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Exchange Traded Derivatives User Manual

1. Advice tag Description _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the _BRNADD2__ le Each line of the address can contain a maximum of 35 charac BRNGPBE There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C_ _CONTRST These are the standard details of the contract D_ _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the underlying asset _COMPRSZ This indicates the manner in which the underlying assethas been _ prized in the market _COMPRUT This is the Prizing Unit at which the underlying assethas been prized _SERIES _ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date
2. ACR04 Accounting Account Role Head BOT _ASSET CA004 SOLD CCY_EO CL004 Scenario I You want to Open a Long Position EOLG in the Currency Option USD_ Options_CME in PF1 The accounting entries that need to be posted at the initiation of this event are as follows Accounting Role EA Dr Cr Indicator Contingent Asset Asset Value Debit Contingent Asset Off Asset Value Credit set When this event is triggered the system posts the relevant accounting entries only after identifying the respective Role to Head mapping based on the preferential hierarchy that we have set up a ORACLE Since we have not associated an accounting class with the PF1 USD_Options_CME Portfolio ID Instrument ID combination it will move to the next level and search for the class associated with the PF1 CCYO Portfolio ID Instrument Product combination We have already associated the accounting class ACRO2 with this combination therefore the relevant accounting entries are posted to GLs maintained within this class aii nting ene etal Dr Cr Indicator BOT_ASSET Asset Value CA002 Debit SOLD_CCY_EQ Asset Value CL002 Credit Scenario Il Similarly assume you want to Open a Long Position in the Index Option DAX_OPTION FSE in PFI As in the previous case the Contingent Asset is to be debited and the Offset account is to be credited Since th
3. ORACLE 5 3 7 Shares with a nominal or calculated value of DEM 50 or eguivalent in euro Karstadt BMW BMW KAR Linde LIN Preussag PRS MAN MAN VIAG VIA Trading Hours CET 9 00 a m until 5 00 p m CET All equity options are subject to mandatory market making Option Premium Payable in full on the exchange trading day immediately following the trade date In Oracle FLEXCUBE The details that you specify in the Instrument Definition screen should be as follows Product Code OTSK Option Future Optio n Asset Type Eguity Physical Settle Yes ment Settle Before Yes Expiry Instrument Details Reference 0000TSK00123 Instrument Option on Allianz Holding ALZ Nature of Asset Real Asset Currency EUR Contract Size 100 Contract Size Shares Unit Call Put Indicator Call Pricing Currency EUR Pricing Size 1 Pricing Size Unit Share ORACLE 5 3 8 Pricing Unit Multiple 100 Precision 2 Minimum Price 0 01 Movement Money Settlement 1 Days Physical Settlement 2 days Contract Standard 100 Shares of Allianz Holding of par value 5 DEM each or eguivalent in EUR Underlying Asset Details Underlying Asset Allianz Hold ing Pricing Size 1 Pricing Size Unit Share Pricing Unit Multi 100 ple Price Code FSE Exa
4. in im F f E S mm i fy jina l a jina m Amendment Rate Change Log Balance Transfer Log Ok Exit Identify the transaction code s under which you would like to report the portfolio Note Refer to the Common Procedures manual for a detailed procedure Associating Brokers and Broker Accounts with a portfolio Through the Portfolio Broker Account Linkage screen you can e Identify the brokers that are to be associated with the portfolio e Identify broker accounts and map them to relevant Broker codes A portfolio can have positions only in the broker accounts that you maintain in this screen Click Broker button in the Portfolio Definition screen The Broker Details screen gets displayed eee ORACLE Broker Details Portfolio Id Portfolio Description Portfolio Broker Account Details Broker Id Note Annexure A lists all the possible accounting entries for your banks and customer portfolios 6 25 ORACLE 7 1 7 2 7 Defining Deal Products Introduction A Deal product is a category or type of deal It provides a general framework and serves to classify or categorize deals A deal product can also represent a specific service offered by your bank The first attribute you can define for a product is its Type In othe
