of the exchange that has issued the particular instrument The list of options available for this field contains a list of all customers categorized as Issuers through the Customer Information File details screen You can associate the appropriate issuer ID with this instrument Clearing House You have to capture the ID of the clearing house where the settlement of trades is to take place The daily settlement of trades is Oracle FLEXCUBE will be carried out based on your holiday specifications in the Holiday Calendar maintenance screen Processing for a day is skipped if both the branch and the clearing house are configured for a holiday as of the processing date Contract Standard You can capture additional information about the ETD instrument that you are processing The additional text that you capture should not exceed 255 characters The details that you capture in this field can pertain to any of the following e Instrument involved in the deal e Underlying commodity e Physical settlement of the deal
62. ate of the instrument series e Underlying Asset Commodity associated with the instrument involved in the deal e Contract Standard or any additional details of the instrument involved in the deal Levying Booking Charges You can specify the charges that should be levied on every deal that is booked in the ETD module The charge components linked to the deal product are defaulted to the deal You can choose to recover the charges either from the Broker or the Portfolio Customer When a charge component that is applied to a deal is liquidated the relevant accounting entries are passed based on the accounting entry set up for the deal product Viewing the Events Accounting Entries As stated earlier in the ETD module you can collect charges for booking the deal in Oracle FLEXCUBE You have already associated the required charge components at the time of defining the product Additionally you have also identified the GL SLs that ought to be impacted when accounting entries are posted for these charges You can view the accounting entries for the deal booking EBOK event through the Events Accounting Entry and Overrides screen All the accounting entries that were passed for the booking event will be displayed The following information is provided for each event T ORACLE e Branch e Account e The currency of the Account e The amount tag e The transaction code associated with the deal e Dr Cr indicator e Value Date e The C
63. ave been collected _ BRKACC __ This is the account number of the broker involved in the deal _OPTFUT _ This indicates whether the contract is an Option or a Future _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated TIME This is the exact time at which the deal transaction took place in the exchange _ASSCYY _ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _FUTPRI_ This is the future price which is expressed in terms of the instrument pricing unit For index based futures this price is expressed in terms of index points per contract _OPTPRM_ This is the price at which the option was bought For index based options this is the price is specified in index points per contract 12 2 9 Liquidation deal details _ BRANCH__ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters _BRNADD3_ There are three lines in which the branch address for correspondence can be keyed in _COMPRSZ__ This indicates the manner in which the commodity has been p
64. cates the deal Type whether it is a liquidation deal or a Long Short deal _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _ BRKACC _ This is the account number of the broker involved in the deal _OPTFUT _ This indicates whether the contract is an Option or a Future _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated TIME _ This is the exact time at which the deal transaction took place in the exchange 12 11 ORACLE _ASSCYY __ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized FUTPRI This is the future price which is expressed in terms of the instrument pricing unit For index based futures this price is expressed in terms of index points per contract OPTPRM__ This is the price at which the option was bought For index based options this is the price is specified in index points per contract 12 3 3 Assignment Notice BRANCH__ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters
65. ced initially for each expiration month Option Premium The EUR equivalent of the premium in points is payable in full on the first exchange trading day following the trade date Trading Hours CET 8 25 a m until 5 00 p m 5 4 11 In Oracle FLEXCUBE The details that you specify in the Instrument Definition screen should be as follows Settle Before Expiry Yes Instrument Details Instrument DAX Option Asset Nature Contract Size Unit Contract Value Commodity Details Commodity The Deutscher Aktienindex DAX pews 5 23 ORACLE 6 1 6 2 6 Creating Portfolio Products and Portfolios Introduction A Portfolio Product is a category or a type of portfolio For instance you can define your investment portfolio of Currency Options as a product in Oracle FLEXCUBE A portfolio product can thus serve to classify the portfolios that you maintain in your bank Grouping your portfolios into products helps you standardize your bank portfolios across branches A product is created in the Head Office branch of your bank Any user in the head office with the requisite rights can create a product Creating a Portfolio Product You can capture information pertaining to a portfolio product through the Exchange Derivatives Portfolio Product Definition screen You can invoke this screen by typing EDDPFPRD in the field at the top right corner of the Application tool bar and clicking
66. ceeeeeeeeeeeeseeeeeeeeseeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeees 9 4 9 6 MAINTAINING BROKER ACCOUNTS scssesstiesvasacscevetadessvesscicescsabeisvoseswestenssvaubeneaveerssadudd iabsveaveieabeieisaivasvveinass 9 4 9 7 DEFINING A BROKER SCHEME o aes ssooesscnntieqataenesaan aseendaasunsempeesiiewsia eneavdeoseeoadhoonnseaanesvequaasseaqiensensestacawatevaneess 9 7 10 AUTOMATIC DAILY PROCESSING sssssssssssssssssscsscsccscsccccccececescsccescscccsecccccssecesececessssssssssssssssssssssssso 10 1 WOA TIN TROD TON ar certveert ei tocar vex tocwsee anes E EES 10 1 10 2 RUNNING THE ETD BATCH PROCESSES AT BOD bicssisisvcasenvnetecusdsvensenseenenusasvansinyeleacdenvade udaseadeusenebeatdenenvenss 10 1 10 3 AUTOMATIC EVENTS EXECUTED DURING END OF DAY FOR FUTURES cccccccecceceeceeecceceeeeceeceeeeeeeeeeees 10 2 TOL Setllement of COI delsia a sea all aa eset se Se aS ode aude E a aE 10 2 103 2 Realized Revaluation Of Open positions scscscscvecievwssbastsasoccabnvsdesaavssenccesaaedeatvuscduswusiecsevsvascavsenebasdsesds 10 3 10 3 3 Settlement of all Closing deals fOr the day cccccccssccccccccccccssescccceeeeeneseeseeceeeeeaaeeeeeceeeeeaaasseeeeeseeaaaaesees 10 3 10 3 4 Liquidation of all Open positions on the Expiry Date 1 ccccccccccccceceeeec eee n a eeeeeeeeseeseeeeeeeeeseeenaanaaas 10 4 10 4 AUTOMATIC EVENTS EXECUTED DURING END OF DAY FOR OPTIONS cccccccceceeeeeeceecceeeeeeeeeceeeeeeeeeeees 10 4 10 4 1 Settlement
67. ck this box the system will collect the required margin from the settlement account Incase the system was not able to collect the margin a margin call is generated Calc Date Enter the date on which the initial margin and maintenance margin are entered in the system Initial Enter the initial margin here Maintenance Enter the maintenance margin here Balance This displays the current balance of the margin scheme You can query the margin balances of a scheme through the Scheme Balances Query screen 6 15 ORACLE 6 6 Defining Portfolios After you have created ET Portfolio Products you can proceed to set up an ET portfolio To recall in Oracle FLEXCUBE you can define ET portfolios for your e Bank e Bank s Customers In addition you can maintain any number of portfolios for each branch or customer The portfolios that you set up should necessarily be associated with a portfolio product All portfolios associated with a portfolio product will inherit the attributes defined for it You can change certain attributes that are defaulted to suit the portfolio you are defining While setting up a portfolio you can indicate the following details e Portfolio product that is to be associated with the portfolio e Notional revaluation method and frequency in case of a bank portfolio e Option costing method that is to be used LIFO FIFO deal matching WAC in case of a bank portfolio e Margin Scheme which is to be
68. d on the number of days that you specify in this field For instance if you specify the number of days as one the value date for physical settlement of the underlying asset will be done in the following manner Deal Date 1 Working Day 5 2 7 Specifying the Initial Margin for Open contracts Long and Short In certain exchanges it is mandatory that you deposit as collateral Initial Margin a fixed percentage of the Contract Value You need to specify the percentage of initial margin for every open contract held by the investor The percentage that you specify can change on a day to day basis Similarly the percentage per Open Short Contract may differ from the percentage per Open Long Contract Since the ETD module does not calculate the Initial Margin Requirements the value that you specify in this field represents an approximate percentage that will be required as Initial Margin The percentage of the contract amount that you enter in these fields will not be considered for processing 5 6 ORACLE 5 2 8 5 2 9 Currency Indicate the currency in which the percentage amount is to be paid This field assumes significance only when the margin amount is paid in cash A list of currencies maintained in Oracle FLEXCUBE is displayed in the available option list You can choose the appropriate currency Specifying Other details Default Broker Your bank may trade in instruments involving brokers and clearing houses You have to indic
69. d to Deal003 6 Contracts After this matching e Deal001 will have unmatched number of Contracts as 4 e Deal002 will have unmatched number of Contracts as 4 8 17 ORACLE e Deal003 will have unmatched number of Contracts as 0 e Deal004 will have unmatched number of Contracts as 0 The system will compute the Exercise Gain Loss as follows e Cost of Deal001 for 6 Contracts 6 x 2 12 USD e Cost of Deal003 for 6 Contracts 6 x 4 24 USD Total Cost 36 USD The difference between the Commodity Price and Strike Price will be computed as e 12 10 2 USD per Contract e 2x6 12 USD for 6 Contracts Thus the Exercise Loss will be computed as 36 USD 12 USD 24 USD In the above example the number of Contracts matched were equal to the Number of Contracts of the Closing Deal exercise deal i e 12 Now consider this scenario Scenario Il You are long in an Option for 5 Contracts amp Deal001 Subsequent to that you do a Short Deal for 10 Contracts p Deal002 Since Deal002 is subsequent to Deal001 deal matching should be done as follows Deal002 Matched to Deal001 5 Contracts This will result in e Deal001 having 0 unmatched number of Contracts e Deal002 having 5 unmatched number of Contracts Deal002 will be processed for the following events e ECLG Closing of Long Position for 5 Contracts e EOSH Opening of Short Position for 5 Contracts The Basket will now
70. d to identify any other commodity asset This is a mandatory field You can follow your convention for naming the commodity However the name should not exceed 16 characters 3 1 ORACLE Commodity Description You may provide additional details of the commodity here Your description for the commodity can be in no more than 255 characters This description is associated with the commodity for information retrieval purposes only Asset Type Specify the Asset Type under which your asset should be grouped Although you can define as many asset types as required a list of pre defined asset types is available in Oracle FLEXCUBE This list includes e Bond e Commodity e Currency e Derivatives e Equity e Index e Interest rates Select the appropriate asset type from the adjoining list of options Individual commodities can be mapped to any one of the above asset types However while defining currency commodities like U S Dollar Great British Pound Japanese Yen to name a few you have to strictly map them to the Asset Type Currency Similarly while defining indices like the BSE Sensex NYSE LSE etc it is mandatory that you map them to the Asset Type Index For example while maintaining USD U S Dollar as a commodity you must group it under the Asset type Currency Similarly if you create a commodity titled BSESENSEX it should be grouped under the asset type INDEX Asset Nature Specify nature of th
71. d two instruments to take care of the two Options Premium Indicate the premium style which should be picked up for the particular option You can choose one of the following options here e Choose Option Style for booking the Premium Amount for the Deal during the Opening Closing of the Position along with the deal This means there is no Variation Margin Cash Settlement of Revaluation Differences based on Daily Closing Price of the Instrument to be processed for such instruments For your own portfolios you are allowed to do a Notional Revaluation for such Instruments e Choose Option with Futures Style for not booking the Premium Amount during the Opening Closing of Position i e there is no exchange of Cash during the deal But based on the every day closing prices of the Instrument there will be a variation Margin Computation that has to be exchanged between the Portfolio and Broker Revaluation based on Cash Basis 5 3 ORACLE 5 2 2 Specifying the Commodity details Commodity After you have indicated the instrument details you must specify the underlying commodity which is to be linked to the instrument being defined The option list available for this field is populated based on the Asset Type linked to the product involving this instrument You can select an appropriate commodity code Multiple Specify the Pricing Multiple of the commodity here The Pricing Multiple is the multiplication factor that should be applied to
72. deal matching EMAT the system will not post any accounting entries Neither will you be allowed to generate any advices for these events For reversing a deal EREV the system does an automatic reversal of all the accounting entries that were passed when the particular deal was booked EBOK J Refer to the Common Procedures User Manual of Oracle FLEXCUBE for detailed procedures 7 2 5 Restricting Branches and Currencies The deal product that you create is by default available for use in all the various branches of your bank You can choose to restrict the branches of your bank which can offer it In addition to restricting the branches that can offer the deal product you have the option of identifying currencies in which an allowed branch can offer the product Through the Product Branch and Currency screen you can restrict the use of the deal product to specific branches and currencies of your bank When the pricing currency of instruments involving the deal product happens to be a restricted currency you will not be allowed to deal in the respective instruments 7 5 ORACLE 7 2 6 7 2 1 7 2 8 Svor Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed procedure on how to restrict specific branches and currencies for a deal product Specifying Portfolio Restrictions You can establish certain controls over the portfolios that your branches can deal in You can achieve these control
73. e Interest Method Pool Code Pool Code O Contract Level Reference Rate Transaction WIS Code Composite WMS Code Funds WIS Code MIS Group Rate Amendment Rate Change Log Balance Transfer Log Ok Cancel In this screen the transaction type of MIS class the cost code and pool code will be picked up from the product under which the deal is processed The composite MIS code will be picked up from the definition made for the customer on behalf of whom the deal is being processed You have to indicate whether the system should pick up the MIS Rate associated with the pool linked to the contract or whether you would like to maintain a rate specific to the contract You can indicate your choice by selecting any one of the following options e Pool Code indicating that the MIS Rate maintained for the pool code should be used for refinancing e Contract Level indicating that you would like to maintain a specific MIS Rate for the particular contract Refer the MIS User Manual for more details on maintaining MIS related information for a product and contract Associating a broker and product with a rule While capturing details of a contract brokerage can also be specified if the broker code chosen is associated with the deal product Brokerage association enables you to link a product a rule a Currency or a currency pair in the case of foreign exchange products and a broker The attributes of the b
