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Derivatives User Manual

1. DV RVL DVREVAL No confirmed records for the fair values of the contract 302 DV RVL DVREVAL No rates are maintained for the contract for carrying out 303 revaluation DV RVL DVREVAL Unhandled exception while calculating the leg fair value 311 DV RVL DVREVAL No rates are maintained for the contract for carrying out 313 revaluation DV RVL DVREVAL No rates are maintained for the branch to carry out revalua 314 tion DV RVL DVREVAL Failed to round the fair value amount 315 DV RVL DVREVAL Unhandled exception while revaluation processing 321 DV RVL DVREVAL Unhandled exception while revaluation processing 331 DV DVREVAL No rates are maintained for the branch to carry out revalua RVL_312 tion DV RVN DVRESET Unhandled Exception while processing rate revision 001 DV SCH DVSCHED Unhandled Exception while getting next schedule Date 001 0 DV SCH DVSCHED Unhandled Exception while getting next schedule Date 011 0 DV SCH DVSCHED Unhandled Exception while getting next periodic Date 021 0 DV SCH DVSCHED Unhandled Exception while getting schedule Date 031 0 DV SCH DVSCHED Error while checking whether the scheduled date is a holi 032 0 day DV SCH DVSCHED Improper Holiday maintenance 033 0 DV SCH DVSCHED Unhandled Exception while Computing Reset Date 041 0 DV SCH DVSCHED Error while checking whether the scheduled date is
2. 8 9 8 6 1 Contents of the report 8 9 8 7 Process Exception Report cccccccccececeeeeeeeeeeeeceaecaeceeeeeeeeeseseseecesanaeceeeeseeeeeess 8 10 8 7 1 Contents of the rePoOr cccccccecceececccececeeeeeeetecsneneeaaecaeeeseeeeteteesneesinaeeees 8 11 8 8 Revaluation Log report nesciente neenon tne dena 8 11 8 8 1 Contents of the 8 12 8 9 Settled and Terminated Deals 8 13 8 9 1 Conte ts Of th repo issie 8 14 Annexure Accounting Entries and Advices 9 1 9 1 Accounting Entries for eme 9 1 9 2 IDV EVOlDIS ir o omn E and taka oat ee dh tad sciam 9 1 9 3 AMOUNT Tags et Det edd t t eb dts 9 1 9 4 ACCOUNTING Roles eiie rene d edt e sag ath etit agate es et dace te 9 3 9 5 Event wise Accounting Entries and Advices 9 5 9 5 1 DBOK Contract BOOKING eri i a nnns 9 6 9 5 2 DINT Contract Initiation esses 9 6 9 5 3 DILQ Contract Interest Liquidation 9 7 9 5 4 DPLQ Contract Principal Liquidation
3. DV MNT DVD Not more than one component can be defined as primary 315 PRMNT component for IN leg DV MNT DVD Mandatory field Leg type is NULL 316 PRMNT DV MNT DVD Not more than one component can be defined as primary 317 PRMNT component for OUT leg DV MNT DVD Interest components not defined 318 PRMNT DV MNT DVD Schedules for some components not defined 319 PRMNT DV MNT DVD No primary In leg interest components defined 320 PRMNT DV MNT DVD No primary out leg interest components defined 321 PRMNT DV MNT DVD Asynchronous Principal schedules not allowed for this deriv 322 PRMNT ative type DV MNT DVD Asynchronous IN interest schedules not allowed for this 323 PRMNT derivative type DV MNT DVD Asynchronous OUT interest schedules not allowed for this 324 PRMNT derivative type DV MNT DVD Asynchronous IN revision schedules not allowed for this 325 PRMNT derivative type DV MNT DVD Asynchronous OUT revision schedules not allowed for this 326 PRMNT derivative type DV MNT DVD Mandatory field Rate Source is NULL 328 PRMNT DV MNT DVD Mandatory field Frequency is NULL 330 PRMNT DV MNT DVD Mandatory field Start reference is NULL 331 PRMNT DV MNT DVBAUDL Batch Processing completed successfully 403 Y DV MNT DVBAUDL Unhandled exception while processing the batch 411 Y DV ONL DVDC Unhandled exception while crea
4. DV AMR DVAMORT Unhandled exception while building accounting entry 161 1 DV AMR DVAMORT Unhandled exception while processing for amount tag 171 1 DV AUT DVC Unhandled exception while authorizing the Contract 001 COATH DV AUT DVC Maker Cannot Authorize the Contract 002 COATH DV AUT DVC Rekey Field In Leg Currency is incorrect 003 COATH DV AUT DVC Rekey Field Out Leg Currency is incorrect 004 COATH DV AUT DVC Rekey Field In Leg Principal Amount is incorrect 005 COATH DV AUT DVC Rekey Field Out Leg Principal Amount is incorrect 006 COATH DV AUT DVC Rekey Field Value Date is Incorrect 007 COATH DV AUT DVC Rekey Field Maturity Date is Incorrect 008 COATH DV AUT DVC Override s are not confirmed 009 COATH DV AUT DVC Do You Want to Continue Authorization 010 COATH DV AUT DVC Failed to authorize the contract 012 COATH DV BCH DVBCH Unhandled exception while preparing for batch 001 SRV DV BCH DVBCH Batch is configured as Mandatory Function in invalid End of 002 SRV Cycle Group DV BCH DVBCH Unhandled exception while obtaining the process till date 005 SRV DV BCH DVBCH Unhandled exception while checking program status 011 SRV DV BCH DVBCH Batch already processed 012 SRV DV BCH DVBCH Predecessor Functions to Batch are pending 013 SRV DV BCH DVBATCH Unhandled Exception while calculating the process till date
5. DV LM DVLIMITS There are Active Sub Lines reporting to this Main Line Main 00041 Line cannot be closed DV LM DVLIMITS The Last Price Change Date cannot be greater than Branch 00042 Date DV LM DVLIMITS The Security Code is not entered for the MVBC 00043 DV LM DVLIMITS The Price Code is not entered for the MVBC 00044 DV LM DVLIMITS The Number Of Units is not entered for the MVBC 00045 DV LM DVLIMITS The Collateral Ccy is not entered for the Collateral 00046 DV LM DVLIMITS Security Code has not been entered 00047 DV LM DVLIMITS The Issuer Exposure Details are incomplete Complete 00048 Delete the Issuer Exposure Details DV LM DVLIMITS The Start Date cannot be greater than the Branch Date 00049 DV LM DVLIMITS The Last Price Change Date cannot be earlier than Start 00050 Date DV LM DVLIMITS The Expiry Date cannot be earlier than Branch Date 00051 DV LM DVLIMITS The Last Price Change Date cannot later than Expiry Date 00052 DV LM DVLIMITS The Description is not entered 00053 DV LM DVLIMITS The Face Value is not entered 00054 DV LM DVLIMITS The Limit Contribution cannot be greater than the Cap 00055 Amount DV LM DVLIMITS Report date should be greater than the date today 00056 DV LM DVLIMITS The Total Issuer Exposure should be greater than 100 96 00057 DV LM DVLIMITS Collaterals exist with the Issuer Code Record cannot be 00058 closed
6. 5 46 5 4 Reassigning a Contract to another User 5 48 Erg pee 6 1 0 1 Introd ctionz coe b rb iui tiem inea ER ads tac OE 6 1 6 2 Processing Daily Events A EEE EEE ARRE 6 1 6 2 1 Invoking the Automatic Daily Program 6 1 6 3 Triggering the Year end Batch process for collecting Contract wise Data 6 2 6 3 1 Upload of DV Contracts 6 3 Error Messages for Derivatives 7 1 7 1 Error Codes and Messages esie tene anat tense etras terna adde acean 7 1 8 1 8 1 Introduction iicet Ried Ier Weide ee Deo LE dede 8 1 8 2 Interest Accrual Report Sees ret eec ut net Dal M i tien 8 2 8 2 1 Contents of the 8 2 8 3 Back 8 3 8 3 1 Contents of the 8 4 8 4 Contract Activity Report 8 5 8 41 Contents of the 8 5 8 5 Customer Wise Contract Details 8 6 8 9 1 Contents of the report iie ette b edet o acera ds 8 7 8 6 Customer Wise Contract Summary
7. 9 16 9 5 5 DRVL Contract Revaluation ssec 9 17 9 5 6 9 5 7 9 5 8 9 5 9 9 5 10 9 5 11 DIAM Contract Inception Amortization sse 9 17 Contract Termination eese enean nnn 9 18 DAMN Contract 9 20 DIAC Contract Interest 9 20 Contract Termination Amortization 9 22 DRRL Contract Revaluation 9 24 10 Function ID Glossary ceo eatur erat eerte qoi o 10 1 1 1 1 2 1 3 1 4 1 Preface Introduction This manual is designed to help you maintain and process Derivative instruments in Oracle FLEXCUBE It also assists you in handling all the necessary activities in the life cycle of a derivative once it is booked This includes the generation of messages and reports the accrual and liquidation of interest components the application of charges and taxes and so on You can further obtain information specific to a particular field by placing the cursor on the relevant field and striking F1 on the keyboard Audience This manual is intended for the Customer Service Representatives CSRs and staff in charge of setting up new products in your bank Documentation Accessibility For informatio
8. DV ONL DVDC Contract Reversed Successfully 204 NONL DV ONL DVDC Failed to reverse the contract 205 NONL DV ONL DVDC User Reference no should be Unique 206 NONL DV PRN DVCPRDE Unhandled exception while validating the schedules 001 T DV PRN DVCPRDE Mandatory field Start Date is NULL 002 T DV PRN DVCPRDE Mandatory field Frequency is NULL 003 T DV PRN DVCPRDE Mandatory field Frequency Unit is NULL 004 T DV PRN DVCPRDE Mandatory field No Of Schedules is NULL 005 T DV PRN DVCPRDE Mandatory field Adjustment Type is NULL 006 T DV PRN DVCPRDE Mandatory field Amount is NULL 007 T DV PRN DVCPRDE Unhandled exception while validating the Start Date 011 T DV PRN DVCPRDE Start Date Cannot be before the application Date 012 T DV PRN DVCPRDE Start Date Cannot be before the Value Date 013 T DV PRN DVCPRDE Start Date Cannot be after the Maturity Date 014 T DV PRN DVCPRDE Schedule Date is not Unique 015 T DV PRN DVCPRDE Unhandled exception while validating the Holiday Treatment 021 T Details DV PRN DVCPRDE Mandatory field Schedule Holiday Currency is NULL 022 T DV PRN DVCPRDE Mandatory field Schedule Financial Center is NULL 023 T DV LDRPC To Date Should be greater than From Date RETO001 SSM DV RVL DVREVAL Unhandled exception while building the queue array 001 7 25 ORACLE DV RVL DV
9. Creation ESN Component x Tag Currency Tag Amount Charge Currency Charge Amount Charge Liquidation 1 Of 1 Event Sequence Number Component Charge Currency Charge Amount Liquidated The reference number of the transaction leg for which you are defining charge details will be displayed The screen will contain a list of all the charge components applicable to the transaction leg Charge Association All the charge components applicable to the transaction leg you are processing will be displayed together with the rule that is linked to the component In this section of the screen you can e Change the charge rule linked to the component e Disassociate a charge component from the transaction leg Changing the charge rule linked to a component The rule that is linked to a charge component will be displayed next to the component Select a new rule to link to the component from the adjoining option list A list of all the charge rules maintained will be displayed Choose the appropriate one The new rule will be made applicable to the charge component d ORACLE 5 1 12 Disassociating a charge component from the transaction leg You can disassociate a charge component from the transaction leg In the Association section of the Contract Charge Details screen click against the waive option positioned next to the component In this case the charge componen
10. ssssssseeeen eene nennen 3 13 3 6 Maintaining Messaging Parties 3 14 Defining Attributes Specific to Derivative Products 4 1 4 1 IntroductlODi d ee eee eth nd die tb dal a E i dtd 4 1 4 2 Maintaining Derivative Products sesssseeeen eene enne 4 1 4 2 1 Specifying Preferences for the Product sess 4 3 4 3 Defining the Fair Price Revaluation Methods 4 16 4 4 Maintaining Fair Values for Revaluing a 4 16 441 Operations on the Contract Fair Price Maintenance record 4 18 4 5 Maintaining Branch wise Forward Interest 4 19 4 5 1 Operations on the Branch wise Forward Interest Rate Maintenance record 4 21 4 6 Maintaining Contract specific Forward Interest Rates for Revaluation 4 21 4 6 1 Operations on the Contract Specific Forward Interest Rate Maintenance record 4 Processing a Derivatives Contract 5 1 ST Introduction icm au adt imet e hti dus 5 1 5 1 1 Maintaining the Derivative Contract Input Screen 5 1 5 1 2 Details Tab aed cese o de eek en ea red da eed de nra rd dear 5 9 iI Additional T
11. Derivatives Contract Interest Details wr Contract Reference 1 Of 1 Leg Type Component Main Schedule Revision Holiday Treatment Forward Forward Move Across Month Holiday Treatment Backward Cascade Schedules Currency Financial Centre Reset Date Details Forward Forward Holiday Treatment Reset Date Basis Backward Currency Reset Days Allow External Rate Financial Centre Revision ResatHalidav Revision Schedules 10f1 Start Date Frequency Unit Schedules Adhere To Month End a View Interest View Revision 2 Revision Holiday Treatment You have to specify the holiday treatment that has to be followed when schedules fall due on a holiday The holiday treatment method has been explained at length in the earlier section on Indicating Principal Schedule DetailsHoliday Treatment Reset Date Details Specify the following details Reset Date Basis Since the floating interest rates are entirely dependent on the market conditions you can periodically reset the floating rate for each interest component over the tenor of the contract For this purpose you need to specify the date basis on which interest rates should be reset The following options are available e Start Date the rate will be refreshed as of the start date of the schedule depending in the reset movement and the reset days e End Date the rate will be refreshed as of the start date of the schedule depending in the reset movement and the reset da
12. a ORACLE BROK PAYABLE Brokerage Payable CONT ASSET Contingent Asset CONT ASSET OFS Contingent Asset Offset CONT FAIR VAL Contract Fair Value Account CONT LIAB Contingent Liability CONT LIAB OFS Contingent Liability Offset DV IN INT INC DV IN INT Income DV IN INT REC DV IN INT Receivable DV IN INT RIA DV IN INT Received in Advance DV OUT INT EXP DV OUT INT Expense DV OUT INT PAY DV OUT INT Payable DV OUT INT PIA DV OUT INT Paid in Advance INCP EXP Inception Expense INCP GAIN DEF Inception Gain Deferral Account INCP INC Inception Income INCP LOSS DEF Inception Loss Deferral Account INLEG ASSET In Leg Asset INLEG RVL EXP In Leg Revaluation Expense INLEG RVL INC In Leg Revaluation Income NET RVL EXP Net Revaluation Expense NET RVL INC Net Revaluation Income NET SET BRIDGE Net Settlement Bridge OUTLEG LIAB Out Leg Liability OUTLEG RVL EXP Out Leg Revaluation Expense OUTLEG RVL INC Out Leg Revaluation Income TRMN EXP Termination Expense TRMN INC Termination Income TRMN GAIN DEF Termination Gain Deferral Account TRMN LOSS DEF Termination Loss Deferral Account Component REC Receivable Component PAY Payable ORACLE 9 5 Component INC Realized Income C
13. Note The method and basis for liquidation are as specified for interest accruals Schedule Details tab After you specify the interest accrual preferences you have to indicate the repayment schedules for the following components e Principal Repayment of principal schedules e Interest Repayment of interest schedules e Revision Revision of interest rates for a contract with periodic interest rates The schedule preferences for each of these components have to be defined separately for both the In and Out legs Click the Schedules tab in the Product Preferences screen ORACLE Derivatives Product Preferences Product Code Product Description Product Type Product Type Description Main Interest 03 13 Amortization Details Product Schedules 1 Of 1 E Component Schedule Method Start Reference Frequency Start Weekday Default Product Schedule Details Specify the following details Component Specify the component for which you are defining the schedule Leg Type You need to indicate whether the component that is displayed is an In leg component or an Out leg component Schedule Type You should indicate the schedule type to which the component belongs The component can belong to any one of the following types e Principal Repayment of principal schedules e Interest Repayment of interest schedules e Revision
14. Rate Type The interest paid on both the legs of the contract can either be a fixed amount or an interest rate that changes periodically For special cases you are also allowed to maintain a flat amount If you specify that the interest rate for either of the legs is fixed then you have to indicate the rate of interest for the particular leg of the contract When the rate type is floating you have to indicate the rate code based on which the interest rate should be calculated Similarly when the rate type is special you have to indicate the flat amount that is to be used to calculate interest Rate Code If the contract involves a product defined with floating interest this is the Rate Code that links the contract to the Floating Rate table As is the case with the Rate Type so also the Rate Code linked to the product will be displayed in this field You can choose to change it Rate Source For all contracts with a floating interest rate leg apart from specifying the Rate Code you are also required to indicate the Rate Source The rate source that you indicate here such as Telerate Reuters will be used to pick up the floating rate for the outward inward leg of the contract Tenor Code The tenor code refers to the tenor of the floating rate code and currency combination that is to be associated with this leg of the contract Once you select the Rate Code the code assigned to the tenor linked to the particular Rate Code will be
15. Back Dated Deals Report Selection Criteria Booking Date From Date To Date Value Date From Date To Date ReportFormat Printer At Client Report Output Printer Selection Criteria Booking Date From Date Specify the date from when the contract was booked To Date Specify the date till when the contract was booked s ORACLE 8 3 1 Value Date From Date Specify the value date from when you want to generate the report with data of back valued deals To Date Specify the value date till when you want to generate the report with data of back valued deals Contents of the report The contents of the report are discussed under the following heads Header The Header carries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on CIF ID This is the CIF ID of the counterparty involved in the contract Cust Name Apart from the CIF ID the name of the customer involved in the contract is also reported Cont Ref Number This is the reference number of the contract whose details are being reported In Leg Principal This is the In Leg Principal Amount Cont Type This indicates whether the contract whose details are being reported is a Trade type of contract or a Hedge contract Booking Da
16. Schedule Details e Revision Reset Date Basis Revision Details A financial amendment is allowed only through External system Gateway If any one of the fields sent by the external system is not the mentioned in the list above it is considered as a financial amendment upload The following points are noteworthy e In such a case the original contract is reversed and a new contract is booked e However financial amendment upload is not allowed if SGEN message is already generated for the underlying contract In case of a financial amendment the system doesn t generate any confirmation message for the reversed deal It generates an amendment confirmation message as part of the DBOK event of the new deal This applies to only mail messages and not for SWIFT messages 94 ORACLE 5 3 e Incase of a SWIFT message the system sends a cancellation message and a booking message e Any amendment of a contract is not allowed if the contract is cancelled liquidated reversed for a contract status L V or D Confirmation of Interest and Principal Schedules The interest and principal schedules for FRAs Single Cross currency swaps defined for a derivative contract would typically be confirmed by the counterparty involved in the contract In Oracle FLEXCUBE you can capture the details of each such confirmation received Schedule Confirmation The details that need to be confirmed have to be entered in the C
17. screen In these screens you can specify the product type and set the product preferences respectively For further information on the generic attributes that you can define for a product please refer the following Oracle FLEXCUBE User Manuals under Modularity e Product Definition e Interest 1 ORACLE e Charges and Fees e Tax e User Defined Fields e Settlements Specify the following details Product Code You need to identify the derivative product that you are creating with a unique Product Code This code should be unique across all the modules of Oracle FLEXCUBE Product Description You can briefly describe the product that you are creating in this field The description that you enter here will help you identify the product all through the module Product Type The product type identifies the basic nature of a product The derivative types you have maintained through the Derivative Type Maintenance screen will be reflected in the option list available for this field A derivatives product that you create can belong to any one of the following types e Forward Rate Agreements e Interest Rate Swaps e Cross Currency Swaps Product Slogan You can specify a slogan for the product that you are creating that suitably announces the product to your customers Product Group Grouping products according to the common features they share helps you organize information relating to the services you provide Product G
18. Discount Rate Basis Interest Rate Details Main Component Waiver Flat Amount Rate Type Rate Code Tenor Code Interest Rate Rate Source Interest Spread View Interest View Revision As a result of linking a product to a contract all the product specific preferences defined at the product level will be inherited by the contract These preferences include the interest accrual preferences liquidation preferences and the schedules for the various interest and revision interest components Note Except for the interest accrual frequency which you have defined at the product level you will be allowed to modify all the other preferences accrual as well as liquidation to suit the contract you are processing Main Details Tab Accrual and Liquidation Details Specify the following details Accrual Required You can choose not to accrue interest for a particular contract although you have indicated this preference at the product level For instance when you are processing a trade deal interest accrual details are not required since trade deals are always revalued In the Interest Details screen you can indicate that interest accrual is not required for the specific contract by disabling the option However if indeed interest accrual is required for the contract you are processing and you merely want to change the accrual related details such as the interest calculation method the basis on which interest is to be c
19. 021 is ORACLE DV BCH DVBCH Branch Parameters not maintained for Derivatives 022 SRV DV BCH DVBCH Unhandled exception while obtaining the Period End Date 031 SRV DV BCH DVBCH Failed to obtain the Period End date for the Branch 032 SRV DV BCH DVBCH Unhandled exception while preparing for batch 041 SRV DV BCH DVBCH Unhandled exception while preparing for batch 051 SRV DV BCH DVBCH Unhandled exception while preparing for batch 061 SRV DV BCH DVBCH Unhandled exception while processing batch 071 SRV DV BCH DVBCH Unhandled exception while processing batch 081 SRV DV BCH DVBCH Unhandled exception while processing batch 091 SRV DV BCH DVBCH Unhandled exception while unmarking End of Transaction 101 SRV Input DV BCH DVBATCH Unhandled Exception while processing Batch 111 DV CEV DVCNTEV Unhandled Exception While Processing The Booking Event 001 0 DV CEV DVCNTEV Unhandled Exception While Processing the revision Event 011 0 DV CEV DVCNTEV Unhandled Exception While Processing the Initiation Event 021 0 DV CEV DVCNTEV Unhandled Exception While Amortizing Inception Value 031 0 DV CEV DVCNTEV Unhandled Exception While Processing the Liquidation 041 0 Event DV CEV DVCNTEV Unhandled Exception While Accruing Interest 051 0 DV CEV DVCNTEV Unhandled Exception While Processing Termination Eve
20. 215 RAT DV MNT DVDCN Mandatory field Reval Date is NULL 216 RAT DV MNT DVDCN Mandatory field Interest rate is NULL 217 RAT DV MNT DVDCN Reval Date cannot be greater than the next working day 218 RAT DV MNT DVDCN Reval date cannot be less than the previous reval date 219 RAT DV MNT DVDCN Reval Date already exists for this contract 220 RAT DV MNT DVDBR Mandatory field Rate Code is NULL 230 RAT DV MNT DVDBR Mandatory field Rate Source is NULL 231 RAT DV MNT DVDBR Mandatory field Reval Date is NULL 232 RAT DV MNT DVDBR Reval Date already exists 233 RAT DV MNT DVDBR Reval Date should be before Next Working Date 1 234 RAT DV MNT DVDBR Mandatory field Currency code is NULL 235 RAT DV MNT DVDBR Mandatory field Period start date is NULL 236 RAT DV MNT DVDBR Mandatory field Period end date is NULL 237 RAT DV MNT DVDBR Mandatory field Interest Rate is NULL 238 RAT DV MNT DVDBR Record for this period already exists 239 RAT DV MNT DVDBR Period Start Date can not be before Reval Date 1 240 RAT DV MNT DVDBR Period End Date should be after Period Start Date 241 RAT DV MNT DVD Master Agreement Code is not Unique 252 CPMNT DV MNT DVD Mandatory Field Master Agreement Code is NULL 253 CPMNT 118 ORACLE DV MNT DVD Mandatory Fields are NULL 254 CPMN
21. CONT FAIR VAL PRV OUTRVL REC PY Credit CONT FAIR VAL PRV OUTRVL PAY PY Debit OUTLEG RVL EX PRV OUTRVL PAY PY Credit P 9 25 ORACLE In case of Revaluation Netting NET RVL INC PRV NETRVL INC PY Debit CONT FAIR VAL NETRVL INC PY Credit CONT FAIR VAL NETRVL EXP PY Debit NET RVL EXP NETRVL EXP PY Credit For FRA contracts satisfying the following conditions the accounting entries for the Interest Settlement Cash and Accrual and Interest Accrual events are given below with the help of an example Conditions e Netting Required option has to be enabled at the derivatives type level and Accrual Required has to be either enabled or disabled for both the legs An error message will be shown if this is not the case e This applies only to FRA contracts having the following definition of the derivative type attached in the product Netting Required should be checked Payment method for both the in leg and out leg is Advance Principal Exchange required is No Asynchronous Interest schedules are not allowed Asynchronous Revision schedules are not allowed For example An FRA contract has DV IN INT as the In Leg interest component and DV OUT INT as the Out Leg interest component The deal is settled on Value Date with the following values for interest components DV IN INT USD 57 9818955567 DV OUT I
22. DV MNT DVDDT Mandatory Field Derivative Type is NULL 101 MNT DV MNT DVDDT Mandatory Field Type Description is NULL 102 MNT DV MNT DVDTMNT Derivative Type is not Unique 103 DV MNT CFDRTSR Mandatory Field Rate Source is NULL 104 C DV MNT CFDRTSR Rate Source is not Unique 105 C DV MNT CFDRTSR Mandatory field Description is NULL 106 C DV MNT STD Mandatory Field Clearing House is NULL 107 CLMNT DV MNT STD Clearing house is not Unique 108 CLMNT DV MNT STD Mandatory Field Description is NULL 109 CLMNT DV MNT DVDLM Mandatory fields cannot be null 116 VAL DV MNT DVDCN Mandatory field Contract Ref No is NULL 201 VAL DV MNT DVDCN Mandatory field Reval Date is NULL 202 VAL DV MNT DVDCN Mandatory field In Fair Value is NULL 203 VAL DV MNT DVDCN Mandatory field Out Fair Value is NULL 204 VAL DV MNT DVDCN Mandatory field Net Fair Value is NULL 205 VAL DV MNT DVDCN In and Out fair values are not synchronous with Net Fair 206 VAL Value DV MNT DVDCN No Data found for the Contract Ref No 207 VAL DV MNT DVDCN Reval Date should be before Next Working Date 1 208 VAL DV MNT DVDCN Reval Date should be after the previous reval date 1 209 VAL DV MNT DVDCN Reval Date already exists 210 VAL ORACLE DV MNT DVDCN Mandatory field Contract ref no is NULL
23. DV ONL DVDC Mandatory field In Leg interest Rate Type is NULL 147 NONL DV ONL DVDC Mandatory field In Leg interest Rate Code is NULL 148 NONL DV ONL DVDC Mandatory field In Leg interest Rate Source is NULL 149 NONL DV ONL DVDC Mandatory field In Leg interest Tenor Code is NULL 150 NONL DV ONL DVDC Mandatory field In Leg interest Rate Spread is NULL 152 NONL DV ONL DVDC Mandatory field In Leg interest rate is NULL 153 NONL DV ONL DVDC Mandatory field In Leg interest Flat amount is NULL 154 NONL DV ONL DVDC Mandatory field Out Leg Currency Cannot is NULL 155 NONL DV ONL DVDC Mandatory field Out Leg principal Amount is NULL 156 NONL DV ONL DVDC Mandatory field Out Leg interest Rate Type is NULL 157 NONL DV ONL DVDC Mandatory field Out Leg interest Rate Code is NULL 158 NONL DV ONL DVDC Mandatory field Out Leg interest Rate Source is NULL 159 NONL DV ONL DVDC Mandatory field Out Leg interest Tenor Code is NULL 160 NONL DV ONL DVDC Mandatory field Out Leg interest Rate Spread is NULL 162 NONL DV ONL DVDC Mandatory field Out Leg interest rate is NULL 163 NONL DV ONL DVDC Mandatory field Out Leg interest Flat amount is NULL 164 NONL DV ONL DVDC Mandatory field Settlement Account is NULL 165 NONL DV ONL DVDC Unhandled exception while validating the Contract 171 NONL Tos ORACLE DV ONL DVDC Ma
24. DVDINDET Mandatory field Discount Rate is NULL 072 DV INT DVDINDET Mandatory field Discount Floating Component is NULL 073 DV INT DVDINDET Mandatory field Discount Rate Code is NULL 074 DV INT DVDINDET Mandatory field Discount Rate Source is NULL 075 DV INT DVDINDET Mandatory field Discount Tenor Code is NULL 076 DV INT DVDINDET Mandatory field Discount Rate Spread is NULL 077 DV INT DVDINDET Mandatory field Interest Rate is NULL 078 DV INT DVDINDET Mandatory field Interest Rate Code is NULL 079 DV INT DVDINDET Mandatory field Interest Rate Source is NULL 080 DV INT DVDINDET Mandatory field Interest Tenor Code is NULL 082 DV INT DVDINDET Mandatory field Interest Rate Spread is NULL 083 i ORACLE DV INT DVDINDET Mandatory field Flat Amount is NULL 084 DV INT DVDINDET Unhandled exception while validating the Schedules 091 DV INT DVDINDET Mandatory field Schedule Holiday Currency is NULL 092 DV INT DVDINDET Mandatory field Schedule Financial Center is NULL 093 DV INT DVDINDET Unhandled exception while validating revision schedules 101 DV INT DVDINDET Mandatory field Revision Holiday Currency is NULL 102 DV INT DVDINDET Mandatory field Revision Financial Center is NULL 103 DV INT DVDINDET Mandatory field Reset Date movement Days is NULL 104 DV INT DVDINDET
25. For instance for a particular schedule you have indicated that the Frequency should be Weekly and the Frequency Unit as 2 Subsequently you indicate that the Number of Schedules as 12 This particular schedule will be run once in every two weeks twelve times Adhere to the Month End When the principal exchange frequency is in terms of a month you can choose to indicate whether the schedules should be liquidated as of the last working day of the month or whether it should strictly follow the defined schedule For example The start date of a particular schedule is 15t February 2000 The frequency you have specified is Monthly and you indicate that the Frequency Unit is 1 If you indicate that schedules have to adhere to month ends this particular schedule will be liquidated on the 29 of February 2000 However if you do enable this option the schedule will be liquidated on the 1 of March 2000 Adjustment Type Periodic schedule repayment of the principal amount will always bring about a readjustment in the principal amount It either increases or decreases the amount that is to be repaid to the counterparty Therefore while defining principal schedules you have to indicate whether liquidation of the particular schedule results in the Increase or Decrease of the actual amount Amount Since the periodic schedule repayment of the principal amount either increases or decreases the amount to be repaid to the counterparty you have to indi
26. For instance if you indicate the weekday preference as Wednesday then liquidation will be carried out on a weekly basis on every Wednesday Schedule Start Day When the Start Reference is set as Calendar Date you have to indicate the date on which the schedule is due to start For instance if the frequency you have specified is daily set the date on which the first daily schedule should fall due 4 2 ORACLE 4 2 1 4 Similarly when the frequency is monthly indicate the day of the month in which the liquidation should fall due The schedule repayment dates will be computed using the Frequency the Unit Start Month and the Start Day that you specify Schedule Start Month If you have set the Reference as Calendar Date and the frequency as quarterly half yearly or annual you can indicate the month in which the first schedule falls due Based on your specification the subsequent schedule dates will be calculated Adhere to Month End If the schedule frequency is in terms of a month you can choose to indicate that the schedule days should adhere to Month Ends The implication of this option is explained in the following example For example You are defining preferences for a derivative product You would like to maintain several derivatives under this product We shall study the impact of the Adhere to Month End option with reference to a derivative maintained under the Product Assume the Effective Date of the contract with
27. INCR CREDIT CONT ASSET INLEG LIQD CREDIT CONT ASSET OFS INLEG PRN LIQD DEBIT CUSTOMER INLEG PRN LIQD DEBIT INLEG ASSET INLEG PRN LIQD CREDIT CONT ASSET OFS OUTLEG PRN DECR CREDIT OUTLEG LIAB OUTLEG PRN DECR DEBIT CUSTOMER OUTLEG PRN DECR CREDIT CONT LIAB OUTLEG PRN DECR DEBIT CONT ASSET OFS OUTLEG PRN INCR DEBIT OUTLEG LIAB OUTLEG PRN INCR CREDIT CUSTOMER OUTLEG PRN INCR DEBIT CONT LIAB OUTLEG PRN INCR CREDIT CONT LIAB OUTLEG PRN LIQD DEBIT OUTLEG LIAB OUTLEG PRN LIQD DEBIT CUSTOMER OUTLEG PRN LIQD CREDIT CONT LIAB OFS OUTLEG PRN LIQD CREDIT Advices Nil ORACLE 9 5 5 9 5 6 DRVL Contract Revaluation Accounting Entries Accounting Role Amount Tag Dr Cr CONT FAIR VAL CUR INRVL PAY CREDIT INLEG RVL EXP CUR INRVL PAY DEBIT CONT FAIR VAL CUR INRVL REC DEBIT INLEG RVL INC CUR INRVL REC CREDIT CONT FAIR VAL CUR NETRVL EXP CREDIT NET RVL EXP CUR NETRVL EXP DEBIT CONT FAIR VAL CUR NETRVL INC DEBIT NET RVL INC CUR NETRVL INC CREDIT CONT FAIR VAL CUR OUTRVL PAY CREDIT OUTLEG RVL EXP CUR OUTRVL PAY DEBIT CONT FAIR VAL CUR OUTRVL REC DEBIT OUTLEG RVL INC CUR OUTRVL REC CREDIT CONT FAIR VAL PRV INRVL PAY DEBIT INLEG RVL EXP PRV INRVL PAY CREDIT CONT FAIR VAL PRV INRVL REC CREDIT INLEG RVL INC PRV INRVL REC DEBIT CONT FAIR VAL PRV NETRVL EXP DEBIT NET RVL EXP PRV NETRVL EXP CREDIT CONT FAIR VAL NETRVL INC CREDIT NET RVL
28. Report Output Printer Selection Criteria Product Code Select the product code for which the report has to be generated is to be revalued you have to indicate the period for which revaluation should be carried out Revaluation From Date Specify the date from when the contract is to be revalued To Date Specify the date till when the contract is to be revalued Note You can choose to generate the revaluation log report either for one particular product or for all the products Contents of the report The report options that you selected while generating the report are printed at the beginning of the report The contents of the report are discussed under the following heads Header The Header carries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on Belz ORACLE 8 9 Branch Code This is the code of the branch for which the product wise revaluation details are being reported Revaluation Sequence Number This is the sequence number which was assigned to the revaluation Value Date This is the date as of which the swap takes effect In the case of an FRA this is the date as of which the deal settles Transaction Date This is the date on which the contract was first processed in the system