5. 9 6 4 Deal Ill Reference Number D20401 Nature of Contract Settlement by exchange of physicals on Contract Expiry Own Long Position Deal Num D2040 ber 1 Deal Type XPL Deal Product DP04 Instrument ID CME 90 day US T bill Future Instrument Nov 00 Series Booking Date 24 Nov 2000 Value Date 24 Nov 2000 Expiry Date 24 Nov 2000 a4 ORACLE 9 7 9 7A Trade Rate 97 80 No of Contracts 100 The Current balance in the Basket is 100 long contracts Since the instrument expires on 24 Nov 00 all 100 contracts within the basket will cease to exist on the Expiry Date The accounting entries that will be posted for the settlement of exchange of physicals on contract expiry will be as follows Event Code EEPL Accounting Dr Cr Curren Amou Deseribti n Role Indicator cy nt P Contingent Asset Debit USD 1500 Increase in contingent asset in Asset Currency ContingentAsset Credit USD 1500 Increase in contingent asset in offset pricing currency ContingentAsset Debit USD 97800 Reversal of contingents on EFP offset 0 Contingent Asset Credit USD 97800 0 Real Asset Debit USD 97800 EFP value in Asset Currency 0 Settlement Credit USD 97800 EFP value in Pricing Currency Bridge 0 Settlement Debit USD 1500 Gains on EFP Bridge Control Credit USD 1500 Option Deals In the earlier s
6. euuiiiiuu iie ieee uii Lnnnnnn HL LLnnnu 10 24 11 6 10 EAXS Assignment in Short PositiOn eueiiieiiuiieeeininineeennnuH 10 24 11 6 11 EEPL Exchange of physicals in Long iieiie nui ieeinnun 10 24 11 6 12 EEPS Exchange for physicals in ShOst ccccccccsssseeeeeesneeeeeteeeneees 10 24 11 6 13 ERVL Revaluation of Long Position eieiiiuiieeeine nin een non 10 25 11 6 14 ERVS Revaluation of Short Position eeeeiiiieieiie ii YeeinnuH 10 25 12 Annexure B Advice tags and their descriptions 11 1 121 Introduction iiiesei geg da uii bali cwyd dang G hel ryd niU dette an tee oem EES 11 1 12 2 Branch DetallS iet a tate easton chek T UI ia tee 11 2 12 2 1 Customer Details nissrirariasioniiii nai aiT ri a EEE AEE A riii 11 2 12 2 2 Underlying Asset Details 0 cccccccccceteeeeeennee eee teenaeeeeseeenaeeeeseeaeeteeenenaes 11 2 12 2 3 Charge DetailsPortfolio Detallls ccccccccesececeeenteeeeeeeenteeeeseeeneeeeeseeaees 11 2 VD 274 whe cote NN SY E feeds yN tie a Tat yu dna 11 4 12 2 5 Series Details iiss inau iai ei Aes en fd a et ea a TYLA 11 4 12 2 6 instrument Detail sree ea a E a eer YRR ddd dAn A 11 4 12 2 1 Broker Details cis cited ieee TI inv aie lees 11 6 12 2 8 Long Short deal details ececcccccccceeeeeenne eter eeenteeeeeeeeaaeeeeesesaeeeeeseaaees 11 6 12 2 9 Liquidation deal details 0 2 2 2 ccccccccccececenesseeceeeec
7. can be keyed in _ADRS4_ _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the account number of the broker involved in the deal _OPTFUT_ This indicates whether the contract is an Option or a Future _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _MVALDT_ This is the day on which the settlement of liquidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liguidated _TIME_ This is the exact time at which the deal transaction took place in the exchange _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _FUTPRI_ This is the future price which is expressed in terms of the instrument pricing unit For index based futures this price is expressed in terms of index points per contract _OPTPRM_ This is the price at which the option was bought For index based options this is the price is specified in index points per contract 11 15 ORACLE 11 3 3 Assignment Notice
8. eeeieeuun 9 20 10 7 6 Deall Reference Number D20104 ueeeeeuiuieeie uir Ree FFY RFnnn nuu 9 22 10 7 7 Dealll Reference Number D20601 eeeeeeieiiieeie uu Yeeennn FFF RFnn nno 9 23 11 Annexure A Event wise Accounting Entries for your Own Portfolio 10 1 11 1 Accounting entries for a Bank portfol O uueuiiese nen YF YY LLL YL HAY LL HY HF LLLooN 10 1 IEZ y FF HEH O FFR FFF ald cee tadebeeeets laly eee ei ARENES 10 1 TAS SAMOUNU TAGS csi secs aud iu edu gn tech uu LIST gested a idee 10 2 11 4 Accounting Roles nursan iia hain nea ied A ete 10 3 11 5 Event wise Accounting Entries for your Own portfolio 10 5 11 5 1 EOLG Opening of Long PositiOn uuueeieeuuiiueeeie iun Ye een FL YFnn HF H 10 5 11 5 2 EVRL Revaluation of Long Position eeeuiiueiiieu ii ueeeei inn Reenn nu 10 6 11 5 3 ECLG Closure of Long PositiOn eiieiiui ue eeee irera an arr es 10 6 11 5 4 EOSH Opening of Short Position eeeieiiiiieeie inn Yeen LL RFnnn nuu 10 9 11 5 5 ERVS Revaluation of Short Position eeeeeeeiiiiieeie iii ieennnuH 10 10 11 5 6 ECSH Closure of Short PositionS e eieeuuiiueiie iii ieeenn iiu eennnnun 10 10 11 5 7 EXPL Expiry of Long POSION sssiiriree iise eeiir an eteinen Yn FFF a EES 10 12 11 5 8 EXPS Expiry of Short PositiOn eeueieieiuiiieeeneru ReeenH LL Ren no 10 13 11 5 9 EXRL Exercise in