74. e right on the underlying asset takes effect on the parties involved in the deal The Value Date you specify can be one of the following e Today s date e Past Date Time Stamp and Transaction Date The Time Stamp is the exact time at which the deal transaction took place in the exchange You have to specify the time at which the deal transaction took place The transaction date is the date on which you entered the deal into Oracle FLEXCUBE The system gives the present date as the transaction date You cannot change it Money Settlement Date The Money Settlement Date or the MSTL Date represents the Value Date of the Money Settlement of the Premium Amount in a Long Short option deal If there is any money settlement involved in the deal you are processing you can indicate the date on which the money settlement for the Premium Amount in a long short option should be done Portfolio Identification Every deal that you capture in Oracle FLEXCUBE should be associated with the respective portfolio For instance if you are capturing the details of a deal on behalf of your bank s customer you must link it to the relevant customer portfolio Similarly while entering the details of a deal on behalf of your bank you have to link it to the appropriate bank portfolio While defining a deal product you would have established certain controls over the portfolios that your branches can deal in by defining restrictions for the product The list
75. e asset under which the commodity is categorized This indicates the basic nature of the commodity The options available are e Real e Contingent Indicate whether the nature of the commodity is Real or Contingent depending on the physical holding of the commodity Let us assume that you are identifying a particular currency in Oracle FLEXCUBE as a commodity In this case the nature of the asset will be Real However if you are maintaining an option on a currency swap as a commodity the underlying asset or commodity is not the currency but the currency swap itself Therefore the commodity becomes a contingent asset Pricing Size and Commodity Pricing Unit You can indicate how the commodity is priced in the market by specifying the market price per unit of the commodity Since every instrument that is processed in the system automatically inherits the characteristics of the underlying asset the pricing size and the unit will be defaulted to the Instrument 3 2 ORACLE For instance let us assume you are maintaining the currency DEM Deutsche Mark as a commodity in Oracle FLEXCUBE If DEM is quoted in the market in terms of 1 DEM then the Pricing Size and the Pricing Size Unit that you specify will be as follows Pricing Size Unit Similarly if you are capturing the details of the commodity titled Crude Oil and Crude Oil is quoted in the Market in terms of 1 barrel your entries in the respective fields will be P
76. e it has begun 10 3 Automatic events executed during End of Day for Futures 10 3 1 Settlement of Opening deals This process will update the Cost of the portfolio based on the new holdings The events that can be triggered in Oracle FLEXCUBE for settling open deals are EOLG Opening of Long Position EOSH Opening of Short Position E Example Opening Position for the day a 10 Contracts Long Last Market Price B 230 USD for 10 contracts Deals for the Day 2 Contracts Long at 25 USD Contract The result of the Settlement Process will be 12 Contracts at 280 USD where the average cost of holding will be 280 12 USD 23 33 USD 10 2 ORACLE 10 3 2 Realized Revaluation of Open positions As part of this running this process the system will equal the Holding Cost of the portfolio to the Current Market Price and account for the Realized Gain or Loss The events that can be triggered in Oracle FLEXCUBE for processing Realized Revaluation is ERVL Revaluation of Long Position ERVS Revaluation of Short Position Let us extend the above example and see what happens when Realized Revaluation is done for all Open Positions in Futures Existing Positions Opening Position for the day 10 Contracts Long Last Market Price 230 USD for 10 contracts Deals for the Day 2 Contracts Long at 25 USD Contract Result Result of Settlement Process Average Cost of Holding 10 3 3 Settlement of all Closing deals for the day
77. e of Oracle FLEXCUBE If you check this box the system will display an override stating the booking method will be Advance Under the Broker Account table you can specify the following Account Specify the account of the broker The adjoining option list gives you a list of accounts Choose the appropriate one You cannot specify the same account number for another broker Each broker should have account numbers unique to him gt lt is mandatory for you to specify at least one account number for the broker Description Enter a brief description for the account 9 6 ORACLE 9 7 Defining a Broker Scheme You can associate a broker with an existing broker margin scheme through the Broker Scheme Linkage screen You can invoke this screen by typing BRDUATST in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Broker Scheme Linkage Branch Broker Broker Account Currency Scheme ld Input By Authorized By Modification Authorized Date Time Date Time Number woes Exit In this screen you can specify the following details Branch Specify the branch code of the branch in which you are maintaining the Broker Scheme details record Broker Specify the Broker ID of the broker for whom you are maintaining the Broker Account Currency and Margin Scheme combination Broker Account Specify the broker account to be used fo
78. e product type by selecting it from the adjoining list of options Product Group You must classify each product under a specific group The different groups are defined in the Product Group Definition screen Indicate the group to which a product belongs by selecting the group code from the adjoining list of options 4 2 ORACLE 4 2 1 Product Slogan You may specify a marketing punch line to be associated with the product This slogan is printed on all the advices that are sent to the customers of instruments associated with this product Product Start Date and End Date For using a product over a specific period you can define a Start Date and an End Date The settlement date of an instrument involving a product should be e Same as or later than the Start Date e Same as or earlier than the End Date of the product The Start and End Date of a product is useful when you are defining a product that is applicable for a specific period gt If you do not specify an End Date the product can be used until it is closed Remarks Provide information about the product for the internal reference of your bank These remarks are shown when the details of the instrument are displayed or printed This information is not printed on any correspondences with the customer Specifying the Product Preferences Preferences are the options available for defining the attributes of a product The instruments categorized under a product will i
79. e the Expiry Date e Manually assign European Options for Short Positions on the Expiry Date e Manually assign American Options for Short Positions on or before the Expiry Date e Manually exchange for Physicals for Long Short Future Positions 8 10 ORACLE You can invoke the Liquidation Deals screen by typing EDDLQONL in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Liquidation Deals Product a Description User Reference SOUrce Reversed Reference BasketReference fn Contract Reference Instrument Details Instrument Id Description Portfolio Details Portfolio Id Description Portfolio Customer Customer Name Contracts Deal Type Spot Price Pricing Unit Value Date Transaction Date Expiry Date Strike Price Currency Remarks l l I I E series Id Description Broker Id Broker Name Broker Account a Account Description Deal Size Unit Deal Value Currency Time Stamp Money Settlement Date Settlement Date commodity Basket Reference Standard Input By Authorized By Contract Authorized Date Time Date Time Status While entering the details of a liquidation deal you should necessarily use an LQ product that exists in the system You can select the appropriate product code from the available list User Reference If the transaction is being uploaded from an external source y
80. eaaaaees 12 8 12 32 L ng Short Deal Confirmation advice ssivcsisinrcisesaserssanesidesarcseveisniaQoisaviosad E E ES 12 10 Lo AS OMIT N OC a T E S 12 12 ILo Pe CO NOO eT E E TTE E A T TE A T E ETO 12 14 Toa TG GIN OO a E A S A Sect otseeadd bee dddaamaeaddaen tes 12 16 EZ HOUT COM I ONC aaa sia etanvetcatnen siaste i oncas pasate eammeieegaescenesoee 12 18 13 SCREEN GOS RY area ncaa sacs crews tc pa naea ER cece atensecenactsascaaeeecdeunensaceetenscdesnetsusccactecdeenetccceotenscdeensteoes 13 1 OA te CIN PION ID TENG Ts capa anseeenccanetee E pra stieacnaa sane igdaniasmeon pit EEE 13 1 ORACLE 1 About this Manual 1 1 Introduction This manual is designed to help acquaint you with the Exchange Traded Derivatives module of Oracle FLEXCUBE The manual provides an overview to the module and takes you through the various steps involved in maintaining instruments portfolios and deals It also explains how to track life cycle events of holdings in your own or in your customer s portfolio 1 1 1 Audience This manual is intended for the following User User Roles Back office data entry Clerks Input functions for deals queries Back office Managers Officers Authorization functions queries Product Managers Product definition and authorization End of Day Operators Processing during End of Day beginning of day Financial Controller Product Managers Generation of queries reports 1 1 2 Abbreviations ETD Exchange Traded Deriva
81. earest calendar months as well as the following two months within the cycle March June September and December thereafter i e up to a maximum lifetime of 9 months Group B shares the three nearest calendar months as well as the following three months within the cycle March June September and December thereafter i e up to a maximum lifetime of 12 months Group C shares the three nearest calendar months as well as the following three months within the cycle March June September and December thereafter and the following two months within the cycle June and December thereafter i e up to a maximum lifetime of 24 months Exercise Price Options series may have the following exercise prices Shares with a nominal or calculated value of DEM 50 Shares with a nominal or calculated value of DEM 50 Exercise Prices Exercise Price Intervals EUR 1 to EUR 20 EUR 1 EUR 22 to EUR 50 EUR 2 EUR 52 50 to EUR 100 EUR 2 50 only the two next expiration months EUR 55 to EUR 100 EUR 5 EUR 110 to EUR 200 EUR 10 EUR 220 to EUR 500 EUR 20 EUR 525 to EUR 1 000 EUR 25 only the two next expiration months EUR 550 to EUR 2 000 EUR 50 EUR 2 100 and above EUR 100 Shares with a nominal or calculated value of DEM 5 and DEM10 or equivalent in euro Exercise Prices Exercise Price Intervals EUR 1 to EUR 20 EUR 1 EUR 22 to EUR 50 EUR 2 EUR 52 50 to EUR 100 EUR 2 50 only the two next expiration months EUR 55 to EUR 200 EUR 5
82. eeaaaeeeeeeeeeeaaaaeseeeeeeeeeaas 6 3 0 2 2 Mapping Accounting Roles to Accounting HAS cccccccssecccccccceeeneeeeeeceeeecaaaeseeeeceeeeaasesseeeeeesaaaaaseeeess 6 7 6 2 3 Specifying Event WISE ACCOUNTING ERES in xcveacienissdeceunaenesedavarsensaiescessieatiseantytaleiascbssievdacstputbeewutyietecss 6 7 6 2 4 MOST GIES DONE NE S ce i E cap sansa as aod hs oat ssp depp Sui supa coe 6 8 6 2 5 RESCUING Customer CALC COTICS arerin R EEEE EE A 6 8 6 2 6 Specifying MIS details for a Portfolio PrOCUCE csccccccccccccesneseseecceeeenaeesseeeceeeeaaaeeeeeseeeeaaaaeeeeeeeeaas 6 9 6 3 MAINTAINING MARGIN PRODUCTS scsassincssscorocneentactsscedsocesiressunceoidaestdqunscucotatannsdsuuseneeedsasazassupeneaeaacensauveeins 6 10 6 3 1 Specifying your Preferences for the deal PrOCUCt ccccccccccssveescecccceeeaeeesseeceeeeaaasessecceeesaaaseseeeeeeas 6 12 Oe MAR IN rece trea ccac AE ec E E E EAE E EAE ES 6 12 CS TNVORNGOA MARGIN C yar porani nie nE EA hee ease EE E E E omnia dae tines 6 14 C ENNET OOS eae sate E E E A eae hata EAE EEEE EA 6 16 07 ENTERING THE DETAILS OF A POR TEOLIO soicsessccrsiasacassubedtanstouatsnstainndeahusaddeansiadiostaustwessabandeabomntdonnalietiaiines 6 17 6 7 2 Specifying Role to Head mapping preferences sscccccccccccceeecccccceeccaeassssecceeeeaasesseeceeeesaaaseeeseeeeeaas 6 21 6 7 3 Maintaining Instrument Restrictions for a portfolio ccccccccccccc cena eeeeeccceeecaaaeseeceeeecaaaaeseeeeeeseaaaaess 6 22 6 7 4 Specif
83. ency offset Contingent Asset USD 977500 Sold Asset in Asset Currency Settlement Bridge Debit USD 977500 Closing Price in Pricing Currency Control USD 977500 Settlement Bridge USD 974000 Control Debit USD 3500 Gain on closure in Pricing Currency 10 6 4 Deal Ill Reference Number D20401 Control Debit USD 974000 Holding Cost in Pricing Currency Nature of Contract Settlement by exchange of physicals on Contract Expiry Own Long Position 10 13 ORACLE Deal Number D20401 Deal Type XPL Deal Product DP04 Instrument ID CME 90 day US T bill Future Instrument Series Nov 00 Booking Date 24 Nov 2000 Value Date 24 Nov 2000 Expiry Date 24 Nov 2000 Trade Rate 97 80 No of Contracts 100 The Current balance in the Basket is 100 long contracts Since the instrument expires on 24 Nov 00 all 100 contracts within the basket will cease to exist on the Expiry Date The accounting entries that will be posted for the settlement of exchange of physicals on contract expiry will be as follows Event Code EEPL Accounting Role Dr Cr Currency Description Indicator Contingent Asset Debit USD 1500 Increase in contingent asset in Asset Currency Contingent Asset Credit USD 1500 Increase in contingent asset in offset pricing currency Contingent Asset USD 978000 Reversal of contingents on EFP offset 10 14 ORACLE 10 7 Option Deals In the earlier section we had a look at the sample accounting entri
84. erences for the deal product 6 4 Click Preferences button to specify preferences for the product through the Margin Product Preferences screen Margin Product Preferences Product Product Description Preferences Required Scheme ld Settlement Amount Scheme Event In Oracle FLEXCUBE all operations on a deal input amendment modification etc have to be authorized by a user other than the one who entered the deal details These operations have to be carried out before the end of day activities have begun Authorization is a way of checking the entries made by a user As part of specifying the preferences for a deal product you can indicate that details of certain fields should be re entered when a deal is invoked for authorization as a cross checking mechanism The complete details of the deal will be displayed only after the values to these fields are entered The fields for which the values have to be given are called the re key fields If no re key fields have been defined the details of the deal involving the product will be displayed immediately when the authorizer calls the deal for authorization The re key option also serves as a means of ensuring the accuracy of inputs Margin Settlement Settlement transactions may be in the form of initial margin collected or paid to a customer or broker or the liquidation of a net receivable or payable position of a scheme You can capture settlement details
85. es that were triggered during EOD processing of future deals We will now have a look at the accounting entries that will get triggered during BOD and EOD processing for Option deals with Option and Future style premium 10 7 1 European Option Deals with Option style premium The Instrument involved in all the European option deals is CME 90dayUSTbill 96 Option Call The details of this instrument are given below 10 7 1 1 Instrument Details CME 90dayUS Tbill 96 Option Call negate fe Fields in the Screen Commodity Pricing Size Unit Commodity Pricing Unit Multiple Commodity Price Code CME Min Price Movement 0 01 Max Price Movement in a Day Nil Max Long Position Customer 10000 Max Short Position customer 10000 Max Long Position Self 100000 Max Short Position Self 100000 Default Broker ID CITI om The details of the basket involved in the option deals in our example are as follows Basket Reference Number a BSKO002 Portfolio ID D PF001 Instrument ID B CME90DTB CL E 0P Broker ID CITI Broker Account CB001 10 16 10 7 2 Deal Reference Number D10103 Nature of Contract Open Long European call with Option style Premium on own account Deal Number D10103 Deal Product DPO3 Instrument ID CME90DTB CL E 0P Instrument Series 96 Nov 00 Strike Price Buy Sell Booking Date 21 Nov 2000 Value Date 21 Nov 2000 Expiry Date Peace o As a result of processing this deal the system creates
86. etailed procedure on how to restrict specific instruments or instrument products refer to the Common Procedures manual of Oracle FLEXCUBE Specifying the Margin Scheme linkage for a portfolio The different stages in the life cycle of an ET deal are called events All of these events involve money settlements either with the broker involved in the deal or with the portfolio customer In the case of customer portfolios you may have to do money settlements with the broker as well as with the portfolio customer In Oracle FLEXCUBE you have the option of netting settlements for the broker and the portfolio customer across events and portfolios You can do this by linking the portfolio and the broker account with a margin scheme 6 22 ORACLE A margin scheme is a pool of balance maintaining a net receivable or payable position for a broker or a Customer You can choose to liquidate the scheme either partially or wholly at any given point in time While defining a customer portfolio you can link a margin scheme for every currency that the customer holds positions in To link a margin scheme with a portfolio click Margin button in the Product Definition screen Margin Details Portfolio Id Portfolio Description Portfolio Margin Scheme Details ERIE I targin sone caren BL 6 23 ORACLE 6 7 5 Linking MIS transaction codes with a portfolio As part of specifying the portfolio product details you would have identified the