29. Scenario Along with the next Revaluation Accounting entries passed on the 1 of August will be as follows Event DRVL Contract Revaluation Accounting Role Amount Tag peberet Amau Indicator nt CONT_FAIR_VAL Contract Fair CUR_NETRVL_I Debit 150 Value GL NC NET RVL INC Revaluation CUR NETRVL Credit 150 Income NC There is a net revaluation loss of USD 75 on the 1 of September When the event DRRL Revaluation Reversal is triggered the entries posted are as follows Accounting Role Amount Tag pebi oredit Ameu Indicator nt NET RVL INC Revaluation PRV_NETRVL I Debit 150 Income NC CONT FAIR VAL Contract Fair PRV NETRVL Credit 150 Value GL NC Next the DRVL for the day is triggered Accounting Role Amount Tag DUBIUCFOHI Amou Indicator nt NET RVL EXP Revaluation CUR NETRVL E Debit 75 Expense XP CONT FAIR VAL Contract Fair CUR NETRVL E Credit 75 Value GL XP Scenario Il Next Day in BOD Accounting entries passed on 01 August EOD ORACLE Event DRVL Contract Revaluation Accounting Role Amount Tag DebiUCredit Indicator nt CONT FAIR VAL Contract Fair CUR NETRVL I Debit 150 Value GL NC NET RVL INC Revaluation CUR NETRVL I Credit 150 Income NC Accounting entries passed on the 2nd gr August at BOD for the event DRRL are Accounting Role Amount Tag Debit
30. 045 NONL DV ONL DVDC Failed to save the contract 046 NONL fral ORACLE DV ONL DVDC Unhandled exception while authorizing the contract 051 NONL DV ONL DVDC Cannot Create the Parameter List 052 NONL DV ONL DVDC Unhandled exception while keeping the contract on Hold 061 NONL DV ONL DVDC Contract Ref No Is Null 062 NONL DV ONL DVDC Unhandled exception 063 NONL DV ONL DVDC Product Code is NULL 082 NONL DV ONL DVDC Maturity Date Cannot be Less than Value Date 092 NONL DV ONL DVDC Maturity Date Cannot be less than the application Date 093 NONL DV ONL DVDC Maturity Date 1 is a Holiday Will be Changed to 2 094 NONL DV ONL DVDC Unhandled exception while defaulting Principal Schedules 111 NONL DV ONL DVDC Unhandled exception while retrieving the contract amounts 121 NONL DV ONL DVDC Not a valid product 132 NONL DV ONL DVDC Unhandled exception while validating the Contract 141 NONL DV ONL DVDC Mandatory field Counterparty is NULL 142 NONL DV ONL DVDC Mandatory field Valued Date is NULL 143 NONL DV ONL DVDC Mandatory field Maturity Date is NULL 144 NONL Tode ORACLE DV ONL DVDC Mandatory field In Leg Currency is NULL 145 NONL DV ONL DVDC Mandatory field In Leg Principal Amount is NULL 146 NONL
31. 100 NA 2004 01 JUL 2004 01 JUL 2004 100 50 50 01 OCT 2004 100 NA 01 JAN 2005 01 JAN 2005 100 150 50 Accounting entries passed on 01 MAR 2004 DR CR Accounting Role Amount Tag Role Description Tag Amount DR CUS Customer DV IN INT ILIQ 100 TOMER CR DV IN INT Inleg Income GL DV IN INT ILIQ 100 Accounting entries passed 01 JUL 2004 Net Inflow DR CR Accounting Role Amount Tag Role Description Tag Amount DR CUS Customer NET INT INC 50 TOMER CR DV IN INT Net Interest NET INT INC 50 INC Income Accounting entries passed on 01 OCT 2004 DR CR Accounting Role Amount Tag Role Description Tag Amount 9 9 ORACLE DR CUS Customer DV IN INT ILIQ 100 TOMER CR DV IN INT inleg Income GL DV IN INT 100 Accounting entries passed on 01 JAN 2005 Net Outflow DR CR Accounting Role Amount Tag Role Description Tag Amount DR DV OUT IN Net Interest NET INT EXP 50 T EXP Expense CR CUS Customer NET INT EXP 50 TOMER Assume the following parameters for a DV IRS deal In leg start date 01 JAN 2004 Frequency Monthly In leg payment method Arrears Accrual is Yes In leg interest Component DV IN INT Out leg start date 01 JAN 2004 Frequency Monthly Out leg payment method Arrears Accrual is Yes Out leg interest Component DV OUT INT Netting Allowed Yes Assume the following cash flows Schedul
32. DV IN INT Interest DGE ITLQ amount Inleg CR DV IN INT RE In leg interest DV IN INT Interest C Receivable ITLQ amount Inleg CR NET SET BRI Net Settlement DV IN INT O Interest DGE TLQ amount Outleg DR DV IN INT PA In leg interest Pay DV IN INT Interest Y able TLQ amount Outleg DR CUSTOMER CUSTOMER NET SET INC Net Settle ment Income CR NET SET BRI Net Settlement NET SET INC Accrual DGE basis CR CUSTOMER CUSTOMER NET SET EX Net Settle P ment Expense DR NET SET BRI Net Settlement NET SET EX Accrual DGE P basis Note In all the above scenarios Settlement on cash and non cash basis netting tags NET INT INC and NET INT EXP will be updated only if the in leg and out leg schedules coincide Other amount tags will not be applicable in this case For non cash basis settlements if netting is allowed and accrual is set as Yes net ting tags NET SET INC NET SET EXP will be updated along with other amount tags mentioned in the above table ORACLE 9 5 4 DPLQ Contract Principal Liquidation Accounting Entries Accounting Role Amount Tag Dr Cr CONT ASSET INLEG PRN DECR CREDIT CONT ASSET OFS INLEG PRN DECR DEBIT CUSTOMER INLEG PRN DECR DEBIT INLEG ASSET INLEG PRN DECR CREDIT CONT ASSET INLEG INCR DEBIT INLEG ASSET INLEG INCR DEBIT CUSTOMER INLEG INCR CREDIT CONT ASSET OFS INLEG
33. Denominator Basis Include To Date Interest Main Details Specify the following details Interest Accrual Level As a product preference you can indicate whether interest accrual is required for the contract by checking the box You can leave the box unchecked to indicate that accrual is not applicable Note If you indicate that interest accrual is required for the contract then you have to specify the accrual related details individually for the In and Out legs At the product level if you indicate that interest accrual is required and you choose not to accrue interest for a contract linked to the product you will be allowed to do so However the opposite will not be allowed Interest Accrual Level Here you can indicate the level at which accrual entries should be passed for the in leg of the contract The options available are e Product e Contract At the product level accruals will be passed for the product and currency combination Those contracts for which accrual is required will be identified by the system and accrual entries will be passed based on the accounting entry set up defined Te ORACLE At the contract level accruals will be passed for individual contracts linked to the particular product In Leg Denominator Basis You need to specify the interest accrual rate for the inward leg of the contract as one of the following e Per annum e Per schedule period Out Leg De
34. During contract input when you indicate the ID of the receiver the default address specified for the receiver will be displayed Note If you specify that the message should be sent through SWIFT then you have to indicate the SWIFT address of the receiver in the first line of the address box before you specify the mailing address Language The message can be sent to the receiver in the language of the receiver This adjoining option list displays a list of language codes You can choose the appropriate one available in this field Note Remember that to send a message to a receiver in a particular language you should have also maintained a message format for the language in the Advice Format Maintenance Screen Message Party Details Specify the following details Message Type Your customer can identify more than one receiver as the recipient of messages that you need to send the customer as and when required Additionally your customer can also instruct you to send specific messages to different receivers Customer Identification File After you select the list of messages that have to be sent to your customer you have to specify the ID assigned to the particular customer for whom you are maintaining recipient details The adjoining option list displays list of all the CIF ID s you have maintained through the Customer Information Maintenance file Thus every time you send a message to the particular custom
35. I F T You can make entries into this field only for a customer transfer MT 100 and MT 202 The number of banks involved in the transfer would depend on the e Relationships and arrangements between the sending and receiving banks e Customer instructions e Location of parties e banking regulations of a country Refer to the Settlements User Manual of Oracle FLEXCUBE for more details Levying Tax on a Contract The tax details specified for the product to which the contract is associated will be automatically applied to the contract However while processing a contract you can waive the application of tax on the contract You can invoke the contract Tax Details screen by clicking Tax button from the Contract On line screen ORACLE 5 1 14 Reference No 74 Issuer Association 10f 1 Component Creation ESN Rule Waiver um 10f 1 Ez Component Creation ESN Currency TagAmount Currency TaxAmount Waiver Liquidated 4 Liquidation 101 ii Component Currency Amount Refer to the Tax User Manual of Oracle FLEXCUBE for more details Saving the Details of a Contract Enter valid inputs into all the mandatory fields or you will not be able to save the contract After you have made the mandatory entries save the contract by either selecting Save
36. INC NETRVL INC DEBIT CONT FAIR VAL PRV OUTRVL PAY DEBIT OUTLEG RVL EXP PRV OUTRVL PAY CREDIT CONT FAIR VAL PRV OUTRVL REC CREDIT OUTLEG RVL INC PRV OUTRVL REC DEBIT Advices No advices allowed for this Event DIAM Contract Inception Amortization Accounting Entries ORACLE 9 5 7 Accounting Role Amount Tag Dr Cr INCP EXP INCP EXP AMORT DEBIT INCP LOSS DEF INCP EXP AMORT CREDIT INCP GAIN DEF INCP INC AMORT DEBIT INCP INC AMORT INCP INC AMORT CREDIT Advices No advices allowed for this Event DTER Contract Termination Accounting Entries for NPV Rebate Accounting Role Amount Tag Dr Cr DV IN INT INC DV IN INT IAC CREDIT DV IN INT RIA DV IN INT IAC DEBIT DV IN INT INC DV IN INT JEAC DEBIT DV IN INT REC DV IN INT JEAC CREDIT DV OUT INT EXP DV OUT INT EAC DEBIT DV OUT INT PIA DV OUT INT EAC CREDIT DV OUT INT EXP DV OUT INT JIAC CREDIT DV OUT INT PAY DV OUT INT JIAC DBEIT CONT ASSET INLEG PRN CONT CREDIT CONT ASSET OFS INLEG PRN CONT DEBIT CONT ASSET INLEG LIQD CREDIT CUSTOMER INLEG PRN LIQD DEBIT CONT ASSET OFS INLEG PRN LIQD DEBIT INLEG ASSET INLEG LIQD CREDIT CONT LIAB OUTLEG PRN CONT DEBIT CONT LIAB OFS OUTLEG PRN CONT CREDIT CONT LIAB OUTLEG PRN LIQD DEBIT OUTLEG LIAB OUTLEG_PRN_LIQD DEBIT CUSTOMER OUTLEG_PRN_LIQD CREDIT CONT_LIAB_OFS OUTLEG_PRN_LIQD CREDIT CUSTOMER TRMN_
37. LM DVLIMITS This Tenor has been maintained for the Limit 00008 DV LM DVLIMITS The Tenor details are incomplete Complete Delete the Tenor 00009 details DV LM DVLIMITS The Products Allowed details are incomplete Complete 00010 Delete the Products Allowed details DV LM DVLIMITS The Branches Allowed details are incomplete Complete 00011 Delete the Branches Allowed details DV LM DVLIMITS The Last Available Date cannot be less than the Line Start 00012 Date DV LM DVLIMITS The Customers Allowed details are incomplete Complete 00013 Delete the Customers Allowed details DV LM DVLIMITS The Tenor Limit Amount exceeds the Line Limit Amount 00014 DV LM DVLIMITS The Sub Line Tenor Limit Amount cannot be greater than the 00015 next higher Main Line Tenor Limit Amount 1 2 DV LM DVLIMITS The Sub Line Tenor cannot be greater than Maximum Main 00016 Line Tenor 1 Days DV LM DVLIMITS There are no Tenors specified for the Main Line 00017 DV LM DVLIMITS The Line Code is Limits Template Details will be copied from 00018 template Continue DV LM DVLIMITS The Sub Line Limit cannot exceed the Main Line Limit 1 00019 2 DV LM DVLIMITS The Main Line Limit cannot be less than any of its Sub Line 00020 Limit 1 2 11 ORACLE DV LM DVLIMITS The Main Line Tenor cannot be Less than the Minimum 00021 Tenor of any Sub Lines reporting to it 1
38. Leg Receivable INCP EXP AMORT Inception Expense Amortization Amount INCP GAIN Inception Gain INCP GAIN DEF Inception Gain Deferred INCP INC AMORT Inception Income Amortization Amount INCP LOSS Inception Loss INCP LOSS DEF Inception Loss Deferred INLEG PRN In Leg Principal INLEG PRN CONT In Leg Contingent Principal Amount INLEG PRN DECR In Leg Principal Decrement INLEG PRN INCR In Leg Principal Increment INLEG LIQD In Leg Principal Liquidation NET INT EXP Net Interest Expense NET SET INC Net Interest Income NET SET EXP Net Interest Expense NET INT INC Net Interest Income OUTLEG PRN Out Leg Principal OUTLEG PRN CONT Out Leg Contingent Principal Amount OUTLEG PRN DECR Out Leg Principal Decrement OUTLEG PRN INCR Out Leg Principal Increment OUTLEG PRN Out Leg Principal Liquidation INRVL PAY Previous In Leg Revaluation Payable INRVL REC Previous In Leg Revaluation Receivable PRV NETRVL EXP Previous Net Revaluation Expense PRV NETRVL INC Previous Net Revaluation Income PRV OUTRVL PAY Previous Out Leg Revaluation Payable PRV OUTRVL REC Previous Out Leg Revaluation Receivable 92 ORACLE 9 4 TRMN EXP AMORT Termination Expense Amortization Amount TRMN GAIN Termination Gain TRMN GAIN DEF Term
39. Maintaining Contract Fair Prices whereby you have to indicate the fair price of individual contracts which will be used for revaluation Maintaining Branch Interest Rates whereby you can maintain branch level forward interest rates which will determine the fair price to be used for revaluation Maintaining Contract Interest Rates whereby you maintain contract specific forward interest rates which will determine the fair price to be used for revaluation Reports in Derivatives Module In Oracle FLEXCUBE you can generate following reports for the Derivatives module Interest Accrual report Back Dated Deals report Contract Activity report Customer wise Details report Customer wise Summary report Process Exception report Revaluation Log report Settled Deals report For more details on generating reports in Derivatives module refer the chapter titled Reports in this User Manual 28 ORACLE 3 1 3 2 3 General Maintenance for the Derivatives Module Introduction Before you begin any operations in the Derivatives module you have to maintain certain basic information This information is necessary for the successful functioning of the module The information that you need to maintain includes e Defining Derivative Types e Bank and Branch Parameter details e Revaluation details e Specifying Limits e Messaging party details e Counterparty details e Interest Tax and Charge classes Although you
40. Mandatory field Reset Date Holiday Currency is NULL 105 DV INT DVDINDET Mandatory field Reset Date Financial Center is NULL 106 DV INT DVDINDET Unhandled exception while defaulting the schedules 111 DV INT DVDINDET Unhandled exception while defaulting the schedules 121 DV ISR DVINTSRV Unhandled Exception while defaulting for a event 001 DV ISR DVINTSRV Unhandled Exception While picking up currency rates 011 DV ISR DVINTSRV Unhandled Exception While referring Contract Associations 021 DV ISR DVINTSRV Unhandled Exception While fetching floating Rates 031 DV ISR DVINTSRV Rate Code Selection is not Valid 032 DV ISR DVINTSRV Rate Code maintenance is Unauthorized 033 DV ISR DVINTSRV The Selected Rate Code is Closed 034 DV ISR DVINTSRV No Rate Details are found Inconsistent Database 035 ORACLE DV LM DVLIMITS The Issuer Limits details are incomplete Complete Delete 00001 the Issuer Limits details DV LM DVLIMITS The Line Code is not a Limits Template 00002 DV LM DVLIMITS The Line Code is not entered 00003 DV LM DVLIMITS The Liability is not entered 00004 DV LM DVLIMITS The Line Start Date cannot be later than the Line Expiry 00005 Date DV LM DVLIMITS The Last Available Date cannot be later than the Line Expiry 00006 Date DV LM DVLIMITS The Line Currency is not entered 00007 DV
41. March is a working day But GBP is closed on 31 St hence the schedule will not be liquidated on this day The next schedule date is computed such that it is a working day for both USD and GBP The system therefore moves forward as the Move Forward option is selected to check the specification for the next day As per the calendars 15 April is a holiday for USD and ane April is a holiday for both USD and GBP Therefore liquidation is not possible on either of these days 3nd April is the next working day for USD which is also marked as a working day for GBP Therefore 3 d April 2001 is the next valid schedule date for the schedule due on 319 March since it is marked as a working day in both the calendars The net result due to the combination of both the calendars is as follows 30th 31st 1st 2nd 3rd March March April April April Combined Working Holiday Holiday Holiday Working result In this example if you choose the Move Backward option the system checks the status of the previous day to arrive at the next schedule date In this case 30 March is a working day for both the currencies Hence 30 March 2001 will be the next schedule date for the contract The relevant contract confirmations both SWIFT and MAIL will also reflect the fact that the holiday treatment is based on multiple holiday calendars pu ORACLE Note The holiday treatment for the interest and revision schedules if a
42. Out Debit Component EXP Component RLIQ P Y Credit Component EXP UNRL Component RLIQ P Z Y Debit Component_EXP Component_RLIQ_P Y Credit Component EXP UNRL Component RLIQ P Z Y Advices Nil Accounting Entry Setup Settlement on Cash basis Advance and Arrears d Accounting Role Amount Tag DR CUSTOMER Customer DV IN INT ILIQ Interest amount Inleg CR DV IN INT INC In leg Income DV IN INT ILIQ Interest Amount GL Inleg DR DV OUT INT EXP Outleg DV OUT INT ELI Interest amount Expense GL Q Outleg CR CUSTOMER Customer DV OUT INT ELI Interest amount Q Outleg DR CUSTOMER Customer NET INT INC Net Income CR DV IN INT INC Net Income NET INT INC DR DV OUT INT EXP Net Expense NET INT EXP Net Expense CR CUSTOMER Customer NET INT EXP For example Assume the following parameters for a DV IRS deal In leg start date 01 jan 2004 Frequency Quarterly In leg payment method Arrears Accrual No In leg interest Component DV_IN_INT Out leg start date 01 jan 2004 Frequency Half yearly ORACLE Out leg payment method Arrears Accrual No Out leg interest Component DV OUT INT Assume the following cash flows In Schedule on IN Interest OUT Interest Net Schedule Dates amount amount Amount Dates 01 MAR
43. Product Description Swaption Reference n Detail Additional Termination Details Counterparty Description Settlement Account Branch Account Contract Type In Leg Currency Description In Principal Amount Out Leg Out Leg Currency Description Out Principal Amount Reference Number User Reference External Reference Reversed Reference Trade Date Booking Date Value Date Maturity Date Buy or Sell Rate Type Rate Source Rate Rate Type Rate Source Rate Version Number a ot Source Code FLEXCUBE Type Type Description Liquidate Past Schedules Broker Dealer Exchange Rate Buy Remarks Sell Rate Code Tenor Code Spread Flat Amount Rate Code Tenor Code Spread Flat Amount Event Brokerage Settlements Advice Charges Tax MIS Fields Principal Interest Sub Agreement Input By Date Time Authorized By Date Time Status Authorization Status The Contract On line screen contains a header footer and a body of fields that capture information specific to the contract that you are maintaining You need to capture these details in addition to the attributes that the contract acquires as a result of being linked to the product The body of fields in this screen is divided into two tabs Firstly you need to capture the main details of the derivative contract such as the Contract Type Counterparty and the In and Out Leg interest and principal
44. amount 041 DV ICA DVINTCAL Unhandled Exception while calculating the interest amount 051 DV ICA DVINTCAL Unhandled Exception while calculating the interest amount 061 DV INT DVDINDET Unhandled exception while validating the Start Date 001 DV INT DVDINDET Start Date Cannot be before the application Date 002 DV INT DVDINDET Start Date Cannot be before the Value Date 003 DV INT DVDINDET Start Date Cannot be after the Maturity Date 004 DV INT DVDINDET Schedule Date is not Unique 005 DV INT DVDINDET Unhandled exception while validating the Schedule 011 DV INT DVDINDET Mandatory field Start Date is NULL 012 DV INT DVDINDET Mandatory field Frequency is NULL 013 ORACLE DV INT DVDINDET Mandatory field Frequency Unit is NULL 014 DV INT DVDINDET Mandatory field No of Schedules is NULL 015 DV INT DVDINDET Mandatory field Amount is NULL 016 DV INT DVDINDET Unhandled exception while amending the Schedules 021 DV INT DVDINDET Unhandled exception while defaulting the Schedules 031 DV INT DVDINDET Unhandled exception while Canceling the changes 041 DV INT DVDINDET Unhandled exception while exploding the Schedules 051 DV INT DVDINDET Unhandled exception while exploding the Schedules 061 DV INT DVDINDET Unhandled exception while validating the Schedules 071 DV INT
45. and losses due to changes in the market interest rates or the exchange rates Oracle FLEXCUBE provides a feature to revalue the worth of derivative contracts linked to the product based on the Fair Price the Contract Rate or the Bank Rate Revaluation Required You can revalue the worth of contracts associated with the product at regular intervals Check this box to indicate whether revaluation is required for the product you are defining Else leave this box unchecked Note At the time of processing a contract if you decide that revaluation is not required then you can choose to waive this option even if at the product level you have specified that reval uation is necessary for contracts involving the product However if at the product level you have specified that revaluation is not required then while processing the contract you will not be allowed to choose the revaluation option Revaluation Netting Required If you have indicated that revaluation is required for the product then you can also indicate whether accounting entries should be passed at the leg level or at the contract level v2 ORACLE Check this box to indicate that revaluation entries should be passed at the contract leg level Revaluation Level and Method In Oracle FLEXCUBE revaluation entries can be passed either at the product level or at the contract level After you indicate the level for revaluation you can indicate the method to be used
46. as a Mandatory Program For example you need to maintain the function DVBAUDLY as a mandatory program to execute the End of Day batch You can invoke the screen by typing EIDMANPE in the field at the top right corner of the Application tool bar and clicking the adjoining arrow button 6 1 ORACLE 6 3 Mandatory Batch Program Maintenance E New E Enter Query Branch 000 Function Module Sequence Number Description End of Cycle Group Txn Input Error Handling Stop Automatic End of Day End of Txn Input and Run Emergency Program En bof Fin input Continue with Automatic End of Day End of Day Beginning of Day Frequency Daily Number Of Days Run Date Job Code Description Holiday Rule Do Not Execute Execution Layer Database Application Sub Stage 1 Predecessors 1 0f 1 Predecessors x Fields Maker Date Time Checker Date Time Mod No Record Status Authorization Status Refer the Automated End of Day User Manual for further details about running an EOD batch Triggering the Year end Batch process for collecting Contract wise Data The year end batch process can be triggered to collect data pertaining to the unrealized income booked for each contract during the year You will be allowed to trigger this process only if you have enabled the Track PY PnL Adjustment option for your branch through the Preferences section of the Branc
47. contract was booked Effective Date This is the date on which the contract comes into effect Maturity Date This is the date on which the Swap matures In the case of an FRA this would typically be the last date for the computation period Contract Status This is the status of the contract Contract Type This is the derivative type to which the derivative contract belongs Type Description This is the description associated with the derivative type Termination Type This indicates whether the termination of the contract was a normal termination or was assigned to another counterparty Termination Date If you are generating the details of a contract which was terminated the date on which the contract was terminated is reported In Leg Indicates the In ledger In Leg Principal This is the in leg principal amount of the settled terminated contract Currency This is the currency of the In Leg principal Out Leg Indicates the out ledger Out Leg Principal This is the out leg principal amount of the settled terminated contract Currency This is the currency of the Out Leg principal Termination To Indicates the termination In Leg and Out Leg Interest Component Details The in and out leg interest details for each of the components involved in the contract will be reported under this head These details include the following e Component e Value Date e Rate Type e Rate Code e Rate s ORACLE e Currenc
48. details You can specify the Contract Principal Schedules for both the in and out legs separately by clicking Principal button Click Interest button to indicate the interest details for both the legs of the contract Next you can start capturing additional information relating to the derivative such as the Revaluation details Inception and Termination details and so on by moving to the Detail tab Besides the existing fields in the Derivative Contract On line screen you will also notice a vertical array of icons Clicking on an icon launches a screen that captures details specific to an attribute Settlement Message details for example These buttons are briefly described below Click this icon to indicate brokerage details applicable to the con Brokerage Click on this button to enter the leg advices You can view sup press and prioritize the advices that are to be generated for each leg of the transaction Advice Click this icon to view details of the events and accounting entries that the contract involves The screen also displays the overrides that were encountered for the contract Event Click this icon to invoke the User Defined Fields screen You can indicate the user defined fields for which information needs to be captured Fields 9 ORACLE This button invokes the Charge service of Oracle FLEXCUBE On invoking this function you will be presented with a
49. displayed in this field You can choose to change it by selecting another code from the available option list Spread on a floating interest rate When the Rate Type of the particular leg of a contract is floating you can choose to specify a spread that is to be applied over the rate maintained in the Floating Rate screen The Spread that you enter should be greater than or equal to the Minimum Spread and less than or equal to the Maximum Spread defined for the product that the contract involves If the spread you apply happens to be greater than the Maximum Spread then the Maximum Spread will be applied on the rate On the other hand if it is less than the Minimum Spread defined for the product the Minimum Spread will be picked up Rate If you specify that the interest rate for this leg of the contract is Fixed then you have to enter the actual rate of interest oe ORACLE 5 1 2 Flat Amount If you have indicated the Rate Type is Special for this leg of the contract then you need to specify the Flat Amount Details Tab Once you enter the essential details of the derivative contract you have to enter the additional details that are required to process the contract Click on the tab that corresponds to Detail Derivatives Contract Input Enter Query Product Reference Number Version Number 4 Of rr Product Description ens Source Code FLEXCUBE External Refere
50. for revaluation The options available are e Fair Price e Contract Rate e Branch specific Interest Rate The revaluation level and method that you specify will determine the manner in which the product will be revalued Note Each of the above methods is explained in detail in the chapter titled Defining Fair Price revaluation methods Revaluation Frequency The frequency with which a product should be revalued has to be specified as a product preference Once you have indicated the level and the method for revaluation you can specify the frequency with which a product should be revalued The frequency can be one of the following e Daily e Weekly e Monthly e Quarterly e Half yearly e Yearly Note If the revaluation date falls on a holiday the revaluation is done as per your holiday han dling specifications in the Branch Parameters screen Revaluation Start Weekday In case of weekly revaluation you should specify the day of the week on which revaluation should be carried out For instance if you specify that revaluation should be carried out every Friday then the contract or product depending on the level specified will be revalued every Friday of the week Note The Revaluation Frequency that you specify at the product level cannot be changed while processing the contract Revaluation Start Day In the case of monthly quarterly half yearly or yearly revaluation you should specify th
51. for the derivatives module Products help you group together or categorize contracts which share broad similarities You have to associate a derivative type with each of the products that you create Thus the product inherits all the attributes of the type Subsequently you associate the various interest charge and tax classes with the product Under each product that you define you can enter specific contracts for this module By default a contract inherits the attributes of the product to which it is associated This means that you do not have to define the attributes that default from the product every time you input a contract involving the product However you can change some of the attributes to suit the product you are defining Maintaining the Derivative Contract Input Screen You can invoke the Contract Input screen by typing DVDTRONL in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button To specify the details of a new contract select New from the Actions Menu in the Application tool bar or click new icon If you are calling a contract that has already been created choose the Contract Input Summary option The details of all the contracts that you entered earlier will be displayed in a tabular form From the Summary screen you can open an existing deal by double clicking it ORACLE Derivatives Contract Input FX amp Enter Query Product B
52. have multiple schedules for one leg and bullet schedules for the other leg For instance you can indicate that the in leg schedules have to be bulleted and the out leg schedules have to be multiple Consequently for all contracts linked to this type the in leg schedules will be bulleted while the out leg can have multiple schedules You can also choose to define multiple schedules for both the inward and outward legs and indicate that the frequency of repayment should differ Revision schedules allowed for the leg type Just as in the case of interest schedules so also revision schedules too can either be multiple or bulleted depending upon your specification A revision schedule is the time period for which a floating interest rate is to be used Normally this would be the same as the interest schedule but in Oracle FLEXCUBE you are allowed to maintain separate interest and revision schedules Therefore you have to specify whether the revision schedules defined for the particular In or Out leg of the contract need to be in sync with the interest schedules or whether they can be asynchronous For instance you may like to permit contracts with semi annual interest payments with quarterly revision in interest rate Payment Method Interest amount repayments for both the inward and outward interest legs can be made either atthe start of the interest period or atthe end of the interest period For instance a typical FRA would require a discounted
53. liquidated Maintaining Settlement Instruction Details In order to capture the details of a contract successfully you have to capture the following details as well e accounts to be debited for charges if there are any e The accounts to be debited for interest that the contract involves e method in which the contract is to be settled whether it is an instrument or a Message as in a SWIFT or TELEX message e Details about the route through which the money settlement should take place The information that is related to the settlement method and route applicable for a transfer is referred to as Settlement Instructions oe ORACLE The Settlement Instructions are captured through four different screens Click Settlements button in the Contract Input Details screen to invoke the Settlement Instructions screen Through the four screens you can capture the following information e Account details details about the accounts involved in the contract that have to be either debited or credited in your branch e Message details e Party details details about the various parties involved in the contract Settiement Details Contract Reference Component Payment Details Parties Parties Local Clearing Other Details Settlement Details 101 Oo Component Currency Debit Credit Account Account Description Branch Account Currency Original Exchange A Credit
54. main component speci fied for the In Leg of the contract The netted amount will be dis played against the main component The amount due towards each schedule will be settled in the cur Currency rency displayed here Indicates whether the components are payables or receivables The value displayed may be Pay Receive O Outgoing Payable or Incoming Receivable In addition to the above fields you are allowed to enter the following details in the screen You need to unlock the record before proceeding to enter these details For each schedule you can indicate the media MAIL SWIFT etc through which the confirmation was received You can select the appropriate media from the option list provided You are also allowed to enter a media type that is not available in the option list You can specify the name of the receiver for instance the name of the Derivatives back office user in your bank who received the confirmation No validation is done for this field If itis desired you can enter additional information for each schedule in the Remarks column The system does not validate the contents of this field Confirming a schedule You can mark the schedules for which a confirmation is required from the counterparty Select the Confirmation option by checking the C option for each schedule At the time of saving the record the system triggers the Derivative Schedule Confirmation DCON eve
55. of Accounts This is because the previous year unrealized income would have already moved to the year ends P and L EYPL GL after financial closure The remaining amount if any is deb ited from the current year unrealized income GL DRRL Contract Revaluation Reversal Accounting Entries Case Next Day in BOD when next day is not the beginning of a new financial year or at the time of the next revaluation 9 24 ORACLE Accounting Role Amount Tag Debit Credit In Leg entries INLEG RVL INC PRV INRVL REC Debit CONT FAIR VAL PRV INRVL REC Credit CONT FAIR VAL PRV INRVL PAY Debit INLEG RVL EXP PRV INRVL PAY Credit Out Leg entries OUTLEG RVL INC PRV OUTRVL REC Debit CONT FAIR VAL PRV OUTRVL REC Credit CONT FAIR VAL PRV OUTRVL PAY Debit OUTLEG RVL EX PRV OUTRVL PAY Credit P In case of Revaluation Netting NET RVL INC PRV NETRVL INC Debit CONT FAIR VAL PRV NETRVL INC Credit CONT FAIR VAL PRV NETRVL EXP Debit NET RVL EXP PRV NETRVL EXP Credit Case II Next Day during BOD if the next day is the beginning of a new financial year Accounting Role Amount Tag Debit Credit In Leg entries INLEG RVL INC PRV INRVL REC PY Debit CONT FAIR VAL PRV INRVL REC PY Credit CONT FAIR VAL PRV INRVL PAY PY Debit INLEG RVL EXP PRV INRVL PAY PY Credit Out Leg entries OUTLEG RVL INC PRV OUTRVL REC PY Debit