9. Click MIS button to invoke the MIS screen Contract Reference MIS Group Link To Group Input Floating Rate Related Reference Related Reference Rate Code Related Account Related Account Spread MIS Head Cost Code Rate At Rate Type Interest Method Pool Code Pool Code Contract Level Reference Rate Transaction MIS Code Composite MIS Code Funds MIS Code MIS Group Rate Amendment Rate Change Log Balance Transfer Log In this screen the transaction type of MIS class the cost code and pool code will be picked up from the product under which the deal is processed The composite MIS code will be picked up from the definition made for the customer on behalf of whom the deal is being processed MIS ORACLE 7 2 7 7 2 8 7 3 You have to indicate whether the system should pick up the MIS Rate associated with the pool linked to the contract or whether you would like to maintain a rate specific to the contract You can indicate your choice by selecting any one of the following options e Pool Code indicating that the MIS Rate maintained for the pool code should be used for refinancing e Contract Level indicating that you would like to maintain a specific MIS Rate for the particular contract Refer the MIS User Manual for more details on maintaining MIS related information for a product and contract Associating a Broker and Product with a Rule While capturing details of a contract broke
10. _CHGAMT_ This is the charge amount ihe ORACLE 11 2 4 11 2 5 11 2 6 Advice tag Description _PFOLIOID_ This is the reference number which uniquely identifies the Portfolio _PFOLDES This is the description assigned to the portfolio C_ _CSNAME __ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ Series Details Advice tag Description _SERIES _ This is the Series ID of the instrument series _SERDESC This is the description assigned to the series _STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series Instrument Details Advice tag Description _ INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C_ _CONTRSTD These are the standard details of the contract _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset
11. 3 The Instrument involved in the Basket should be an Option with Option Style Premium You can select a valid Basket Reference Number from the available list The other details involved in the Basket are displayed in the respective fields on saving your entries These details include e Instrument ID e Series ID e Portfolio ID e Broker ID e Broker Account Closing Deal Reference After having specified the Basket Reference you should indicate the closing deal reference number The Closing Deal can either be a Long Short type of a deal or can be an Exercise Assignment Deal Ha ORACLE This closing deal has to be matched to one or more opening deals However while matching deals you should take care of the following e The Value Date of the Opening Deal should be less than or equal to the Value Date of the Closing Deal e lf value date of the Closing Deal is equal to the Value Date of the Opening Deal then the Trade Time Stamp of the Opening Deal should be less than the Trade Time Stamp of Closing Deal Also the total number of contracts of the Closing Deal that should be matched should be egual to the number of contracts that you wish to close Example Scenario I Let us assume you are 20 Contracts long in a particular instrument where the instrument details are as follows Strike Price 10 USD Contract Size is 1 Unit of the Underlying Asset The balance of 20 Contracts have been built up by the following
12. As part of the settlement of Closing deals for your bank own portfolios the closure gain or loss will be computed and accounted for depending on the portfolio Costing Method While processing settlement of closing deals for customer portfolios the system does not process any accounting for profit and loss However the deal premium will be passed from the Broker Customer to the Customer Broker The events that will be triggered in Oracle FLEXCUBE for processing the settlement of closing deals for options are as follows Event Description Code p ECLG Closure of Long position ECSH Closure of Short Posi tion a ORACLE 9 4 3 9 4 4 9 4 5 9 4 6 Notional Revaluation of Open Positions for Options with Option Style Premium Notional revaluation of open positions can be done only for your bank s own portfolios The system does a notional revaluation of open positions to compare the current Option Premium with the Acguisition Premium of the basket and to compute the revaluation gain loss The events that will be triggered in Oracle FLEXCUBE for calculating the Notional Revaluation of open positions is as follows Event Description Code p EVRL Revaluation of Long Positions ERVS Revaluation of Short Posi tions Automatic Exercise of options Assignment of Exercise For Automatic Exercise Assignment exercise of options the system will identify all In the Money inst