87. everse the contingent entries for contracts that have been exercised gt Facility to calculate the assignment loss based on the difference between the price of the commodity and the strike price of the instrument and book entries for the same e Exchange of futures for physicals 2 1 ORACLE gt Facility to reverse the contingent entries while exchanging futures for physicals gt Facility to calculate the exchange loss or gain based on the difference between the commodity price and the acquisition price and book entries for the same Expiry of Options gt On the expiry date if the series is Out of the Money the system will process an automatic expiry for the series Similarly if the series is In the Money an automatic exercise assignment of options event will be processed gt The system also calculates the expiry loss or gain depending on whether it is a long or short deal The respective accounting entries are also booked Expiry of Futures gt Inthe case of futures on the expiry date the system automatically exchanges futures for physicals While exercising and assigning options or during expiry of options and futures only the price differential i e the Exercise Gain or the Loss will be processed by the ETD module For options the price differential is the difference between the spot price of the commodity and the strike price of the instrument For futures the price differential is calculated as the difference
88. ew the UDFs defined for the product click Fields button The list of fields and default values specified for the product to which the deal is associated is displayed You can add to the list of fields defaulted from the product but you will not be allowed to remove a field from the defaulted list You can change the values defaulted from the product to suit the deal you are processing For more details on defining custom fields in Oracle FLEXCUBE refer the User Defined Fields User Manual Viewing Specifying MIS details You can choose to perform MIS Refinancing on a daily basis for all bill contracts only if this option has been enabled in the Bank wide Preferences screen If the MIS refinancing has been set to a daily frequency you have to indicate the refinance rate pick up specification through the transaction MIS sub screen while processing the contract Click MIS button to invoke the MIS screen 8 14 ORACLE 8 3 7 8 3 8 MIS Group MIS_GRP1 Fal V Link To Group Input Floating Rate Related Reference Number Related Reference laz Rate Code CIFLT_RATE Number E Siy Related Account i aa oproad i Related Account MIS Head Cost Code Rate At te Type Floating Automatic interest Method ActualActual Pool Code Pool Code POOL1 Contract Level Reference Rate Transaction MIS Code Composite MIS Code Funds MIS Code MIS Group MIS_GRP1 Tl E if Rate Ame
89. f instrument ID and Portfolio 5 8 ORACLE 5 3 5 4 Uploading Margin Details and Instrument Price Details Use the Intra Day Batch Start screen to upload the following details into Oracle FLEXCUBE from an external system e Initial and maintenance margin details Function Id MGSCHUPL e Instrument Price details Function Id EDINPRUP Function To start the upload specify the respective Function Id in the Intra Day Batch Start screen and click Ok button The system processes records with the details one by one and uploads all the valid records into the system and rejects ones with errors The system also checks for duplicate records and if they exist then they are amended Defining the Series associated with the Instrument A single instrument can have multiple series attached to it At a given point in time multiple series of the same instrument can be traded simultaneously depending on the expiration months for each series Let us assume you are maintaining the details of Wrought Iron Futures traded in the London metal exchange The instrument has two series attached to it The details of the series are as follows Series LME Wrought Iron Futures DEC 2000 series Opening Day 01 Dec 2000 Series Il Series ID LME Wrought Iron Futures JAN 2001 series 5 9 ORACLE LME Wrought Iron Futures JAN 2001 series Opening Day 01 Dec 2001 In the subsequen
90. f the Application tool bar and clicking on the adjoining arrow button Intra Day Batch Start Function To start the handoff specify the respective Function Id in the Intra Day Batch Start screen and click Ok button 10 5 Sample Accounting Entries for the various events In this section we have given samples of accounting entries that will be posted during the batch processing programs for Futures as well as Options 10 6 Future Deals The Instrument involved in all the future deals is CME 90 day US T bill Future The details of this instrument are given below 10 6 1 Instrument Details CME 90 day US T bill Future Underlying Asset 90 Day US T Bill Underlying Asset Currency 10 9 ORACLE Fields in the Screen Instrument ID Pricing Currency Contract Size Contract Size Unit Pricing Precision Instrument Pricing Size Instrument Pricing Size Unit Instrument Pricing Size Multiple Commodity Pricing Size Commodity Pricing Size Unit Commodity Pricing Unit Multiple Commodity Price Code Min Price Movement Max Price Movement in a Day Max Long Position Customer Max Short Position customer Max Long Position Self Max Short Position Self Default Broker ID Issuer Exchange MSTL Days Physical Settlement Days Initial Margin per Open Long Initial Margin per Open Short Clearing House Margin CCY Values CME 90 day US T bill Future USD 100 T Bill 4 Decimals Unit 100 T bill 100 C
91. fice of your bank Any user in the head office with the requisite rights can create a product 4 1 ORACLE 4 2 Creating an Instrument Product You can create and maintain an instrument product through the Exchange Derivatives Instrument Product Definition screen You can invoke this screen by typing ENDINPRO in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button gt Instrument Product Restriction Product Code Exchange Rate Variancet in Product Description Override Limit Product Type Stop Limit Description Rate Code slogan Rate Type Product Group Description start Date End Date Remarks Maker Date Time Mod Na Checker Date Time Record Status Authorization Status Product Code Specify a four character product code for your product Every product that you create is identified by its own unique product code Product Description Specify a short description for identifying the instrument product quickly The short description cannot exceed 35 characters It is meant for information purposes only and will not be printed on any customer correspondence Product Type An important detail in defining a product is to specify the nature of the product you are creating The product type identifies the basic nature of a product An ETD Instrument product that you create can be of the following types e Options O e Futures F Indicate the appropriat
92. follows Accounting Role Account Head Dr Cr Indicator BOT ASSET Option Strike Price CA004 SOLD _CCY_EQ Option Strike Price CL004 Credit 6 2 2 Mapping Accounting Roles to Accounting Heads You can map appropriate Accounting Roles to Account Heads for the portfolio product through the Role to Head mapping screen To invoke this screen click Roles button For a detailed procedure on how to map Accounting Roles to Account Heads refer to the Common Procedures User Manual of Oracle FLEXCUBE The Role to Head mapping definition for the following hierarchical levels 1 Portfolio Instrument ID 2 Portfolio Instrument Product 3 Portfolio ID 6 2 3 Specifying Event wise Accounting Entries After mapping accounting roles to specific heads you have to define life cycle events for deals involving this product and identify the accounting entries which ought to be posted when individual events are triggered in Oracle FLEXCUBE The following is the list of events for a portfolio which you can maintain in Oracle FLEXCUBE e Assignment of Exercise e Closing of Long Short positions e Exchange of physicals Take Make delivery e Opening of Long Short positions e Revaluation of Long Short positions e Expiry of Long Short options e Exercise of Options e Reversal Assignment of Exercise e Reversal Closing of Long Short position e Reversal Exchange of Physicals Take Make delivery e Reversal Openi
93. g details under Series Details Series ID Select the ID of the Series to which the instrument is attached The option list includes all Series Ids you have maintained through the Instrument Series screen Market Date Indicate the date as of which you are maintaining the market price for the instrument Market Price Specify the Market Price of the instrument If you fail to update this price during EOD the system will pick up the previous day s price for the purpose of revaluation Maintaining Broker Accounts 9 4 ORACLE You can capture details of broker accounts which should associated with the Broker ID through the Broker Master Maintenance screen Only those accounts maintained in this screen will be impacted while processing margin settlement transactions involving the particular broker You can invoke this screen by typing BRDMAST in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Broker Master Maintenance Broker ld Booking Advance Name Arrears Street Category Broker City Exchange Country Clearing Member Liquidation Transaction Code Applicable For Tax Scheme Exchange Traded Derivatives Payable Currency Tax Paid Tax Payable Account Account Transaction Code Transaction Code Broker Account a Description Authorized By Modification Authorized Number Date Time Date Time Open Based on the Broker ID you
94. h the product 7 2 1 1 Indicating the Exchange Rate Variance For a special customer or in special cases you may want to use an exchange rate a special rate that is greater than the exchange rate maintained for a currency pair The variance is referred to as the Exchange Rate Variance When creating a product you can express an Exchange Rate Variance Limit in terms of a percentage This variance limit would apply to all deals associated with the deal product Override Limit lf the variance between the default rate and the rate input varies by a percentage between the Rate Override Limit and the Rate Stop Limit you can save the deal by providing an override 7 2 ORACLE Stop Limit If the variance between the defaulted rate and the rate that is entered varies by a percentage greater than or equal to the Rate Stop Limit you cannot save the deal Rate Code While settling charges for cross currency settlements you can choose to debit the customer by applying the mid rate or by using the buy sell spread over the mid rate Rate Type In addition to specifying the Rate Code you have to indicate the Rate Type which should be picked up for exchange rate conversions involving settlement of charges for cross currency deals You can maintain any one of the following as the Rate Type e Cash Rate e TT Rates e Bill Rates Information pertaining to specific attributes of a product has to be defined in the sub screens within the
95. hange The transaction date is the date on which you entered the deal into Oracle FLEXCUBE The system puts today s date as the transaction date You cannot change this date Settle Date If the basket involves physical settlement of the underlying commodity you have to indicate the date on which the physical settlement of futures should be done The ETD module of Oracle FLEXCUBE does not support any processing with respect to the physical settlement of deals Money Settlement Date If there is any money settlement involved in the liquidation deal you are processing you can indicate the date on which the money settlement of liquidation gains losses is to be done Other details of the LQ Details screen The following details of the Liquidation details screen are picked up from the Instrument Definition screen and displayed in their respective fields on saving your entries e Strike Price at which the option buyer can purchase the asset for a call option or sell the asset in the case of a put option e Underlying Commodity involved in the deal e Basket Reference number involved in the deal e Expiry Date of the series e Additional information about the instrument pertaining to the instrument itself or the underlying commodity the physical settlement of the deal or the money settlement of the deal is displayed in the Standard field 8 13 ORACLE 8 3 1 8 3 2 8 3 3 8 3 4 8 3 5 8 3 6 Indicating the Settlement Instr
96. harge Amount in the Currency of the Account when the currency is a foreign currency e The exchange rate that was used for the conversion if the Account is a foreign currency account e Amount in local currency e All the overrides that were encountered for the event will also be displayed e The date and time on which the entry was entered in Oracle FLEXCUBE 8 2 3 Specifying the Settlement Instructions Along with other charge related details of a deal you have to specify the accounts that have to be debited or credited depending on whether the charges are to be collected or paid The Debit and Credit accounts and the amount indicate the accounting entry that has to be passed at your bank to effect the deal Apart from the details of accounts that have to be debited and credited for the charge amount you will have to capture the following details to effect a deal successfully e Details about the route through which the money settlement should take place e Indicate whether a payment message needs to be generated 8 2 4 Specifying Advices for the deal While defining the deal product you have already maintained the list of advices that need to be generated for deals associated with the product The details of the advices applicable for an event are displayed in the Advices screen The party ID to whom a specific advice should be sent is picked up automatically based on the Party Advice mapping done for the counterparty 8 7 ORACLE
97. hat you have specified there is no Basket Reference Number the basket will be created and the balance of the same will be updated If the liquidation amount of the contracts is more than the balance available in the basket the system will save the liquidation deal but at EOD display the message Insufficient Balance in Basket Contracts The number of contracts that have been liquidated in the basket is defaulted as the current balance in the basket You can change this default value and indicate the number of contracts within the basket that have to be liquidated Deal Type After identifying the number of contracts that have to be liquidated you have to indicate the type of liquidation that has to be performed on the contracts The options available are e Exercise of Options e Assignment of Options e EFP of Futures Long e EFP of Futures Short 8 12 ORACLE Select the appropriate option from the list Spot Price Specify the Spot Price of the underlying commodity involved in the instrument The spot price is to be expressed in terms of the Commodity Pricing Unit as maintained in the Commodity Definition screen Value Date The Value Date represents the date on which the basket is to be liquidated This is the date as of which the accounting entries will be posted for booking the liquidation gains and losses Time Stamp and Transaction Date You have to capture the exact time at which the deal transaction took place in the exc
98. he Post Trading Period on any exchange trading day during the lifetime of the option 5 13 ORACLE Expiration Months The next four months within the cycle March June September and December i e options contracts are available with a lifetime of 3 6 9 and a maximum of 12 months The maturity month of the underlying futures contract and the expiration month of the option are identical Exercise Value Options series have exercise prices with intervals of 0 10 of a point e g 96 40 96 50 96 60 Twenty one exercise prices are introduced initially for each expiration month Option Premium The premium is settled using the futures style method Trading Hours 8 30 a m until 7 00 p m CET 5 4 5 In Oracle FLEXCUBE To fit this requirement in Oracle FLEXCUBE you have to specify the following details in the Instrument Definition screen Product Code OEU3 Asset Type Interest Rate Future Physical Settlement Settle Before Expiry Yes Instrument Details Instrument Option on Three Month EURIBOR Futures contract Asset Nature Contingent Contract Size Contract Size Unit Future Contract Contract Value One Three Month EURIBOR Futures contract Pricing Size Pricing Size Unit Future Contract 30000 5 4 6 Pricing Unit Multiple 30000 Minimum Price 0 005 Movement Contract Standard Three Month EURIBOR Futures The nominal value of one futures contract is EUR 1 000 000 ne Details One Three Month EURIBO