56. on the holiday calendars of the currencies or financial institutions involved in the contract You specification will be automatically inherited by the product associated with the derivative type and consequently by any contract entered using the respective product Interest Details Specify the following details Netting Required If two or more accounting entries for an interest schedule payment are to be passed in the same currency on the same Value Date then in Oracle FLEXCUBE you are allowed to net these entries s ORACLE However netting of entries is allowed only in the case of single currency derivative types If you are maintaining details of a cross currency type you will not be allowed to net entries Asynchronous Schedules The interest due is liquidated on a different date from revaluation date of the contract in case of asynchronous schedules Netting for asynchronous schedules is allowed only for derivative types that do not define a cross currency swap The in leg and out leg payment methods should also be synchronous both Advance and Arrears for selecting the Netting required option for Asynchronous schedules In Out Leg Interest Details Interest Schedules Allowed for the leg type While maintaining the derivative type you are required to indicate whether contracts linked to the derivative type can have multiple schedules or whether the schedules have to be bulleted In Oracle FLEXCUBE you can choose to
57. on the last or first working day of the month depending on whether the maturity date is over the month end or the beginning of the month Holiday CCY If you have specified that the Holiday Treatment should be as per your specifications in the Currency Holiday Calendar then you have to indicate the currency for which the holiday table should be checked Financial Centre If you have indicated that the Holiday Treatment should be governed by the holiday calendar of the Financial Center then you have to indicate the code assigned to the Financial Center Inception Details Specify the following details Inception Value The inception value refers to the value of the contract at inception This is applicable only in the of trade deals You can either choose to amortize the gain loss at inception or you can choose to ignore the same Note Your preference at the product level regarding the amortization of inception gain and or loss will be will be made applicable to the contract as well However if you do not want to allow amortization for inception gain loss for this particular contract you will be allowed to do so Additional Tab You can capture the additional details of the contract by clicking the Additional button Derivatives Contract Input E3 Enter Query Product Reference Number Version Number 4 Of b Product Description elio A Source Code FLEXCUBE External Ref
58. redit Amou Indicator nt NET RVL INC Revaluation PRV NETRVL Debit 150 Income NC CONT FAIR VAL Contract Fair PRV NETRVL Credit 150 Value GL NC Entries passed on the 15 of September for the event DRVL are Accounting Role Amount Tag Debi Credit PNIS Indicator nt NET RVL EXP Revaluation CUR NETRVL E Debit 75 Expense XP CONT FAIR VAL Contract Fair CUR NETRVL E Credit 75 Value GL XP If the 2 9 of August happens to be the first day of a new financial year the entries passed on that day during BOD are Event DRRL Accounting Role Amount Tag Debi Credit Amoun Indicator t Previous Year adjustment GL PRV_NETRVL_INC_P Debit 150 Y CONT_FAIR_VAL Contract Fair PRV NETRVL INC P Credit 150 Value GL Y This is because the revaluation profit and loss for the previous year ending 18 August would have been transferred to the Previous Year P amp L Adjustment GL Note The revaluation reversal program will be called during termination of the contract and final liquidation to reverse out any previous revaluation gain or loss as ORACLE 3 4 See the chapter on Accounting Entries of this manual Maintaining Counterparty Master Agreement Details Through the Derivatives Counterparty Master Agreement Maintenance screen you can enter the details of the master agreement s with each counterparty You can invoke the Counterparty Mas
59. screen Party Type The party type to whom a specific advice should be sent is picked up automatically based on the type of contract you are entering and the parties specified in the contract The address of the party who is the recipient of the message will be picked up by default based on the media and address maintenance for the party You can change either of them For a payment message by SWIFT you also have the option to change the priority of the message Receiver ID Specify the Customer to whom the Advice is being dispatched Suppress By default all the advices defined for a product will be generated for contracts involving it If any of the advices are not applicable to contract you are processing you can suppress its generation Priority For a payment message by SWIFT you also have the option to change the priority with which the message should be generated By default the priority of all advices is marked as Normal You have the option to prioritize a payment message to one of the following options e Normal e Medium e High Medium The medium through which an advice is transmitted and the corresponding address will be picked up based on the address and media maintained for the customer who is the recipient of the message You can however change either of these while processing the contract Typically if changed both of them will be changed one ORACLE 5 1 9 Viewing Event Details Click Ev
60. screen you can enter basic information relating to a derivative product such as the Product Code the Description etc You can invoke the Derivatives Product Definition screen by typing DVDPRMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Derivatives Product Definition Enter Query Product Code Exchange Rate Variance Product Description Override Limit 3 Product Type Stop Limit 100 Description Rate Code v Slogan Rate Type Preferred Product Group Product Group Description Start Date End Date Remarks Accounting Roles Events Branch amp Currency Customer Preferences Interest Charges Tax MIS Fields Maker Date Time Checker Date Time Mod No Record Status Authorization Status Maintaining Derivative Products For any product you create in Oracle FLEXCUBE you can define generic attributes such as branch currency and customer restrictions interest details tax details etc by clicking on the appropriate icon in the horizontal array of icons in this screen For a derivative product in addition to these generic attributes you can specifically define other attributes These attributes are discussed in detail in this chapter You can define the attributes specific to a derivative product in the Derivatives Product Maintenance screen and the Product Preferences
61. the following information to be present in the upload message e Contract Reference No e Effective Date e InLeg Value e OutLeg Value If any of these values is missing for any record the system will terminate the upload process and raise an error as Net Fair value will be defaulted from Inleg and Outleg fairvalues The single record and bulk record uploads requests are handled in bulk requests itself for the following e DV Fairvalue e DV Rate Revision The system will also raise an error if e Contract Reference Number is not valid ORACLE 4 4 1 e Duplicate record exists for the Contract Reference Number and Effective date combination e Revaluation date is greater than the application date You can run the fair value upload process any time before the DV batch is processed during the day During the DV batch contract revaluation will be done based on the fair value uploaded Interest Revision System selects the option Auto if a revaluation record is created automatically during EOD batch You can create the revaluation record manually and select the option as Manual Note Typically the manul revaluation record is created on the booking date as by then the EOD batch would not have run Net Fair Value You have to indicate the net fair value of the contract as of the revaluation date The value that you enter includes the effect of the in leg and out leg of the contract When the cur
62. the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button 4 19 ORACLE Derivatives Revaluation Contract Fair Values E Enter Query d Contract Reference Revaluation Date 5 Transaction Date User Reference Out Leg Currency Currency Fair Value Fair Value Automatic Automatic Auto Manual Confirmation Currency Fair Value Confirmed Input By Authorized By Modification Date Time Date Time Number Wi Authorized Open When you want to change the revaluation frequency of a specific contract select New from the Actions Menu in the Application tool bar or click new icon The Revaluation Contract Fair Value screen will be displayed without any details Select the reference number of contract whose revaluation frequency is to be changed Enter the revaluation date the new in and out leg values and the net fair value If you are calling an existing contract price maintenance record choose the Summary option under Contract Price From the Summary screen double click a record of your choice to open it To modify the in and out leg values click the unlock icon or select Unlock from the menu Enter the in and out leg values and compute the new net fair value and save the record During bulk upload of these fair values for multiple contracts Oracle FLEXCUBE expects
63. time of defining the prod uct If the exchange rate variance exceeds the Override Limit the system will display an appropriate override message If the rate variance exceeds the Stop Limit then you will not be allowed to save the contract until you change the rate Remarks Free format information pertaining to the details of the contract can be captured in this field The remarks that you enter here will not be reflected in any of the advices sent to the customer You can capture the relevant information in the window that gets displayed Once you capture the necessary information click the OK button Default Details At the time of input of a contract in different currencies after you have specified the currency and amount of the first leg and the currency of the second leg you must click the Default button The system then displays the equivalent amount for the second leg in the currency specified for that leg i ORACLE In case of contracts with both legs in the same currency you can use the Default button or manually input the amount and currency for both legs Note If you wish to specify the Principal and Interest details for a contract you must use the De fault button irrespective of whether both legs of a contract are in the same currency or in different currencies The system displays an error if you try to access the Principal and Interest screens without having visited the Default button
64. to specify the relevant interest accrual details The accrual details that you specify will be made applicable to all hedge contracts associated with the product You have to indicate whether interest should be accrued at the product or contract level for hedge deals The interest accrual specifications should be done for both the inward and outward legs of the contract You can specify the interest accrual details by clicking on the Interest tab in the Product Preferences screen T ORACLE Derivatives Product Preferences Product Code Product Type Main LEE Schedules Amortization Details Interest Main Details Interest Accrual Level In Leg Denominator Basis Allow External Rate Revision In Leg Interest Accrual Details Accrual Frequency Accrual Start Weekday Accrual Start Day Accrual Start Month Numerator Method Denominator Method Denominator Basis Product Description Product Type Description Interest Accrual Level Contract Product Out Leg Denominator Basis Out Leg Interest Accrual Details Accrual Frequency Amortization Start Month Amortization Start Day Amortization Start Weekday Numerator Method Denominator Method Denominator Basis Include To Date Include To Date In Leg Interest Liquidation Details Out Leg Interest Liquidation Details Numerator Method Actual Numerator Method Actual Denominator Method Actual Denominator Method Actual
65. 0 Function ID Glossary D DVRPBKDT 8 3 DVBAUDLY 6 1 DVRPCACT 8 5 DVDBRNPM 3 5 DVRPCSDT 8 7 DVDBRRAT 4 19 DVRPCSSM 8 9 DVDCNRAT 4 21 DVRPEXOCP 8 10 DVDCNVAL 4 16 DVRPRVAL 8 11 DVDCPMNT 3 9 DVRPSTLD 8 13 DVDDTMNT 3 1 E DVDMGMNT 3 14 DVDPRMNT 4 1 EIDMANPE ee 6 1 DVDTREAS 5 48 S DVDTRONL ees 5 1 STDCLMNT 3 13 DVRPACCR 8 2 10 1 ORACLE
66. 2 is not allowed 130 1 DV CSR DVCNSRV Unhandled Exception while deleting the contract 201 2 DV CSR DVCNSRV_ Error While Deleting the MIS details 202 2 DV CSR DVCNSRV_ Unhandled Exception while amending the contract 211 2 DV CSR DVCNSRV Unhandled Exception while copying the Contract 221 2 DV CSR DVCNSRV Product is not Valid 222 2 DV CSR DVCNSRV No Primary Interest component defined for the In Leg 223 2 DV CSR DVCNSRV No Primary Interest component defined for the Out leg 224 2 156 ORACLE DV CSR DVCNSRV Error While copying the MIS details 225 2 DV CSR DVCNSRV Unhandled Exception while reversing the contract 231 2 DV CSR DVCNSRV Unable to obtain Contract Lock 232 2 DV CSR DVCNSRV_ Unhandled Exception while reversing the Accounting 241 2 Entries DV CSR DVCNSRV Unhandled Exception while populating the handoff table 251 2 DV CSR DVCNSRV Unhandled Exception on handoff of accounting Entries 261 2 DV IAC DVACCR Unhandled Exception while building the queue array 001 DV IAC DVACCR Unhandled Exception while calculating the periodic accrual 011 date DV IAC DVACCR Unhandled Exception while processing periodic interest 021 accrual DV IAC DVACCR Unhandled Exception while accruing for a contract 101 DV IAC DVACCR Unhandled Exception while calculating the accrual amount 121 DV IAC DVACCR Reset not do
67. AB OFS OUTLEG PRN DEBIT Advices Advice Name Description DV FRA CON FRA Contract Confirma F tion 9 5 2 DINT Contract Initiation Accounting Entries Accounting Role Amount Tag Dr Cr Indicator CONT_ASSET INLEG_PRN CREDIT CONT_ASSET_OF INLEG PRN DEBIT S INLEG ASSET INLEG PRN DEBIT CUSTOMER INLEG PRN CREDIT 99 ORACLE 9 5 3 Accounting Role Amount Tag Dr Cr Indicator CONT LIAB OUTLEG PR DEBIT N CONT LIAB OFS OUTLEG PR CREDIT N OUTLEG LIAB OUTLEG PR CREDIT N CUSTOMER OUTLEG PR DEBIT N Advices Nil DILQ Contract Interest Liquidation Accounting Entries Accounting Role Amount Tag Dr Cr Indicator CUSTOMER DV IN INT ILIQ DEBIT DV IN INT INC DV IN INT ILIQ CREDIT CUSTOMER DV OUT INT ELI CREDIT Q DV OUT INT EXP DV OUT INT ELI DEBIT Q You will need to maintain the following accounting entry set up when an arrears contract is liquidated with previous year adjustment option jh Dr Cr Indicator Accounting Role Amount Tag In Debit Customer Component RLIQ Credit Component REC Component RLIQ Out Debit Component PAY Component RLIQ Credit Customer Component RLIQ In Debit Component INC UNRLZ Component RLIQ P Y Credit Component INC Component RLIQ P Y Debit Component INC UNRLZ Component RLIQ C Y Credit Component INC Component RLIQ C Y ORACLE
68. ACLE When holiday treatment has been set as combined but schedule holiday treatment has been set as ignore or Local at the specific component level then the data provided in the combined holiday treatment table will not be considered by Uploaded schedules In case of synchronous schedules for principal or interest supported by the derivative type the OUT leg holiday preference will be defaulted from the IN leg and the already provided OUT leg will be ignored While in case of synchronous revision for IN or OUT legs for interest revision supported by derivative type IN OUT revision holiday preference will be defaulted from IN OUT interest holiday preference In case of asynchronous schedules if you have to specify the holiday treatment in the existing upload tables as Currency Financial center for IN and OUT legs and the holiday treatment in type maintenance is defined as combined then you must provide for combined holiday treatment details for IN and OUT leg separately else an error is displayed If the holiday treatment has been specified as Ignore Local for the component in the existing table then the new upload table for combined holiday treatment will be ignored for that component and schedule type 94 ORACLE 7 Error Messages for Derivatives 7 1 Error Codes and Messages ds Error Code Message DV RVN DVRESET Unhandled Exception while processing rate revision 001 0 DV ADV DVAD U
69. Contract Reference This is the reference number of the contract involved in the product for which revaluation details are being reported Previous Revaluation accounting entries These are the revaluation entries that were passed in the previous revaluation cycle These include the following e Previous In Receivable e Previous Out Payable e Previous Net Revaluation Income e Previous Net Revaluation Expense Each of these entries will be reversed in the current revaluation cycle Product Code The code of the product for which you are generating the revaluation details is reported here Current Revaluation accounting entries These are the accounting entries which have been passed in the current revaluation cycle e Current In Receivable e Current Out Payable e Current Net Revaluation Income e Current Net Revaluation Expense Values for each of these fields will be displayed depending on whether the particular entry is applicable for the particular or not Settled and Terminated Deals Report Through the Settled Deals report options screen you can generate a detailed report on all contracts which were settled as well as on those contracts which were terminated You can invoke the screen by typing the code DVRPSTLD in the field at the top right corner of the Application tool bar and click on the adjoining arrow button us ORACLE 8 9 1 Settled Deals Report Selection Criteria J Settled Term Booking Date Fro
70. DV LM DVLIMITS Securities exist with the Issuer Code Record cannot be 00059 closed DV LM DVLIMITS There are Collaterals linked to this Limit Record cannot be 00060 closed i ORACLE DV LM DVLIMITS There are Collaterals linked to this Security Record cannot 00061 be closed DV LM DVLIMITS There are Collaterals linked to this Price Code Record can 00062 not be closed DV LM DVLIMITS There are Collaterals linked to this Collateral Type Record 00063 cannot be deleted DV LM DVLIMITS This Facility is not available at this Branch 00064 DV LM DVLIMITS No Details exist for the Reference Number 00065 DV LM DVLIMITS Customer Clean Risk Limit cannot be greater than Liability 00066 Clean Risk Limit DV LM DVLIMITS Customer Clean Risk Limit cannot be greater than Overall 00067 Limit DV LM DVLIMITS Liability Clean Risk Limit cannot be greater than Overall 00068 Limit DV LM DVLIMITS Limit Currency is not Entered 00069 DV LM DVLIMITS Overall Limit is not Entered 00070 DV LM DVLIMITS Liability Clean Risk Limit is not Entered 00071 DV LM DVLIMITS Line Not Authorized 00100 DV LM DVLIMITS Line Closed 00101 DV LM DVLIMITS Line Not Found 00102 DV LM DVLIMITS Invalid Customer ID 00103 DV LM DVLIMITS Liability ID Not Specified 00104 DV LM DVLIMITS Account ID Not specified 00105 DV LM DVLIMITS Reference Id not
71. Days DV LM DVLIMITS The Main Line Tenor Limit Amount cannot be less than the 00022 next lower Sub Line Tenor Limit Amount 1 2 DV LM DVLIMITS The Limits Copy could not be completed 00023 DV LM DVLIMITS Blank spaces cannot be a part of this field 00024 DV LM DVLIMITS The Line Code should have nine characters 00025 DV LM DVLIMITS The Tenor Mnemonic is not entered 00026 DV LM DVLIMITS The Limit is not entered 00027 DV LM DVLIMITS The Collateral Start Date cannot be later than the Collateral 00028 Expiry Date DV LM DVLIMITS The Margin computed is not between 0 and 100 00029 DV LM DVLIMITS The Collateral Currency is not entered 00030 DV LM DVLIMITS The Collateral Type is not entered 00031 DV LM DVLIMITS The Collateral Review Date cannot be later than the Collat 00032 eral Expiry Date DV LM DVLIMITS The Collateral Review Date cannot be earlier than Collateral 00033 Start Date DV LM DVLIMITS The Expiry Date cannot be earlier than Start Date 00034 DV LM DVLIMITS The Security Code is not entered 00035 DV LM DVLIMITS The Security Type is not entered 00036 DV LM DVLIMITS The Currency is not entered 00037 DV LM DVLIMITS The Market Price Details are incomplete Complete Delete 00038 the Market Price Details DV LM DVLIMITS The Line Code is not entered 00039 DV LM DVLIMITS The computed exposure is not between 1 and 100 00040 ORACLE
72. Details and Internal remarks After specifying the main details about the master agreement you can summarize the entire agreement and store details about it This information is basically for the internal reference of your bank and will not be reflected on any customer correspondence Additionally you can also capture your own internal remarks about the master agreement that you have created These remarks too will not be reflected in your correspondence with the customer Sub Agreements With every master agreement that you create you can link one or more sub agreements Subsequent to creating a sub agreement you can either choose to link it to the master agreement or choose to link it at a future point in time Code Specify a code to identify the sub agreement that you are creating The code that you specify will have to be a unique code at the counterparty level Description Enter a brief description that will enable you to identify the sub agreement code being maintained quickly The description that you specify here is for information purposes only and will not be printed on any customer correspondence Date Specify the date as of which the sub agreement was signed Agreement Details You can summarize and capture all the details about the sub agreement The details that you enter here will not be printed on any customer correspondence Linkage You can check this box to indicate that the sub agreement for which you are maintai
73. GAIN DEBIT PUB ORACLE TRMN INC TRMN GAIN CREDIT CUSTOMER TRMN LOSS CREDIT TRMN EXP TRMN LOSS DEBIT is ORACLE Advices Advice Name Description DV FRA TRMN FRA Termination 9 5 8 DAMN Contract Amendment Accounting Entries Accounting Role Amount Tag Dr Cr CONT ASSET INLEG PRN DECR CREDIT CONT ASSET OFS INLEG PRN DECR DEBIT CONT ASSET INLEG PRN INCR DEBIT CONT ASSET OFS INLEG PRN INCR CREDIT CONT LIAB OUTLEG PRN DECR DEBIT CONT LIAB OFS OUTLEG PRN DECR CREDIT CONT LIAB OUTLEG PRN INCR CREDIT CONT LIAB OFS OUTLEG PRN INCR DEBIT Advices Advice Name Description DV FRA AMND FRA Amendment 9 5 9 DIAC Contract Interest Accrual Accounting Entries Accounting Role Amount Tag Dr Cr DV IN INT INC DV IN INT IAC CREDIT DV IN INT RIA DV IN INT IAC DEBIT DV IN INT INC DV IN INT RAC CREDIT DV IN INT REC DV IN INT RAC DEBIT DV OUT INT EXP DV OUT INT EAC DEBIT DV OUT INT PIA DV OUT INT EAC CREDIT DV OUT INT EXP DV OUT INT PAC DEBIT DV OUT INT PAY DV OUT INT PAC CREDIT 0 ORACLE Entries that are passed for the DIAC event Arrears Contracts for transfer of unrealized to realized income are as follows In Out leg Dr Cr Indicator Accounting Role Amount Tag In Debit Component REC Component RAC Credit Component INC UNRLZ Component RAC Out Debit Compo
74. LEXCUBE a schedule date falling due on a holiday can be treated in any of the following ways e Ignore the holiday In which case the holiday will be ignored and the schedule date will be retained on that day e Choose to follow the Local holiday The holiday will be treated as per your specifications in the Branch Holiday Maintenance screen e Choose to follow the Currency holiday The movement of schedules will be based on the holiday calendars maintained for all the currencies that you have specified for the contract in the Holiday Currency screen explained in detail in the subsequent section e Indicate that the holiday treatment should be governed by the Financial Center In such a case the movement of schedules will be based on the holidays maintained for the financial institutions involved in the contract multiple financial institutions are also maintained in the Holiday Currency screen Holiday Currency and Financial Centre If you choose to follow either the currency holiday or the holiday calendar maintained for the financial center you need to specify the currencies financial institutions that are involved in the contract In the event a schedule date of a component falls due on a holiday the system computes the next schedule date based on the combination of holiday calendars maintained for all the currencies financial institutions that you have specified for the contract whether principal interest or revis
75. Months If you have chosen to move a principal schedule falling due on a holiday either forward or backward such that it falls due on a working day and it crosses over into another month the schedule date will be moved into the next month only if you so indicate If not the schedule date will be kept in the same month For example Scenario 1 You have defined a principal schedule that falls due on April 30 This happens to be a holiday You have indicated that in case of a holiday the schedule date is to be moved forward to the next working day If you have indicated that the schedule can be moved across months then the schedule will be automatically moved to May 1 that is the next working day in the next month If you have not allowed movement across the month but have indicated forward movement for the same schedule under discussion the schedule date will be automatically moved backward in this case to the last working day of the same month that is to April 29 despite your having indicated a forward movement into the next working day Scenario 2 You have defined a repayment schedule that falls due on May 1 This happens to be a holiday You have indicated that in case of a holiday the schedule date is to be moved backward to the previous working day If you have indicated that the schedule can be moved across months then the schedule will be automatically moved to April 30 that is the previous working day If you
76. NT USD 32 1851185555 Rounded amounts before netting DV IN INT USD 57 98 DV OUT INT USD 32 19 The Net Interest income is 57 98 32 19 USD 25 79 9 26 ORACLE Case Settlement on Cash basis Debit Credit Accounting Role Amount Tag Amount Debit Customer NET INT INCC USD 25 79 Credit NET INT INC NET INT INCC USD 25 79 Case ll Settlement on Accrual basis Since the deal makes a net profit for the bank the accounting entries for the liquidation event DILQ are Debit Credit Accounting Role Amount Tag Amount Debit Customer NET INT INCA USD 25 79 Credit NET INT RIA NET INT INCA USD 25 79 Accruals for In and Out Leg are performed separately For the above deal In Leg accrued amount is USD 5 25 and the Out Leg accrued amount is USD 3 47 The deal has made a net profit since the inflow is more than the outflow Entries passed during Contract Interest Accrual DIAC are given below Debit Credit Accounting Role Amount Tag Amount Debit NET INT RIA DV IN INT IAC NPRF USD 525 Credit NET INT INC DV IN INT IAC NPRF USD 5 25 Debit NET INT INC DV IN INT IAC NPRF USD 3 47 Credit NET INT RIA DV IN INT IAC NPRF USD 3 47 Note Component IAC EAC NLSS NPRF tags for each of the interest components are created automatically on creation of a new interest class 9 27 ORACLE 1
77. NT INC Net Income TOMER on Accrual basis CR DV IN INT Net Interest NET INT INC REC Receivable DR DV OUT 1 Net expense Pay NET INT EXP Net NT PAY able Expense on Accrual CR CUS Net Expense NET INT EXP basis TOMER Accounting Entry Setup Settlement on Non Cash basis Advance Contracts Netting allowed Advance DR 2 CR Role Description Tag Description DR NET SET BRI Net Settlement DV IN INT Interest DGE IADL amount Inleg CR DV IN INT RI In leg interest DV IN INT Interest A Received in IADL amount advance Inleg CR NET SET BRI Net Settlement DV IN INT O Interest DGE ADL amount Outleg DR DV IN INT PI Outleg Expense DV IN INT O Interest A Paid in Advance ADL amount Outleg DR CUSTOMER CUSTOMER NET SET IN Net Settle C ment Income CR NET SET BRI Net Settlement NET SET IN Accrual DGE C basis CR CUSTOMER CUSTOMER NET SET EX Net Settle P ment Expense DR NET SET BRI Net Settlement NET SET EX on Accrual DGE P basis In Net liquidation event the receivable and payable GLs is liquidated into a Net Settlement Settlement Bridge GL ensuring zero balance at the end of liquidation of cash flows Accounting Entry Setup Settlement on Non Cash basis Arrears Contracts Netting al lowed Arrears 914 ORACLE CR DR Role Description Tag uM DR NET SET BRI Net Settlement
78. ORACLE Derivatives User Guide Oracle FLEXCUBE Universal Banking Release 12 0 2 0 0 Part No E49740 01 September 2013 Derivatives User Guide September 2013 Oracle Financial Services Software Limited Oracle Park Off Western Express Highway Goregaon East Mumbai Maharashtra 400 063 India Worldwide Inquiries Phone 91 22 6718 3000 91 22 6718 3001 www oracle com financialservices Copyright 2007 2013 Oracle and or its affiliates All rights reserved Oracle and Java are registered trademarks of Oracle and or its affiliates Other names may be trademarks of their respective owners U S GOVERNMENT END USERS Oracle programs including any operating system integrated software any programs installed on the hardware and or documentation delivered to U S Government end users are commercial computer software pursuant to the applicable Federal Acquisition Regulation and agency specific supplemental regulations As such use duplication disclosure modification and adaptation of the programs including any operating system integrated software any programs installed on the hardware and or documentation shall be subject to license terms and license restrictions applicable to the programs No other rights are granted to the U S Government This software or hardware is developed for general use in a variety of information management applications It is not developed or intended for use in any inherently dang
79. REVAL Failed to obtain the next working day 002 DV RVL DVREVAL Product is closed 003 DV RVL DVREVAL Product is not authorized 004 DV RVL DVREVAL Failed to obtain the next working day 005 DV RVL DVREVAL Product is closed 006 DV RVL DVREVAL Product is not authorized 007 DV RVL DVREVAL Unhandled exception while calculating the periodic reval 011 date DV RVL DVREVAL Unhandled exception while processing periodic revaluation 021 DV RVL DVREVAL Unhandled exception while populating reval records 031 DV RVL DVREVAL Unhandled exception while revaluing a contract 101 DV RVL DVREVAL Unhandled exception while processing product level revalua 111 tion DV RVL DVREVAL Unhandled exception while processing revaluation 121 DV RVL DVREVAL No data found for the current product code 122 DV RVL DVREVAL Unhandled exception while processing revaluation 131 DV RVL DVREVAL No data found for the current contract ref no 132 DV RVL DVREVAL Unhandled exception while processing revaluation 141 DV RVL DVREVAL Unhandled exception while processing revaluation 151 DV RVL DVREVAL Unhandled exception while building the accounting entry 161 lists DV RVL DVREVAL Unhandled exception while processing the amount tags 171 DV RVL DVREVAL Unhandled exception while calculating the fair value of con 301 tract ie ORACLE
80. Revision of interest rates for a contract with periodic interest rates Start Reference The reference date is the date based on which the repayment schedules for the various components Principal Interest Revision is calculated You can specify that the schedule start period should either be based on the Value Date of the contract or that it should be based on a Calendar Date If you specify that the reference should be the Value Date the dates for schedule repayment dates will be determined by the date of initiation of the contract and the frequency that you specify If the Reference is specified as Calendar Date the dates for schedule repayments will be based on the Start Day Month and Frequency combination Frequency The frequency of schedules that you specify along with the Start Reference and the Frequency Unit will determine the actual repayment schedules for the particular component By default the frequency will be Bullet which means that all the repayments will be made as of the maturity date of the contract 4 11 ORACLE You can change the frequency to any one of the following options e Daily e Weekly e Monthly e Quarterly e Half yearly e Yearly Note Note that if the Reference is set as the Value Date the repayment dates will be calculated using the Value Date the frequency and the Unit of Frequency If the Reference is set as Calendar Date the repayment dates will be calculated based on the Frequ
81. Sinnature Verification 5 1 12 1 Account Details Tab For the various components involved in a transaction like charges etc you have to specify the account details in this screen These details include the component the currency in which it is paid the payment account and its currency the branch of your bank to which the account belongs the exchange rate in the case of the component currency being different from the account currency Depending on the component the system will also display whether the account involved in an entry has to be debited or credited e indicates you credit Pay to the account involved e Rindicates you debit Receive from the account involved 5 1 12 2 Message Details Tab A transaction can be settled either in the form of an instrument a Demand Draft a Manager s Check or a Check or a Message S W I F T TELEX or Mail message to be sent to the receiver The details regarding the instrument or message have to be specified in the Message Details screen The message details that you specify here are applicable only for S W I F T The type of S W I F T message that is generated depends on the parties involved in the contract Depending on the method in which you want to settle the transaction you should input either Instrument or Message details Specifying Instrument Details For a transaction that is being settled through an instrument you should specify the type of instrument
82. T DV MNT DVD Active Contracts are existing for current Record 255 CPMNT DV MNT DVD Mandatory Field Receiver ID Medium is NULL 256 MGMNT DV MNT DVD Receiver ID and Medium is not Unique 257 MGMNT DV MNT DVD Message Type and CIF Id combination is not Unique 258 MGMNT DV MNT DVD Message Type CIF Id Combination is already defaulted 259 MGMNT DV MNT DVD ALL CIF Id Combination is already defaulted 260 MGMNT DV MNT DVD Interest Not yet defined for product Schedules will be incom 301 PRMNT plete Continue DV MNT DVD Mandatory field Frequency Unit is NULL 302 PRMNT DV MNT DVD Mandatory field Weekday is NULL 303 PRMNT DV MNT DVD Mandatory field Start day is NULL 304 PRMNT DV MNT DVD Mandatory field Start Month is NULL 305 PRMNT DV MNT DVMNT Revaluation method cannot be NULL 306 DV MNT DVMNT Mandatory field Denomination basis is NULL 307 DV MNT DVD Mandatory field Numerator method is NULL 308 PRMNT DV MNT DVD Mandatory field Denominator method is NULL 309 PRMNT DV MNT DVD For this derivative type only one IN interest component is 310 PRMNT allowed DV MNT DVD For this derivative type only one OUT interest component is 311 PRMNT allowed DV MNT DVD There should be one primary component for this derivative 312 PRMNT type DV MNT DVD Stop association not allowed for primary component 313 PRMNT Te ORACLE