13. Accounting Role Drier Cumene Amoun Description Indicator y t Contingent Asset Debit USD 192000 Bought Asset Value Contingent Asset Off Credit USD 192000 set Premium Paid Debit USD 3800 Deal Premium Settlement Bridge Credit USD 3800 ERVL will be triggered and the following entries will be posted Accounting Dr Cr Currenc Amoun Description Role Indicator y t P Reval Asset Debit USD 40 Notional Gain on Reval Unrealized Gain Credit USD 40 9 7 4 Deal ll Reference Number D10402 Nature of Contract Auto Exercise of Long position in an In the Money European Call on Expiry Deal Number D10402 Deal Type LS Deal Product DP03 Instrument ID CME90DTB CL E OP Instrument 96 Nov 00 Series Strike Price 96 Booking Date 27 Nov 2000 ORACLE Value Date 24 Nov 2000 Expiry Date 24 Nov 2000 No of Contracts 100 The current balance in the basket BSK002 is 100 long contracts Since the instrument expires on 24 Nov 2000 all 100 contracts within the basket will cease to exist on the Expiry Date The accounting entries that will be posted for the automatic exercise of long positions of the In the Money European call option deals D10103 and D10201 will be as follows Event Code EXRL Accounting Role ar MU ty as Description Contingent Asset Off Debit USD 960000 Reversal of Contin
14. Nil Max Long Position Customer 10000 Max Short Position customer 10000 Max Long Position Self 100000 Max Short Position Self 100000 9 16 ORACLE 9 74 2 9 7 2 Default Broker ID CITI Issuer Exchange CME MSTL Days 1 Physical Settlement Days 2 Initial Margin per Open Long Nil Initial Margin per Open Short 10 Clearing House NSCC Margin CCY USD The details of the basket involved in the option deals in our example are as follows Basket Reference Num BSK002 ber Portfolio ID PFOO1 Instrument ID CME90DTB CL E OP Series ID 96 Nov 00 Broker ID CITI Broker Account CBOO1 Deal I Reference Number D10103 Nature of Contract Open Long European call with Option style Premium on own account Deal Number D10103 Deal Type LS Deal Product DPO3 Instrument ID CME90DTB CL E OP Instrument 96 Nov 00 Series Strike Price 96 Buy Sell B Booking Date 21 Nov 2000 Value Date 21 Nov 2000 Expiry Date 24 Nov 2000 ORACLE Trade Rate 1 95 Premium Style Option No of Contracts 80 As a result of processing this deal the system creates a basket BSK002 with the following combination PF001 CME90DTB CL E 0P 96 Nov 00 CITI CB001 The basket will be created with a balance of 80 Long contracts At EOD the event that needs to be processed
15. Notional Reval Reqd to indicate the portfolio has to be revalued notionally oy ORACLE 6 7 0 2 Freguency If you have indicated that the portfolio has to be revalued notionally you have to specify the freguency at which it has to be revalued The options available are as follows e Daily e Monthly e Yearly In the case of monthly quarterly half yearly or yearly revaluation you should specify the date on which the revaluation should be done during the month For example if you specify the 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 If you set the revaluation frequency as quarterly half yearly or yearly you have to specify the month in which the first revaluation has to begin besides the date on which the revaluation should be done Example You have
16. Product Module The services that you offer in a module will be specific to the module For example a portfolio maintenance scheme is specific to the ETD Portfolio module You can view the module in which you are creating a product in the Product Module field Product Type The first attribute that you define for a portfolio product is its type You can broadly classify portfolio products into two types e Broker Margin Product BR the definition and maintenance of broker margin products help you manage the broker s margin requirement e Customer Margin Product PF the definition and maintenance of Customer portfolio products help you manage the margin reguirement of the bank that the customer is to satisfy Under each type you can create multiple portfolio products Product Slogan You can enter a slogan for the product that you are creating In the Slogan field enter a slogan that suitably announces the product to your customers If you are creating your own portfolio you can identify it with an appropriate slogan for your bank s internal reference purposes Product Group Grouping products according to the common features they share helps you organize information relating to the services you provide This helps you retrieve information easily You can invoke a list of all the product groups that you have maintained in your bank Choose the product group to which the product you are creating belongs Product Star