99. he deal for authorization The re key option also serves as a means of ensuring the accuracy of inputs You can specify the authorization re key fields through the Deal Product Preferences screen Defining the Charge components In the ETD module of Oracle FLEXCUBE charges can be associated and accounted for only with the Booking of the deal You can calculate and deduct charges as a percentage of the deal amount You can specify the charge components applicable to a product when your bank has to e Collect money from the Customer Broker e Pay money to the Customer Broker For deals under a Long Short type of deal products the deal amount is calculated as follows Futures Deals Future Price X Number of Contracts Options Deals Option Premium X Number of Contracts For option and future deals under a Liquidation type of deal product the charge amount is calculated as Futures Deals Commodity Spot Price X Number of Contracts Option Deals Commodity Spot Price X Number of Contracts You should necessarily use a charge class to indicate the charge components applicable to the product A charge class is a specific type of component that you can build with certain attributes You can build a charge class for instance with the attributes of a specific type of charge component such as Charges for booking an LS deal The charges that you link to the deal product will be made applicable to all the deals involving the prod
100. ice Basket Reference commodity Expiry Date Remarks 0 Contract Standard Input By Authorized By Contract authorized Date Time Date Time status You can choose to enter the details of a deal either by using a deal product You should necessarily use a long short deal product that has already been created to enter the details of a long short deal Based on the type of deal you are entering you can select a product from the list of options positioned next to the Product field The details which you can view or specify in the Long Short Deals screen are explained below Contract Reference In Oracle FLEXCUBE reference numbers are generated automatically and sequentially by the system This number tag is used to identify the deal you are entering it is also used in all the accounting entries and transactions related to this deal Hence the system generates a unique number for each deal User Reference You can enter a reference number for the deal A deal will be identified by this number in addition to the Deal Reference Number generated by the system This number should be unique and cannot be used to identify any other deal By default the Deal Reference Number generated by the system will be taken as the User Reference Number External Ref No If the transaction is being uploaded from an external source you can specify the identification for the deal in the external source as the external reference number 8 2 ORACLE
101. ion Override Limit Product Type Stop Limit Description Rate Code slogan Rate Type Product Group Product Group Description start Date End Date Remarks Maker Date Time Mod No checker Date Time Record Status Authorization Status In this screen you can enter the following basic details of the margin product e Product code and module e Description of the product e Product type e Slogan for the product e Group to which the product belongs e Start date of the product e End date of the product e Remarks Product Code and Product Description You can identify a product that you maintain with a unique Product Code and a brief description In the Product Code field you must assign the product a unique code which is unique across all the modules of Oracle FLEXCUBE This code helps in identifying the product You can briefly describe a product that you create in the Description field 6 10 ORACLE Product Module The services that you offer in a module will be specific to the module For example a portfolio maintenance scheme is specific to the ETD Portfolio module You can view the module in which you are creating a product in the Product Module field Product Type The first attribute that you define for a portfolio product is its type You can broadly classify portfolio products into two types e Broker Margin Product BR the definition and maintenance of broker margin products help you manage the broker
102. is is the price at which the option was bought For index based options this is the price is specified in index points per contract BSKREF _ This is the reference number of the basket to which the deal belongs _COSPTPRI__ This is the spot price of the underlying commodity involved in the instrument _SVALDT _ This is the date on which the liquidation gains losses will be settled _ESETAMT _ This is the Commodity spot price multiplied by the commodity pricing multiple for the instrument 12 3 2 Long Short Deal Confirmation advice _ BRANCH __ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters _BRNADD3__ There are three lines in which the branch address for correspondence can be keyed in COMPRSZ_ This indicates the manner in which the commodity has been prized in the market _COMPRUT_ This is the Prizing Unit at which the commodity has been prized _SERIES _ This is the Series ID of the instrument series 12 10 ORACLE This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indi
103. it in the adjacent field Example Let us assume you are processing a contract with the following details Where the Long holder for each long contract held has the right to sell hundred units of the T bill Consequently a deal involving 15 Contracts translates to 1500 15 x 100 units of the T bill involved in the trade 8 3 ORACLE Deal Type While capturing the details of a specific deal you have to indicate whether it is a Buy Long or Sell Short type of deal You can select the appropriate preference from the available list Premium Future Price For Options the Option Premium is the price at which an option is bought or sold excluding any commissions trading fees and applicable levies For index based options the price has to be specified in index points per contract For non index based options the premium has to be expressed in terms if the Instrument Pricing Unit specified at the time of defining the instrument While capturing future deals you will have to indicate the Future Price For index based futures the price has to be specified in index points per contract For non index based futures the price has to be expressed in terms of the Instrument Pricing Unit indicated at the time of instrument definition For instance let us assume that you are capturing the details of a commodity Option The commodity involved in the instrument is Wheat and the Option Premium is quoted in the market in terms of kilograms
104. ks If you want to enter any remarks regarding the product do so in the Remarks field oe ORACLE 6 2 1 Specifying other Details for the Portfolio Product Every product that you maintain in Oracle FLEXCUBE will impact specific accounting heads GLs When you build a Class of Accounting Roles and Heads you will have to identify all heads specific to a service and indicate their roles individually The different stages in the life cycle of a portfolio are referred to as events After identifying accounting roles and mapping them with account heads you will have to identify the accounting entries which ought to be posted when individual events are triggered in Oracle FLEXCUBE For instance the opening of long and short positions will be recorded as two separate events in Oracle FLEXCUBE The mapping of accounting roles to respective account heads and the identification of life cycle events at which they ought to be triggered automates the process of posting accounting entries A single portfolio product can have multiple portfolios within it Although the various events that are likely to occur in a portfolio can be defined under a single product you can choose to post accounting entries to specific GLs for the different portfolios and Instruments within a portfolio product Assume this scenario Your bank is trading in a variety of Currency Index Options and in Commodity Index and Interest Rate Futures Typically on a daily ba
105. l be displayed in the Customer Access column Move to Cavillieri and Barrett on the list and specify the Restriction Type as Allowed Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed procedure on how to restrict customer categories from using a customer portfolio product 6 2 6 Specifying MIS details for a Portfolio Product You can define the Management Information Details MIS details for the portfolio product that you are creating through the MIS Details screen MIS Details Product Code WIS Group Pool Code Default From MIS Group MIS Classes Cost Code 10f1 m MIS Class MIS Code L Through the MIS product details screen you can link the product to transaction MIS codes The transaction codes linked to the portfolio product are defaulted to all the portfolios involving the product For more details on MIS Details screen refer section titled Invoking the MIS details screen for a product in the MIS user Manual a ORACLE 6 3 Maintaining Margin Products You can maintain Margin Products in Oracle FLEXCUBE The information about a margin product is captured through the Margin Product Maintenance screen You can invoke this screen by typing MGDCPROD in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Margin Product Definition Product Code Exchange Rate Variancet in Product Descript
106. linked to the particular portfolio in case of a customer portfolio e Brokers and Broker Accounts which are to be associated with the portfolio You can further specify restrictions on the instruments and instrument products that the portfolio can trade in The other preferences specified for the portfolio product are defaulted to the portfolio These preferences cannot be changed However you can set up the Role to Head mappings for the first three hierarchical levels Portfolio Instrument ID Portfolio Instrument Product Portfolio ID at the portfolio level 6 16 ORACLE 6 7 Entering the Details of a Portfolio You can enter the details of a portfolio through the Portfolio Definition Maintenance screen You can invoke this screen by typing EDDPFMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Portfolio Definition Maintenance Portfolio Product Ja Description Reference Number Portfolio Type Portfolio Description o Customer Number l Customer Name Fund Id fa Fund Description Costing Method Statement Details Revaluation Details Portfolio Statement C Notional Revaluation Reguired Required Frequency Frequency Start Month Start Month StatDay _ StatDay Last Statement Date Instrument Restrictions Role To Head Input By Authorized By Modification Authorized Date Time Date Time Number ion Exit Portfolio P
107. ly preceding that Friday Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Final Settlement Price The value of the DAX determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Exercise European style i e an option may only be exercised on the Last Trading Day of the respective option series up to the end of the Post Trading Period 5 21 ORACLE Expiration Months The three nearest calendar months the three following months within the cycle March June September and December thereafter as well as the two following months of the cycle June and December thereafter i e options contracts are available with a lifetime of 1 2 3 max 6 max 9 max 12 as well as max 18 and max 24 months Exercise Price Exercise price intervals for DAX r Options are as follows Expiration months with a Number of exercise Exercise price intervals in remaining term up to prices Index Points At least five exercise prices are introdu
108. matic exercise assignment of options event will be processed e Expiry of Futures gt Inthe case of futures with future style options the system automatically books the deal premium amount 2 2 0 Advices For every deal that is entered in the system a deal confirmation advice can be generated and sent to the portfolio customer 2 3 Interaction with the Margin Maintenance Sub System The ETD module interacts with the Margin Maintenance sub system for the purpose of resolving money settlements arising due to the various events processed in the ETD module The margin maintenance module offers you the flexibility of netting all settlements for a counterparty Broker or Portfolio Customer For additional information about the sub system refer to the Margin Maintenance user manual 2 4 Illustration of the ETD Workflow The data diagram given below adequately illustrates the work flow of the ETD module instrument Product Portfolio Product Broker Broker Account o Rompe cael i Deal Transaction Basket Reference Portfolio ID Instrument ID Series Broker Broker Account Position Tracking Revaluation Advices Open Close Positions Expiry Exercise Sub Systems Events Sei EFP Delivery y MIS Accounting Margin Maintenance Sub system 23 ORACLE 3 1 3 2 3 Commodity Definition Introduction Derivatives are contracts which convey the right obligation to buy or sell a specified asset at a specified
109. n your customer s portfolio 2 2 Features of Portfolios Listed below are the various features of portfolios in the ETD module of Oracle FLEXCUBE 2 2 1 Own Portfolio e Opening long and short positions gt You can book contingent entries for the Long and Short positions opened during the day gt You can define the premium exchange involved in Option Style Options and book the premium amount gt You have the facility to define and book the brokerage amount and charges involved in the deal e Closing long and short positions gt You can reverse contingent entries for all contracts that have been closed gt You have the facility to calculate the closing gains and losses and book appropriate entries for the same e Revaluation of Futures and Options gt As part of the End of Day activities you can perform realized revaluation on futures and future style options based on the closing price of the instrument and the series gt For option style options you can perform a Memo or Notional revaluation for the entire portfolio depending on the frequency that you choose to maintain e Exercise of Options gt Facility to reverse the contingent entries for those contracts that have been exercised gt Facility to calculate the exercise gain based on the difference between the price of the commodity and the Strike Price of the instrument and book accounting entries for the same e Assignment of Options gt Facility to r
110. nce of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters _BRNADD3_ There are three lines in which the branch address for correspondence can be keyed in COMPRSZ_ This indicates the manner in which the commodity has been prized in the market This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE TIME _ This is the exact time at which the deal transaction took place in the exchange _ NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _BRKACC _ This is the broker account involved in the transaction _ASSCYY _ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT _ This is the Commodity spot price multiplied by the commodity pricing multiple for the instrument 12 20 ORACLE 13 1 13 Screen Glossary Function ID List The following table lists the fu
111. nction id and the function description of the screens covered as part of this User Manual Finen o praene 13 1 ORACLE Exchange Traded Derivatives May 2011 Version 11 3 Oracle Corporation World Headquarters 500 Oracle Parkway Redwood Shores CA 94065 U S A Worldwide Inquiries Phone 1 650 506 7000 Fax 1 650 506 7200 www oracle com financial_ services Copyright 2011 Oracle Financial Services Software Limited All rights reserved No part of this work may be reproduced stored in a retrieval system adopted or transmitted in any form or by any means electronic mechanical photographic graphic optic recording or otherwise translated in any language or computer language without the prior written permission of Oracle Financial Services Software Limited Due care has been taken to make this document and accompanying software package as accurate as possible However Oracle Financial Services Software Limited makes no representation or warranties with respect to the contents hereof and shall not be responsible for any loss or damage caused to the user by the direct or indirect use of this document and the accompanying Software System Furthermore Oracle Financial Services Software Limited reserves the right to alter modify or otherwise change in any manner the content hereof without obligation of Oracle Financial Services Software Limited to notify any person of such revision or changes All company and
112. nctioning of the ETD module you should maintain e Instrument Prices e Commodity Prices e Price Codes e Broker Account details e Broker Schemes The necessity for maintaining these details is explained in sections dedicated to these topics in the sections that follow Maintaining Bank Parameters You need to maintain bank parameters for the ETD module The same can be done through the Bank Parameter Maintenance screen You can invoke this screen by typing EDDBANK in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Bank Parameters Bank Parameters Bank Code Expiry Deal Product az Product Description Exercise Deal Product an Product Description Input By Authorized By Modification Authorized Date Time Date Time Number ieee Exit Expiry Deal Product Select an expiry deal product During EOD when expiry happens the system will book the deal using the product that you have specified here Exercise Deal Product Select an exercise deal product During EOD when exercise happens the system will book the deal using the product that you have specified here 9 1 ORACLE 9 3 Maintaining Price Code Details You need to maintain price codes for each Commodity and Instrument that is maintained in the system You can do this through the Price Code Maintenance screen You can invoke this screen by typing EDDPCMNT in the field at