83. TLQ 100 Payable CR CUSTOMER CUSTOMER NET SET EXP 40 DR NET SET BRIDG Net Settlement NET SET EXP 40 E ORACLE Accounting Entry Setup Settlement on Non Cash basis Advance Contracts DR CR Accounting Role Amount Tag Role Description Tag Description DR CUS Customer DV IN INT DLIQ Interest TOMER amount Inleg CR DV IN INT In leg interest DV IN INT DLIQ Interest RIA Received in Amount advance Inleg DR DV OUT IN Outleg Expense DV OUT INT DLIQ Interest T PIA Paid in Advance amount Outleg CR CUS Customer DV OUT INT DLIQ Interest TOMER amount Outleg DR CUS Customer NET INT INC Net Income TOMER on Accrual basis CR DV IN INT Net Interest NET INT INC RIA received in advance DR DV OUT IN Net expense paid NET INT EXP Net T PIA in advance Expense on Accrual CR CUS Net Expense paid NET INT EXP basis TOMER in advance Accounting Entry Setup Settlement on Non Cash basis Arrears Contracts DR CR Accounting Role Amount Tag Role Description Tag Description DR CUS Customer DV IN INT RLIQ Interest TOMER amount Inleg CR DV IN INT Inleg receivable DV IN INT RLIQ Interest REC GL Amount Inleg DR DV OUT 1 Out leg payable DV OUT INT RLIQ Interest NT PAY GL amount Outleg CR CUS Customer DV OUT INT RLIQ Interest TOMER amount Outleg 9 13 ORACLE DR CUS Customer NET I
84. The contract status remains active after DTRB and a new version is created e For FRA contracts if Settlement Message generation SGEN for liquidation has been triggered before Termination Booking DTRB an override is displayed while saving the contract after entering the Termination Date e If the DTRB event has been triggered for a contract you cannot terminate the contact again e Foraback valued termination or termination on application date the Termination event DTER is triggered along with the event DTRB when you save the contract The SGEN for Termination is fired on authorization e Forfuture dated termination the termination event is triggered during EOD BOD on the respective date e Settlement Message generation SGEN is triggered for the termination event DTER Therefore you must maintain the Payment Message for settlement message generation at DTER If the settlement message generation batch has not been executed then SGEN will trigger along with DTER Note Your specification in the Product Preferences screen about the amortization of termina tion gain loss the will be defaulted on to the contract At the product level if you have set this preference as No then you will not be allowed to change this to Yes at the contract level However if you have set the preference as Yes then you can change this to No at the contract level Limits Processing Limit tracking for Notional Contract amou
85. This defaults to the system date today s date This date is for information purposes only The accounting entries are passed as of the Value Date of the deal initiation date of the deal S ORACLE Value Date If you are entering the details of interest cross currency swap you have to indicate the date on which the swap takes effect In the case of an FRA the value date would typically be the date on which the deal settles The accounting entries for the initiation of the deal will be passed as of the value date The tenor of the deal will begin from this date and all calculations for interest and all the other components based on tenor will be made from this date onwards The system defaults to today s date You can also enter the Value Date of your choice here and it can be any one of the following e Today s date e A date in the past e A date in the future The Value Date should not be earlier than the Start Date or later than the End Date of the product involved in the deal If the liquidation date for any of the deal components falls before today s date the liquidation entries as defined by you for the product will be passed if you have specified the same for the product Maturity Date While maintaining the details of a swap you have to indicate the date on which the swap matures If you are maintaining details of an FRA the maturity date would typically be the last date for the computation period Buy or Sell You n
86. a holi 042 0 day DV SCH DVSCHED Improper Holiday maintenance 043 0 DV SCH DVSCHED Unhandled Exception while Adding months 051 0 7 27 ORACLE DV SCH DVSCHED Unhandled Exception while defaulting Principal Schedules 101 1 DV SCH DVSCHED Error While rounding the amount 102 1 DV SCH DVSCHED Unhandled Exception while Exploding Principal Schedules 111 1 DV SCH DVSCHED Principal amount Cannot be Negative 112 1 DV SCH DVSCHED The Frequency and Frequency Units are Invalid 113 1 DV SCH DVSCHED Unhandled Exception while defaulting Interest Schedules 121 1 DV SCH DVSCHED Unhandled Exception while Exploding Interest Schedules 131 1 DV SCH DVSCHED The Frequency and Frequency Units is Invalid 132 1 DV SCH DVSCHED Interest amount is Negative 133 1 DV SCH DVSCHED Unhandled Exception while Defaulting Revision Schedules 141 1 DV SCH DVSCHED Unhandled Exception while Exploding Revision Schedules 151 1 DV SCH DVSCHED The Frequency and Frequency Units are Invalid 152 1 DV SCH DVSCHED Unhandled Exception while Replicating Principal Schedules 201 2 DV SCH DVSCHED Unhandled Exception while Replicating Principal Schedule 211 2 Periods DV SCH DVSCHED Unhandled Exception while Replicating Interest Schedules 221 2 DV SCH DVSCHED Unhandled Exception while Replicating Interest S
87. ab insect egenum 5 11 5 1 4 Limits Processing enin nca dn uu 5 15 5 1 5 Specifying Interest Details sse 5 21 5 1 6 Contract Rate eene nnne 5 30 5 1 7 Processing Brokerage on a Contract sene 5 31 5 1 8 Specifying Advices for the Contract sss 5 32 5 1 9 Viewing Event Details 5 34 5 1 10 Selecting the User Defined 5 35 5 1 11 Levying Charges for a 5 36 5 1 12 Maintaining Settlement Instruction Details 5 38 5 1 13 Levying Tax on a Contract 5 41 5 1 14 Saving the Details of a Contract 5 42 5 1 15 Generating Payment Messages on Authorization 5 43 5 1 16 Viewing different versions of a 5 43 5 2 Uploading Contracts for eee 5 43 5 2 1 Operations on a Derivatives Contract 5 44 5 2 2 Uploading Derivative Rates 5 44 5 23 A Note on DV Contract Amendment Upload 5 44 5 3 Confirmation of Interest and Principal
88. able and interest schedules e Assumptions purchase and assignments sale of running contracts trade deals e Brokerage Processing e Revision of floating interest indices and interest accruals e Revaluation of contracts e Amortizations Inception and Termination gains losses e Counterparty limit tracking under credit lines e Exposure tracking under ISDA and other Master agreements e SWIFT Messaging including multi party messaging e Queries and reports 2 1 2 2 Maintaining Mandatory Details For Derivatives module to become completely operational you need to set up certain mandatory information Before doing the module specific maintenance you need to complete the core static maintenance of Customer GL Accounts Currency etc The information that you need to maintain in the Derivatives module includes e Defining Derivative Types e Bank Branch Parameter details 22 ORACLE 2 1 2 3 2 1 2 4 Revaluation details Specifying Limits Messaging party details Counterparty details Interest Tax and Charge classes For more details on module specific and generic maintenance that you need to do refer the chapters titled General Maintenance for the Derivatives Module and Defining Attributes Specific to Derivative Products in this User Manual Defining Fair Price Revaluation Methods In Oracle FLEXCUBE you can revalue the worth of contracts by using either one of the following methods They are as follows
89. act Assuming Check this box to indicate that the contract is assumed from the counterparty You can uncheck this box i f the product will be used for a fresh contract 44 ORACLE Brokerage Allowed You can specify whether brokerage should be applied on deals involving this product by checking the box If brokerage is specified for the product you can waive itfor specific deals but if you have specified that brokerage is not applicable to the product you will not be able to levy brokerage on a specific deal involving the product Rekey Fields When a derivative contract is invoked for authorization as a cross checking mechanism you can specify that the values of certain fields should be entered before the contract is authorized This is called the Rekey option While defining the product you have to indicate the fields whose values you need to specify before a contract is authorized Thus it becomes mandatory for you to specify the values of rekey fields for all contracts linked to the product You can specify any or all of the following as rekey fields e In Currency e Out Currency e Maturity Date e n Principal Amount e Out Principal Amount e Value Date If no rekey fields have been defined the details of the contract will be displayed immediately when the authorizer calls the product for authorization Revaluation Details You may want to revalue your deal portfolio on a periodic basis to account for the gains
90. al involves a single currency or two currencies e Deal involves multiple interest schedules e Interest will be liquidated in a single payment By suitably defining a derivative type you will be able to define the following basic instrument types and their variants e Forward Rate Agreements FRA e Cross Currency Swaps CCS e Interest Rate Swaps IRS Type Description You can also assign a brief description for the derivative type that you are defining This description will be associated with the type only for information purposes Under each Derivative Type you can create any number of products Principal Details As part of specifying the principal details you have to indicate whether two separate currencies can be maintained for both the inward and outward legs of all the contracts linked to the derivative type you are creating If you choose allow cross currencies for the in and out s ORACLE legs of contracts linked to the derivative type then you have to also indicate whether the contract principal has to be exchanged upon initiation and maturity Apart from this you also have to indicate whether multiple schedules can be defined for the principal component If you choose to define multiple schedules then the frequency of these Schedules can be indicated at the time of specifying the product preferences You can select any one as the frequency for the principal schedules e Daily e Weekly e Monthly e Quarterl
91. alculated for the accrual period you will be allowed to do so The accrual function when run as part of the batch process run at EOD calculates the accrual amount and passes accrual accounting entries for the accruable interest components of a derivative contract The function will pick up derivative contracts for processing on the following criterion e Active and authorized contracts which are yet to be liquidated im ORACLE e Contracts whose accrual date falls on the current processing date or contracts whose accrual date falls between the current processing date and the next working date The date on which accrual is due for a contract is calculated based on the accrual date and accrual frequency defined for the product associated with the contract If the accrual date of a bill falls on a holiday the accruals are done as per your holiday handling specifications for automatic processes Denominator Method Indicate the denominator type to be used Denominator Basis You need to indicate the basis on which the denominator has to be computed The options available are e Per annum e Per period Auto Settlement When setting up a product you specify the whether the mode of liquidation should be automatic or manual for the different components of contracts linked to that product In this case only automatic settlement is supported Include To Date While calculating interest for the accrual period you have to indicate wh
92. ally used as an instrument to hedge risk Additionally it can also be used for the following purposes e speculate to reflect a view on the future direction of the market e enhance liquidity e Tochange the nature of an investment without incurring the costs of selling one portfolio and buying another Types of Derivatives There are two distinct groups of derivative contracts which are distinguished by the way they are traded in the market Based on the market in which they can be traded derivatives are broadly classified as e Over the counter OTC derivatives These are contracts that are traded and privately negotiated directly between two parties without going through an exchange or other intermediary Products such as swaps forward rate agreements and exotic options are almost always traded in this way e Exchange traded derivatives ETD These are derivatives products that are traded via specialized derivatives exchanges or other exchanges The most common types of derivative instruments are as follows e Futures and Forwards Futures Forwards are contracts to buy or sell an asset on or before a future date at a price specified today A futures contract differs from a forward contract in that the futures contract is a standardized contract written by a clearing house that operates an exchange where the contract can be bought and sold while a forward contract is a non standardized contract written b
93. als should be carried out For instance if you specify that accruals should be carried out every Friday then the contract or product depending on the level specified will be accrued on every Friday of the week Amortization Start Day In the case of monthly quarterly half yearly or yearly amortization you should specify the date on which the amortization should be done during the month For example if you specify the date as 30 amortization will be carried out on that day of the month depending on the frequency If you want to fix the amortization 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 amortization 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 amortization date as 31 amortization 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 amortization frequency If the amortization date falls on a holiday the amortization is done as per your holiday handling specifications in the Branch Parameters screen Amortization Start Month If you set the amortization frequency as quarterly half yearly or yearly you have to specify the month in which the first amortization has to begin bes
94. an use P button to have the details populated by the system The system will default the following details based on the product code or the swaption reference number e Product Code e Product Type e Counter Party e Value Date e Maturity Date e In Leg currency e In Leg Principal Amount e Settlement Account Branch e Settlement Account The system triggers DBOK event when you save the contract In this case the system updates the status of the new contract as Yet to be initiated On authorization the system links this contractto the corresponding swaption deal On Options Contract Input screen you can view the contract reference number of the linked DV contract under Interest Rate Options tab The system allows reversal of the swaption contract only after reversing the IRS contract linked to it During manual auto exercise of OT contract the system will initiate the corresponding DV contract The system will trigger DOPT event as part of this process While performing auto exercise during EOD operations if an OT swaption contract is not linked to any DV contract the system will move that particular OT contract to process exception However the EOD process will not fail for process exceptions For such contracts the contract status will continue to be active even after the maturity date of the swaption deal You can manually control it by reversing or terminating the swaption contract Main Details tab Specify t
95. anch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on Transaction Date This is the date on which the contract was first processed in the system Transaction Ref No This is the transaction reference number Branch Code This is the code of the branch where the contract was processed Process Name The name of the process during which the exception was encountered is reported here Contract Reference Number This is the reference number of the contract for which the process exception details are being reported Error Code The code assigned to the error for which the process exception was raised is reported here Error Message The error message specific to the particular contract will be reported in this field Revaluation Log report Through the Revaluation Log report you can get product wise details of all contracts which were revalued within a specific period Thus at the product level you can guage the gains and losses due to changes in the market interest rates or the exchange rates You can invoke the screen by typing the code DVRPRVAL in the field at the top right corner of the Application tool bar and click on the adjoining arrow button ORACLE 8 8 1 Revaluation Log Selection Criteria Product Code Revaluation From Date To Date Report Format Printer At Client
96. another counterparty then you can indicate the ID of the counterparty to whom the contract is to be assigned Termination Value and Currency If there has been any gain or loss due to termination you have to indicate the gain or loss in value by specifying a positive or negative amount and the currency in which the termination gain or loss should be settled You can either choose to amortize the termination gain loss or you can choose to ignore the same Termination Date You must specify the Termination Date Termination can either be back valued current dated or future valued The date that you specify should adhere to the following conditions e For FRA contracts the termination date should be between the Booking Date inclusive and the Value Date exclusive For IRS CCS contracts the termination date can be anywhere between the Booking Date inclusive and Maturity Date exclusive Any deviation from these conditions will result in an error message e f you are specifying a back dated termination for an IRS CCS contract ensure that the termination date is not greater than the most recent schedule settlement date that has been executed e Thetermination date is defaulted as the System date You can modify this date Ensure that you do not leave this field blank aM ORACLE 5 1 4 1 e When you save the contract after specifying the Termination Date DTRB event is triggered No accounting entries are passed for this event
97. appens to be a commodity type of derivative instrument you have to indicate whether the flat amount specified is per unit of the derivative Waiver Check this box if you would like to waive this component Else leave this box unchecked Rate Source Indicate the Source from which the Rate Code is to be taken The Rate Code option list is populated depending on your selection of the rate source Rate Code If the Rate Type you have specified is Floating then indicate the Rate Code that is to be associated from the Floating Rates screen with the interest leg of the contract Tenor Code Once you specify the Rate Code you have to indicate the Tenor Code that is to be linked to the particular Rate Code Interest Spread You can choose to apply a spread over and above the rate maintained in the Floating Rates screen This Spread should be greater than or equal to the Minimum Spread and less than or equal to the Maximum Spread defined for the product that the contract involves If the spread you apply happens to be greater than the Maximum Spread then the Maximum Spread will be applied on the rate On the other hand if it is less than the Minimum Spread defined for the product the Minimum Spread will be picked up Main Component In Oracle FLEXCUBE you can define any number of tenor based interest components for every contract that you process Therefore it is essential that you identify one interest component as the Main Compo
98. being used It could be Manager s Check Check or a Demand Draft You should was ORACLE 5 1 12 3 also specify the number that will identify the instrument This number will be printed on the instrument If the settlement is through an instrument you cannot specify party details for the transaction Specifying Message Details For a SWIFT message you have to specify e Whether a Cover has to be sent to the Reimbursement Bank along with the payment message to the receiver e Bank to bank payment details these can be in the form of instructions or additional information to any of the parties involved in the transaction e Information from the sender to the receiver Party Details Tab To effect a transaction you may have to pass on funds through a series of banks before it actually reaches the ultimate beneficiary Through the two Parties screens you can capture details of all the parties that will be involved in settlement of the transaction These screens contain fields that explore the possible routes in which the transaction components can be transferred Intermediary Reimbursement Institution An Intermediary Reimbursement Institution is the financial institution between the Sender s Correspondent and the Receiver s Correspondent through which the reimbursement of the transaction will take place Intermediary The Intermediary in a transaction refers to the financial institution between the Receiver and the Ac
99. cash flow to be paid at the commencement of the period while an interest rate swap would require cash flows to be exchanged at the end of each interest period Your choice of the payment method at the derivative type definition level will be defaulted to all the contracts linked to the derivative type Internal Remarks When creating the derivative type you can capture additional information about the type intended for the internal reference of your bank Your remarks will not be printed on any correspondence with the customer However you can choose to include these remarks in the reports that you generate Note You will not be allowed to change the details of an existing derivative type except change the Description Type and the Internal Remarks x ORACLE 3 2 1 3 3 Maintaining User Defined Fields You can associate values to all the User Defined fields created and attached to the Derivative Type Maintenance screen You can view the list of User Defined fields associated to this screen by clicking Fields button in the Derivative Type Maintenance screen User Defined Fields Details Field Name Value Description You can specify the value for the UDFs listed here in the Value column For more details on how to create user Defined fields refer chapter Creating custom fields in Oracle FLEXCUBE in the User Defined Fields User Manual under Modularity Maintaining Branch Parameters Yo
100. cate the amount by which the principal is being changed Multiple Currencies Financial Institutions Click Holidays button to invoke the Holiday Currency screen to indicate the currencies or the financial institutions depending on your selection of the holiday treatment involved in the contract This option is enabled only if you have selected the Combined option for the Derivative Type involved in the contract 1 Of 1 7 Currency or Financial Institution m Click add icon to select a currency financial institution from the option list If you wish to delete a currency financial institution click delete icon Par ORACLE The following example illustrates the procedure for combined holiday processing as handled by Oracle FLEXCUBE Example Your bank enters into a CCS trade contract involving USD and GBP on 1 March 2001 You have defined multiple schedules falling due on the following dates e March 31 e April 30 e May 31 The other holiday handling specifications are as follows e Move Forward Yes e Move Across Months Yes The following is a section of the holiday calendar maintained for the two currencies for the year 2001 30th 31st 1st 2nd 3rd March March April April April US Working Working Holiday Holiday Working D GB Working Holiday Working Holiday Working P The first schedule falls due on March 31st As per the calendar for USD 31st
101. ceiver Name Address Message Party Details Message Type Customer Id Default Input By Authorized By Modification Date Time Date Time Number Wi Authorized W open If you are maintaining details of a new receiver on behalf of the counterparty select New from the Actions menu in the Application tool bar or click new icon The Messaging Parties Maintenance screen will be displayed You can identify the person who is to receive the message on behalf of the counterparty and the medium through which the message should be sent To do this you have to assign a unique code to the receiver and medium combination Subsequently you have to capture the name of the receiver Receiver Id This is the code assigned to the receiver of the message Specify a unique code to identify the receiver of the message Medium Choose the medium through which you wish to send the message This can be any of the following on ORACLE e Mail e Telex e Fax e SWIFT Receiver Name This is the name of the receiver of the message Specify the name of the party who will receive the message on behalf of the customer Address While maintaining the messaging party details you are required to indicate the mailing address of the receiver of the message All the messages addressed to the counterparty will be directed to the receiver address that you specify
102. cess These functions can be classified as e Beginning of Day BOD programs and e End of Day programs EOD The various BOD and EOD functions that are processed by the system are documented in this chapter Processing Daily Events As part of the batch processes the following are the events that will be selected and processed e Settlements e Accruals Amortization e Revaluation population e Revaluation processing The batch function identifies the previous process till date the date till which the previous batch was run and the current process till date the date till which the current batch is being run for the current batch run It then considers the type of batch being run This can be either Beginning of Day BOD batch run or End of Day EOD batch run Based on the parameters you have specified at the time of maintenance the function selects the various events in the following order e Events that have to be processed only once in a batch run and are applicable for the type of batch being run whether BOD or EOD e Events that have to be run for all holidays falling between the previous process till date and the current process till date e Events that have to be run on every processing date and are applicable for the current type of batch being run for all the working days of the batch Invoking the Automatic Daily Program To run the Derivatives Daily Events program it is necessary that you first maintain it
103. chedule 231 2 Periods DV SCH DVSCHED Unhandled Exception while Replicating Revision schedules 241 2 DV SCH DVSCHED Unhandled Exception while Replicating Revision Schedule 251 2 DV SCH DVSCHED Unhandled Exception while splitting the Contract Schedules 301 3 DV SCH DVSCHED Unhandled Exception while re defaulting Principal Sched 311 3 ules 7 28 ORACLE DV SCH DVSCHED Unhandled Exception while re defaulting Non Principal 321 3 Schedules DV SCH DVSCHED Unhandled Exception while re defaulting Interest Schedules 331 3 DV SCH DVSCHED Unhandled Exception while re defaulting Revision sched 341 3 ules DV SCH DVSCHED Unhandled Exception while Replicating Principal Schedules 401 4 DV SCH DVSCHED Unhandled Exception while replicating Interest Schedules 411 4 DV SCH DVSCHED Unhandled Exception while replicating Revision Schedules 421 4 DV SET DVAUSETO Unhandled exception while processing for branch 001 DV SET DVAUSETO Unhandled exception while processing for contract 011 DV SET DVAUSETO Unhandled exception while processing principal compo 021 nents DV SET DVAUSETO Unhandled exception while processing interest components 031 DV SET DVAUSETO Unhandled exception while populating interest liquidation 041 amount DV SET DVAUSETO Unhandled exception while populating interest accrual 051 a
104. count With Institution through which the transaction component must pass The Intermediary may be a branch or affiliate of the Receiver or the account with Institution or an entirely different financial institution This field corresponds to field 56a of S W I F T Here you can enter either the e 50 Bank Identifier Code of the bank or the e and address of the Bank Receiver s Correspondent The Receiver s Correspondent is the branch of the Receiver or another financial institution at which the funds will be made available to the Receiver This field corresponds to field 54a of S W I F T You can enter one of the following e ISO Bank Identifier Code of the bank e branch of the Receiver s Correspondent e Name and address of the Receiver s Correspondent Account With Institution An Account With Institution refers to the financial institution at which the ordering party requests the Beneficiary to be paid The Account With Institution may be a branch or affiliate of the Receiver or of the Intermediary or of the Beneficiary Institution or an entirely different financial institution This field corresponds to field 57a of S W I F T You can enter one of the following e 50 Bank Identifier Code of the bank 99 ORACLE 5 1 13 e The branch of the Receiver s Correspondent e Name and address of the Receiver s Correspondent e Other identification codes for example account number Ordering Institution The Ord
105. dicated that branch level interest rates are to be used for revaluation Moreover revaluation will be done for only those contracts with the particular Rate Code Rate Source and Currency combination for the particular Revaluation Date To define a new forward interest rate for a specific interest period click the add button and enter the relevant details To delete an existing rate highlight the rate and click on the delete button 40 ORACLE 4 5 1 4 6 Operations on the Branch wise Forward Interest Rate Maintenance re cord Apart from maintaining a new forward interest rate you can perform any of the following operations if any function under the Actions menu is disabled it means that the function is not allowed for the record on an existing record e Amend the details of a record e Authorize a record Refer to the Oracle FLEXCUBE User Manual on Common Procedures for details of these operations Maintaining Contract specific Forward Interest Rates for Revaluation You need to maintain contract specific forward interest rates to revalue those contracts whose fair price is to be determined based on the forward interest rates maintained for the particular contract The system creates and stores records in the Contract Interest Rates Maintenance screen for those contracts whose fair price is to be determined based on the forward interest rates maintained for the contract You can invoke the Derivatives Reval
106. dled exception while getting reset dates 016 V DV AML DVAMLSR Unhandled exception while getting compounding dates 017 V DV AML DVAMLSR Unhandled exception while getting settlement details 018 V DV AML DVAMLSR Unhandled exception while getting account details 019 V DV AML DVAMLSR Unhandled exception while processing a tag 020 V DV AMR DVAMORT Product is not Open 002 0 DV AMR DVAMORT Product is not Authorized 003 0 DV AMR DVAMORT Product is not Open 004 0 DV AMR DVAMORT Product is not Authorized 005 0 DV AMR DVAMORT Unhandled exception while obtaining the periodic amort 011 0 date DV AMR DVAMORT Unhandled exception while processing periodic inception 021 0 amort DV AMR DVAMORT Unhandled exception while processing periodic termination 031 0 amort DV AMR DVAMORT Unhandled exception while processing for a contract 101 1 DV AMR DVAMORT Failed to round the amount 102 1 DV AMR DVAMORT Failed to round the amount 103 1 DV AMR DVAMORT Unhandled exception while populating product amort 121 1 DV AMR DVAMORT Unhandled exception while populating period amort 131 1 DV AMR DVAMORT No data found for periodic amortization details 132 1 DV AMR DVAMORT Unhandled exception while populating amort master 141 1 DV AMR DVAMORT Unhandled exception while populating product entry 151 1 ORACLE
107. e Frequency field indicate the option Weekly and in the Frequency Unit field if you enter 2 the particular schedule will be due every once in two weeks Number of Schedules For a particular Frequency and Frequency Unit combination you can choose to have a number of schedules depending on how many you want to define for the particular interest component For instance for a particular schedule you have indicated that the Frequency should be Weekly and the Frequency Unit as 2 Subsequently you indicate that the Number of Schedules as 12 This particular schedule will be run once in two weeks twelve times Adhere To Month End If the interest liquidation schedule is in terms of a month you can choose to indicate whether the schedule days should adhere to Month Ends Check this box to indicate that interest schedules should adhere to month ends Amount If the interest schedules you are defining are for a special type of interest component then you have to indicate the interest amount for the particular special component Compounding Indicator Check this box to indicate that the interest amount should not be repaid but should be added on to the principal amount at the end of the contract period Leave it unchecked to indicate that the interest repayment should be liquidated on the schedule end date vet ORACLE 5 1 5 3 Revision Details Tab The revision schedules are maintained in the REVISION tab of the screen
108. e IN Interest OUT Interest Net Dates Amount Amount Amount 01 FEB 2004 100 60 40 01 2004 60 100 40 9 10 ORACLE Accrual Entries E Accounting Role Amount Tag Dr Cr Amount DV IN INT INC DV IN INT RA Cr 100 C DV IN INT REC DV IN INT RA Dr 100 C DV OUT INT EXP DV OUT INT Dr 60 PAC DV OUT INT PAY DV OUT INT Cr 60 PAC Accounting entries passed on 01 FEB 2004 Net inflow DR CR Role Description Amount Tag Amount DR NET SET BR Net Settle DV IN INT IDGE ment ITLQ CR DV IN INT In leg interest DV IN INT EC Receivable ITLQ CR NET SET BR Net Settle DV IN INT IDGE ment OTLQ DR DV IN INT P In leg interest DV IN INT AY Payable OTLQ DR CUSTOMER CUSTOMER NET SET IN C CR NET SET BR Net Settle NET SET IN IDGE ment C Accrual Entries Accounting Role Amount Tag Dr Cr Amount DV IN INT INC DV IN INT RAC Cr 60 DV IN INT REC DV IN INT RAC Dr 60 DV OUT INT EXP DV OUT INT PAC Dr 100 DV OUT INT PAY DV OUT INT PAC Cr 100 Accounting entries passed on 01 MAR 2004 Net Outflow DR Role Description Amount Tag Amount DR NET SET BRIDG Net Settlement DV IN INT ITLQ 60 ORACLE CR DV IN INT REC In leg interest DV IN INT ITLQ 60 Receivable CR NET SET BRIDG Net Settlement DV IN INT OTLQ 100 E DR DV IN INT PAY In leg interest DV IN INT O
109. e date on which the revaluation should be done during the month For example if you specify the TE ORACLE 4 2 1 2 date as 30 revaluation will be carried out on that day of the month depending on the frequency 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 Revaluation Start Month 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 For example You have selected the half yearly option and specified the start date as 31 and the start month as June The system will do the first revaluation on the 30 of June for the period from 1 January to June 30t and the second one on 31 December for the period from 1 July to 315 December Interest Accrual Details tab As part of setting up the product preferences you have