17. 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the account number of the broker involved in the deal _OPTFUT_ This indicates whether the contract is an Option or a Future _ TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _MVALDT_ This is the day on which the settlement of liguidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liguidated _TIME_ This is the exact time at which the deal transaction took place in the exchange _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized ORACLE _FUTPRI_ This is the future price which is expressed in terms of the instrument pricing unit For index based futures this price is expressed in terms of index points per contract _OPTPRM_ This is the price at which the option was bought For index based options this is the p
18. Applicable BR_SETLM_BRID REALIZED_GAIN Debit Future Call and Put GE Options F REALIZED_GAINS REALIZED_GAIN Credit Future Call and Put Options F REALIZED_LOSS REALIZED LOSS Debit Future Call and Put Options F BR_SETLM_BRID REALIZED_LOSS Credit Future Call and Put GE Options F CONT_ASSET BOT_ASSET_INCR Debit Put Option F CONT_ASSET_OF SOLD_CCY_EQ_INC Credit Put Option F F R CONT ASSET OF SOLD CCY_EO DE Debit Put Option F F CR CONT ASSET BOT ASSET_DECR Credit Put Option F CONT_ LIAB OFF BOT CCY_EOG INC Debit Call Option F Futures R CONT_LIAB SOLD ASSET_INCR Credit Call Option F Futures CONT_LIAB SOLD CCY_EO Debit Call Option F Futures DECR CONT LIAB OFF BOT ASSET DECR Credit Call Option F Futures REVAL_ASSET NOTIONAL_GAIN Debit Call amp Put Options O UNREAL_INCOME NOTIONAL_GAIN Credit Call amp Put Options O UNREAL_EXPENS NOTIONAL LOSS Debit Call amp Put Options O E REVAL_LIAB NOTIONAL LOSS Credit Call amp Put Options O 10 5 6 ECSH Closure of Short Positions Customer Portfolio mi Accounting Role Amount Tag Applicable Debi PF_SETLM_BRID CLOSE_PRICE_PREMI Futures Call amp Put Options t GE UM O F Cred BR SETLM BRID CLOSE_PRICE_PREMI it GE UM 1016 ORACLE Debi BR_SETLM_BRID BOOK _VALUE Futures Call
19. Corporation and its affiliates 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 Contents About this Manual cei eine 0 cote eld teat a lara du Rd 1 1 Te cnirodUctiOn iiieeiii gau drygu aT dd ag do ED gnu Ddy dduo du ddu iedabeiudie iddl dydd GERDYN iets 1 1 ds2 AUudienc6ueeu e Yan tats aT da ct E ywn Y iu TIN uy Tn nyna 1 1 1 3 Documentation Accessibility e eeeiuunninnss Y nYLL LEL LLH HYLL EL LLARY FEE Y YH Hn nn Ynn non 1 1 1 4 AbDreViatiOnSu lt dien TH anaes gadd a AAEE AE A athe Ru eta TA 1 2 WD Organizations eie ou aaa lleied dg GWYN ind cat EAA dd NUDD a ALI 1 2 1 6 Related DOCuUMent 2 05 ccce eacccechbenecccqerbeseceadebebidccceybestseqesbedadacgdepraaesddespeabeeeedereas 1 3 tr Glossary ot con Ss ee ia ud GG cade Ot gee 1 3 1 8 Related Document ecserin naiaiae aa Aai A A E A 1 3 Exchange Traded Derivatives An Overview 9 2 1 ZAS introduction Wa hae se ager YN GN Y AT 2 1 2 2 Features of POrtfOllOS iui uctuiau iny Lid gd id dL ddin E 2 1 2 21 OWE FOTOO sii e ii luae rig iad dan aii EO 2 1 2 2 2 Customer PortfollO uiuiiiiiYLLYYL HYLL EE ELLYR Rii FEE AE no 2 2 2 213 ACOS oei iurent a idd Y Yy Fn Yn 2dod E AER Ed EDNA sata taeda 2 3 2 3 Interaction with the Margin Maintenance Sub System 99 9 eeeenunienneeun 2 3 2 4 Illustration of th
20. Date End Date Remarks Accounting Roles Branch Currency MIS Maker Date Time Checker Date Time Mod No Record Status Authorization Status In this screen you can enter the following basic details of the product e Product code and module e Description of the product e Product type e Slogan for the product e Group to which the product belongs e Start Date of the product e End Date of the product ol ORACLE e Remarks Product Code and Product Description You can identify a product that you maintain with a unique Product Code and a brief description In the Product Code field you must assign the product a unique code which is unique across all the modules of Oracle FLEXCUBE This code helps in identifying the product You can briefly describe a product that you create in the Description field Product Module The services that you offer in a module will be specific to the module For example a portfolio maintenance scheme is specific to the ETD Portfolio module You can view the module in which you are creating a product in the Product Module field Product Type The first attribute that you define for a portfolio product is its type You can broadly classify portfolio products into two types e Customer Portfolio C the definition and maintenance of customer portfolio products help you manage your customer s trades and investments e Own Portfolio O the definition and maintenance of Own portfolio p