113. ndment Rate Change Log Balance Transfer Log In this screen the transaction type of MIS class the cost code and pool code are picked up from the product under which the deal is processed The composite MIS code is picked up from the definition made for the customer on behalf of whom the deal is being processed You have to indicate whether the system should pick up the MIS Rate associated with the pool linked to the contract or whether you would like to maintain a rate specific to the contract You can indicate your choice by selecting any one of the following options e Pool Code indicating that the MIS Rate maintained for the pool code should be used for refinancing e Contract Level indicating that you would like to maintain a specific MIS Rate for the particular contract Refer the MIS User Manual for more details on maintaining MIS related information for a product and contract Associating a Broker and Product with a Rule While capturing details of a contract brokerage can also be specified if the broker code chosen is associated with the deal product Brokerage association enables you to link a product a rule a currency or a Currency pair in the case of foreign exchange products and a broker The attributes of the brokerage rule that you apply will be associated with contracts defined in this combination This can be done through the Brokerage Association screen For further information on the Brokerage As
114. ng of Long Short positions e Reversal Reversal of Long position e Reversal Reval of Short positions e Reversal Expiry of Long Short positions e Reversal Exercise of Options a ORACLE 6 2 4 6 2 5 You have to identify the life cycle events which need to be associated with the portfolio product you are setting up When each of these events is triggered in Oracle FLEXCUBE appropriate accounting entries need to be posted For instance while Opening a Long Position you will e Debit the Contingent Asset e Credit the Contingent Asset Offset Therefore you need to associate every event with appropriate accounting entries You can define the accounting entries that have to be passed for a set of events as an Event Accounting Entries and Advices Class You can associate event wise accounting entries through The Event Accounting Entry and Advice definition of the Product Definition screen To do this click Events button from the Portfolio Product screen Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed procedure on how to associate accounting entries with events Restricting Branches The portfolio product that you create is by default available for use in all the various branches of your bank Through the Product Branch and Currency screen you can restrict the use of a product to specific branches only To invoke this screen click Branches button from the
115. nherit the preferences that are defined for it To invoke the Instrument Product Preferences screen click Preferences button In this screen you can define preferences for the product you are creating Preferences Product Code Product Description Type Product Type Description Preferences Asset Type Physical Settlement Possible Prior Settlement Possible Auto Exercise In this screen the following are displayed from the values you specify in the Product Maintenance screen e Product code and Description e Product Type and Description 4 3 ORACLE You may specify the following product preferences in the Preferences screen Asset Type You need to associate the product with an asset type A list of all the asset types maintained at your bank is available in adjoining list of options From this list select the asset type to be linked to the product Physical Settlement Possible Here you can indicate whether the long party involved in the deal can take physical possession of the underlying asset upon exercise or expiry of the instrument Select the Physical Settlement Possible checkbox to indicate that for instruments involved in the product the long party can take possession of the underlying asset Leave this box unchecked to indicate that physical settlement is not possible For example consider that you are specifying the preferences of a product which is meant for Index futures In such a case
116. nnnaneeeees 11 5 WS BOLG Onpenine of Lone OSON scositinsssiiicnieosis a a a 11 5 132 EVRL Revalaiion of Lone POs tn ssiaresaisieor rederne e a aieia ewes 11 6 ITO ECLO Closure o Lon FOSU Oea EEA E EAE E E AOE EEEE 11 6 ILSA EOSH Openine OF SHOWED OSU OW aeisi EE E ves ETNE AEEA EE 11 8 ITS ERVS Revaluaton of SROI POStION crisirreir ssr in n E EE EN EAE A EA 11 9 ORACLE 11 5 6 ECSH Closure of Short Positions cccccccccccccsseecccccceeceneeeesecceeeeeaaeseseeeeeeeaaaeseeeeeeeeeesaaaaeseeeeeesaaaanees 11 9 11 5 7 EXPL Expiry of Long POSIUtion ccccccccccccccccssueeeeccccceecnaeeeeseeeeeeeaaeeeseeeeeeesaaaaeeseeseeeeeaaaaaeeeeeeeeegaaages 11 11 11 5 8 EXPS Expiry of Short Position cccccccccccccccccssseeeeeeecccceen ae eeseeeceeeeaaeeeeeeeeeeeaaaeseeeeeeeeaaaaeeeeseeeeeaaaaes 11 11 11 5 9 EXRL Exercise in Long POON viscisisasisaiiasecedscpemavinactarvinaanarunaistaanndan navamsa 11 12 11 5 10 EAXS Assignment in Short POSUtitON ccccccccc ss neeeeccccecce eae eeesececeeeaaaeeseseceeeeaaaaseeeeeseseaaaaeeeeeeeeas 11 13 11 5 11 EEPL Exchange Of physicals in LON ccccccccccsssseeeccccccceec a eeseeeeeeeeaaeeeseseeeeeeesaaaaeeeeeeeeaaaaaeeeeess 11 14 11 5 12 EEPS Exchange for physicals in Shoft iccccccccccsssecccccccccccccanesseececeeenaeesseseceeeeaaaeeseeceseeaaaaseeseeeees 11 15 11 5 13 ERVL Revaluation of Long Position cccccccccccsseeeecccccec cea eeeseeeeeeeaaaeseeeeeessaaaeeeeeeeesaaaseeseeee
117. nnot be used to identify any other portfolio It cannot exceed 16 characters Portfolio Description In addition to the ID you can also capture a brief description that is to be associated with the portfolio The description that you enter cannot exceed 35 characters Portfolio Type The product type is defaulted depending on the portfolio product that you associate with the portfolio For instance if you are setting up a portfolio o manage your banks own trades and investments you will associate the portfolio with the appropriate portfolio product meant for your banks use Upon association the value in the Portfolio Type field will be defaulted as Own Similarly if you are defining a customer portfolio the value in the Portfolio Type field will be defaulted as Customer For each product type you can set up multiple portfolios Customer Number If you are capturing the details of a Customer Portfolio you have to indicate the ID of the customer involved in the portfolio You can select the respective CIF ID from the available list CIF IDs are assigned to customers of your bank through the Customer Information File Definition screen of the Core Services module of Oracle FLEXCUBE Fund Identification In Oracle FLEXCUBE you can identify and define specific branches of your bank as Fund Branches In fund branches only the banks own portfolios can be defined When the branch for which you are setting up a portfolio
118. nsiumentia Desoipion RoeToHeaa Descipion ol l a In the Portfolio Role to Head Mapping screen you can link accounting Role to Head mapping classes with any of the following e Portfolio and an Instrument ID e Portfolio and an Instrument Product e Portfolio ID For a detailed procedure on e How to map Accounting Roles to Account Heads or e How to link an accounting class with any of the three levels Refer to the Common Procedures User Manual of Oracle FLEXCUBE 6 21 ORACLE 6 7 3 Maintaining Instrument Restrictions for a portfolio 6 7 4 You can establish certain controls over the instruments and instrument products that a portfolio can trade in You can achieve these controls by specifying restrictions through the Instrument Restrictions screen To invoke this screen click Instrument Restrictions button in the Portfolio Definition screen Instrument Restrictions Portfolio Id Portfolio Description Instrument Product Restrictions Restriction Type Allowed Disallowed L l EE i Bi Prou Code Descinion O ol _ fal Portfolio Instrument Access B Instrument Id Instrument Description Allowed Disallowed OL Disallowed v In this screen you can identify the Instruments or Instrument Products the portfolio can trade in As a result the portfolio will not be allowed to trade in those instruments instrument products that you restrict in this screen o For a d
119. odes Broker Accounts Broker Schemes Chapter 10 Automatic Daily Processing discusses the End of Day processes that are carried out during the life cycle of an ETD contract In addition you will also find samples of accounting entries that will be posted during the batch processing programs for Futures as well as Options Chapter 11 Annexure A provides a list of suggested event wise accounting entries for your bank s as well as your customer portfolios Chapter 12 Annexure B contains a list of all the advice tags that will be shipped along with the module 12 ORACLE 1 3 Glossary of Icons This User Manual may refer to all or some of the following icons om Femen aie x ee s pe gt fe Liquidate Sign off Refer the Procedures User Manual for further details about the icons 1 3 ORACLE 1 4 Related Documents e The Procedures User Manual e The Messaging System User Manual e The Management Information System MIS User Manual i ORACLE 2 Exchange Traded Derivatives An Overview 2 1 Introduction The Exchange Traded Derivatives ETD module of Oracle FLEXCUBE is an automated and flexible back office system with the capability to process exchange traded derivative instruments such as Options and Futures Using this module you can capture details of long and short deals and liquidation type of deals entered at your front office process them and track life cycle events of holdings in your own or i
120. of Long Position 11 6 8 EXPS Expiry of Short Position Accounting Role Amount Tag Dr Cr Indicator Applicable BR_SETLM_ BRIDGE DEAL_PREMIUM_AMT Call amp Put Options F PF _SETLM BRIDGE DEAL_PREMIUM_ AMT Call amp Put Options F 11 6 9 EXRL Exercise in Long Position Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM_BRIDGE SPOT_STRIKE_DIFF Debit Call Option O amp F Put option O amp F PF_SETLM_BRIDGE SPOT_STRIKE_DIFF Credit Call Option O amp F Put option O amp F PF_ PF_SETLM BRIDGE BRIDGE DEAL PREMIUM AMT Call amp Put option F DEAL PREMIUM AMT Call amp Put option F 11 6 10 EAXS Assignment in Short Position Accounting Role Amount Tag Dr Cr Applicable Indicator PF_SETLM BRIDGE SPOT_STRIKE_DIFF Debit Call Option O amp F Put option O amp F BR_SETLM_BRIDGE SPOT_STRIKE_DIFF Credit Call Option O amp F Put option O amp F 11 19 ORACLE Accounting Role Amount Tag Dr Cr Applicable Indicator BR_SETLM BRIDGE DEAL PREMIUM AMT Call amp Put option F PF _SETLM BRIDGE DEAL PREMIUM AMT Call amp Put option F 11 6 11 EEPL Exchange of physicals in Long 11 6 12 EEPS Exchange for physicals in Short 11 6 13 ERVL Revaluation of Long Position Accounting Role Amount Tag Dr Cr Indicator Applicable BR_SETLM_ BRIDGE REALIZED GAIN Futures Call amp Put Options F PF SETLM BRIDGE REALIZE
121. of Opening deals fOr options ccccccccccccccccccsccneesseeeeeeeeeeeeeeeeeeeenaaaaaseeesssseeeeeeeeeseeeeaqaaaaaags 10 4 TO SCM CICTT OP Cosine ACUS cases tin st sectoas acs eatticaaricte bre E S 10 4 10 4 3 Notional Revaluation of Open Positions for Options with Option Style Premium ccccceeeeeeeees 10 5 10 4 44 Automatic Exercise of options Assignment Of Exercise cccccccccssseescccccceeeecn ne eeseeeceeecaaaeseseeeeeaaaasseses 10 5 10 4 5 Automatic Expiry of Out At the Money Positions cccccccccseccccccccccenseeeceeececeenaseeseseeeceeeeaaaasseeeeeeeeaaaes 10 5 10 4 6 Reversal of Notional Revaluation for Options with Option Style of PreMiuM ccccccsssccccccceeeeeeeeees 10 6 10 4 7 Producing Instrument Detail and Instrument Price Detail Handoffs ccccccccccccccccc se eeeeeseeeeeeeeenaees 10 6 10 5 SAMPLE ACCOUNTING ENTRIES FOR THE VARIOUS EVENTS cccccccccceeeeeseeeeeeeennnaeeeeeeeeeeeeeeeeeseeeeeeneaaaeeeees 10 9 o TOTOE DB 57 4 corre ers eee aoe re ere nr ee ee ee een eee ree er ere eee eer te 10 9 10 6 1 Instrument Details CME 90 day US T bill Future cccccccccccccccsseeseesecececcaaeseeeceeeeaaaeseeeceeeeeeeaaaaees 10 9 FO 02 Deal I Reperence Number DZOI OL vs ccuccesasssasacesivvcersasiun cess E EE TER 10 11 10 0 5 Deall Reference Number D2002 risia a e E E EE EO E N 10 12 10 6 4 Deal III Reference Number D20401 cccccccccccccssscccccccceccnsessseccceecaaeeeseseeceeeeeaaaseeeeceeeeaaaaeseeeeeeeeaaaes 10
122. olio 4 A portfolio product as a whole By defining role to head mappings at the four hierarchical levels you can maintain a single comprehensive portfolio product which can be used to process all possible events for options as well as futures for all portfolios Example Let us assume that your bank has maintained a portfolio product titled BKPF Since a product can have multiple portfolios you have maintained several portfolios within BKPF Each of these portfolios will cater to specific instrument types This diagram shows the portfolio product portfolio relationship Product BKPF Product BKPF Pans The portfolio PF1 is meant for deals involving Currency and Index Options As per the preferential hierarchy method the role to head mappings specified for this product is as follows Preference l Portfolio ID Instrument ID Portfolio ID Accounting Class DEM_OPTION_LIFFE ACRO1 Preference Il Portfolio ID Instrument Product Portfolio ID Instrument Product Accounting Class PF1 CCYO ACRO2 Preference Ill Portfolio ID Portfolio ID Accounting Class PF1 ACRO3 a ORACLE Preference IV Portfolio Product Portfolio Product Accounting Class BKPF ACR04 The Role to Head mapping maintained within each class is as follows ACRO1 Accounting Role Account Head BOT ASSET CA001 SOLD _CCY_EQ CL001 ACR02 Accounting Role Account Head BOT_ASSET CA002 SOL
123. on Style of Premium Reversal of Notional revaluation will be done only for your bank s own portfolios The event that will be triggered in Oracle FLEXCUBE for the reversal of Notional Revaluation is RRVL Reversal of Notional Revaluation for Long Positions RRVS Reversal of Notional Revaluation for Short Positions For Options with future style of premium the system does a Realized Revaluation 10 4 7 Producing Instrument Detail and Instrument Price Detail Handoffs The instrument details and instrument price details that were created or modified during the day can be handed off in an XML format using the Instrument Batch Handoff process This batch process collects the data of the instrument details that are either created or modified during the day and generates a notification for the same To run the Instrument Batch Handoff process automatically at EOD you must maintain two mandatory programs for instrument detail and instrument price detail under the batch operations You can do this using the Mandatory Batch Program Maintenance screen 10 6 ORACLE 10 4 7 1 Maintaining Function Inputs Prior to maintaining the mandatory programs you must first maintain the function inputs for Batch EOD Functions You can do this using the Batch EOD Function Inputs screen You can invoke this screen by typing BADEODFN in the field at the top right corner of the Application tool bar and clicking on the adjoining a
124. on assigned to the series _STRPRIL_ This is the strike price of the instrument series _STARTDT _ This is the start date of the instrument series 12 16 ORACLE This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE TIME _ This is the exact time at which the deal transaction took place in the exchange _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _BRKACC _ This is the broker account involved in the transaction 12 17 ORACLE _ASSCYY _ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT _ This is the Commodity spot price multiplied by the commodity pricing multiple for the instrument 12 3 6 Expiry Confirm Notice BRANCH __ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is the address for corresponde
125. on the Expiry Date The accounting entries that will be posted for the automatic exercise of long positions of the In the Money European call option deals D10103 and D10201 will be as follows Event Code EXRL Contingent Asset Offset 960000 Reversal of Contingents 10 19 ORACLE Settlement Bridge 18000 Spot Strike Difference 10 7 5 American Option Deals with Future style premium The Instrument involved in all the American option deals is NSE HLL 230 Option Put The details of this instrument are given below 10 7 5 1 Instrument Details NSE HLL 230 Option Put Fields in the Screen Instrument Product Underlying Asset Nature Rel Underlying Asset Currency INR Call Put Indicator Put Instrument ID NSE HLL 230 Option Put Instrument Series 23 Jan 01 Instrument Description EquityOptionHINDLEVERNSE230 Jan 01 Instrument Start Date 30 Oct 2000 Instrument Expiry Date 26 Jan 2001 Pricing Currency INR Contract Size 100 Fields in the Screen Instrument Pricing Size Instrument Pricing Size Unit Instrument Pricing Size Multiple Commodity Pricing Size Commodity Pricing Size Unit Commodity Pricing Unit Multiple Commodity Price Code NSE Min Price Movement 0 05 Max Long Position Customer 10000 Max Short Position customer 10000 Max Long Position Self 100000 Max Short Position Self 100000 Default Broker ID Ee foo wee MSE snot The details of the basket involved in the option deals in our ex