110. ecified date range The generated report will contain details of the various activities carried out on all the contracts that were processed between the specified date range both for the Booking Date and the Value Date for the particular customer Contents of the report The report options that you selected while generating the report are printed at the beginning of the report The contents of the report are discussed under the following heads Header The Header carries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on Counterparty This is the CIF ID of the customer involved in the contract Contract Reference Number This is the reference number of the contract for which details are being reported ORACLE Note Only details of those contracts where the particular customer happens to be the counter party involved will be reported In Leg Notional This is the In Leg Notional Principal This is the Principal Amount Booking Date The date on which the derivative contract was booked is reported here Effective Date This is the date on which the interest or FX exposure rate comes into effect Ccy This indicates the currency of the transaction Maturity Date If the contract is a swap type of contract
111. eed to indicate whether the contract is a Buy type or Sell type of contract In Out Leg As part of maintaining the In and Out leg details of the contract you are required to indicate the currency amount rate code rate source the principal schedules and interest details for both the in as well as the out legs of the contract Currency and Amount You are required to indicate the currency in which interest amount should be calculated for both the inward as well as the outward legs of the contract You can select the currency code from the option list available In addition you are also required to indicate the principal amount Actual Notional for both the legs of the contract The amount that you specify will be taken in the currency indicated for the particular leg of the contract Liquidate Past Schedules You can choose to liquidate past schedules of back dated contracts If you specify that back dated schedules should be liquidated the system will liquidate these schedules irrespective of the availability of funds For example A derivative contract can be initiated as of today a date in the future or as a date in the past 9o ORACLE Today s date is October 15 2000 Suppose you initiate hedge swap today of 15 000 USD with the Value Date date on which the swap comes into effect as September 15 2000 the system will pass accounting entries for initiation as of September 15 But if there had been an interest payment sc
112. ekday Amortization Start Day Amortization Start Month The Product Code and Product Type are defaulted from the Product Maintenance screen In this screen you can specify the following Amortization of Inception Termination Gain Required You have to indicate whether inception termination gain needs to be amortized Check the respective box to indicate that amortization is required for inception termination gain Leave it unchecked if amortization is not required Note If you choose these options then amortization of inception termination gain will be made applicable to all contracts associated with the product You can however change it while entering the details of the contract But if you indicate that amortization is not required then you will not be allowed to change this preference while processing the contract Amortization of Inception Termination Loss Required You have to indicate whether inception termination loss needs to be amortized Check the respective box to indicate that amortization is required for inception termination loss Leave it unchecked if amortization is not required Note If you choose these options then amortization of inception termination loss will be made applicable all contracts associated with the product You can however change it while entering the details of the contract At the time of inception Gain or Loss is distributed throughout the period from Effective Date to Maturity Da
113. ence ReportFormat PDF Printer At Client Report Output Print Printer Contract Reference You have to specify the reference number of the contract for which the report is to be generated Contents of the report Apart from the header the following information will be provided for the Contract Activity report The contents of the report are discussed under the following heads 99 ORACLE 8 5 Header The Header carries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the Report The report contains information on Contract Reference This is the reference number of the contract that you specified at the time of generating the report Version Number This is the latest version number of the contract The system assigns a version number to a contract whenever a it is created in the system From then on each amendment and reinstatement results in the next version of the contract being created When you generate a report the latest version number of the contact is reported Event Sequence Number The sequence in which the various events such as Contract Booking Initiation Interest Accrual etc were carried out on the particular contract will be reported Event Code Indicates the code of the event Event Description Indicates the description of the even
114. ency Unit of Frequency Start Month and Start Day that you specify Frequency Unit After you specify the frequency you have to indicate the unit of frequency you want to set for the Frequency the Component the Principal Interest or Revision component and Start Reference combination For example Scenario 1 You have indicated that the schedule liquidation should be based on the Calendar Date in the Start Reference field Subsequently you indicate that liquidations should happen on every 25th of the month The Effective Date or the Value Date of the contract is 121 March 2000 Regardless of the effective date the first liquidation will be carried out on the 25 of March Since you want this process to continue i e liquidations should be carried out on the 25 of every month till the contract matures Therefore you need to specify the frequency as Monthly and enter 1 in Unit field Schedules will be repaid once in every month on the 251 till the contract matures Scenario 2 You have indicated that liquidation of schedules should be based on the Value Date and specify that the frequency for liquidation as Monthly Next you specify that the frequency unit should be 2 The schedules will be liquidated once in every two months since the frequency unit is 2 Schedule Start Weekday When you set the repayment schedule frequency as Weekly you have to indicate the day of the week on which liquidation should be carried out
115. ent button from the Contract Input Details screen to view details of events involved in the transaction The details of events that have already taken place for the transaction leg will be displayed along with the date on which the event took place Events E Enter Query Reference Number EventNumber EventCode Description EventDate Authorization Status Makerld Checker Id Accounting Entries Messages You can view the accounting entries details for a specific event by choosing the event and clicking Accounting Entries button wed ORACLE View Details Reference Number See Position Entries Accounting Entries J Event Branch Account Amount Tag Currency Foreign Currency Amount Rate Local Currency IF 5 1 10 Selecting the User Defined Fields The user defined fields that have been linked to the product will be defaulted to the contract You need to capture the relevant information pertaining to these fields Click Fields button in the Contract Input screen The User Defined Fields screen will display fields for which information needs to be captured Field Name Value Description Value Description For more details on how to create user Defined fields refer chapter Creating custom fields in Oracle FLEXCUBE in the User Defined Fields User Manual
116. ent Backward Cascade Schedules Currency Financial Centre Interest Schedules 10f1 StartDate Frequency Frequency Units Schedules Adhere To Month End Amount Component Indicator A Y View Interest View Revision a Schedule Holiday Treatment You have to specify the holiday treatment that has to be followed when schedules fall due on a holiday The holiday treatment method has been explained at length in the earlier section on Indicating Principal Schedule Details Interest Schedules Specify the following details Start Date Enter the date on which the particular interest schedule should start 9 80 ORACLE Frequency If you want to define periodic interest schedules you should indicate the frequency of the schedules for a particular interest component From the option list provided you can select one of the following by clicking on the option e Daily e Weekly e Monthly e Quarterly e Half yearly e Yearly e Bullet Note You can choose to have a bullet schedule for a particular interest component in which case liquidation for the component will happen only as of the Maturity Date Frequency Units You can specify the number of units of the frequency in this field The number that you specify here will determine the actual schedule frequency For instance for a particular schedule you want to have a bi weekly frequency The option list available for Frequency does not have this option In th
117. ents linked to the contract get settled Contract Type derivative contracts must be designated at inception either as Trade or as Hedge contracts At the time of product definition you would have indicated whether the product being defined is meant for trade deals or hedge deals When you associate a contract with a product the specification you made for the product will be defaulted to the contract You can however change this specification The specification you make for the Contract Type will determine the accounting entries that will be passed for processing the particular contract The system will identify all trade contracts and revalue them according to the revaluation preferences you have specified For hedge type of contracts interest accruals will be carried out at periodic intervals In addition you also have to indicate whether the contract is a Buy type or Sell type of contract Trade Date The system defaults the current date as the trade date This is the date on which the deal is agreed with the counter party Trade date cannot be amended once authorized The system will display error messages under the following conditions e Trade date is greater than current system date e Trade date is holiday as per the deal currency e Trade date is blank e Trade date is later than the value date e Trade date is earlier than the product start date Booking Date The date on which the deal details were entered will be displayed here
118. er it will reach the recipient whom the customer has identified as the official receiver of the message For example ORACLE CHASEBANK is the customer of your bank CHASEBANK has identified Peter and Yvonne as the recipients of any mail messages that need to be communicated to them You have also been instructed by CHASEBANK that all cancellation messages should be sent to Peter and all other messages can be sent to Yvonne While maintaining Messaging Party Maintenance details you have to enter Peter in the Receiver ID field and Mail as the medium of sending the message Select DV CANC CCS in the Party Type field Secondly since CHASEBANK has instructed you to send all cancellation messages to Peter you have to select from the list and associate all possible cancellation messages that may have to be sent to CHASEBANK with Peter s ID Default While maintaining receiver details you can identify a particular receiver as the default receiver of messages that need to be sent to the customer All those messages that have been marked for the particular will be sent to the default receiver 16 ORACLE 4 Defining Attributes Specific to Derivative Products 4 1 4 2 Introduction In this chapter we shall discuss the manner in which you can define attributes specific to a Derivative product You can create a derivative product in the Derivatives Product Maintenance screen invoked from the Application Browser In this
119. er you indicate the new revaluation date of the contract you can specify the new interest rate for the interest period Note The interest rate s that you enter here will be used to determine the Fair Value for reval uing that particular contract Operations on the Contract Specific Forward Interest Rate Maintenance record Apart from maintaining a new contract specific forward interest rate you can perform any of the following operations if any function under the Actions menu is disabled it means that the function is not allowed for the record on an existing record e Amend the details of a record e Authorize a record Refer to the Oracle FLEXCUBE User Manual on Common Procedures for details of these operations Mis ORACLE 5 1 5 Processing a Derivatives Contract Introduction You can capture the details of the contract through the Contract Input Details screen Before we proceed to discuss the details of the Derivatives Contract Input screen we shall briefly recall the workflow in the Derivatives module First of all you need to maintain the basic information that is necessary for the successful functioning of the module This information includes the maintenance of e Derivative Types e Bank and Branch Parameter details e Revaluation details e Messaging party details e Counterparty details e Interest Tax and Charge class details The next step in the process is the creation of products
120. erence Reversed Reference Swaption Reference Type Description Main Detail Termination Details Limits Governed By Master Current Value Agreement Interest Exposure Master Agreement Code FX Exposure C Limits Tracking Required Netting Required Master Anreemeni Details Fair Value Limits Tracking Fair Value Line Code Notional amp Risk Weighted Limits Notional Limit Tracking Notional Line Code C Risk Weighted Limit Risk Weighted Line Code Tracking Risk Weighted Amount Risk Percent Event Brokerage Settlements Advice Charges Tax MIS Fields Principal Interest Sub Agreement Status Input By Authorized By Authorization Status Date Time Date Time Specify the following details 9 11 ORACLE Limits Governed By Master Agreement Check this box to indicate that the contract for which you are capturing details comes under the purview of a master agreement that exists between your bank and the counterparty MA Code If you have specified that the contract is governed by a master agreement then you have to indicate the code assigned to the Master Agreement in the Master Agreement Maintenance Screen After you choose the MA Code the other details linked to the MA code such as Limits Tracking Required Netting Required and so on will get defaulted to the contract Note If you input the MA Code click MA Details button The system di
121. erence Number provided by the external system has to same if itis a new contract or if itis an amendment to an existing contract When you upload a new contract the Reference Number will be displayed in the User Reference Number field for that contract The User Reference Number will be the basis for checking whether the contract exists or not The upload for contract amendment will trigger the DAMN event The same event is triggered even when you make the amendment in the Derivatives Contract Input screen The fields that can be amended for the Derivatives module are as follows e Remarks e Rate Type IN LEG e Rate IN LEG e Rate Type OUT LEG aAa ORACLE 5 2 1 5 2 2 5 2 3 e Rate OUT LEG e Reval Required e Reval Netting Required e Reval Method e Holiday Treatment e Holiday Currency e Finance Centre e Holiday Movement e Move Across Months e Inception Value Operations on a Derivatives Contract Record You can perform the following operations on a derivative contract e e Authorize e Delete e Amend e Reverse e Liquidate Refer to the Common Procedures User Manual of Oracle FLEXCUBE for details on these operations Uploading Derivative Rates Oracle FLEXCUBE allows uploading of derivative rates During the upload Oracle FLEXCUBE expects the following information to be present in the upload message e Rate Code e Rate Source e Tenor Code e Currency If any
122. ering Institution is the financial institution which is acting on behalf of itself or a customer to initiate the transaction This field corresponds to 52a of S W I F T In this field you can enter one of the following e ISO Bank Identifier Code of the Ordering Institution e branch or city of the Ordering Institution e The Name and address of the Bank Ordering Customer The Ordering Customer refers to the ordering customer of the transaction Here you can enter the name and address or the account number of the Customer ordering the transaction This field corresponds to field 50 of S W I F T You will be allowed to enter details in this field only if you have initiated a customer transfer MT 100 and MT 202 Beneficiary Institution Here you can enter details of the institution in favor of which the payment is made It is in reality the bank that services the account of the Ultimate Beneficiary This field corresponds to field 58a of S W I F T You will be allowed to make entries into this field only for Bank Transfers when the remitter and beneficiary of the transfer are financial institutions MT 100 or MT 202 Here you can enter either e ISO Bank Identifier Code of the Beneficiary Institution or e Name and Address of the Beneficiary Institution Ultimate Beneficiary The Ultimate Beneficiary refers to the Customer to whom the transaction amount is to be paid This field refers to field 59 of S W
123. erous applications including applications that may create a risk of personal injury If you use this software or hardware in dangerous applications then you shall be responsible to take all appropriate failsafe backup redundancy and other measures to ensure its safe use Oracle Corporation and its affiliates disclaim any liability for any damages caused by use of this software or hardware in dangerous applications This software and related documentation are provided under a license agreement containing restrictions on use and disclosure and are protected by intellectual property laws Except as expressly permitted in your license agreement or allowed by law you may not use copy reproduce translate broadcast modify license transmit distribute exhibit perform publish or display any part in any form or by any means Reverse engineering disassembly or decompilation of this software unless required by law for interoperability is prohibited The information contained herein is subject to change without notice and is not warranted to be error free If you find any errors please report them to us in writing This software or hardware and documentation may provide access to or information on content products and services from third parties Oracle Corporation and its affiliates are not responsible for and expressly disclaim all warranties of any kind with respect to third party content products and services Oracle Corporation and its affi
124. es of fixed rate interest rate flows is exchanged for another series of floating rate interest flows Cross Currency Swaps A cross currency swap is a contract between two counterparties for the exchange of loans in different currencies Principal amounts are exchanged at the inception with a re exchange upon closure Between the inception and the closing dates a series of cash flows are made between the two parties reflecting the interest payments on the two swapped principal amounts 2 1 2 Features of Derivatives Module The Derivatives module in Oracle FLEXCUBE supports the processing of all types of Forward Rate Agreements Interest Rate Swaps and Cross Currency Swaps The Oracle FLEXCUBE Derivatives module caters to the following requirements o Processing the following types of instruments Forward Rate Agreements FRAs Interest Rate Swaps IRS Cross Currency swaps CCS e Creating products instruments to suit the bank s requirements e Segregating hedge and trade deals increasing the flexibility to define the required accounting treatment e Integrating with standard Treasury front office systems to provide seamless processing 2 1 2 1 Derivatives Workflow The various operations and events in the life cycle of a derivatives contract are summarized below e Booking amendment termination and settlements e Accounting treatment for life cycle events e Initial and final exchange of principal if applic
125. ether at the leg level or at the contract level will also be defaulted from the Product Preference screen At the product level if you have specified that revaluation netting is not required then you will not be allowed to change this at the contract level However at the product level if you have indicated that revaluation netting is required then you can change this to Not Required at the contract level Rate Code If you indicate that the revaluation should be based either on the Contract Specific Rate or on the Branch Specific Rate then you have to indicate the Rate Code which should be used for the same purpose Rate Source This is the Rate Source to which the Rate Code belongs Select from the adjoining option list and indicate the Rate Source to which the Rate Code is to be linked Maturity Date Details Specify the following details Holiday Treatment As part of specifying the maturity date details you have to select the holiday handling treatment if the Maturity Date were to fall due on a holiday You can specify that the holiday should be treated according to one of the following e Ignore the holiday e Branch Holiday e Currency Holiday e Financial Center Holiday Movement You can also choose to move the maturity date falling due on a holiday either forward or backward to the next or the previous working day respectively If not the maturity date will be 9 09 ORACLE 5 1 3 kept in the same month
126. ether you would like to take into account the last day in an accrual period for arriving at the accrual days both for the in and out legs of the contract Similarly you have to indicate whether the last day in a liquidation period should be considered for liquidation Refer the Chapter Defining Attributes specific to Derivative Products for details on Numerator and Denominator Methods Payment Details Specify the following details Rate Denominator Basis You need to indicate the basis on which rate denominator has to be computed The options available are e Per annum e Per period Note If you are specifying in leg details then indicate the in leg rate denominator basis While defining out leg details indicate the out leg rate denominator basis Payment Method You can indicate the method in which interest components for both the in as well as the out legs of the contract should be paid You can indicate one of the following e Arrears interest is liquidated at the end of each interest period e Advance interest is paid at the start of each interest period os ORACLE Discount Rate Basis When you decide to pay interest in Advance you have to indicate the basis on which the interest rate should be picked up to compute the discounted amount You can select any one of the following options e Direct Input e Contract Floating Component e Other Floating Component If you select the first option the
127. etting Required Indicate whether contracts with positive and negative MTM values can be netted for computing credit limit utilization ala ORACLE 5 1 3 1 Notional amp Risk Weighted Limits You can specify whether Limit Tracking is required for the particular contract The fields Fair Value Limit Tracking Notional Limits Tracking and Risk Weighted Limits Tracking will be enabled only if Limit Tracking option is enabled If the contract is governed by a Master agreement then if any of the three fields Fair Value Limit Tracking Notional Limits Tracking and Risk Weighted Limits Tracking are checked in the Master Agreement the Limit Tracking Required option will be checked at contract level The fields Notional Limits Tracking Notional Line Code Risk Weighted Limits Tracking and Risk Weighted Line Code are defaulted from the Master agreement maintenance if the contract comes under the preview of a Master agreement The Notional Line Code and Risk Weighted Line Code are mandatory if the Notional Limits Tracking and Risk Weighted Limits Tracking options are enabled respectively For the line code all valid lines for the counterparty and the product will be displayed in the option list On saving the contract all the three lines selected will be validated for any restrictions based on product and currency Oracle FLEXCUBE will also ensure that all line codes selected are distinct from each other Risk and Risk Weighted amou
128. fe cycle of the contract Limits Utilization for the Notional Amount and the Risk Weighted amount will be done against the in leg currency for FRA IRS and CCS Termination Details Tab You can capture the termination details of the contract by clicking the Termination Details button ole ORACLE Derivatives Contract Input E New Enter Query Product B Reference Number Version 4 A Product Description Harr Relance Source Code FLEXCUBE External Reference Type Reversed Reference Swaption Reference B Type Description Main Detail Additional o el Termination Details Termination Type Currency Counterparty Termination Value Termination Date Amortize Termination Gain Amortize Termination Loss Event Brokerage Settlements Advice Charges Tax MIS Fields Principal Interest Sub Agreement Status Authorized By Input By Date Time Date Time Authorization Status Specifying the following details Termination Type When you are terminating a particular contract you have to indicate whether it s a normal termination or whether the contract is going to be assigned to another counterparty In the latter case you have to indicate the counterparty to which the contract is to be assigned Note This would not be applicable when you are entering a new contract Counterparty If the contract is to be assigned to
129. floating interest is 01 January 2000 and the Maturity Date is 31 December 2000 You have specified that the principal schedule frequency is quarterly If you choose the Adhere to Month End option the schedules for this derivative would be due on the following dates e 31 March 2000 e 30 June 2000 e 30 September 2000 e 31 December 2000 If you do not choose the Adhere to Month End option the schedules for this derivative would be due on the following dates e 31 March 2000 e 30 June 2000 e 30 September 2000 e 30 December 2000 The schedule dates for all derivatives maintained under the product will be calculated in a similar manner Amortization Details tab You can specify your preferences for amortization by clicking the Amortization Details tab in the Product Preferences screen s ORACLE Derivatives Product Preferences Product Code Product Type Main Interest Schedules 115 Amortization Details of Inception Product Description Product Type Description Amortization Details of Termination Amortization Frequency Amortization Start Weekday Amortization Start Day Amortization Start Month Amortization Level Amortization of Termination Gain Required Amortization of Termination Loss Required 8 Contract Product Amortization of Inception Gain Required Amortization of Inception Loss Required 8 Contract Product Amortization Level Amortization Frequency Amortization Start We
130. from the Actions menu in the Application tool bar or by clicking save icon On saving the contract your User ld will be displayed in the Entry By field at the bottom of the Screen The date and time at which you saved the deal will be displayed in the Date Time field A contract that you have entered should be authorized by a user bearing a different login ID before the EOD is run Once the contract is authorized the ID of the user who authorized the contract will be displayed in the Auth By field The date and time at which the deal is authorized will be displayed in the Date Time field positioned next to the Auth By field The current status of the contract is also displayed in the field Deal Status The field will display one of the following active closed expired reversed cancelled and on hold 9e ORACLE 5 1 15 5 1 16 5 2 Generating Payment Messages on Authorization During the authorization of the contract the system generates payment messages by applying the floating interest rate at that point of time The system handles the payment messages in two different ways e Incase maturity liquidation date falls before the settlement days of the currency the messages are generated after authorization e Incase maturity liquidation date is after the settlement days the messages are generated on the settlement day Maximum of both Legs of the transaction The payment messages are generated for the principal exc
131. g interest components e DV IN In leg e DV OUT INT Out leg The previous year unrealized Income Expense for the components are as follows e DV IN INT 300 Unrealized Income e DV OUT INT 400 Unrealized Expense Assuming the deal to be in net profit with inflow as 500 and outflow as 275 the accounting entries passed during liquidation and final accrual are DILQ Debit CUSTOMER 500 DV IN INT DLIQ Credit DV IN INT RIA 500 Debit DV OUT INT PIA 275 DV OUT INT DLIQ Credit Customer 225 DIAC Assuming accrual amounts to be 75 and 45 for in and out legs respectively Debit DV IN INT RIA 75 DV IN INT IAC Credit DV IN INT INC 75 UNRLZ Debit DV OUT INT EXP 45 DV OUT INT UNRLZ Credit DV OUT INT PIA 45 us ORACLE 9 5 11 Moving Unrealized Income Expense to real Income Expense Debit Previous Yr Adjustment 300 DV IN INT DLIQ PY GL Credit DV IN INT INC 300 Debit DV IN INT INC 200 DV IN INT CY LZ Credit DV IN INT INC 200 Debit DV IN INT EXP 275 DV OUT INT DLIQ PY Credit Previous Yr Adjustment 275 GL Note When an arrears contract is liquidated DILQ event or an advance contract completes ac cruals DIAC event the income transfer to the realized income GL from the unrealized GL is performed first using the Previous Year Adjustment GL maintained in Chart
132. g the code DVRPCSSM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button 7 Customer wise Summary Selection Criteria Customer ReportFormat PDF Printer At Client Report Output Print Printer Selection Criteria Customer Select the customer ID on which you want to generate the customer wise summary report Contents of the report The report options that you selected while generating the report are printed at the beginning of the report The contents of the report are discussed under the following heads Header The Header carries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on ORACLE 8 7 Counterparty This is the CIF ID of the customer involved in the contract Counterparty Name This is the name of the customer involved in the contract Contract Reference This is the reference number of the contract being reported Type Description This is the description of the derivative type to which the derivative contract belongs Value Date If the derivative type being reported is a Swap then this is the date on which the swap takes effect When the derivative type for which details are being reported is an FRA this would be the date on
133. h Parameters screen During liquidation the information that is collected using the batch process is used to post adjustment entries to the previous year adjustment GL You must ensure that you execute this batch process prior to executing the Year end P and L balance transfer batch The balances pertaining to the unrealized income booked for each contract during the year will be stored at the Contract Component and Currency level For unrealized accruals the batch process stores data for the in leg and out leg interest components and for the unrealized accrual of termination gain loss For advance contracts unrealized accrual signifies accruals for those schedules which have liquidated but for which accruals have not been completed For arrears contracts unrealized accrual is indicative of the amount accrued until date for those interest schedules which are yet to be liquidated For 62 ORACLE 6 3 1 termination gain or loss unrealized accrual is the amount accrued for a terminated contract which has not yet reached maturity Upload of DV Contracts Oracle FLEXCUBE provides the facility of holiday treatment for principal schedules interest and interest revision schedules of a DV online contract based on Multiple currency and Multiple financial center if the following conditions are satisfied e derivative type for the product allows combined holiday treatment e holiday treatment at the contract level for pri
134. hange and interest liquidation as of the system date However the system will not reset the floating rate of the interest schedules for which settlement messages are already generated The system will trigger the event DRVN Rate Reset once you save the DV contract with interest schedules Subsequently SGEN event will be triggered on authorization Viewing different versions of a Contract When you enter a contract in Oracle FLEXCUBE it is assigned a version number of 1 From then on each amendment of the contract results in its next version When you come to the Derivatives Contract Input Detailed screen the latest version of the contract will be displayed To navigate between the versions of a deal use the buttons provided for the same e Click back arrow icon to view the previous version e Click forward arrow icon to view the next version Uploading Contracts for Amendment From an external system you can upload contracts that require amendment in Oracle FLEXCUBE The system will distinguish between the new and the contracts that require amendment based on the action code of the uploaded record For a contract requiring amendment the action code will be If the action code is Oracle FLEXCUBE will first check whether the contract exists in the system or not If the contract does not exist in the system an error message will be displayed to notify that the contract cannot be amended The Ref
135. have not allowed movement across months but have indicated backward movement for this schedule the schedule date will be automatically moved forward in this case to the next working day of the same month that is to May 2 despite your having indicated a backward movement into the previous working day d ORACLE Cascade Schedules The question of cascading schedules arises only if e You have specified that a schedule falling due on a holiday has to be moved forward or backward and e schedule has been defined with a definite frequency If you have indicated that schedules should be cascaded the schedule date for the next payable schedule will depend on how the schedule date was moved for a holiday The following example illustrates how this concept of cascading schedules functions For example A monthly schedule has been defined with backward movement and a schedule date falling due on April 30 was moved to April 29 April 30 being a holiday The schedule date for May depends on whether you have chosen to cascade schedules If you have the schedule date for May will be set as May 29 as the frequency has been specified as monthly For the subsequent schedules also May 29 will be considered the last schedule date If you have not specified that schedules have to be cascaded the date originally specified will be the date for drawing up the schedules Even if the April month end schedule has been moved to April 29 the