21. Long Position 0 cccccceeeteeceenteeeeeeeenneeeeteeenieteeeneaees 10 14 11 5 10 EAXS Assignment in Short PositiOn eueiiieiuiiieeeeeii deneon 10 15 11 5 11 EEPL Exchange of physicals in Long iieiie ui ieniinun 10 16 11 5 12 EEPS Exchange for physicals in ShOfst cccccccscssseeeesseeeeeteeenaees 10 17 11 5 13 ERVL Revaluation of Long Position eueiiiieuiieeeiie iid YeninnuH 10 18 11 5 14 ERVS Revaluation of Short Position eeeieiiiiieeiieiiieeeiinun 10 18 11 6 Event wise Accounting Entries for your Customer s portfol O 10 19 11 6 1 EOLG Opening of Long Position 00 eceeeeeeteeettte eee teneteeeeeteneeaeeeeeteenaaees 10 20 11 6 2 EVRL Revaluation of Long Position ccccccccsteeeeeeenteteeteenneeeeeeeaees 10 20 11 6 3 ECLG Closure of Long POSItION 0 ccccceeccceeeetteeeeeeenneeteteeeneeeeeeeaees 10 20 11 6 4 EOSH Opening of Short Position eeeeeiuiiieiee uii Yeenin enn Reennnon 10 20 11 6 5 ERVS Revaluation of Short Position eeeeeeiiiiieeee iii ieenenun 10 22 11 6 6 ECSH Closure of Short PositionS eeeeeuiiiieie iii eeeien nun Reeinon 10 22 11 6 7 EXPL Expiry of Long PositiOl eeeeuuuieiiisuuideeenen nun Ree Yn iiin 10 22 11 6 8 EXPS Expiry of Short Position eieiiieiuiiieeinenu ine nenn LL Ren noN 10 22 11 6 9 EXRL Exercise in Long PositiOf
22. MIS Group Pool Code Default From MIS Groun MIS Classes Cost Code 10f1 o MIS Class MIS Code o MIS Group You should link a product to an MIS group By doing so you indicate the MIS group under which all deals linked to the product should be tracked Pool Code On linking the product to an MIS group you should also indicate the Pool code from the product will borrow and lend Transaction Codes If you have linked a product to an MIS Group the Transaction MIS Codes defined for the group will be displayed by default If you have not linked an MIS Group you can specify the applicable Transaction Codes here The number of transaction codes displayed depends on the number of transaction MIS codes miantained for your bank Cost Codes Similarly if you have linked an MIS Group to the product the cost codes defined for the group will be displayed You have the option to change them If you have not linked an MIS Group with the product you can indicate the applicable cost codes After you make the specifications click Ok to save them On saving you entries you are returned to the ET Product Definition screen For further details refer to the MIS user manuals a ORACLE 7 1 7 Processing an ET Deal Introduction Using the ETD module of Oracle FLEXCUBE you can process the following deal types e Liquidation Deals e Long Short Deals These could be value dated today or back value dated dea
23. Position customer 10000 9 21 ORACLE Max Long Position Self 100000 Max Short Position Self 100000 Default Broker ID SCG Issuer Exchange NSE MSTL Days 1 Physical Settlement Days 2 Initial Margin per Open Long 5 Initial Margin per Open Short 10 Clearing House NSCCL Margin CCY INR The details of the basket involved in the option deals in our example are as follows Basket Reference Num BSK003 ber Portfolio ID PFOO1 Instrument ID NSE HLL 230 Option Put Series ID 230 Jan 01 Broker ID CITI Broker Account CBOO1 9 7 6 Deal I Reference Number D20104 Nature of Contract Open Short in American Put Future Style Option Deal Number D20104 Deal Type LS Deal Product DP03 Instrument ID NSE HLL PUT A FP Instrument 230 Jan 01 Series Strike Price 230 Buy Sell S Booking Date 21 Nov 2000 a ORACLE Value Date 21 Nov 2000 Expiry Date 25 Jan 2001 Trade Rate 35 No of Contracts 20 As a result of processing this deal the system creates a basket BSK003 with the following combination PF001 NSE HLL 230 Option Put 230 Jan 01 CITI CB001 The basket will be created with 20 short contracts At EOD the event that needs to be processed in the Basket because of this Deal is EOSH The accounting entries posted for this event are
24. Pricing Details you have to indicate the currency in which the instrument is to be priced in The asset currency of the product involved in the instrument is defaulted as the pricing currency You can change the pricing currency only if the underlying asset also happens to be a currency In such a case since the asset currency differs from the pricing currency you have to change it manually Example a4 ORACLE 5 2 4 5 2 5 Scenario I Let us carry forward the earlier example of the Gold Option In this example the Pricing Currency is USD The Asset Currency will also be USD Therefore if you were to take a long Position Call the system will pass Contingent Entries to the Continent Bought and Contingent Bought Offset GLs Both the entries will be posted in USD Scenario Il You are processing a DEM Call Option priced in USD In this case the Pricing Currency will be USD and the Asset Currency will be DEM Therefore if you were to take a long position Call the system will post Contingent Entries to the Contingent Bought and Contingent Bought Offset GLs In this case the Contingent Asset entry will be posted in DEM asset currency and the Contingent Bought Offset will be posted in USD pricing currency Precision You have to specify the maximum decimal places that can be allowed for guoting the Instrument price Pricing Size Pricing Unit and Instrument Pricing Multiple While specifying the contract size of the Gold Op