126. or TimeDeposit Pws pooo Pricing Size Unit Deposit 30000 Pricing Unit Multiple 30000 Price Code Example Il Option on Three month Euribor Futures Contract Standard Three Month EURIBOR Futures The nominal value of one futures contract is EUR 1 000 000 Contract Value One Three Month EURIBOR Futures contract Settlement The exercise of a Three Month EURIBOR Futures option results in the creation of a corresponding Three Month EURIBOR Futures position for the buyer as well as the seller to whom the exercise is assigned The position is established after the Post Trading Period of the exercise day and is based on the agreed exercise price Price Determination In points with three decimal places Minimum Price Change 0 005 of a point equivalent to a value of EUR 12 50 Last Trading Day Two exchange trading days prior to the third Wednesday of the respective settlement month provided that on that day the FBE ACI has determined the reference interest rate EURIBOR pertaining to three month euro time deposits otherwise the preceding day Trading in the maturing contract ceases at 11 00 a m CET Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Exercise American style i e an option can be exercised up to the end of t
127. ou can specify the identification for the deal in the external source as the external reference number Reversed Reference The reference number of the contract that is being reversed and rebooked is displayed here Source You have to indicate the source from which deal is to be uploaded Basket Reference After you identify the product which should be used to capture the details of the deal you have to specify the Basket to which the deal belongs Select the Basket Reference number from the list of options alongside this field After selecting the reference number click Basket button 8 11 ORACLE amp List of Values Basket Reference Search Basket Reference 9 Portfolio Id Instrument id 4 Fetch Values Search Results Tory lool Basket Porttolio Portfolio Instrument Series Broker Broker Current Type Reference Id Customer fal Id Id Account Balance On indicating the Basket reference number the following details about the basket are displayed e Portfolio ID e Instrument ID e Series ID e Broker e Broker Account If you are processing a Customer Deal the name of the customer involved in the portfolio will be displayed in as well Note the following e The current balance in the basket will also be displayed for your reference You have to identify the basket to which the deal you are liquidating belongs e f you select the portfolio the instrument and the broker and for this combination t
128. ou have to process Long Short and Liquidation deals using two separate screens They are e Long Short deal input screen e Liquidation deal input screen Moreover these deals could be directly captured in Oracle FLEXCUBE or uploaded from an external system You can nevertheless amend an uploaded deal in Oracle FLEXCUBE In case of uploaded deals users other than the maker also can unlock an unauthorized deal and modify the details of the record For deal matching purposes of your bank s own portfolios you can use the ET Deal Matching screen These details and several others required to process the two types of ET deals in Oracle FLEXCUBE have been discussed in the course of this chapter 8 1 ORACLE 8 2 Processing Long Short Deals You can process buy sell type of deals through the Long Short Deals screen You can invoke this screen by typing EDDLSONL in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Long Short Deals Product Code faa Contract Reference Description User Reference O SOUrCE Reversed Reference sumenta C seisa C Description Description portotiola Tad prokeriCearing Member Ta Description Mame customer SS proker account dad Customer Name Description Deal Type Unit Premium Future Price Deal Value Pricing Unit Currency Value Date El Time Stamp Transaction Date Money Settlement Date Wl Strike Pr
129. owdosessisans 11 20 11 6 12 EEPS Exchange for physicals 1n SNOT sissssiscccsercosossssessessnevessssedessaesosnsvesssvcseessouvesessoanseessvsestes 11 20 11 6 13 LRV L Revaluation of Long OSUTO csirek orinn NEE E N E 11 20 11 6 14 ERVS Revaluation of Short POSULON sissensrisiisin aarne a E E aE ia 11 21 12 ANNEXURE B ADVICE TAGS AND THEIR DESCRIPTIONS eeseeeeeecceccsossssssescccecccccccsosssssssssssee 12 1 CA PIRI TON e a E E E EA 12 1 Ce DE DET E a E E E E A EEE 12 1 1221 C stomer Oc pera ereeer pete tre SePee en ee eer a iaia iiaia aaia 12 1 12 2 2 Commodity Details cccccccccccssesccccccccee ne eeeseeceeeeeaeeeseeeceeeeeaeeeeeeeeeeeeeaeeeseeeeeeeaaaaesesseeeeeesaaaaeseeeeeessaaaaaes 12 1 T2299 haree Deldi S essri SEA ERE NEEE EER EE ANETARE aE it 12 2 1224 POP OUNODECIOUS scritsnevsncavacsinrarnaniordontaunitoaassusdaacsowedsavteloctundisuipanvensdvaausniaenenerecesysibanvsmdaanssiattennseers 12 2 12 23 Weries DeldilS rsrsrs rE iaia e RA EAE E N EAE aTa Ea aeiaai 12 2 12 2 6 Instrument Details reca crevctesa cacemen cat nedenty st otecen isdn ananadcactoredeadaetia saasatcediat anenedaaaitineduadpaty tea weeeriaeemcaceeets 12 3 Taa DOTO axe shots AA A EAA E ET 12 5 T2208 Done short deal deldils iirinn iia RA tobe OTEA AEA 12 4 1229 MOU AON CG details isian a E a E 12 6 123 MESAGE TY PE enni i T T eee eon E aia 12 8 12 3 1 Transactions Holdings Statements for a POrtfoliO ccccccccsecsscccccccccccssescsecceeeeaaseesseceeeseeaaaseeeesee
130. pansucasiionaeoutonassateeamveaanaiartarsaanuieaneeemeseaans 2 3 Ss COMMODITY DEFINITION wrsccescescccteevcdccevecsscesseuccusevenesesesicducevesusccdh sucdusuvetesesdssecdesevesusnedheuceusevensssenseeceverss 3 1 3 1 T DO TO a E E E E E E E etna 3 1 3a DEPNNGOCOMMODITIIES niroyin E EE AE eee eee eee EEE er ere 3 1 4 CREATING INSTRUMENT PRODUC TS wis sesecosnszccsescenec cusnstecszeasnes Susssenscsnesdnacetecabanssetevecetenstatseetivesstenateasns 4 1 4 1 TARO TON cater cincretsertenses eu ctneis E tte ane as cideneegayahenesenencye tnareeceaueusnasencvencaveucstatyeres 4 4 2 CREATING AN INSTRUMENT PRODUCT sasisextsoscunseseacsecssaronantvaiaventstvenentysiexacssenarendseneaddetewuentuaravavasereuentreieres 4 2 4 2 1 Specifying the Product Preferences ccccccccccsssecccccccccccnsssseceeeeeeeeseseeeeeeeeaaeeeseeeeeeeaaaeeaeeeeeeeeesaaaaeeeeeeeeeaas 4 3 4 2 2 Specifying Branch and Currency Restrictions ccccccccssecccccccccccsseecsccceceeaneeessseecceeeaaaaeeeeeeeesaaaeeeeeeeeeeaas 4 5 4 2 3 Specifying MIS Details ccccccccccccsssssscscccceccnaeesseeceeeeeaeeesseeeeeeeeaeeeeeeeeeeeaaaeeseeeeeeesaaaasseeeeeesaaaaaseeeeeeeeags 4 6 S DEFINING ET INS PRUNE DS ecaa iaa aE aeien 5 1 5 1 Maron TO N e a E E E A EEA EA A E OE RS 5 1 See DEFINING INSTRUMENTS cessen enina i n anina aaa a O EE E aTe ATN E a aa UER 5 2 Seal Specifying the Instrument details cccccccccccccsecccccccccccssssecceeeeeeeseseeeeeeeeeaeeeeeeeeeeeaaaaeeeeeeeeeaaaaeeeeeeeeeeeaas 5
131. pecifying MIS details for a Deal Product You can define the Management Information Details MIS details for the deal product that you are creating by clicking MIS button from the Deal Product Maintenance screen MIS Details Product Code WIS Group Pool Code L Default From MIS Group MIS Classes Cost Code 10f1 Jm miS Class MIS Code L MIS Group You should link a product to an MIS group By doing so you indicate the MIS group under which all deals linked to the product should be tracked Pool Code On linking the product to an MIS group you should also indicate the Pool code from the product will borrow and lend Transaction Codes If you have linked a product to an MIS Group the Transaction MIS Codes defined for the group will be displayed by default If you have not linked an MIS Group you can specify the applicable Transaction Codes here The number of transaction codes displayed depends on the number of transaction MIS codes miantained for your bank Cost Codes Similarly if you have linked an MIS Group to the product the cost codes defined for the group will be displayed You have the option to change them If you have not linked an MIS Group with the product you can indicate the applicable cost codes After you make the specifications click Ok to save them On saving you entries you are returned to the ET Product Definition screen For further details refer to the MIS user manuals
132. r settling margin transactions Currency Specify the currency of the scheme which is to be linked to the Broker ID Scheme ID Specify a valid broker Scheme ID The option list available for the Scheme ID will be populated depending on your specification in the Currency field For instance if you select USD as the currency the system displays the broker schemes with USD as the scheme currency 9 7 ORACLE 10 1 10 2 10 Automatic Daily Processing Introduction The End of Cycle EOC events constitute a set of programs which are automatically triggered during the batch processes The EOD process is designed to tie up all the operations for a financial day and prepare the system for the next day Sron During End of Day the batch process should be run after End of Transaction Input EOTI has been marked for the day but before End of Financial Input EOFI has been marked for the day As part of running the End of Day processes for Exchange Traded Derivatives the system does an automatic Deal Settlement whereby all deals that were booked during the day will be processed sequentially This includes e For Futures gt Deals that result in Open Positions in the Basket gt Deals that close an existing Open Position gt Deals that Exchange Open Positions for Physicals gt Automatic Exchange for Physicals on the Futures Expiry Date e For Options gt Exercise deals gt Assignment deals gt Automatic Expiry of
133. r than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price 5 19 ORACLE Final Settlement Price The value of the DAX determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Trading Hours 8 25 a m until 5 00 p m CET 5 4 9 In Oracle FLEXCUBE To fit this requirement in Oracle FLEXCUBE you have to specify the following details in the Instrument Definition screen Product Code FDAX Option Future Asset Type Physical Settlement Settle Before Expiry Yes Instrument Details peana a m Contract Standard The Deutscher Aktienindex DAX 5 20 ORACLE Commodity Details Commodity The Deutscher Aktienindex DAX pews Price Code DAX 5 30 Quote 5 4 10 Example V Dax Options Contract Standard The Deutscher Aktienindex DAX Contract Value EUR 5 per DAX index point Settlement Cash settlement payable on the first exchange trading day following the Last Trading Day Price Determination In points with one decimal place Minimum Price Change 0 1 of a point equivalent to a value of EUR 0 50 Last Trading Day The third Friday of each maturity month if this is an exchange trading day otherwise the exchange trading day immediate
134. ricing Size Pricing Size Unit Pricing Size Unit Unit Barrel Examples of how to define a Commodity in Oracle FLEXCUBE Let us assume you want to define the following commodities e DEM Deutsche Mark e Crude Oil While maintaining the details of each commodity your entries in Oracle FLEXCUBE will have to be as follows Scenario 1 DEM penaoe Rol Pricing Size Unit Scenario 2 Crude OIL Asset Type FUEL Asset Nature Real Pricing Size Unit Barrel T ORACLE 4 1 4 Creating Instrument Products Introduction An Instrument Product is a broad classification of instruments It provides a general framework and serves to classify or categorize instruments The first attribute you define for a product is its Type In other words you indicate the type of instruments that the product involves In Oracle FLEXCUBE you can set up products for the following instrument types e Futures e Options After making this basic classification you can create the product to suit your requirement Within the broad categories of the type of instruments listed above you can further define attributes that are characteristic to the type All the instruments associated with the product inherit the attributes that you define for the product You will not be allowed to change any of these attributes at the time of capturing a specific contract Who can create a product A product can be created only in the Head Of
135. rized in the market 12 6 ORACLE CSNAME _ This is the name of the receiver of the advice This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE TIME _ This is the exact time at which the deal transaction took place in the exchange _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _BRKACC _ This is the broker account involved in the transaction _ASSCYY _ This is the Asset Currency _PRICCY _ This is the currency in which the instrument is prized _ESETAMT _ This is the Commodity spot price multiplied by the commodity pricing multiple for the instrument 12 7 ORACLE 12 3 Message Types 12 3 1 Transactions Holdings Statements for a Portfolio _FROMDT _ This is the date from which the transaction holdings statement for the portfolio is being provided portfolio is being provided BRNADD1 _ This is the address for correspondence of the branch which sent the advice
136. roduct You should necessarily use a product that has already been created to enter the details of a portfolio Depending on the type of portfolio you are creating you can select an appropriate product code from the option list available A portfolio inherits all the attributes defined for the product associated with it You can also add details that are specific to the portfolio depending on the portfolio type you are creating For instance if you are setting your own portfolio you can indicate the following e Option costing method that is to be used e Whether notional revaluation is required If you are maintaining the details of your customer s portfolio you must specify the customer involved in the portfolio along with the other details Reference Number In Oracle FLEXCUBE reference numbers are generated automatically and sequentially by the system This number tag is used to identify the portfolio you are defining Hence the system generates a unique number for each portfolio The portfolio reference number is a combination of a three digit branch code a four character product code a five digit Julian Date and a four digit serial number 6 17 ORACLE Portfolio Identification Besides the reference number generated by the system you can enter a unique reference ID for the portfolio This ID in addition to the Reference Number generated by the system will be used to identify the portfolio This ID should be unique and ca
137. rokerage rule that you apply will be associated with contracts defined in this combination This can be done through the Brokerage Association screen For further information on the Brokerage Association screen refer to the chapter Processing Brokerage in the Brokerage User Manual 8 9 ORACLE 8 2 8 Long Short Deal Financial Amendment During amendment if any field other than the Time Stamp and Remarks fields of a deal is modified system will treat the amendment as a financial amendment System will reverse the previous deal and book a new deal with modified details The external reference number of the original deal is retained and the two deals are linked by the external reference number Oracle FLEXCUBE provides the facility to amend the financial details of an LS deal through external upload If an amendment is uploaded without settlement details but there is no change in the product ID instrument ID and the portfolio system will default the settlement details of the Original deal Financial amendments of LS deals are uploaded by the service FCUBSETDService with the operation ETDLSDealModify System allows financial amendments of LS deals only through Gateway uploads and not through the front end 8 3 Processing Liquidation Deals Through the Liquidation Deal LQ Input you can e Manually exercise European Options for Long Positions on the Expiry Date e Manually exercise American Options for Long Positions on or befor
138. rrency and the Contingent Bought Offset will be posted in USD pricing Currency Precision You have to specify the maximum decimal places that can be allowed for quoting the Instrument price Pricing Size Pricing Unit and Pricing Multiple While specifying the contract size of the Gold Option instrument we had indicated that the contract size was 10 kilograms of Gold Now as part of specifying the premium of this option if we were to specify that it should be quoted per every gram of gold the instrument pricing size and unit will be as follows Instrument Pricing Size Instrument Pricing Unit Consequently the multiplication factor to arrive at the Cost Per Contract Pricing Multiple equals 10000 5 2 4 Specifying the Price Movement details Minimum Movement To be able to trade in the instrument the exchange might specify a certain minimum movement in the price of the instrument The price that you enter in this field is merely for information purposes and is not used during contract processing This value is also referred to as the Tick Size of the Instrument Maximum Movement The value that you capture in this field is meant for your internal reference only No processing is done in Oracle FLEXCUBE based on this value This price is set at the exchange and is indicative of the forward movement in the instrument price When the instrument price reaches this limit trading in this instrument will be suspended for the p