136. he following details Counterparty When you are entering the details of a derivative contract you should specify the customer with whom the derivative contract is being entered into Specify the code of an authorized customer who falls into a category allowed for the product linked to the contract a ORACLE Settl Account Branch You might want to settle these components in an account existing at a branch other than the one where the contract was initiated Therefore you have to indicate the branch code of the branch where the account resides Subsequently indicate the account number of the settlement account If Settlement Instructions have been defined for the customer the settlement accounts will be picked up from those instructions While entering the details of the contract you can change the Settlement Instructions for the derivative contract Note Ifa settlement account has been specified in the settlement instructions for the customer and a different account has been specified for the derivative contract the account specified for the contract will take precedence Ifyou have specified Debit or Credit settlement accounts that use an account class that is restricted for the product an override is sought Account You have to specify the settlement account if Settlement Instructions have not been defined for the customer The settlement account that you specify is the account through which the various compon
137. he list displays all the valid codes maintained in the system Discount Tenor Code If your choice for the discount rate basis is the Other Floating Component then you have to indicate the tenor code associated with the rate Code based on which the discount rate is to be calculated Discount Rate Spread For the floating component you can specify the Spread that you want to apply over the rate maintained in the Floating Rates screen Note The Spread you apply should always be greater than or equal to the Minimum Spread and less than or equal to the Maximum Spread defined for the product involved in the contract If the spread happens to be greater than the Maximum Spread then the Maximum Spread will be applied on the rate On the other hand if itis less than the Minimum Spread defined for the product the Minimum Spread will be picked up For a floating rate the spread will be applied over the market rate applicable for the day 9 24 ORACLE Interest Rate Details Specify the following details Rate Type The interest rate type paid on derivative settlements can be any one of the following types e Fixed e Floating e Special Interest Rate When you maintain a fixed interest rate for a particular component of the interest leg of a contract it is necessary that you specify the rate Flat Amount When the interest rate is special you have to indicate the Flat Amount Moreover if the derivative you are processing h
138. he system checks this box by default If you do not want the collateral agreements to be come a part of the master agreement leave this box unchecked SH ORACLE Limits Tracking Details You have to indicate whether exposure against the master agreement needs to be tracked for the counterparty limits If you want to track counterparty limits for exposure against the master agreement then you need to specify the default credit line against which the credit limit utilization of contracts under the master agreement will be tracked You can specify whether Notional Limits tracking is required for the Customer and also specify the line code against which the notional limit should be tracked If you have indicated that Fair Value Limit tracking is required for the master agreement then you are required to specify the default fair value credit line against which the credit limit utilization of contracts under the master agreement will be tracked Additionally you can specify whether Risk Weighted Limits Tracking is required and also select the line code against which the Risk Weighted Limit should be tracked The options Notional Limits Tracking Fair Value Limits Tracking and Risk Weighted Limits Tracking will be enabled only if the Limits tracking option is selected Subsequently you also have to indicate the utilization currency This currency will be taken as the credit limit utilization currency for the master agreement Agreement
139. hedule for September 30 2000 for 500 USD then if you specify that back valued schedules should be liquidated you can make the system pass accounting entries to liquidate this schedule also when the loan is initiated If you specify that back dated schedules are not to be liquidated only accrual entries will be passed till today Note Note that the entries associated with each event initiation and liquidation in this case will be passed only if they have been defined for the product Further the accounts used will be the ones defined for each entry Broker If you are processing a deal that involves brokerage indicate the ID of the broker through whom the deal was brokered The adjoining option list displays a list of valid brokers with whom you can enter deals You can choose the appropriate one You will be allowed to enter details of a broker only if brokerage is allowed for the product to which the deal is associated Dealer Select the name of the dealer involved in the transaction Exchange Rate While maintaining details of Cross Currency Swaps you are required to indicate the Exchange Rate for exchange of principal The rate that you indicate will be used for determining the Out leg amount for the initial exchange in principal given the In Leg amount Note The exchange rate that you indicate will be validated against the exchange rate variance limits Override Limit Stop Limit that you have specified at the
140. ides the date on which the amortization should be done ORACLE 4 3 4 4 Example You have selected the half yearly option and specified the start date as 31 and the start month as June The system will do the first amortization on the 30 of June for the period from January 1 to 30th June The second one will be done on the 31st of December for the period from 1st July to 31st December Defining the Fair Price Revaluation Methods Revaluation is used to revalue all active trade deals based on the revaluation frequency parameters that you specify through the Preferences screen while defining products Since the market rates are constantly in a state of flux you may wish to revalue the worth of all active trade deals periodically In Oracle FLEXCUBE you can revalue the worth of contracts by using either one of the following methods They are as follows e Maintaining Contract Fair Prices whereby you have to indicate the fair price of individual contracts which will be used for revaluation e Maintaining Branch Interest Rates whereby you can maintain branch level forward interest rates which will determine the fair price to be used for revaluation Fair price is calculated based on the interest rates and will be applicable to In or Out leg based on the contract e Maintaining Contract Interest Rates whereby you maintain contract specific forward interest rates which will determine the fair price to be used for revalua
141. ify the utilization currency The currency that you specify here will be taken as the credit limit utilization currency for the master agreement Agreement Date Specify the date as of which the master agreement was signed Credit Netting required One of the main advantages in maintaining a master agreement is the credit netting provision While defining the master agreement you can indicate whether the positive and negative contract fair values should be netted for the counterparty This concept can be explained with the help of an example For example CHASEMANN is a customer of your bank and currently you are managing ten contracts for your customer You have linked the contracts according to their attributes to different master agreements in the following manner MA Code and Description Neues es MA 1 Master Agreement for CCS 000DV21992950261 USD 100 000DV21992950262 USD 20 000DV21992950264 USD 100 MA 2 Master Agreement for FRAs 000DVFR992950002 GBP 100 000DV21992950277 GBP 50 000DV01992951117 GBP 50 99 ORACLE MA 3 Master Agreement for IRS 000DV21992950278 FRF 20 000DV21992950279 FRF 100 000DV21992950182 50 000DV21992950188 USD 50 The Utilization Currency that you have indicated for the three Master Agreements is as follows e MA1 USD e MA2 GBF e MA3 FRF Scenario 1 You have indicated that for all contrac
142. ination Gain Deferred TRMN INC AMORT Termination Income Amortization Amount TRMN LOSS Termination Loss TRMN LOSS DEF Termination Loss Deferred Component LIQD CY Current year Unrealized accrual amount for a component Component LIQD PY Previous year Unrealized accrual amount for a component NET INT INCC Net interest Income on Cash basis NET INT INCA Net interest Income on Accrual basis NET INT EXPC Net interest expense on Cash Basis NET INT EXPA Net interest expense on Accrual Basis Component NPRF tag would be created for each com EAC NPRF ponent This tag would represent accruals for net profit deals For example DV IN INT IAC NPRF Component AC EAC NLSS Accruals for Net loss deals Component DLIQ PY Previous year Unrealized outstanding Component DLIQ CY Current year Unrealized outstanding In addition to these you can define amount tags as per your requirement for the ICCF and tax components that are attached to the product The component is the ICCF component that you have created Note NET INT INCC NET INT INCA NET INT EXPC NET INT EXPA Amount tags used in case of FRA and NET INT EXP NET INT INC Amount Tags used in case of IRS CCS Accounting Roles The following list contains the Accounting Roles that are applicable to the Derivative contracts that you can process at your bank Accounting Role Description BROK PAID Brokerage Paid
143. inator is the actual number of days in a year Click on 365 ISDA in Numerator Method field click on Actual in Denominator Method field The actual number of calendar days for which calculation is done 360 days Click on Actual in Numerator Method field click on 360 in Denominator Method field Actual 360 ORACLE 4 2 1 3 The General Formula used for the day count method is given below Day count fraction Number of Interest Accrual Days Numerator Days in the specified period Per Annum Per Period Denominator Note Setting the Interest Frequency is done in the same manner as setting the Revaluation Fre quency Include To Date Check this box if you would like to take into account the last day in an accrual period when arriving at the accrual days In Leg Out Leg Interest Liquidation Details Specify the following details Liquidation Method The interest accrued over a specific schedule period or per annum can be liquidated either automatically or manually You have to indicate this preference at the time of product definition Indicate whether the in leg interest accruals due for derivatives within a product should be liquidated automatically or manually If you select the automatic option the interest accruals for the in leg will be liquidated automatically on the liquidation date as part of the automatic processes run during beginning of day BOD or End of day EOD
144. ion Therefore in effect the next schedule date for a component will be a working day in all the calendars involved in the contract Auto Settlement The principal exchange schedules can either be settled automatically or manually In this case only automatic settlement is supported Holiday Movement Move Backward Forward Occasionally the preferred holiday treatment the branch holiday the currency holiday or the holiday governed by the financial center may in turn fall on a holiday In such a situation you 9 16 ORACLE have to indicate the movement of the schedule date Whether it is to be moved forward to the next working day or whether it should be moved backward to the previous working day This concept can be easily explained with the help of an example Example For a CCS Trade Contract you have defined monthly schedules falling due on the following dates e March 31 e April 30 e May 31 April 30 is a holiday You have the following options in fixing the date for that schedule e You can move the schedule date forward to the next working day which happens to be May 1 In this case the schedule will be liquidated during BOD processes on this date as it is a working day e You can move the schedule date backward In such a case the schedule date will be April 29 the last working day before the holiday The schedule will be liquidated during BOD processes on this date as it is a working day Moving Across
145. l rate is taken as the Cap Rate minus interest rate of related component if the same is specified If related component is not selected the final rate will be Cap Rate minus the spread part Rate of related component cannot be more than the Cap Rate e Forlnterest Type Floor if the total floating rate is less than the Floor Rate and if Related Component is specified the final rate will be taken as Floor Rate minus interest rate of the Related Component If Related Component is not maintained final rate will be the Floor Rate minus the spread component e If Interest Type is Corridor then final rate will lie between the Floor Rate and Cap Rate If the final rate is above Cap Rate then final rate is decided as in the case explained for Cap interest type where spread is zero Similarly if the final rate is below Floor Rate final rate is decided as explained for the Floor interest type above e If the interest type is Normal both final rate as well as the spread will be taken as it is Also Related Component will not be applicable in this case Processing Brokerage on a Contract When capturing the details of a contract that involves brokerage you will have to specify the brokerage details applicable to the contract To recall you have already specified the name of the broker through whom the contract was brokered in the Derivatives Contract Input screen The details specified for the broker including the broke
146. le to the contract should be linked The options available are e Booking e Advance e Arrears Consider for Discount Check this option if the brokerage charges are considered for discount The preference specified for the broker will be displayed You can change it in this screen say from advance to arrears or vice versa You have a third option That is of waiving brokerage If you opt for no booking no accounting entries will be passed for brokerage for this deal Note If you invoke the Contract Brokerage Details screen for operations like delete change authorize liquidate and detailed view this screen will only display brokerage details You can change brokerage details for a deal only if you have clicked the Modify option from the Actions Menu Specifying Advices for the Contract Click Advice button from the Contract Input Details screen The Advices screen will be displayed To recall the advices that can be generated for the events that occur during the life cycle of a contract are defined for the product to which the contract is associated and are generated after the authorization of the product 32 ORACLE Advices Contract Reference Event Code Party type Receiver Id Name Suppress Priority Medium Language Address Line 1 Address Line 2 Address Line 3 Address Line 4 The details of the advices applicable for an event are displayed in the Advices
147. liates will not be responsible for any loss costs or damages incurred due to your access to or use of third party content products or services 22 Contents Preface onn unten tes 1 1 Tet introductione ee oe coo ro ele e e adio en 1 1 12 AUdIence cei Ee etate ume nte dna ep p etu ees 1 1 1 38 Documentation Accessibility essen 1 1 1 4 Acronyms and Abbreviations essen eene enne 1 1 1 5 Organization x ode ie o e Epiro OPERE ERE EUR e e odes 1 2 1 6 Related Documents tcc onm tena eden xa edant 1 2 1 6 1 Glossary Of Icons ci p D RE d tia HR i POT EEG 1 2 Derivatives An Overview nennen nennen 2 1 21 4nttoductlOn itp d he e ERE e eie 2 1 2 1 1 Types of Derivatives ioo e GG RR EGRE CORNER IRAE RR 2 1 2 1 2 Features of Derivatives 2 2 General Maintenance for the Derivatives Module 3 1 39 1 Introduction oa 3 1 3 2 Maintaining Derivative Types sssssseeeem emm eene 3 1 3 2 1 Maintaining User Defined Fields sse 3 5 3 3 Maintaining Branch Parameters sssssssseeee emere 3 5 3 4 Maintaining Counterparty Master Agreement 3 9 3 5 Maintaining Clearing Houses
148. llowed for the derivative type involved in the contract is also handled in a similar manner 5 1 4 3 Viewing Schedule Details Click Explode button to view the details of all the schedules for the contract Principal Schedules Explode 101 StatDate BaseEndDate AdjustmentType AdjustmentAmount Principal Amount Note You can change the details of existing schedules by clicking Amend button 5 1 5 Specifying Interest Details Just as you maintain principal schedule details for the in and out legs of the contract so also you are required to indicate the interest schedule interest revision schedule and accrual related details for every contract that you process Click Interest button while maintaining details of either the in leg or the out leg The Contract Interest Schedules screen will be displayed 5 21 ORACLE 5 1 5 1 Derivatives Contract Interest Details Contract Reference Leg Type Component Schedule Revision Accrual Details Liquidation Details Accrual Required Auto Settlement Numerator Method 30 US Numerator Method Actual Denominator Method Denominator Method Actual Denominator Basis Denominator Basis Include To Date Include To Date Payment Details Rate Denominator Basis Discount Rate Discount Auto Pickup Payment Method Discount Rate Source Discount Tenor Code Discount Rate Code Discount Rate Spread Floating Component
149. ltiple contracts which require the same rate s for processing revaluation the tenor and currency combination should be the same the BOD function identifies all the required rates and inserts a single record into this screen If you are maintaining details of a new interest rate for your branch select New from the Actions menu in the Application tool bar or click new icon The Branch Interest Rates Maintenance screen will be displayed without any details If you are calling a branch interest rate record that has already been defined choose the Summary option under Branch Rates From the Summary screen double click a record of your choice to open it ORACLE To modify or update existing interest rates click the unlock icon or select Unlock from the menu After indicating the new interest rate the currency of the interest rate and the period for which the new rate is valid save the record Rate Code and Rate Source If you are maintaining the details of a new interest rate for your branch you have to indicate the rate code that is to be associated with the interest rate You can identify a valid code from the list of rate codes available Subsequently you also have to indicate the source to which the rate code belongs When you indicate the codes linked to the rate code and source the description assigned to them will be defaulted in the adjacent fields Revaluation Date All those contracts which should be revalued a
150. m Date To Date Value Date From Date To Date Report Format Printer At Client Report Output Printer Selection Criteria Firstly you have to indicate whether the report should be generated for settled deals or whether the report should contain details of contracts which were terminated After you indicate this specification you have to specify the date range within which the settled terminated contracts were booked Similarly you can specify that the report should contain deals bearing a value date falling within a specific date range The generated report will contain details of contracts satisfying the above criteria Contents of the report The report options that you selected while generating the report are printed at the beginning of the report The contents of the report are discussed under the following heads Header The Header carries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on Counterparty This is the CIF ID of the customer involved in the contract that was settled terminated Customer Name This is the name of the customer Contract Reference This is the reference number of the contract which was settled terminated ORACLE Booking Date This is the date on which the settled terminated
151. maintain this information at the outset before beginning any transactions in this module it is imperative that you periodically review and update this information to reflect the latest changes The procedure to maintain these details is documented in the subsequent sections Maintaining Derivative Types The difference between this module and the other modules in Oracle FLEXCUBE is that before you begin to maintain products you are required to define Derivative Types In maintaining derivative types you can broadly classify the derivative instrument as an FRA CCS or IRS Additionally you can also capture relevant information about the instrument For instance indicating whether schedules are allowed or whether interest is to be paid in advance or in arrears and so on The advantage of defining derivative types is that at the time of creating a product you need to specify the code assigned to the derivative type The basic details you have specified for the derivative type will be automatically inherited by the product and consequently by any contract entered using that product You can invoke the Derivative Type Maintenance screen by typing DVDDTMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button The Derivative Type Maintenance screen will be displayed os ORACLE Derivative Type E3 Enter Query Lr Derivative Type Holiday Treatment Ty
152. module tags 071 SYS DV SUB DVSUB Unhandled Exception while processing interest tags 081 SYS DV SUB DVSUB No Settlement Details are maintained for the tag 1 082 SYS DV SUB DVSUB Unhandled Exception while processing charge tags 091 SYS DV SUB DVSUB Unhandled Exception while processing tax tags 101 SYS DV AMR DVAMORT Unhandled exception while building queue array 001 0 0 ORACLE 8 1 8 Reports Introduction The inputs you have made at different stages of maintaining a derivative contract are pieced together and can be extracted in the form of meaningful reports as and when you may require them The following are the reports that you can generate for the Derivatives module e Interest Accrual report e Back Dated Deals report e Contract Activity report e Customer wise Details report e Customer wise Summary report e Process Exception report e Revaluation Log report e Settled Deals report When a report is generated it can be directed to one of the following destinations e The printer e Online or e Stored as spool files and printed later using the spool In the Application Browser these reports are available under the option Reports for the Derivatives module The reports that have been spooled can be printed or viewed through the Reports Browser screen Note Both these screens have been documented in the manual about Common Procedures in Oracle FLEXCUBE The re
153. mounts DV SET DVAUSETO Unhandled exception while populating interest accrual 063 DV SET DVAUSET1 Unhandled exception while processing interest components 101 DV SET DVAUSET1 Reset not done for component 1for the period starting 2 102 DV SET DVAUSET1 Reset not done for component 1for the period starting 2 103 DV SET DVAUSET1 No data found for component 1for the period starting 2 104 DV SET DVAUSET1 Reset not done for component 1for the period starting 2 105 DV SET DVAUSET1 No data found for component 1for the period starting 2 106 DV SET DVAUSET1 Reset not done for component 1for the period starting 2 107 7 29 ORACLE DV SET DVAUSET1 No data found for component 1for the period starting 2 108 DV SUB DVSUB Unhandled Exception while Processing Brokerage 001 SYS DV SUB DVSUB Unhandled Exception while processing Advices 011 SYS DV SUB DVSUB Unhandled Exception while Processing User Defined Fields 021 SYS DV SUB DVSUB Unhandled Exception while processing Charge 031 SYS DV SUB DVSUB Unhandled Exception while Processing MIS 041 SYS DV SUB DVSUB Error While defaulting MIS details from contract 042 SYS DV SUB DVSUB Unhandled Exception while picking settlement details 051 SYS DV SUB DVSUB Unhandled Exception while processing tax 061 SYS DV SUB DVSUB Unhandled Exception while processing
154. n about Oracle s commitment to accessibility visit the Oracle Accessibility Program website at http Awww oracle com pls topic lookup ctx acc amp id docacc Acronyms and Abbreviations The following are some of the acronyms and abbreviations you are likely to find in the manual DV Derivatives FRA Forward Rate Agreements CCS Cross Currency Swaps IRS Interest Rate Swaps MA Master Agreement SWIF Society for Worldwide Inter bank Financial Telecommunication ISDA International Swaps and Derivatives Association EOD End of Day BOD Beginning of Day 1 1 ORACLE 1 5 1 6 1 6 1 Organization This manual is organized as follows About this Manual gives information on the intended audience It chapters also lists the various chapters covered in this User Manual Derivatives An Overview is a snapshot of the features that the Chapter 2 module provides General Maintenance for the derivative module deals with the Chapter3 maintenance of basic information that needs to be set up before the Derivatives module becomes operational Chapter 4 Defining Attributes Specific to Derivative Products describes the procedure to define attributes specific to derivative products Processing a Derivative Contract lists and explains the details of Chapter 5 a derivative that should be captured It also explains how to asso ciate a DV pr
155. n you have to manually enter the rate at which interest is to be discounted When the discount rate basis is the Floating Component you have to specify the Floating Component based on which interest is to be discounted If your choice to discount the rate basis is the Other Floating Component you have to indicate the rate source linked to the rate the tenor associated with the rate as well as the spread that is to be applied over the rate maintained in the Floating Rates screen Based on these parameters the discount rate will be calculated Discount Rate Specify the rate at which interest is to be discounted if the discount rate basis is Direct Input Floating Component Indicate the Floating Component based on which interest is to be discounted if you have indicated that the discount rate basis is Contract Floating Component Discount Auto Pickup Check this box to indicate whether the discount rate should be automatically picked up by the system from the Floating Rates screen depending on the other parameters you have specified such as the discount rate source rate code tenor code and the rate spread Discount Rate Source If your choice for the discount rate basis is the Other Floating Component then you have to indicate the Rate Source linked to the Rate Code based on which the discount rate is to be calculated Discount Rate Code Specify the discount rate code You can also select the rate code from the adjoining option list T
156. nce Type Reversed Reference Swaption Reference n Type Description Main eet Additional Termination Details Assuming Base Currency Inception Details Customer Description Inception Value Account Description Amortize Inception Gain Amortize Inception Loss Revaluation Details Maturity Date Details Revaluation Required Holiday Treatment Netting Required Holiday Currency Revaluation Method Financial Centre Rate Code C Move Across Month Rate Source Forward Forward Backward Event Brokerage Settlements Advice Charges Tax MIS Fields Principal Interest Sub Agreement Input By Authorized By Status Date Time Date Time Authorization Status Specify the following details Assuming If the contract you are processing has been assumed from another counterparty you are required to indicate so before you begin to specify the other details Uncheck the box if you are processing a fresh contract Currently this functionality not supported But the check box is available in the screen The functionality will be supported in future release Customer If the counterparty from whom you are assuming the contract is a customer of your bank indicate the name of the customer When the counterparty is not in any way connected to your bank you need not specify the name Base Currency Since you can maintain different currencies for both the in and out legs of the contract you have to identify one single currency as the Ba
157. ncipal interest or revision schedules is specified as Currency or Financial Center You can specify the details of currencies or financial centers for combined holiday treatment for uploaded DV contracts in the table shown below Column Name Data Type Description BRANCH CODE Character 3 Branch Code SOURCE CODE Character 20 Source Code of the external sys tem EXTERNAL REF NO Character 16 Unique Reference Number of the contract being uploaded COMPONENT Character 10 INLEG PRN gt Principal of the in leg OUTLEG gt Principal of the out leg DV IN INT gt gt Interest of the in leg DV OUT INT gt Interest of the out leg CCY FIN CENTER Character 3 Currency code or Clearing house CCY OR FINCENTE Character 1 C gt Currency R F gt Financial Center SCHEDULE_TYPE Character 1 P gt Principal gt Interest R gt Revision If the value of CCY OR FINCENTER is C then the value provided in CCY FIN CENTER must be an authorized and open currency If the value of CCY OR FINCENTER is F then the value provided in CCY FIN CENTER must be an authorized and open clearing house You must provide details of the list of currencies or financial centers from the above table if the derivatives type for the uploaded product supports combined holiday treatment and the holiday treatment for a specific component and schedule type is set as currency or financial center oe OR
158. ndatory field Base Currency is NULL 172 NONL DV ONL DVDC Mandatory field Reval Method is NULL 173 NONL DV ONL DVDC Mandatory field Reval Rate Code is NULL 174 NONL DV ONL DVDC Mandatory field Reval Rate Source is NULL 175 NONL DV ONL DVDC Mandatory field Master Agreement Code is NULL 176 NONL DV ONL DVDC Mandatory field Line Code is NULL 177 NONL DV ONL DVDC Mandatory field Maturity Holiday Treatment is NULL 178 NONL DV ONL DVDC Mandatory field Maturity Holiday Currency is NULL 179 NONL DV ONL DVDC Mandatory field Maturity Financial Center is NULL 180 NONL DV ONL DVDC Unhandled Exception While Terminating the contract 191 NONL DV ONL DVDC The Contract is already terminated cannot terminate again 192 NONL DV ONL DVDC Contract is pending Authorization Cannot be terminated 193 NONL DV ONL DVDC Do You want to terminate the contract 194 NONL DV ONL DVDC Mandatory Field Termination type is NULL 195 NONL DV ONL DVDC Mandatory Field Termination Currency is NULL 196 NONL DV ONL DVDC Mandatory Field Termination Value is NULL 197 NONL DV ONL DVDC Failed to terminate the contract 198 NONL DV ONL DVDC Unhandled Exception while reversing the contract 201 NONL DV ONL DVDC Contract pending Authorization Cannot Reverse 202 NONL DV ONL DVDC Do you want to reverse the contract completely 203 NONL Td ORACLE
159. ne for interest rates 122 DV IAC DVACCR No discount rate obtained for the interest component 123 DV IAC DVACCR For Component 1 liquidation for the past period is pending 124 DV IAC DVACCR Unhandled exception while processing product level accrual 131 DV IAC DVACCR Unhandled Exception when processing interest accrual 141 DV IAC DVACCR No data found for the current product code 142 DV IAC DVACCR Unhandled exception while processing interest accrual 151 DV IAC DVACCR Unhandled exception while processing interest accrual 161 DV IAC DVACCR Unhandled exception while processing interest accrual 171 if ORACLE DV IAC DVACCR No data found for the current contract ref no 172 DV IAC DVACCR Unhandled exception while processing the amount tags 191 DV ICA DVINTCAL Unhandled exception while computing Interest Amount 001 DV ICA DVINTCAL Failed to round the Interest Amount 002 DV ICA DVINTCAL Unhandled exception while computing Discount Amount 011 DV ICA DVINTCAL Failed to round the Discount Amount 012 DV ICA DVINTCAL Unhandled exception while computing Discount Amount 021 DV ICA DVINTCAL Failed to round the Discount Amount 022 DV ICA DVINTCAL Unhandled Exception while calculating the interest amount 031 DV ICA DVINTCAL Unhandled Exception while calculating the interest
160. nent This component will be used for amortization purposes Note For the main component the Rate Type will be defaulted from the Contract Input Mainte nance screen For all the other components the Rate type that you indicate will determine whether the particular in or out leg interest component depending on which leg details you are specifying is fixed floating or special ORACLE 5 1 5 2 Schedule Details Tab The schedule preferences that you specify at the time of creating the product like the frequency of schedules the unit of frequency and so on will be defaulted to the contract You will be allowed to change these preferences for the contract you are processing Interest liquidation process will pass netted entries for in leg and out leg schedules only if the in leg interest liquidation date matches with the out leg liquidation date To facilitate netting for asynchronous schedules netting amount tags should be separately maintained at the product level Please refer to the Annexure A Accounting Entries and Advices manual for details on maintaining the netting amount tags Note Netting for Asynchronous schedules is possible only for Interest Rate Swaps IRAs and not FRAs and CCS Derivatives Contract Interest Details Contract Reference 101 Leg Type Component Main Revision Schedule Holiday Treatment Forward Forward Move Across Month Holiday Treatm
161. nent EXP UNRL Component 2 Credit Component PAY Component PAC In Credit DV IN INT INC DV IN INT RAC Debit DV IN INT REC DV IN INT RAC Out Debit DV OUT INT EXP DV OUT INT PAC Credit DV OUT INT PAY DV OUT INT PAC Entries that are passed for the DIAC event Advance Contracts for transfer of unrealized to realized income are as follows In Out leg Dr Cr Indicator Accounting Role Amount Tag In Debit Component RIA Component Credit Component INC UNRLZ Component Out Debit Component EXP UNRL Component EAC 2 Credit Component PIA Component EAC In Credit DV IN INT INC DV IN INT IAC Debit DV IN INT RIA DV IN INT IAC Out Debit DV OUT INT EXP DV OUT INT EAC Credit DV OUT INT PIA DV OUT INT EAC Final Accruals In addition to above In Debit Component INC UNRLZ Component DLIQ P Y Credit Component INC Component DLIQ P Y Debit Component INC UNRLZ Component _ CY Credit Component INC Component CY 9 21 ORACLE 9 5 10 Out Debit Component EXP Component DLIQ P Y Credit Component EXP UNRL Z Component_DLIQ_P Y Debit Component_EXP Component_DLIQ_P Y Credit Component_EXP_UNRL Z Component_DLIQ_P Y Advices No advices allowed for this Event DTAM Contract Termination Amortization Accounting Entries Accounting R