25. Pricing Size Unit T bill Underlying Pricing Unit Multiple 100 Underlying Price Code CME Min Price Movement 0 01 Max Price Movement in a Day 10 Max Long Position Customer 10000 Max Short Position customer 10000 Max Long Position Self 100000 Max Short Position Self 100000 Default Broker ID CITI Issuer Exchange CME MSTL Days 1 Physical Settlement Days 2 Initial Margin per Open Long 10 ald ORACLE Initial Margin per Open Short 10 Clearing House NSCC Margin CCY USD Series Instrument Series Nov 00 Instrument Description Bonds future 90 Day T Bill USCMENon 00 Instrument Start Date 28 Aug 2000 Instrument Expiry Date 24 Nov 2000 As mentioned earlier in the manual each time you process a deal with the following combination Basket Portfolio ID Instrument ID Series ID Broker Broker Account The system assigns a unique reference number known as the Basket Reference Number to this combination The details of the Basket involved in the deals used in our examples are as follows Basket Reference Num BSKOO1 ber Portfolio ID PFOO1 Instrument ID CME 90 day US T bill Future Nov 00 Series ID CITI Broker ID Broker Account CBOO1 9 6 2 Deal I Reference Number D20101 Nature of Contract Open Long Position for Own Port
26. Strike Price and the Underlying Asset Price is calculated and the appropriate accounting entries are booked for the same Assignment of Options You can book the premium for future style options You can book the difference between the Price of the Underlying Asset and the Strike Price of the instrument and pass entries for the same Exchange of futures for physicals _ You can book the difference between the price of the underlying asset and the acguisition price and book entries for the same Expiry of Options As on the expiry date if the series is Out of the Money the system will process an automatic expiry for the series Similarly if the series is In the Money automatic exercise assignment of options event will be processed Expiry of Futures 22 ORACLE _ In the case of futures with future style options the system automatically books the deal premium amount 2 2 3 Advices For every deal that is entered in the system a deal confirmation advice can be generated and sent to the portfolio customer 2 3 Interaction with the Margin Maintenance Sub System The ETD module interacts with the Margin Maintenance sub system for the purpose of resolving money settlements arising due to the various events processed in the ETD module The margin maintenance module offers you the flexibility of netting all settlements for a counterparty Broker or Portfolio Customer For additional information about the sub
27. T Credi BR_SETLM_BRIDG DEAL _ PREMIUM AM t E T 10 14 ORACLE 10 5 10 EAXS Assignment in Short Position Customer Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit PF_SETLM BRIDG SPOT_STRIKE_DIFF Call amp Put Options F O E Credi BR _SETLM BRIDG SPOT_STRIKE_DIFF t E Debit BR_SETLM BRIDG DEAL PREMIUM AM Call amp Put Options F E T Credi PF_SETLM BRIDG DEAL PREMIUM AM t E T Own Portfolio Dr z Cr Accounting Role Amount Tag Applicable Debi CONT_ASSET_OFF SOLD_CCY_EQ Put Option O F t Cred CONT_ASSET BOT_ASSET it Debi CONT_LIAB SOLD_ASSET Call option O F t Cred CONT_LIAB OFF BOT_CCY_EQ it Debi PREMIUM_RECVD AVG_PREMIUM_RECEIV Call amp Put options O t ED Cred CONTROL AVG_PREMIUM_ RECEIV it ED Debi CONTROL SPOT_STRIKE_DIFF Call amp Put options t O F Cred BR _SETLM BRIDGE SPOT_STRIKE_DIFF it Debi ASSIGN_LOSS EXERCISE_ASSIGN_LO Call amp Put options t Ss O F Cred EXERCISE_ASSIGN_LO CONTROL it Ss Debi EXERCISE _ASSIGN_G CONTROL Call amp Put options t AIN O F 10 15 ORACLE Cred it EXERCISE_ASSIGN_G AIN ASSIGN_GAIN Debi DEAL_PREMIUM_AMT BR_SETLM_BRIDGE Call amp Put options t F Cred DEAL_PREMI
28. The system also calculates the expiry loss or gain depending on whether it is a long or short deal The respective accounting entries are also booked Expiry of Futures Inthe case of futures on the expiry date the system automatically exchanges futures for physicals Note While exercising and assigning options or during expiry of options and futures only the price differential i e the Exercise Gain or the Loss will be processed by the ETD module For options the price differential is the difference between the spot price of the underlying asset and the strike price of the instrument For futures the price differential is calculated as the difference between the spot price of the underlying asset and the acquisition price of the instrument Customer Portfolio Opening long and short positions You can define the premium exchange involved in Option Style Options and book the premium amount _ You have the facility to define and book the charges involved in the deal Closing long and short positions _ You can calculate the closing gains and losses and book appropriate entries for the same Revaluation Based on the closing price of the instrument and the series you can perform realized revaluation on futures and future style options on a daily basis as part of the end of day activities Exercise of Options You can book the premium for future style options The difference between the