139. rrow button Function Inputs Batch End Of Day Functions Branch Jaz Function Id ee al Description End Of Cycle Group Transaction Input Report Orientation Not Applicable End Of Transaction Input Portrait End Of Financial Input Landscape End of Day Beginning Of Day Function Inputs FEE Wi rarameter ata type vate te Format od ES E Input By Authorized By Modification Ahura Cate Time Cate Time Number Open Here you can maintain the function inputs for Batch EOD Functions by specifying the following details e Branch of the bank involved e Function Identification of the EOD function gt EDINPRHF for Instrument Price Details Handoff gt EDINSTHF for Instrument Details Handoff e End of Cycle Group to which the function belongs in this case you must choose End Of Day e Orientation of the generated report this is optional After specifying the above details you can add the functions input for the function in the Function Inputs table You must mandatorily specify the Parameter and Data Type for each function Now you can proceed with maintaining the Instrument Batch Handoff process as a mandatory program 10 7 ORACLE 10 4 7 2 Maintaining Mandatory Batch Programs You can maintain the Instrument Batch Handoff process as a mandatory program using the Mandatory Batch Program Maintenance screen You can invoke this screen by typing EIDMANPR in the field at the top righ
140. rt Positions for the portfolio The Instrument and the Series which is being traded will be marked as Expired and will be unavailable for further trading For your bank s own portfolios the system will compute the Exercise Gain and Assignment Loss and post relevant accounting entries for the same For Customer portfolios for Options with Future Style Premium the system does the money settlement for the difference between the commodity Spot Price and the Option Strike Price In addition the money settlement for the Deal Premium is also calculated 10 4 5 Automatic Expiry of Out At the Money Positions The Automatic Expiry of Out of the Money At the Money positions will identify all out of at the money instruments on the Expiry Date and fire an automatic expiry for the portfolio The Instrument and Series which is being traded will be marked as expired and will not be available for future trading For long positions in your bank s own portfolios the acquisition premium paid to be paid depending on the Premium Style will be expensed out For short positions within your bank s own portfolios the received to be received premium will be credited as income For your customer portfolios the basket is marked as Expired In case of Options with Future style of Premium the money settlement of the premium will be done during the Expiry event T ORACLE 10 4 6 Reversal of Notional Revaluation for Options with Opti
141. ry date Your entries in the Instrument Product screen should look like this Product Code ACYO Product Type Asset Type Currency Physical Settlement Possible Prior Settlement Possible Yes 4 4 ORACLE While capturing the details of a European Index Option apart from specifying a unique product code you will have to specify Index in the Asset Type field and leave the Physical Settlement Possible box unchecked 4 2 2 Specifying Branch and Currency Restrictions When you create a product it is by default available for use in all the currencies maintained in your bank Through the Branch Currency Restrictions screen you can restrict the use of a product to specific currencies only Invoke this screen by clicking Branch Currency button from product maintenance screen BranchiCurrency Restriction Product Code Product Description Class Code Class Description Branch Restrictions Disallowed Currency Restrictions Disallowed Allowed Allowed Branch Code Currency 10f1 10f1 If you restrict a specific currency in the Product Branch and Currency screen you will not be allowed to use it as a pricing currency for instruments involving this product gt Refer to the section titled Specifying Branch and Currency Restrictions in the chapter titled Product in Modularity User Manual 4 5 ORACLE 4 2 3 Specifying MIS Details You can define the Management Information Details MIS de
142. s by specifying restrictions While defining a deal product you can choose to specify portfolio restrictions for the product either by e Using a portfolio restriction class or e Defining these restrictions specifically for the product The respective branch of your bank will not be allowed to trade in deals involving the portfolio that you have chosen to restrict Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed procedure on how to restrict specific portfolios for a deal product Specifying Instrument Restrictions You can choose to restrict specific instruments from trading in the deal product through the Instrument Restriction screen You can maintain a list of allowed disallowed instruments for a specific deal product through the Instrument Restrictions screen in the Deal Product Definition screen For a detailed procedure refer to the Common Procedures User Manual of Oracle FLEXCUBE Associating User Defined Fields The User Defined Fields UDFs are additional fields that are available for use depending on the bank s requirement You can define UDFs in the Product User Defined Fields screen Click Fields button to invoke the screen below Product User Defined Fields Product Gode Product Description Fields 10f1 i Field Number Field Name a J For a detailed discussion about maintaining UDFs refer the User Defined Fields manual 7 6 ORACLE 7 2 9 S
143. s that you specify in the Instrument Definition screen should be as follows Product Code OTSK Option Future Asset Type Equity Physical Settlement Settle Before Expiry Yes Instrument Details peanae f pse pn h Minimum Price 0 Movement Money Settlement Days 1 Physical Settlement 2 days 00 01 5 4 8 Contract Standard 100 Shares of Allianz Holding of par value 5 DEM each or equivalent in EUR Commodity Details Pricing Size Unit Pricing Unit Multiple ao 100 Example IV Dax Futures Contract Standard The Deutscher Aktienindex DAX Contract Value EUR 25 per DAX index point Settlement Cash settlement based on the Final Settlement Price payable on the first exchange trading day following the Last Trading Day Price Determination In points with one decimal place Minimum Price Change 0 5 of a point equivalent to a value of EUR 12 50 Maturity Months The three successive quarterly months within the cycle March June September and December Last Trading Day The third Friday of each maturity month if this is an exchange trading day otherwise the exchange trading day immediately preceding that Friday Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Daily Settlement Price The last traded price of the trading day or if the last traded price is olde
144. select the system displays other details such as Name Address Street City and Country of the Broker from the CIF Maintenance screen The other details that you need to specify are Category Select the customer category under which the broker is categorized You have the following options e Broker e Exchange e Clearing Member Booking Select the method in which the brokerage amount is to be liquidated The options available are e Advance 9 5 ORACLE e Arrears Sron The Arrears option is not valid if you have selected the Exchange Traded Derivatives check box Tax Paid In this section select the account which is to be debited when tax is to be paid in the field Account Also select the transaction code associated with the account in the field Txn Code Tax Payable In this section select the tax payable account in the field Account and select the transaction code associated with the Tax Payable account in the field Txn Code Liquidation Transaction Code Select the transaction code which is to be associated with brokerage liquidation Tax Scheme Select the tax scheme which is to be associated with the Broker Account and Currency combination Payable Currency Select the currency in which the brokerage amount is to be booked Applicable For Exchange Traded Derivatives Select this check box to indicate the broker whose details you maintaining can be used in the ETD modul
145. should be carried out You will be allowed to delete an unauthorized settlement transaction You can also reverse a transaction The event RTOP or RREF will be triggered depending on whether the scheme event is MTOP or MREF 6 13 ORACLE 6 5 Invoking a Margin call You can maintain scheme details in the Scheme Maintenance screen You can invoke this screen by typing MGDSCHEM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Scheme Maintenance Product az Description Reference Number Scheme Details Customer Number a Rate Type Buy Sell Rate Fund Id al Description Settlement Branch sco aa Input By Date Time Authorized By Date Time Enter the following details in this screen Product scheme Type Currency as Rate Code da Margin Level Calculation Date miia o Modification Number Authorized Open Select the margin product from the option list When you select the product the Scheme Type will be defaulted Reference No In Oracle FLEXCUBE reference numbers are generated automatically and sequentially by the system This number tag is used to identify the instrument you are entering it is also used in all transactions related to this instrument Hence the system generates a unique 16 digit alphanumeric number for each instrument Scheme ID You can enter an ID or reference number
146. sis you would like to process the following activities or events for all types of Options and Futures e Open Long Short Positions e Revalue Long Short Positions e Close Long Short positions e Process expiry of Long Short positions e Exercise Long positions e Assign Short positions e Exchange for physicals in Long Short positions When each of these events is triggered in Oracle FLEXCUBE appropriate accounting entries need to be posted to a variety of GLs Besides you would also like to perform notional revaluation for the open positions on a daily basis To cater to these diverse requirements you would need to set up portfolio products wherein for each product you have to e Identify the GL types and GLs that would be impacted e Define life cycle events e Create role to head mappings In addition to identifying the accounting entries you would also need to identify the MIS Heads under which you would like to report the portfolio To eliminate the process of defining multiple portfolio products and to restrict portfolios within a product from holding specific instrument products you need to follow a preferential hierarchy while defining accounting roles and account heads The order in which you would need to define Role to Head mappings is as follows ORACLE s A portfolio and the Instrument involved in the portfolio 2 A portfolio and the Instrument Product involved in the portfolio 3 A specific portf
147. sociation screen refer to the chapter Processing Brokerage in the Brokerage User Manual Liquidation Deal Financial Amendment During amendment if any field other than the Time Stamp and Remarks fields of a module is modified system will treat the amendment as a financial amendment System will reverse the previous deal and book a new deal with modified details The external reference number of the Original deal is retained and the two deals are linked by the external reference number Oracle FLEXCUBE provides the facility to amend the financial details of a liquidation deal through external upload If an amendment is uploaded without settlement details but there is no change in the product ID instrument ID and the portfolio system will default the settlement details of the original deal 8 15 ORACLE 8 4 Financial amendments of liquidation deals are uploaded by the service FCUBSETDService with the operation ETDLQDealModify System allows financial amendments of LQ deals only through Gateway uploads and not through the front end Matching Deals You can match deals for your bank s own portfolios through the ETD module of Oracle FLEXCUBE If the portfolio from which you are buying or selling is priced using the Deal Matching methodology you should identify the buy deal against which the sell liquidation deal is to be matched You can do this through the Deal Matching screen of the ETD module You can invoke
148. specify the date as 30 revaluation will be carried out on that day of the month depending on the frequency 6 19 ORACLE 6 7 1 2 If you want to fix the revaluation date for the last working day of the month you should specify the date as 31 and indicate the frequency If you indicate the frequency as monthly the revaluation will be done at the end of every month that is on 31st for months with 31 days on 30th for months with 30 days and on 28th or 29th as the case may be for February If you specify the frequency as quarterly and fix the revaluation date as 31 the revaluation will be done on the last day of the month at the end of every quarter It works in a similar fashion for half yearly and yearly revaluation frequency If you set the revaluation frequency as quarterly half yearly or yearly you have to specify the month in which the first revaluation has to begin besides the date on which the revaluation should be done Example You have selected the half yearly option and specified the start date as 31 and the start month as June The first revaluation will be done on 30 June for the period from January 1 to June 30 and the second one on 31 December for the period from 1 July to 31 December If the revaluation date falls on a holiday the system does the revaluation on the previous working day before the holiday For example let us assume that the revaluation date falls due on 31 June which happens to be a
149. ssssssssesesssesssesse 8 1 8 1 INT ODUCT ON oa arate E fatness E E dG San peste pea sent snp EEE E EE 8 1 84 PROCESSING LONG SHORT DEALS sssinscoucatetnncpsirienteemiaciencttenetetesdoucseerdextecnvaneactneeudatuadeucneandentoneeetabeshuasdee 8 2 8 2 1 EVV II BooM ECNO OCS eiri o E E E E E 8 6 6 2 2 Viewing the Events Accounting Entries iicsexesaicovsusebinstilusesiokwundhcyasabascovsassdaetiiaseadeduasdeerekebehcuvenvebuadtloniete 8 6 8 2 3 Specifying the Settlement INSTTUCTIONS scscivaiisicsudianlssuedastbius AEE EA EEE R i 8 7 8 2 4 DCE LO Ad CES TOF CO ini aE E E E E EE A aa a 8 7 8 2 3 Viewing selechne TNE CUSSION Teld Susser isao ni a TE E 8 6 8 2 6 Viewin e SPCC VINE MIS details oasen e aE a E E EE A EN 5 9 6 2 7 Associating a broker and product With a rule icccccccccccsseccscccccccccccsssesecccceecaassseeceeeeeauesseeeeeeseuaaaeseeeeeees 8 9 6 2 8 Long Short Deal Financial AMCNdMEN 1 cccccccccsseeecccccc cece ee eeeeeeeee eee aeeeeeeeeeeeeaaaeeseeeeeeeeeaaaaaseeeeeeeeaaaes 5 10 8 3 PROCESSING LIQUIDATION DEAL vescicsecscntectuniaicsndacs buediundensnbsccdwesvvusephalnadbusdwosiesunentudnudwonddseswmnaiendbnmeseueede 8 10 6 3 1 Indicating the Settlement Instructions fOr the deal cccccccccccssccccccccccseseeesececeeeeaaeeseecceeeeaaaesseeeeseeeaaees 5 14 6 3 2 Levying booking charges On a LO ed cccccccccccsssessccccccccnneensseececccaaeesseeceeceeesaaaasseeeeeeeaagaaseeeeeesaaaaes 8 14 8 3 3 Viewing the Accounting Entries posted for an
150. t ID Description Here you can provide a brief description for the instrument This description cannot exceed 35 characters 5 2 ORACLE Contract Size and Unit As part of specifying the instrument details you have to indicate the number of the units of the underlying commodity that makes this instrument For instance let us assume that the underlying commodity for an instrument is Wheat Each instrument entitles the holder to buy or sell 100 Kilograms of Wheat You entries in the Contract Size and Unit fields will be as follows Contract Size Unit Kilograms Similarly if the underlying commodity is happens to be a currency DEM and if each instrument entitles the holder to buy or sell 1 000 000 DEM your entries in the respective fields should look like this Contract Size 1 000 000 Unit DEM Value In addition to specifying the Contract Size and Unit you can capture additional details pertaining to the instrument or the commodity The details that you capture in this field are meant for your bank s internal reference and will not be used for processing the contract Call Put While capturing the details of an Option instrument you need to indicate whether the option is a Call or a Put option In the ETD module the Call and Put Options are treated as two separate instruments in all respects Therefore when an Exchange issues Call and Put options on the same underlying commodities you need to have define
151. t corner of the Application tool bar and clicking on the adjoining arrow button Mandatory Batch Program Maintenance Branch Function Id fa Module az Sequence Number Description End Of Cycle Group Txn Input Error Handling Stop Automatic End Of Day End of Txn Input and Run Emergency Program estore eee O Continue with Automatic End of Day End Of Day O Beginning of Day Holiday Rule Do Not Execute s Run Date E Execution Layer Database Job Code DOO l Application Description sub Stage Predecessors B Predecessors Input By Authorized By Modification Authorized Date Time Date Time Number Open Here you can maintain the details of the batch program by specifying the following e Branch of the bank involved e Module involved e Function Identification of the EOD function gt EDINPRHF for Instrument Price Details Handoff gt EDINSTHFE for Instrument Details Handoff e End of Cycle Group to which the function belongs in this case you must choose End Of Day e Error Handling measures to be taken e Frequency of running the program e Holiday rule for specifying whether the program should be executed on holidays or not 10 8 ORACLE 10 4 7 3 Initiating the Instrument Handoffs Use the Intra Day Batch Start screen to initiate the instrument details and instrument price details handoffs You can invoke this screen by typing BABIDBAT in the field at the top right corner o