162. new record 002 DV MNT DVMNT Do you want to delete the record 003 DV MNT DVMNT Record successfully deleted 004 DV MNT DVMNT Failed to delete the record 005 DV MNT DVMNT Failed to delete the record 006 is ORACLE DV MNT DVMNT Do you want to close the record 007 DV MNT DVMNT Unauthorized records can not be closed 008 DV MNT DVMNT Record successfully closed 009 DV MNT DVMNT Failed to close the record 010 DV MNT DVMNT Failed to close the record 011 DV MNT DVMNT Failed to unlock the record 012 DV MNT DVMNT Failed to unlock the record 013 DV MNT DVMNT Do you want to reopen the record 014 DV MNT DVMNT Record successfully reopened 015 DV MNT DVMNT Failed to reopen the record 016 DV MNT DVMNT Failed to reopen the record 017 DV MNT DVMNT Failed to save the record 018 DV MNT DVMNT Failed to save the record 019 DV MNT DVMNT Unhandled exception while saving the record 020 DV MNT DVMNT Record successfully saved 021 DV MNT DVMNT Failed to authorize the record 022 DV MNT DVMNT Failed to authorize the record 023 DV MNT DVMNT Failed to copy the record 024 DV MNT DVMNT Failed to copy the record 025 DV MNT DVMNT Do you want undo changes made to the record 026 718 ORACLE
163. next schedule will remain on May 30 Principal Schedules Specify the following details Start Date Enter the date on which the particular principal schedule should start Frequency In addition to indicating the holiday treatment you also need to specify the periodicity or the frequency of the schedules for each principal component You can indicate that the frequency of schedules can either be Periodic or Bullet If you choose to have bullet schedules for a particular component liquidation for the component will be done only as of the Maturity Date In the case of periodic schedules you have to specify whether the frequency should be daily weekly monthly quarterly half yearly or yearly Frequency Unit In addition to specifying the frequency of schedules you are also required to indicate the number of units of the frequency The number of units that you indicate will determine the actual schedule frequency For instance for a particular schedule you want to have a bi weekly frequency The list of choices available for the Frequency field does not have this option In the Frequency field indicate the option Daily Enter 2 as the Frequency Unit the particular schedule will be due once in every two weeks Number of Schedules For a particular Frequency and Frequency Unit combination you can choose to have a number of schedules depending on how many you want to define for the particular component 9 18 ORACLE 5 1 4 2
164. ng the Automatic Batch Update function run only the events scheduled for 15 November 2000 will be processed The events scheduled for the holidays i e 16 November 2000 and 17 November 2000 will be processed during the Automatic Batch Update function run during beginning of day operations on 18 November 2000 Revaluation Reversal As a branch level parameter you can indicate the manner in which deal level reversal of Unrealized Revaluation with Previous Year Adjustment should be processed The options available are e Along with Revaluation reversals of entries for a particular revaluation will be performed at the time of the next revaluation e Next Day in BOD select this option to indicate that any revaluation gain loss should be reversed the very next day during the BOD process If the BOD processing date happens to be the first day of the financial year revaluation reversal will be done from the Previous Year Adjustment GL maintained in the Chart of Accounts For example ORACLE You have entered a deal with the following parameters e Revaluation method is Fair Value e Revaluation Netting Required option is set to Yes and e Revaluation Frequency is monthly e Frequency Start Day as 1 Assume that the deal comes into existence on the 15 of July The fair value of the In Leg is USD 500 and that of the Out Leg is USD 350 as on the 1 of August This results in a revaluation gain of USD 150 500 350
165. nhandled exception while processing messages to be gen 001 VSRV erated DV AML DVAMLSR Unhandled exception during message generation for FRA 001 V confirmation DV AML DVAMLSR This message cannot be sent for this contract 002 V DV AML DVAMLSR This message cannot be sent for this contract 003 V DV AML DVAMLSR Unhandled exception while generating message for Rate 004 V Swap confirmation DV AML DVAMLSR Unhandled exception while generating message for contract 005 V assignment DV AML DVAMLSR Unhandled exception while getting in leg details 006 V DV AML DVAMLSR Unhandled exception while getting out leg details 007 V DV AML DVAMLSR Unhandled exception while getting in leg details 008 V DV AML DVAMLSR Unhandled exception while getting out leg details 009 V DV AML DVAMLSR Unhandled exception while getting the general terms of the 010 V contract DV AML DVAMLSR Unhandled exception while getting sender and receiver 011 V addresses DV AML DVAMLSR Unhandled exception while getting broker details 012 V DV AML DVAMLSR Unhandled exception while getting agreement details 013 V DV AML DVAMLSR Unhandled exception while getting payment dates 014 V DV AML DVAMLSR Unhandled exception while getting payment dates 015 V i ORACLE DV AML DVAMLSR Unhan
166. ning details should be associated with the master agreement 9e ORACLE 3 5 Maintaining Clearing Houses You can maintain the details of financial centers through the Clearing House Maintenance screen The reason for maintaining clearing houses or financial centers is that at the time of processing the contract you can indicate that holiday treatment for principal and interest schedules and for rate resets should be according to the holiday calendar of the financial center You can invoke the Clearing House Maintenance screen by typing STDCLMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button The Clearing House Maintenance screen will be displayed LZ Clearing House Maintenance Enter Query Clearing House Description Swift Code Input By Authorized By Modification Date Time Date Time Number Wi Authorized W Open If you are maintaining details of a new financial center select New from the Actions menu in the Application tool bar or click new icon The Clearing House Maintenance screen will be displayed without any details If you are calling a clearing house record maintenance record that has already been defined choose the Summary option under Clearing House In the Summary screen double click on a record of your choice Clearing House In Oracle FLEXCUBE you have to as
167. nominator Basis You need to specify the interest accrual rate for the outward leg of the contract as one of the following e Per annum e Per schedule period Allow External Rate Revision Check the Allow External Rate Revision to indicate that for the contracts linked to this product you can allow rate revision based on the rates uploaded from an external system In Leg Out Leg Interest Accrual Details The details that you maintain here are specific to the interest calculation methods to be applied during accruals Any of the following combinations are allowed for calculating interest The Actual number of days in the period The Actual num ber of days in that year Actual Actual Click on Actual in Numerator Method field click on Actual in Denominator Method field The number of actual calendar days for which calculation is done 365 days in a year Actual 365 Click on Actual in Numerator Method field click on 365 days in Denominator Method field This is similar to the Actual 365 method except that leap days are always ignored in the denominator day count cal Actual Japanese culation Actual Click on Actual in the Denominator Method field click on Actual Japanese in the Numerator Method field Sum of A and B where A Interest accrual days falling within the leap year 366 B Interest accrual Days not falling within the leap year 365 ISDA Actual 365 The denom
168. ns Maintaining Branch wise Forward Interest Rates Branch level maintenance of forward interest rates is necessary for revaluing those contracts for which you have indicated that revaluation should be according to the Branch Rates Oracle FLEXCUBE identifies those contracts which are to be revalued according to the forward interest rates maintained at the branch level and creates records in the Revaluation Branch Interest Rates screen based on the revaluation date You have to unlock each record and indicate appropriate interest rates for specific interest periods You can invoke the Derivatives Revaluation Branch Interest Rates screen by typing DVDBRRAT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Derivatives Revaluation Branch Interest Rates Enter Query Rate Code Revaluation Date az Transaction Date Rate Code Description Rate Source laz Rate Source Description Interest Revision Confirmation Auto Confirmed Manual Rate Details 1 Currency Code Currency Description Period Start Date Period End Date Interest Rate a Input By Authorized By Modification Date Time Date Time Number Wi Authorized open The advantage in maintaining branch wise interest rates is that when there are mu
169. ns related to this contract Hence the system generates a unique number for each contract The contract 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 The Julian Date has the following format YYDDD Here YY stands for the last two digits of the year and DDD for the number of day s that has have elapsed in the year User Reference You can enter a reference number for the contract A contract will be identified by this number in addition to the Contract Reference No generated by the system This number should be unique and cannot be used to identify any other contract By default the Contract Reference Number generated by the system will be taken as the User Reference No s ORACLE 5 1 1 1 External Reference If the transaction is being uploaded from an external source you can specify the identification for the transaction in the external source as the external reference number Reversed Reference The reference number of the contract that is being reversed and rebooked will be displayed here Source Code You have to indicate the source from which contracts have to be uploaded Swaption Reference Specify the swaption reference number to associate this contract with an options contract The option list displays all valid option contract reference numbers maintained in the system Choose the appropriate one You c
170. nt 061 0 DV CEV DVCNTEV Unhandled Exception While building tags for Booking Event 071 0 DV CEV DVCNTEV Unhandled Exception While building tags for Initiation Event 081 0 74 ORACLE DV CEV DVCNTEV Unhandled Exception While building tags for Termination 091 0 Event DV CSR DVCNSRV Unhandled Exception While registering a event 001 0 DV CSR DVCNSRV Inconsistent Database No record found for the contract in 002 0 contract table DV CSR DVCNSRV Unhandled Exception While Locking the Record 011 0 DV CSR DVONSRV Unhandled Exception While authorizing the Contract 021 0 DV CSR DVCNSRV Unable to obtain Contract Lock 022 0 DV CSR DVCNSRV Unhandled Exception While Saving the contract 101 1 DV CSR DVCNSRV The Value Date 1 should be within the Product Start Date 102 1 2 and the Product End Date 3 DV CSR DVCNSRV The Maturity Date 1 should be within the Product Start Date 103 1 2 and the Product End Date 3 DV CSR DVONSRV The Exchange Rate exceeds the allowed Maximum Variance 104 1 1 96 DV CSR DVONSRV The Exchange Rate exceeds the allowed Normal Variance 105 1 1 96 DV CSR DVONSRV In Leg Principal Details are Defaulted 106 1 DV CSR DVCNSRV_ OutLeg Principal Details are Defaulted 107 1 DV CSR DVCNSRV InLeg Interest Details are Defaulted 108 1 DV CSR DVCNSRV_ Out Leg Inte
171. nt for the selected schedules on the relevant Derivatives contract You can view this event at the contract level by invoking the Contract Input screen and clicking on the events button After the confirmation is saved the contract status becomes unauthorized On authorization of the confirmation through the Confirmation screen the contract status is also updated to Authorized Note After you authorize the record the A option appears checked you are not allowed to make any modifications in the Schedule Confirmation screen pertaining to a confirmed schedule If the counter party confirms another schedule later on the above process must be repeated for the relevant schedule ORACLE 5 4 Reassigning a Contract to another User A contract can be deleted only by the user who entered it If a contract has to be deleted and the user who input the same is not available to do it you can reassign the contract to another user so that the other user can delete it Typically this situation may arise during EOD operations when a contract that is not authorized has to be deleted and the user who input it has left office for the day You can invoke the Derivatives Contract Reassign screen by typing DVDTREAS in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button e Derivatives Contract Reassign EX New Enter Query Reassign U
172. nt will be calculated and shown in the screen as soon as the Risk Weighted Limits Tracking option is selected These fields will be recalculated if the value date or the maturity date is amended Risk Weighted Amount will be calculated as follows Risk percent will be computed by comparing the tenor Maturity date Value date of the contract with the tenor slabs in risk percent maintenance Risk category used for comparison will be the risk category defined in customer maintenance for the counterparty of the derivatives and options contract Product used for comparison will be the product for the contract If there is no risk maintenance for the particular category and product product will be replaced by ALL and risk percent for contract tenor customer category and product ALL will be arrived at Module used for find out the risk percent will be DV for derivatives Various combinations possible for find out risk percentage in order of preference are DV Customer Category Product DV Customer Category ALL An error message will be raised if Risk Weighted Limit Tracking is checked and risk percentage cannot be arrived at Risk percent once arrived at will be stored and the contract level and will be used to compute the risk weighted amount for limit tracking Any future amendment of risk percentage in risk percentage maintenance will not affect the risk weighted amount of the contract and it will remain the same throughout the li
173. nt will be carried out on the in leg principal For risk weighted limit tracking notional amount will be multiplied with the risk percent for finding out the risk weighted amount and limit tracking will be done on this amount If credit netting is checked during contract input and the contract is governed by a master agreement then the limit tracking will be done against a single reference number This reference number will be the master agreement code of the master agreement for the counterparty of the contract Maintaining the Principal Schedule Details Screen You have to maintain the principal schedule details for the in and out legs of the contract only if you have specified so for the derivative type linked to the contract While defining the details of a particular leg either in leg or out leg click Principal button The Contract Principal Schedule screen will be displayed ORACLE Derivatives Contract Principal Details Contract Reference Leg Type Amount Currency Component Holiday Treatment Auto Settlement Holiday Currency Schedule Movement Move Backward Financial Center Move Forward Move Across Months Cascade Schedules 10tf1 Base StartDate Frequency Unit Schedules Adhere To Month End Adjustment Type Amount View Principal In this screen you can specify the holiday treatment the holiday movement and the frequency of the principal schedules Holiday Treatment In Oracle F
174. oduct Preferences Product Code Product Description Product Type Product Type Description Interest Schedules Amortization Details Contract Type Trade C Assuming Hedge Brokerage Allowed Deal Type Buy Sell Rekey Fields Revaluation Details Rekey Required C Revaluation Required In Currency Revaluation Netting In Principal Amount Required Revaluation Meth Y Out Currency evaluation Method Out Principal Amount Revaluation Frequency Maturity Date Revaluation Start Weekday Value Date Revaluation Start Day Revaluation Start Month Revaluation Level Contract Product The Product Code and Product Type are defaulted from the Product Maintenance screen In this screen you can specify the following Main Details tab Specify the following details Contract Type You have to indicate whether the product for which you are defining preferences for is meant for Trade contracts or Hedge contracts Note You can amend this preference while entering the details of the contract Deal Type The first preference that you define for a derivative product is the Deal Type You can indicate the default nature of deals that will be processed under this product The choices available for this field are e Buy e Sell Note The deal type that you specify will be defaulted to contracts under this product However you are allowed to change this while entering the details of the contr
175. oduct with a DV contract Batch Processing documents the Beginning and End of Day Chapter 6 functions that are processed by the system Chapter 7 Error messages for Derivatives lists the error messages that you P encounter while working with Oracle FLEXCUBE Reports provide a list of reports that can be generated in this Chapter 8 module and also explains their contents Annexure A Accounting Entries and Advices contains an event Chapter9 wise list of suggested accounting entries and advices for the Derivatives module Function ID Glossary has alphabetical listing of Function Screen Chapter ID s used in the module with page references for quick naviga 10 tion Related Documents e Procedures User Manual e The Messaging System User Manual e Central Liability User Manual Glossary of Icons This User Manual may refer to all or some of the following icons Icons Function Exit ax Delete row Ve ORACLE Icons Function Option List ORACLE 2 1 2 Derivatives An Overview Introduction Derivatives are contracts which derive their value from one or more underlying assets The underlying assets can be stocks bonds commodities currencies interest rates market indexes or even the weather The value ofthe derivative is determined by fluctuations in these underlying assets Derivatives are gener
176. of these values are missing for any record then the system will raise an error Validations a e effective date is Null then the current application date is defaulted e Allthe validations are performed for the received fields Based on the data it identifies whether the request is creation or amendment For new records new maintenance is created else the details of the existing record are updated During the upload even if one record fails to process entire upload will get rejected A Note on DV Contract Amendment Upload If any one of the fields mentioned below is sent by the external system Oracle FLEXCUBE considers the upload as a non financial amendment upload e Internal Remarks e Rate Type In amp Out us ORACLE e Rate Code In amp Out e Rate Source In amp Out e Tenor Code e Spread e Interest Rate e Remarks e Interest Details Accrual Allowed Flag Numerator amp Denominator Method Denominator Basis e Liquidation Details Auto Settlement flag Numerator amp Denominator Method Denominator Basis e Payment Details Rate Denominator Basis Payment Method Discount Rate basis Discount Rate Floating Component Discount Rate Source Discount Rate Code Discount Tenor Code Discount Rate Spread e Schedules Holiday Treatment Currency Financial Centre Holiday Movement Cascade Schedules flag Move across month flag
177. ole Amount Tag Dr Cr TRMN_EXP TRMN_EXP_AMORT DEBIT TRMN_LOSS_DEF TRMN_EXP_AMORT CREDIT TRMN_GAIN_DEF TRMN_INC_AMORT DEBIT TRMN_INC TRMN_INC_AMORT CREDIT Entries that are passed during the for transfer of unrealized to real ized income are as follows Gain Loss Dr Cr Accounting Role Amount Tag Gain Debit TRMN_GAIN_DEF TRMN_INC_AMOR T Credit TRMN_INC_UNRLZ TRMN_INC_AMOR T Loss Debit TRMN_EXP_UNRLZ TRMN_EXP_AMOR T Credit TRMN_LOSS_DEF TRMN_EXP_AMOR T On Contract Maturity In addition to above Gain Debit TRMN_INC_UNRLZ TRMN_GAIN_PY Credit TRMN_INC TRMN_GAIN_PY Debit TRMN_INC_UNRLZ TRMN_GAIN_CY Credit TRMN_INC TRMN_GAIN_CY Loss Debit TRMN EXP TRMN LOSS PY Credit TRMN EXP UNRLZ TRMN LOSS PY 9 22 ORACLE Debit TRMN EXP TRMN LOSS CY Credit TRMN EXP UNRLZ TRMN LOSS CY If the amount tag is of type Component RLIQ DLIQ PY and if the accounting role pertains to unrealized income expense the head for the accounting role will be replaced by the previous year adjustment GL while passing accounting entries Note The transfer of income expense from the previous year adjustment GL to the realized in come expense GL happens only if the Track PY P amp L Adjustment option has been set as a branch preference through the Branch Parameter screen For example You are processing an FRA contract which has the followin
178. omponent EXP Realized Expense Component INC UNRLZ Unrealized Income Component EXP UNRL Z Unrealized Expense TRMN_INC_UNRLZ Unrealized termination income TRMN_EXP_UNRLZ Unrealized termination expense NET_INT_INC Net interest income NET_INT_EXP Net interest expense NET_INT_RIA Netted interest Received in advance NET_INT_PIA Netted interest paid in advance NET_INT_INC_UNRLZ Unrealized Net interest Income NET_INT_EXP_UNRLZ Unrealized Net interest Expense Event wise Accounting Entries and Advices In this section we will discuss the suggested accounting entries and advices that should be generated for each event in the life cycle of Derivative contracts Note Also note that some of the Amount Tags linked to the Accounting Roles are user defined ORACLE DBOK Contract Booking Accounting Entries Accounting Role Amount Tag Dr Cr Indicator BROK PAID BROKAMT DEBIT BROK PAYABLE BROKAMT CREDIT CONT FAIR VAL INCP GAIN DEBIT INCP INC INCP GAIN CREDIT CONT FAIR VAL INCP GAIN DEF DEBIT INCP GAIN DEF INCP GAIN DEF CREDIT CONT FAIR VAL INCP LOSS CREDIT INCP EXP INCP LOSS DEBIT CONT FAIR VAL INCP LOSS DE CREDIT F INCP LOSS DEF LOSS DE DEBIT F CONT ASSET INLEG PRN DEBIT CONT ASSET OF INLEG PRN CREDIT S CONT LIAB OUTLEG PRN CREDIT CONT LI
179. onfirmation screen available under the Derivatives Menu in the Application Browser The schedule details pertaining to the contract are automatically populated in the Confirmation screen upon authorization of the contract Confirmation Enter Query Contract Reference User Reference Schedule Confirmation E Schedule Date Component Amount Currency Pay Receive Media Receiver C Authorize es m le C Confirmation Indicator A Authorization Indicator Input By Authorized By Contract Status Date Time Date Time Authorized The following details are displayed in the screen Schedule The date on which a particular component falls due Date The various principal and interest components for which the confir mation is being processed The components displayed depend on the rate type associated Component with them All the components for which the rate type is fixed are displayed In the case of a floating rate type only those components that have undergone a rate revision will be displayed ds ORACLE The amount due towards each schedule If you have opted for netting at the contract level the amount dis played will be netted provided the components due for settlement are in the same currency and have the same schedule date The Amount components are always netted against the
180. pe Description Combined 5 151 Derivatives Principal Details Interest Details Cross Currency Allowed Asynchronous E Exchange Required Schedules Netting Required Asynchronous Schedules E in Schedules Allowed Out Schedules Allowed Amortization Start Date Termination Date In Leg Interest Details Out Leg Interest Details 5 Settlement Date Asynchronous Revision E Asynchronous Revision Schedules Schedules Revision Schedules Revision Schedules Allowed Allowed Interest Schedules J Interest Schedules Allowed Allowed Payment Method Advance Payment Method Advance Arrears Arrears Internal Remarks 2 Fields Input By Authorized By Modification Authorized Date Time Date Time Number Open If you are maintaining details of a new derivative type select New from the Actions menu in the Application tool bar or click new icon The Derivative Type Maintenance detailed screen will be displayed without any details If you are calling a derivative type maintenance record that has already been defined choose the Summary option under Derivative Type From the Summary screen double click a record of your choice to open it Derivative Type The first attribute that you define for the derivative is its type A type defines the basic characteristics of the instrument It indicates whether the e De
181. port headers for all the reports carry the following information Branc This is the code of the branch for which the report is being generated h User This is the user ID of the person generating the report ID Date This indicates the date of generation of the report Time This indicates the time of generation of the report Page The report may run into several pages Each page of the report is numbered Modul This is the name of the Oracle FLEXCUBE module for which you are generat e ing the report Any report on derivatives will have DV as its module name S1 ORACLE 8 2 8 2 1 Interest Accrual Report The interest accrual report gives details of accruals done on hedge type of derivative contracts You can invoke the screen by typing the code DVRPACCR in the field at the top right corner of the Application tool bar and click on the adjoining arrow button Interest Accrual Report Selection Criteria Accrual Processing Date ReportFormat PDF Printer At Client Report Output Print Printer Selection Criteria Accrual Processing Date Specify the accrual processing date on which you want to generate the interest accrual details report Contents of the report The report will be sorted based on the Branch and the User ID of persons who entered the contracts The contents of the report are discussed under the following heads Header The Header ca
182. r Agreement code Each master agreement that you create can be associated with a counter party You have to indicate the code assigned to the counterparty for whom the master agreement is being maintained After you specify the customer for which the master agreement is being maintained you have to enter a code to uniquely identify the master agreement You can follow your own conventions while devising this code Master Agreement Type You can indicate the type of master agreement under which the contract falls The options available in the option list provided contain a list of standard master agreement types They are as follows e AFB ORACLE e BBAIRS e ISDA e FRABBA e DEVR e FBF e OTHERS Product Group A product is a specific service that you offer your customers In Oracle FLEXCUBE you are required to group together products according to the common attributes that they share This kind of grouping of products helps you organize information pertaining to the services that you provide Besides it also simplifies information retrieval Maintenance of product groups is done through the Product Group Definition screen You can indicate the product group whose contracts can be linked to the master agreement Version You need to indicate the version number of the master agreement for which you are maintaining details Utilization Currency If you have indicated that Limit Tracking is required then you need to spec
183. rage rule linked to the broker is defaulted However you can change some details like whether brokerage should be booked in advance in arrears or whether it should be waived altogether Click Brokerage button to define the brokerage details that are applicable to the contract leg you are processing You will be allowed to enter details of a broker only if brokerage was allowed for the product to which the contract is associated Brokerage Contract Reference Broker Broker Name Payable Brokerage Currency Currency Amount Amount Liquidation Booking Status 3 No Booking Reference Number Advance Arrears Consider For Discount The code assigned to the broker through whom the deal was brokered is displayed along with the broker s name eu ORACLE Payable Brokerage Currency If the brokerage payable currency is the same as the brokerage paid currency then the same amounts brokerage paid and brokerage payable are displayed against the currencies You have the option to change these currencies Amount While you cannot input the brokerage payable amount the brokerage paid amount can be changed The following brokerage details are displayed e brokerage liquidation status If it has been liquidated the liquidation reference number is also displayed e The rule code and description that has been linked to the broker Booking You can indicate preferences as to when the brokerage applicab
184. rencies of both the in and out leg of the contract are the same you have to calculate the net fair value of the contract by deducting the out leg amount from the in leg amount For example The Fair Value in the In Leg field amounts to USD 1 000 000 00 The Fair Value in the Out Leg field amounts to USD 500 000 000 Since both the values are in the same currency USD 500 000 000 deducted from USD 1 000 000 00 amounts to USD 500 000 000 Thus you can enter USD 500 000 000 as the Net Fair Value Supposing the currencies of both the legs of the contract are different then the Base Currency specified at the time of Contract Input will be the accepted as the default currency for the Net Fair Value You have to compute the Net Fair value using the existing exchange rates Note After indicating the respective values you must indicate your confirmation of the same Only confirmed records will be picked up and processed for revaluation by the End of Day batch process Operations on the Contract Fair Price Maintenance record Apart from maintaining a new fair price for a particular contract you can perform any of the following operations if any function under the Actions menu is disabled it means that the function is not allowed for the record on an existing record e Amend the details of a record e Authorize a record 4 18 ORACLE 4 5 Refer to the Oracle FLEXCUBE User Manual on Common Procedures for details of these operatio
185. rest Details are Defaulted 109 1 DV CSR DVCNSRV_ Brokerage Details Defaulted 110 1 DV CSR DVCNSRV Advice Details Defaulted 112 1 DV CSR DVCNSRV User Defined Fields Defaulted 113 1 DV CSR DVCNSRV Charges Defaulted 114 1 DV CSR DVONSRV MIS Details Defaulted 115 1 is ORACLE DV CSR DVCNSRV Settlement Details Defaulted 116 1 DV CSR DVCNSRV Tax Details Defaulted 117 1 DV CSR DVD For event 1 no receiver id given for message type 2 118 MGMNT DV CSR DVONSRV Unhandled Exception while defaulting interest details 121 1 DV CSR DVCNSRV Forthe component 1 the spread 2 is less than the allowed 122 1 minimum spread 3 DV CSR DVCNSRV For the Component 1 the spread 2 is more than the 123 1 allowed spread 3 DV CSR DVCNSRV For the component 1 the Interest rate Cannot be NULL 124 1 DV CSR DVCNSRV For the component 1 the Interest rate 2 is less than the 125 1 allowed minimum rate 3 DV CSR DVCNSRV For the component 1 the Interest Rate 2 is more than the 126 1 allowed maximum rate 3 DV CSR DVCNSRV For this Counterparty 1 the Line Code 2 is not allowed 127 1 DV CSR DVCNSRV For this Product 1 the Line Code 2 is not allowed 128 1 DV CSR DVCNSRV Forthis Branch 1 the Line Code 2 is not allowed 129 1 DV CSR DVCNSRV For this Base Currency 1 the Line Code
186. roups also help you retrieve information easily You can invoke a list of the product groups that you have maintained in your bank and choose the product group to which the product that you are creating belongs Start Date When you create a product you must specify a date from which it can be offered Specify this date in the Start Date field End Date You can choose to specify the date up to which a product is open Specify this date in this field You cannot enter a date that is earlier than the current system date Note 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 You can enter any remarks relating to the product for your reference here 42 ORACLE 4 2 1 Exchange Rate Variance in You can define the exchange rate variance that you would like to allow for a derivatives product This variance is expressed in terms of a percentage 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 contracts associated with the derivatives product Override Limit If the variance between the default ra
187. rries the title of the Report information on the branch code the branch date the user id the module name the date and time at which the report was generated and the page number of the report Body of the report The report contains information on Contract Reference This is the reference number of the derivative contract whose accrual related details are being reported Component This is the component of the contract against which the accrual details are being reported When more than one component is involved they will be reported one by one in ORACLE 8 3 Period Start Date This is the start date of the accrual period for the particular component Period End Date This is the end date of the accrual period for the particular component Payment Method This is the method of payment for the particular component Previous Accrual to Date This is the previous accrued amount until date Current Accrual to Date This is the current accrued amount until date Current Run Accrual This is the current run accrued amount Accrual Till Date The total amount accrued until date Back Dated Deals Report The Back Dated Deals report gives details of those deals which were inserted into the system with the value date earlier than that of Booking Date You can invoke the screen by typing the code DVRPBKDT the field at the top right corner of the Application tool bar and click on the adjoining arrow button
188. s per the interest rates maintained at the branch level will be revalued as of the revaluation date While maintaining details of a new interest rate you have to indicate the date based on which contracts should be revalued Interest Revision The system revises interest rates automatically when the daily batch for derivatives is run using the Branch specific Interest rate revaluation method Confirmation Check this box to confirm that the interest rate entered is correct Once you check this box the current system date will be displayed in the Date field Note If you leave this box unchecked then this record will not be taken up for revaluation pro cessing Rate Details Since the system identifies the currency and tenor of forward rates required for each revaluation date on the Revaluation Date only those contracts with the particular Rate Code Rate Source and Currency combination will be considered for revaluation Currency Code Choose the currency in which you want to maintain the Interest Rate Once you select the Currency Code the description assigned to it will be displayed in the adjacent field Period Start and End Date Specify the start and end dates for the interest rate you are defining Interest Rate Enter the interest rate for the particular rate code The interest rate that you specify here is meant for your branch and will be used to determine the Fair Value of all those contracts for which you have in