152. t section we will see how these details can be captured in the Series Definition screen To define the tradable series for each instrument click Series button in the Instrument Definition XDerivatives screen The Instrument Series screen is displayed gt Instrument Senes Instrument Id Pricing Currency Description Series Details ESE Each time the exchange introduces a new series for the instrument the instrument maintenance record should be unlocked and the details of the new series captured Series Id To identify the series you need to assign a unique 16 character code to the series After you associate a code with the series you have to capture a brief description of the series This description will be associated with the series for information retrieval purposes Strike Price While capturing the details of an option instrument you need to indicate the price at which the option buyer can purchase the asset for a call option or sell the asset in the case of a put option The Strike Price is specified in terms of the Pricing Size and Unit maintained for the Instrument Therefore it is multiplied by the instrument pricing multiple to arrive at the contract value Trade Date and Expiry Date You can indicate the periodicity for which the series can be traded in the market by specifying the following e Trade Date e Expiry Date 5 10 ORACLE 5 4 1 5 4 2 The Trade Date is the first da
153. tails for the instrument product that you are creating through the MIS Details screen Invoke this screen by clicking MIS button WIS Details Product Code WIS Group Pool Code MIS Classes Cost Code 10f1 jmf scoss mscoe L Through the MIS product details screen you can link the product to transaction MIS codes The transaction codes linked to the product are defaulted to the instrument For more details on MIS Details screen refer section titled Invoking the MIS details screen for a product in the MIS user Manual 4 6 ORACLE 5 1 5 Defining ET Instruments Introduction Each instrument that you enter in Oracle FLEXCUBE should necessarily be associated with an instrument product To recall you have already defined instrument products to group together or categorize instruments that share broad similarities Instrument products provide a general framework and serve to classify or categorize instruments Under each Product that you have defined you can enter specific instruments By default an instrument inherits all the attributes of the instrument product which is associated with it These include e Instrument Type e Asset Type linked to the product e Whether physical settlement of the underlying asset is possible e Whether settlement can be made prior to the Expiry Date This means that you will not have to define the general attributes each time you enter the instrument details
154. te on which the series can be traded in the market The value dates of deals involving the particular series cannot be earlier than the Trade Date The Expiry Date is the date on which the series expires The value dates of any of the deals involving the series cannot be later than the expiry date The automatic Expiry Exercise liquidation of all open positions for a series is done as part of the End of Day activities on the expiry date of the series Examples of capturing Actual Instruments in Oracle FLEXCUBE In this section we will see how the details of actual ET instruments traded in the market can be captured using the ETD module of Oracle FLEXCUBE Given below are some samples Example One Month Euribor Futures Contract Standard The European Interbank Offered Rate EURIBOR for one month euro time deposits Contract Value EUR 3 000 000 Settlement Cash Settlement payable on the first exchange trading settlement day immediately following the Last Trading Date Price Determination In percent with three decimal places expressed as 100 minus the going rate of interest Minimum Price Change 0 005 percent equivalent to a value of EUR 12 50 Maturity Months The six nearest calendar months The longest term available is therefore six months Last Trading Day Final Settlement Day Two exchange trading days prior to the third working Wednesday of the respective settlement month provided that on that day the F
155. the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters _BRNADD3_ There are three lines in which the branch address for correspondence can be keyed in _ASSTYP_ This is the Asset Type under which the underlying commodity is grouped _COMDTY __ This is the name of the underlying commodity _COMDESC __ This is the description assigned to the underlying commodity _ASSNAT _ This indicates the basic nature of the commodity _COMPRUT_ This is the Prizing Unit at which the commodity has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC _ This is the description assigned to the series COMPRSZ_ This indicates the manner in which the commodity has been prized in the market _STRPRIL_ This is the strike price of the instrument series 12 14 ORACLE This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _MVALDT _ This is the day on which the settlement of liquidation gains losses is to be done _VALDT _ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEXCUBE
156. the top right corner of the Application tool bar and clicking on the adjoining arrow button Price Code Maintenance Input By Authorized By Modification Authorized Date Time Date Time Number Open In this screen you should enter a code to identify the price and subsequently assign a brief description to identify the price code easily 9 2 ORACLE 9 4 Maintaining Commodity Prices The prices of commodities maintained in Oracle FLEXCUBE keep fluctuating depending on their market rates As a result you need to revalue the price each commodity on a daily basis Commodity Prices can be updated through the Commodity Price Maintenance screen You can invoke this screen by typing EDDCORAT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Commodity Price Maintenance Branch Commodity Pricing Size Pricing Unit Price Detail a c a ie Input By Authorized By Modification Authorized Date Time Date Time Number Open In this screen enter the following details Commodity To indicate the revaluation price you should first select the code of the commodity whose price Is to be revalued The option list includes all the commodities you have maintained in the system through the Commodity Definition screen The Pricing Size and Pricing Unit both of which you would have maintained through the Commodity Definition screen are displayed based on the commodity
157. through the Margin Settlement screen You can invoke this screen by typing MGDSETLM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button 6 12 ORACLE Margin Settlement scheme Balance o eC CY settlement Amount O sneme f SettementAccount a Scheme Event Sequence Settlement Branch Number Value Date se c y scheme Event Transaction Date Customer Number Settlement Currency scheme Description Customer Name Input By Authorized By Contract C Authorized Date Time Date Time Status Reversal Input By Authorized By Date Time Date Time Specify the following details in this screen Scheme ID Select the ID of the scheme for which margin settlement will be processed When you select a Scheme ID the description of the scheme the currency the counterparty and transaction date will be defaulted You will not be allowed to change these details You will however be allowed to change the Settlement Branch and Account defaulted Scheme Event Select the scheme event to be triggered during margin settlement You can either choose the option Refund or Top Up Amount Enter the amount to be settled in the transaction Settlement Account As mentioned above the settlement branch and account will be defaulted when you select the Scheme ID You have the option of changing the same Value Date Enter the date on which the margin settlement
158. tive Exchange Traded Liquidation type of deal Long Short deal type Clearing Member End of Day 1 1 3 Conventions used in this Manual Important information is preceded with the symbol 1 1 ORACLE 1 2 Organization This manual is organized into the following chapters Chapter 1 About this Manual gives information on the intended audience It also lists the various chapters covered in this User Manual Chapter 2 Exchange Traded Derivatives an overview gives a snapshot of the features that the module provides Chapter 3 Commodity Definition details the procedures for defining Commodities or Underlying Assets in Oracle FLEXCUBE Chapter 4 Creating Instrument Products explains how to set up ET instruments as products in Oracle FLEXCUBE Chapter 5 Defining ET Instruments explains how you can define instruments Chapter 6 Creating Portfolio products and Portfolios describes how you can set up portfolio products for the ETD module It also explains how you can create individual portfolios for your bank and your bank s customers Chapter 7 Defining Deal Products explains the features unique to the Deal product Chapter 8 Processing an ET Deal discusses how you can process Long Short and Liquidation type of deals It also explains how you can match deals for your bank s own portfolios Chapter 9 General Maintenance explains the necessity of maintaining the following Instrument Prices Commodity Price Price C
159. to the underlying commodity _ASSNAT _ This indicates the basic nature of the commodity _COMPRSZ_ This indicates the manner in which the commodity has been prized in the market 12 1 ORACLE _ COMPRUT_ This is the Prizing Unit at which the commodity has been prized 12 2 3 Charge Details _CHGCOMP_ This is the Charge component that has been linked to the deal _CHGCCY _ This is the currency in which charges have been collected CHGAMT _ This is the charge amount 12 2 4 Portfolio Details This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in 12 2 5 Series Details _STARTDT_ This is the start date of the instrument series _EXPRDT _ This is the end date of the instrument series 12 2 ORACLE 12 2 6 Instrument Details _ASSTYP_ This is the Asset Type under which the underlying commodity is grouped _COMDTY _ This is the name of the underlying commodity _COMDESC __ This is the description assigned to the underlying commodity _ASSNAT _ This indicates the basic nature of the commodity _COMPRSZ__ This indicates the manner in which the commodity has been prized in the market _COMPRUT_ This is the Prizing Unit at which the commodity has been prized 12 2 7 Broker Details This is the address for correspondence of the recei
160. uct You can link charge components with the deal product through the Deal Charge Definition screen 7 4 ORACLE 7 2 4 Specifying the Accounting Entries and Advices The different stages in the life cycle of a deal are referred to as Events In the ETD module the following events are possible for a deal EBOK Booking a deal EAMD Amendment of trade time stamp of a deal that is yet to be booked EMAT Deal Matching EREV Reversal of a deal At an event you may want to generate advices or post accounting entries For instance while booking a deal in your customer portfolio you would e Pass the requisite charge related entries e Print a confirmation advice for the benefit of your customer When defining a deal product firstly you have to identify the accounting roles and heads for the product in the Product Accounting Role to Head Mapping screen Similarly you have to specify the different event details in through the Product Event Accounting Entries and Advices screen by either of the following ways e Associating the product with an appropriate Role to Head Mapping class and an Events Class e Mapping accounting roles to heads and defining event details specifically for the product Sior The appropriate accounting entries will be posted and the relevant advices can be generated only while booking a deal EBOK event During amendment of trade time stamp of a deal that is yet to be processed in the system EAMD and for
161. uctions for the deal The settlement accounts are the accounts which will be impacted debited credited for settling the liquidation gains and losses Levying booking charges on a LQ deal You can specify the charges that should be levied on every LQ deal that is booked in the ETD module The charge components linked to the deal product will be defaulted to the LQ deal You can choose to recover the charges either from the Broker or the Portfolio Customer During liquidation the relevant accounting entries are passed based on the accounting entry set up for the deal product Viewing the Accounting Entries posted for an LQ transaction The charge components associated with the liquidation product will be defaulted to the deal You can view the GL SLs that will be impacted when accounting entries are posted for booking EBOK the liquidation deal through the Liquidation Events Accounting Entries and Overrides screen The accounting entries will be displayed along with the overrides that were encountered while processing the transaction Specifying the Advices for a deal The details of the advices applicable for an event are displayed in the Advices screen The party ID to whom a specific advice should be sent is picked up automatically based on the Party Advice mapping done for the counterparty Viewing selecting the custom fields You can view the UDFs only if you have maintained the same for the product involved in the deal To vi
162. ver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in 12 3 ORACLE 12 2 8 Long Short deal details _ BRANCH__ This is the branch code of the branch where the deal was initiated BRNNAME __ This is the name of the Branch where the advice was generated BRNADD1 _ This is the address for correspondence of the branch which sent the advice BRNADD2 Each line of the address can contain a maximum of 35 characters _BRNADD3_ There are three lines in which the branch address for correspondence can be keyed in _COMPRSZ__ This indicates the manner in which the commodity has been prized in the market 12 4 ORACLE CSNAME _ This is the name of the receiver of the advice This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters There are four lines in which the receivers address for correspondence can be keyed in _CHGCOMP __ This is the Charge component that has been linked to the deal CHGAMT _ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liquidation deal or a Long Short deal _NOCTRS _ This indicates the number of contracts within the basket that have to be liquidated _CHGCCY _ This is the currency in which charges h
163. y such as the Pricing Size the Pricing Unit and the Asset Nature are defaulted from the Commodity Maintenance screen depending on the commodity that you link with the instrument You cannot change them 5 2 3 Specifying the Price Details of the instrument Pricing Currency and Asset Currency As part of specifying the Pricing Details you have to indicate the currency in which the instrument is to be priced in The asset currency of the product involved in the instrument is defaulted as the pricing currency You can change the pricing currency only if the underlying asset also happens to be a currency In such a case since the asset currency differs from the pricing currency you have to change it manually 5 4 ORACLE Example Scenario Let us carry forward the earlier example of the Gold Option In this example the Pricing Currency is USD The Asset Currency will also be USD Therefore if you were to take a long Position Call the system will pass Contingent Entries to the Continent Bought and Contingent Bought Offset GLs Both the entries will be posted in USD Scenario Il You are processing a DEM Call Option priced in USD In this case the Pricing Currency will be USD and the Asset Currency will be DEM Therefore if you were to take a long position Call the system will post Contingent Entries to the Contingent Bought and Contingent Bought Offset GLs In this case the Contingent Asset entry will be posted in DEM asset cu
164. ying the Margin Scheme linkage for a POrtfOlio ccccccccccssscccccccccccnesseesecccceeeaaasssecceeesaaaaeseeees 6 22 6 7 5 Linking MIS transaction codes With a POrtfOoliO ccccccccccccssscccccccescccsesseccceeeeaaeeesecceeeeaaaeseseeeeeeaaaaees 6 24 6 7 6 Associating Brokers and Broker Accounts With a POTtfOliO cccccccccccccssseeeesecccececaaeeseseececeeeeaaaeeeees 6 24 te DEFINING DEAL PRODUC IS ect 7 1 7 1 MINER OC TTO E E E E aarp nae sae Geto 7 1 T2 TING DEACTPRODUC eet ca een E centre ce neater EE EAE 7 2 Tit Specifying Preferences for the Deal Product iccccccccccsscccccccccccsneeeccecceeeenesesseeeeeeeeaaeesseeeeeesaaaaeeeeeeseeeaaaes 7 3 fadd Deine ihe Charte compone Seassa nE E E AE RE E E E 7 4 7 2 4 Specifying the Accounting Entries and Advices cccsscccccccccseseeeeeeceeeeeaaeeeseeeeeeecaaaeeseseeeesaaaaasaeeseeseeaas 7 5 Fara IRESTFICHNS Branchesand CUTTERS axiri iare eN E NE EEO E 7 5 7 2 0 CCH VIN For oUo RESC ONS ourin a n eE N E ENEE EON EEOAE NET 7 6 V2 opec yne INSITINECHE RESTITUONS erir r nn e N E E EE ETONE EA Zones 7 6 7 2 8 Associating User Defined Fields ccccccccccccssseccccccccceeeneeeeeeeeeeeen ae eeseeeeeeeeaaeeeeeeeeeeeeaaaeeeseeeeeeaaaaseseeeeeeas 7 6 7 2 9 Specifying MIS details for a Deal Product ccccccccccccsssecsccccceenneeseeecceeenaeeeeeeceeeeaaaasseeeceeesaaassseeseeeeeas 7 7 8 PROCESSING AN ET DEAL ccccccccccccccccccccccccccccccccccccsecccccccccccesscccccccecssceseccccesscececsssesss

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