189. screen Charges where the charge rate amount and the waive charge parame ters can be specified MIS Click on this button to enter the transaction MIS details Click this icon to invoke the Settlement screens Based on the details that you enter in the Settlement screens the contract will The details of these screens have been discussed in the Settle ments manual This icon invokes the Tax services The application of tax on a Tax deal is discussed under the head Levying tax on a contract Interest Principal Sub Agreement Through the Derivatives Contract Input screen you can process all types of derivative contracts You can enter the details of a contract using a derivative product Based on the type of contract you are entering you can select a product from the option list available at the Product field Once you link a product with a contract the attributes defined for the product and consequently the derivative type associated with the product will be inherited by the contract automatically You are allowed to change a few of these details such as revaluation details the in and out leg interest details before saving the contract Reference Number In Oracle FLEXCUBE reference numbers are generated automatically and sequentially by the system This number tag is used to identify the contract you are entering it is also used in all the accounting entries and transactio
190. se Currency of the contract The base currency you specify will be used to compute the contract fair value to be used for revaluation purposes Revision Schedules Revaluation is typically applicable to trade deals The revaluation preferences that you made at the product level will be defaulted to the contract You may change these preferences while processing the contracts If indeed revaluation is required for the contract being processed it will be done according to revaluation method that you choose 9 ORACLE Note Each of the revaluation methods have been thoroughly explained in the chapter on Defin ing the Fair Price revaluation methods Netting Required This field indicates whether contracts with positive and negative MTM values can be netted for computing credit limit utilization After you specify the MA Code the other details linked to the code such as Limits Tracking Required Netting Required and so on get defaulted to the contract Note At the MA level if you have indicated that Netting is required and while entering the details of the contract you decide that netting is not required for that particular contract then you will be allowed to uncheck this box However at the MA level if you have specified that netting is not required then you will not be allowed to change this default at the time of entering the contract details Similarly the way in which revaluation entries should be passed wh
191. ser Prior To Authorization Product Code Contract Reference Current User Identity New User Identity Date Time Checker Date Time Status Authorization Status To reassign a contract to another user the following steps are required Product Code 1 Indicate the product associated with the contract You can select a product code from the option list which contains a list of the authorized products that you have created Contract Reference 2 Indicate the contract reference number of the derivative you wish to reassign to another user You can select a reference number from the option list which contains a list of all the active derivative contracts New User Identity 3 Select the User ID of the user to whom you are assigning the contract Note This user to whom you reassign a contract should have access rights to enter derivative contracts Your User ID will be defaulted from the login screen Select Save from the Actions menu in the Application toolbar or click save icon to save the specifications you have made Click Exit or Cancel button if you do not want to save the details that you entered 9 49 ORACLE 6 1 6 2 6 2 1 6 Batch Processing Introduction The End of Cycle process constitutes a set of programs that mark the logical beginning or end of a cycle of events You are required to execute many routine functions everyday as part of the End of Cycle pro
192. sign a unique three character code to the clearing house that you are maintaining The code that you assign is used to identify the particular clearing house whenever you link it to a particular contract You can follow your own convention while devising this code Description In addition to assigning a code you can give it a brief description so that you can identify it easily while retrieving information The description that you enter is for information purposes only and will not be printed on any customer correspondence Swift Code Specify the SWIFT Code that you wish to maintain for the Clearing House 215 ORACLE 3 6 Maintaining Messaging Parties Details At every stage in the life cycle of a transaction you will need to send various messages to your customer You need to send these messages to the recipient of the message whom your customer has identified as the receiver of the message The Messaging Parties Maintenance screen will enable you to capture details of the recipients of derivative messages that have to be sent to the various counterparties You can invoke the Messaging Parties Maintenance screen by typing DVDMGMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button The Messaging Parties Maintenance screen will be displayed Messaging Parties Maintenance Enter Query Receiver Id Language Medium z Re
193. specified 00106 DV LM DVLIMITS Amount tag not specified 00107 DV LM DVLIMITS Amount not specified 00108 s ORACLE DV LM DVLIMITS Currency not specified 00109 DV LM DVLIMITS Branch not specified 00110 DV LM DVLIMITS Line 1 Amount exceeds Limit for specified tenor by 2 00111 DV LM DVLIMITS Line 1 Amount exceeds all available tenor limits by 2 3 00112 3 DV LM DVLIMITS Line 1 Amount exceeds line limit Limit 3 2 Utilization 00113 4 2 Overdraft 5 2 Overdraft 6 DV LM DVLIMITS Main Line 1 Amount exceeds Main line limit amount Limit 00114 3 2 Utilization 4 2 Overdraft 5 2 Overdraft 6 DV LM DVLIMITS Line has matured 00115 DV LM DVLIMITS Line not available 00116 DV LM DVLIMITS Amount exceeds limit for liability 1 Limit 3 2 Utilization 00117 4 2 Overdraft 5 2 Overdraft 6 DV LM DVLIMITS Clean risk limit exceeded for Customer 1 On 2 Limit 4 00200 3 DV LM DVLIMITS Clean risk limit exceeded for Liability 1 On 2 Limit 4 00201 3 DV LM DVLIMITS Date input is a holiday Do you want to continue 00202 DV LM DVLIMITS Limits Node 1 Unavailable Utilization s will be updated 99998 later DV LM DVLIMITS Limits Service Unexpected Error 1 99999 DV MNT DVMNT Failed to create a new record 001 DV MNT DVMNT Failed to create a
194. splays the related details for the MA code specified Limits Tracking Required At the MA level if you have indicated that limit tracking is required and while entering the details of the contract you decide that tracking is not required then you will be allowed to uncheck this box However at the MA level if you have specified that limit tracking is not required then you will not be allowed to change this default at the time of entering the contract details Fair Value Limits Tracking Check this option for fair value limit tracking is required Fair Value Line Code This field is the Line Code for the Fair Value Limits tracking and will be defaulted from the master agreement maintenance once the master agreement is chosen This field is mandatory if the Fair Value Limits Tracking option is checked Current Value The Current Value represents the current Mark to Market value of the contract This value will change as and when the contract is revalued When you are entering a contract you may enter the inception value in this field This will be taken as the current value of the contract Interest and FX Exposure The likely increase in value in a contract during the contract tenor may be attributed to two factors e Interest Exposure Exposure to fluctuation in interest rates e FX Exposure Exposure to fluctuations in exchange rates only when foreign currency is involved Specify the interest and FX Exposure amounts N
195. t code Event Date This is the date of the event Counterparty This is the counterparty involved in the contract Customer Name Indicates the name of the customer Maker ID Maker Date Stamp The Login ID of the user who initiated the event and the date on which it was initiated will be reported Checker ID Checker Date Stamp The Login ID of the user who authorized the event and the date on which the event was authorized will be reported Customer Wise Contract Details Report The Customer wise Details report gives you details of all contracts where the counterparty involved is a specific customer of your bank s ORACLE 8 5 1 You can invoke the screen by typing the code DVRPCSDT in the field at the top right corner of the Application tool bar and click on the adjoining arrow button Customer Details Selection Criteria Customer Customer Booking Date From Date To Date Value Date From Date To Date Report Format Printer At Client Report Output e Printer Selection Criteria Once you indicate the ID of the customer for whom the report should be generated you have to specify the Booking date range within which the contracts generated for the specific customer should fall You can do this by way of specifying the From and To booking dates In addition to the booking date range you can also specify that the report should be generated for contracts which have value dates falling within a sp
196. t is attached to the transaction leg but is not calculated Charge Application In the application section of the screen you can indicate the charge components that should be applied to the transaction leg The list of components that is displayed depends on the charge components that you have associated to the transaction leg The following details of the component are also displayed e basis component on which the charge is levied e currency of the basis amount e basis amount e charge amount e currency in which the charge amount is defined You can change the charge amount that is calculated using the class applicable to the component Waiving a charge on a transaction leg You also have the option to waive the component for the transaction leg that you are processing If for some reason you want to waive the charge on the transaction you are processing you can do so by checking against the waiver option in the application section of the screen The charge will be calculated but not applied Note Note that you can waive a charge only if it is yet to be liquidated Charge Liquidation When a charge component that is applied to a transaction is liquidated the relevant accounting entries are passed The Contract Charge Details screen will be displayed e The charge components that have already been liquidated e amount that was liquidated e currency in which it was
197. te This is the date on which the derivatives contract was booked Out Leg Principal This is the Out Leg Principal Amount Value Date This is the date on which the Swap takes effect In the case of an FRA this would typically be the date on which the deal settles Maturity Date This is the date on which the Swap matures In the case of an FRA this would typically be the last date for the computation period Maker ID This is the Login ID of the user who entered the contract 2 ORACLE 8 4 8 4 1 Maker Dt This is the date on which the contract was entered Checker ID This is the Login ID of the user who authorized the contract Checker Dt This is the date on which the contract was authorized In Leg and Out Leg Interest Component Details The in and out leg interest details for each of the components involved in the contract will be reported under this head These details include the following e Component e Value Date e Rate Type e Rate Code e e Currency Contract Activity Report The Contract Activity report gives details of all the activities that were performed on the contract in a chronological order This is from the date on which the contract was booked in the system upto today s date You can invoke the screen by typing the code DVRPCACT in the field at the top right corner of the Application tool bar and click on the adjoining arrow button Contract Activity Report Contract Refer
198. te and the rate input varies by a percentage that is between the Override Limit and the Rate Stop Limit you can save the transaction involving the product by providing an override Stop Limit If the variance between the default rate and the rate input varies by a percentage greater than or equal to the Stop Limit you cannot save the transaction involving the product Rate Code For every Currency Pair and Rate Type combination you are required to maintain Buy Sell and Mid Rates You need to specify whether the Mid Rate should be used for all Cross Currency transactions or whether the Buy Sell Rate should be used depending upon the nature of the transaction by selecting the appropriate rate from the option list available Rate Type Preferred Specify the Rate Type that should be used for Cross Currency transactions The adjoining option list displays all the Rate Types maintained through the Rate Type Definition screen You can choose the appropriate one Specifying Preferences for the Product Preferences are the options that are available to you for defining the attributes of a product The preferences that you define for a product will be inherited by all derivative contracts that are associated with the product Click Preferences button to invoke the Derivatives Product Preferences screen Through this screen you can define specific preferences for the product you are creating Ta ORACLE 4 2 1 1 Derivatives Pr
199. te of the contract At the time of termination Gain or Loss is distributed throughout the period from Termination Date to Maturity Date of the contract In case of Termination Gain Loss system amortizes from the Termination Date to the Maturity Date of the contract Whereas in case of Inception Gain Loss system amortizes from the Effective Date to the Maturity Date of the contract 4 14 ORACLE Amortization Level Here you can indicate the level at which the amortization entries for inception termination gain and or loss should be passed The options available are e Product e Contract At the product level amortization entries will be passed for the product and currency combination The system identifies those contracts which need to be amortized for inception gain and or loss and passes accounting entries based on the set up defined for accounting entries At the contract level inception gain loss amortization entries will be passed for individual contracts linked to the particular product Amortization Frequency After you indicate the amortization level for gain and loss of contract inception and termination you have to specify the frequency at which amortization should take place The frequency can be one of the following e Daily e Weekly e Monthly e Quarterly e Half yearly e Yearly Amortization Start Weekday In the case of weekly accrual you should specify the day of the week on which interest accru
200. ter Agreement Maintenance screen by typing DVDCPMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button The Counterparty Master Agreement Maintenance screen will be displayed Counter Party Master Agreement Maintenance New Enter Query z Counter Party Master Agreement NENNEN L Jez Master Agreement Type AFB Description Version Agreement Date Product Group z Master Agreement Year L 7 Collateral Agreement Utilization Currency a 7 Credit Netting Required Limit Tracking Agreement Details F Notional Limits Notional Line Code Tracking Fair Value Line Code Fair Value Limits Risk Weighted Line Tracking Risk Weighted Limits Tracking Internal Remarks Sub Agreement E Code Description Agreement Date Agreement Details Linkage ez Input By Authorized By Modification Wi Authorized Date Time Date Time Number Open If you are maintaining details of a new master agreement click new icon The Counterparty Master Agreement Maintenance screen will be displayed without any details If you are calling a master agreement record that has already been defined choose the Summary option under Counterparty From the Summary screen double click a record of your choice to open it Counter Party and Maste
201. then this is the date on which the swap matures When the contract is an FRA this would typically be the last day for the computation period Out Leg Notional This is the Out Leg Notional Principal This is the Principal Amount Derivative Type This is the derivative type to which the contract belongs Type Description The description associated with the derivative type Buy or Sell This indicates whether the contract whose details are being reported is a Buy type or Sell type of contract Contract Type This indicates whether the contract is a Trade contract or a Hedge contract Product Code The code of the product associated with the contract is reported here Product Description The description of the product is reported here In Leg and Out Leg Interest Component Details The in and out leg interest details for each of the components involved in the contract will be reported under this head These details include the following e Component e Value Date e Rate Type ORACLE 8 6 8 6 1 e Rate Code e Rate e Currency Customer Wise Contract Summary Report The Customer wise summary report summarizes the details of all contracts where the counterparty involved in the contract is the specified customer After you indicate the name of the customer the details of all those contracts where the specified customer is the counterparty involved will be summarized in the report You can invoke the screen by typin
202. ting a new contract 001 NONL DV ONL DVDC Unhandled exception while copying the contract 011 NONL DV ONL DVDC Failed to the copy the Contract 012 NONL 740 ORACLE DV ONL DVDC Unhandled exception while deleting the contract 021 NONL DV ONL DVDC Only the maker of the contract can delete the contract 023 NONL DV ONL DVDC Do you want to delete the contract completely 024 NONL DV ONL DVDC Do you want to undo all the changes made 025 NONL DV ONL DVDC Contract Deleted Successfully 026 NONL DV ONL DVDC Failed to delete the contract 027 NONL DV ONL DVDC Unhandled exception while unlocking the contract 031 NONL DV ONL DVDC The Version of the contract is not the latest version Cannot 033 NONL be amended DV ONL DVDC Contract is pending Authorization Cannot be amended 034 NONL DV ONL DVDC Contract is matured Cannot be amended 035 NONL DV ONL DVDC Only the maker of the contract can amend the contract 036 NONL DV ONL DVDC Contract is Reversed or Terminated Cannot Amend 037 NONL DV ONL DVDC Failed to Amend the contract 038 NONL DV ONL DVDC Unhandled exception while saving the contract 041 NONL DV ONL DVDC Unhandled exception 042 NONL DV ONL DVDC Unhandled exception 043 NONL DV ONL DVDC Failed to obtain contract amounts 044 NONL DV ONL DVDC Contract Saved Successfully
203. tion Fair price is calculated based on the interest rates and will be applicable to In or Out leg based on the contract Your preference for revaluing contracts linked to the particular product will be defaulted to all the contracts linked to that product However you can change this preference at the time processing the contract Each of these revaluation methods have been explained in detail in the following sections Maintaining Fair Values for Revaluing a Contract If you have indicated that a particular contract should be revalued based on the contract fair price the system automatically inserts a record in the Revaluation Contract Fair Price Maintenance screen for that contract This is done during the Beginning of Day batch process based on the revaluation frequency specified at the product level This concept can be explained with the help of an example For example You have set the revaluation frequency of the contract bearing the reference number 000DV21992950177 to monthly The first revaluation was done on 13 Jan uary 2000 The next is due on the 1 of February 2000 On the 1 of February 2000 the system automatically inserts another record in the Contract Fair Price Maintenance screen for the contract 000DV21992950177 You have to unlock the record enter the in out leg values and the net fair value of the contract You can invoke the Derivatives Revaluation Contract Fair Value screen by typing DVDCNVAL in
204. ts falling under MA 1 credit netting is required both at the MA level and the contract level Since you have indicated that credit netting is required the system does the necessary computations and the credit exposure in this case will be USD 180 Scenario 2 For all contracts falling under MA 2 you have indicated that credit netting is not required The credit exposure in this case will be 150 GBP Scenario 3 While processing the contract you have indicated that contract bearing the reference number 000DV21992950188 should be excluded from netting Now the credit exposure in this case will be FRF 130 Note In the above example you will notice that the contract currency and the utilization currency are the same Therefore the system did not have to do any currency conversions However most often than not the base currency of the contract will be different from the utilization currency In such cases the system converts the MTM value of the contract using the rates maintained in the Exchange Rates Maintenance screen and thus arrives at the credit ex posure amount Master Agreement Year Every master agreement that you define will invariably refer to the Book of Definitions ISDA Definition You have to indicate the year of definition which is applicable for the master agreement in this field Collateral Agreement You have to indicate whether collateral agreements are applicable for the master agreement Note T
205. u can maintain branch level parameters that govern the processing of derivatives ina particular branch of your bank through the Derivatives Branch Parameters Maintenance screen You can invoke the Derivatives Branch Parameter Maintenance screen by typing DVDBRNPM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button The Derivatives Branch Parameter Maintenance screen will be displayed ORACLE Derivatives Branch Parameters Maintenance E3EnterQuery Branch Code Description E Process Till Next Working Revaluation Reversal Along with Revaluation Day Next Day in Beginning of Day Input By Authorized By Modification Date Time Date Time Number Wi Authorized Open Those events which have to be triggered automatically will be processed accordingly during batch process However you are required to indicate how automatic events falling due on a holiday should be processed Process till Next Working Day You have the option to specify whether the batch process should process automatic events falling due on a holiday either e as part of the EOD process on the last working date before the holiday or e as part of the BOD process on the next working day after the holiday For example Assume today is 15 November 2000 16 November 2000 and 17 November 2000 holidays If you check this field duri
206. uation Contract Interest Rates screen by typing DVDCNRAT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Derivatives Revaluation Contract Interest Rates fe Enter Query d Contract Reference User Reference az Rate Code Revaluation Date Rate Source Transaction Date Interest Revision Confirmation Auto Confirmed Manual Contract Details Currency Code Currency Code Description Interest Period Start Date Interest Period End Date Interest Rate az 2 E Input By Authorized Modification Date Time Date Time Number W Authorized W open To indicate the forward interest rates of individual contracts you have to invoke the Contract Summary screen by selecting the Summary option under Contract Rates From the Summary screen double click the record of your choice to open it Select Unlock from the Actions menu in the Application tool bar or click unlock icon Enter the interest rate s required for each contract and confirm it 4 21 ORACLE 4 6 1 For an ad hoc revaluation of a particular contract select New from the Actions menu in the Application tool bar or click new icon The Contract Interest Rates Maintenance screen will be displayed without any details Select the reference number of the contract which is to be revalued aft
207. ule This will be on the 26 of January 2000 Scenario 3 The revision schedule for a particular component is from 1 January 2000 to 19 February 2000 The other specifications you make are as follows 16t Jan Reset Dat eset Date 2000 Reset Date Backward Movement Reset Days 1 The floating rate will be reset on the 15 of January 2000 ORACLE Note If a particular reset date falls on a holiday then you are required to indicate the way in which the holiday should be treated Revision Schedules Specify the following details Start Date Specify the date on which the particular interest revision schedule should start Frequency If you want to define periodic interest revision schedules you should indicate the frequency of the revision schedules for a particular interest component The options are e Daily e Weekly e Monthly e Quarterly e Half yearly e Yearly e Bullet If you prefer to keep the revision schedules as bullet then the particular interest component will be liquidated only as of the Maturity Date Frequency Units You can specify the number of units of the frequency in this field The number that you specify here will determine the actual schedule frequency For instance for a particular schedule you want to have a bi weekly frequency The option list available for Frequency does not have this option In the Frequency field indicate the option Weekl
208. under Modularity sre ORACLE 5 1 11 Levying Charges for a Transaction For each leg of the transaction you can specify the charges that you levy Charges are applicable only the for customer legs of a transaction The characteristic feature of a charge is that it is always booked in advance and is not accrued as a charge is collected only when it is due To recall you have defined the attributes of a charge by defining a Charge Rule in the ICCF Rule Definition screen A rule identifies the basic nature of the charge You have further defined a Charge class in the Charge Class Maintenance screen where you have enriched the attributes of a rule We shall refer to these classes as components Each charge component in turn is linked to a product All the charge components linked to a product are defaulted to the contracts associated with it Thus each time you enter a contract you need not specify when and how charges should be collected However while capturing the details of a transaction you can choose to associate a component to the transaction Further you can modify some of the attributes defined for the applicable component From the Contract Input Detail screen click Charges button The Charge Detail screen will be displayed 9 96 ORACLE Charge Details Contract Reference Charge Association 1 Of 1 Creation ESN Component Description Consider as Discount
209. which the deal settles Settlement Date This is the date on which the various components associated with the contract get settled Process Exception Report When the complete details required for processing a contract are not available the system will stop processing those contracts This report provides a list of all the exceptions that were encountered when the contracts stored in the specified branch were being processed You can invoke the screen by typing the code DVRPEXCP in the field at the top right corner of the Application tool bar and click on the adjoining arrow button LE Process Exception Report Selection Criteria Branch Code From Date To Date Report Format PDF v Printer At Client Report Output Print Printer Selection Criteria Branch Code Specify a valid branch code to generate the report either for all the branches of your bank or only for a particular branch From Date Specify a valid date from when you wish to generate the report from the adjoining calendar el ORACLE 8 7 1 8 8 To Date Specify a valid date till when you wish to generate the report from the adjoining calendar Contents of the report The report options that you selected while generating the report are printed at the beginning of the report The contents of the report are discussed under the following heads Header The Header carries the title of the Report information on the branch code the br
210. y eng ORACLE 9 Annexure A Accounting Entries and Advices 9 1 Accounting Entries for Derivatives This section contains details of the suggested accounting entries that can be set up for the Derivatives module of Oracle FLEXCUBE The details of the suggested Accounting Entries and Advices are listed event wise 9 2 DV Events The following is an exhaustive list of events that can take place during the lifecycle of a Derivatives contract Event Description DAMN Contract Amendment DASG Contract Assignment DASS Contract Assumption DBOK Contract Booking DIAC Contract Interest Accrual DIAM Contract Inception Amortization DILQ Contract Interest Liquidation DINT Contract Initiation DPLQ Contract Principal Liquidation DRVL Contract Revaluation DRVN Contract Rate Revision DRVS Contract Reversal DTAM Contract Termination Amortization DTRB Booking of Termination Date DTER Contract Termination DRRL Contract Revaluation Reversal 9 3 Amount Tags The amount tags listed below are hard coded in Oracle FLEXCUBE Amount Tag Description CUR INRVL PAY Current In Leg Payable ORACLE CUR INRVL REC Current In Leg Receivable CUR NETRVL EXP Current Net Revaluation Expense CUR NETRVL INC Current Net Revaluation Income CUR OUTRVL PAY Current Out Leg Payable CUR OUTRVL REC Current Out
211. y e Half yearly e Yearly But if you choose not to define multiple schedules then the principal liquidation for all the contracts linked to this type will be done on contract maturity Also the in leg and out leg principal schedules that you define for a contract need not be in sync with each other You can choose to have asynchronous schedules for both the in and out legs of the contract Amortization Start Date In the case of termination of hedge deals you have to indicate the date from which the amortization of gains and or losses should start While terminating swaps amortization should start as of the termination date and in the case of FRAs amortization should start as of the settlement date Holiday Treatment You can indicate the way in which a particular schedule date should be treated if it falls due on a holiday The holiday movement of the principal interest and revision schedules for each of the in and out legs can be based on e holiday table maintained for a single financial center or single currency specified at the leg level or e The combination of holiday tables of multiple financial centers currencies Select the Combined option in this screen if you want the movement of schedules to be based on the combination of holiday tables maintained for multiple financial centers currencies at both the legs of the contract This will be applicable if the holiday treatment specified at the contract level is based
212. y and in the Frequency Unit field if you enter 2 the particular schedule will be due every once in two weeks Number Of Schedules For a particular Frequency and Frequency Unit combination you can choose to have a number of schedules depending on how many you want to define for the particular revision component For instance for a particular schedule you have indicated that the Frequency should be Weekly and the Frequency Unit as 2 Subsequently you indicate that the Number of Schedules as 12 This particular schedule will be run every two weeks twelve times Adhere To Month End If the interest revision schedule is in terms of a month you can choose to indicate whether the schedule days should adhere to Month Ends by checking this option Contract Rate Revision During rate revision the system picks up the floating rate applicable on the contract If the Related Component spread is not zero the interest rate of the related component is also aap ORACLE 5 1 7 picked up as part of rate revision This floating rate along with the spread is then compared with Cap or Floor rate depending on the Interest Type specified for the contract to arrive at the final rate The manner in which the system determines the final rate for each of the four interest types is given below e Forlnterest Type Cap if the total floating rate arrived at by the system plus interest rate of related component is greater than Cap Rate the fina
213. y the parties themselves A Forward rate agreement FRA is a specific type of a Forward FRA is a contract between two parties in which one party agrees to lend and the other agrees to borrow a specific amount at a specified interest rate for a specified tenor FRAs are settled through cash payments that represent the difference between the contracted rate and the spot value of the pre determined market benchmark rate e Options An option is a contract between a buyer and a seller that gives the buyer the right but not the obligation to buy or to sell a specified amount of a particular asset the underlying asset at an agreed price on or before a particular day In return for granting the option the seller collects a payment called the premium from the buyer A call option gives the buyer the right to buy an underlying asset a put option gives the buyer of the option the right to sell an underlying asset e Swaps A swap is a transaction in which two counterparties agree to exchange one stream of cash flows against another stream over time These streams are called the legs of the swap Most swaps are traded over the counter The most common type of swaps are Interest Rate Swaps also known as Vanilla Swaps It represents contracts between two parties to exchange calculated interest obligations related to a certain 2 ORACLE amount of principal without exchanging the principal amount itself For e g One seri
214. ys indicated e Other you can also specify any other date basis as the reset date basis Reset Date Movement After you specify the basis on which rate should be reset you have to indicate whether the reset movement should be backward or forward from the schedule Start End Date or any other date Pup ORACLE Allow External Rate Revision Checking this option indicates that for a contract you can allow rate revision based on the rates uploaded from an external system If the option is checked but no rate is uploaded for the contract the rate would be picked up from the maintenance Reset Days For the reset basis and reset date movement specified you have to indicate the number of days before or after the start end or any other date that should be used to determine the rate reset date For example Scenario 1 The Start Date of a revision schedule is 01 Jan 2000 The other specifications you make are as follows Reset Date For Movement ward Reset Days 2 As per your specifications the floating rate will be reset two day after the start date of the schedule This will be on the 3 of January 2000 Scenario 2 The End Date of a revision schedule is 31 Jan 2000 The other specifications you make are as follows Reset Date Back Movement ward Reset Days 5 As per your specifications the floating rate will be reset five days before the start date of the sched

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