29. These are the standard details of the contract D_ _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the underlying asset _COMPRSZ This indicates the manner in which the underlying assethas been rp prized in the market _ COMPRUT This is the Prizing Unit at which the underlying assethas been prized _SERIES_ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME This is the name of the Broker _PFOLIOID_ This is the reference number which uniguely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio 11 14 ORACLE _CSNAME_ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3
30. _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the asset _COMPRSZ_ This indicates the manner in which the underlying asset has been prized in the market 11 4 ORACLE _COMPRUT This is the Prizing Unit at which the underlying asset has been prized TES ORACLE 11 2 7 Broker Details Advice tag Description _BRKID_ This is the code or ID of the Broker _BRKNAM This is the name of the Broker E_ _CSNAME This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ 11 2 8 Long Short deal details Advice tag Description _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the advice Each line of the address can contain a maximum of 35 charac _BRNADD2_ fers aPRNEDDS There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES
31. amp Put Options t GE O F Cred PF_SETLM_BRID BOOK _VALUE it GE Own Portfolio Dr F Cr Accounting Role Amount Tag Applicable Debi CONT_ASSET BOT_ASSET_INCR Put Options O F t Cred CONT_ASSET_OF SOLD_CCY_EQ_INCR it F Debi CONT ASSET_OF SOLD CCY_EO DECR Put Options O F t F Cred CONT_ASSET BOT_ASSET_DECR it Debi CONT_LIAB_OFF BOT_CCY_EQ_INCR Future Call Option F t Cred CONT_LIAB SOLD_ASSET_INCR it Debi CONT_LIAB SOLD_ASSET_DECR Future Call Option F t Cred CONT_LIAB_OFF BOT_CCY_EQ DECR it Debi CONT_ASSET_OF BOT_CCY_EQ Put Options O F t F Cred CONT_ASSET SOLD_ASSET it Debi CONT_LIAB BOT_ASSET Futures Call Options O F t Cred CONT_LIAB_OFF SOLD CCY_EO it Debi CONTROL CLOSE PRICE PREMIU Futures Call amp Put t M Options F Cred BR SETLM BRID CLOSE_PRICE_PREMIU it GE M Debi BR SETLM BRID BOOK_VALUE Futures Call amp Put t GE Options F Cred CONTROL BOOK _VALUE it 10 11 ORACLE Debi PREMIUM RECV AVG_PREMIUM_RECEIV Call amp Put Options O t D ED Cred CONTROL AVG_PREMIUM_RECEIV it ED Debi CONTROL CLOSURE_GAIN Call amp Put Options O t Cred TRADING GAIN CLOSURE_ GAIN it Debi TRADING LOSS CLOSURE_ LOSS Call amp Put Options O t Cred CONTROL CLOSURE_ LOSS it 10 5 7 EXPL Expiry of Long Position Cust
32. as follows Accounting Role DGT Curren Ampu Description Indicator cy nt Contingent Asset Debit INR 39000 0 Contingent Asset Credit INR 39000 Asset value net of pre Offset 0 mium For the event ERVS the following entries will be posted Accounting Role prer Curren Amou Description Indicator cy nt Contingent Asset Debit INR 6000 Increase in Asset Contingent Asset Credit INR 6000 Offset Customer Debit INR 6000 Realized gain on revalua tion Income Credit INR 6000 9 7 7 Deal Il Reference Number D20601 Nature of Contract Assignment Prior to Expiry of Own Short Position in American Put Deal Number D20601 Deal Type XRS Deal Product DP04 Instrument ID NSE HLL PUT A FP Instrument 230 Jan 01 Series Strike Price 230 aes ORACLE Booking Date 28 Nov 2000 Value Date 28 Nov 2000 Expiry Date 25 Jan 2001 No of Contracts 20 At EOD the event that needs to be processed in the Basket because of this Deal is EAXS The accounting entries posted for this event are as follows Accounting Role Derer chien AMON Description Indicator cy nt Contingent Asset Debit INR 40400 Reversal of contingents Offset 0 Contingent Asset Credit INR 40400 0 Control Debit INR 50000 Spot strike difference Settlement Bridge Credit INR 50000 Settlement Bridge Debit IN
33. can select the respective CIF ID from the available list Note CIF IDs are assigned to customers of your bank through the Customer Information File Definition screen of the Core Services module of Oracle FLEXCUBE Fund Identification In Oracle FLEXCUBE you can identify and define specific branches of your bank as Fund Branches In fund branches only the banks own portfolios can be defined When the branch for which you are setting up a portfolio has been defined as Fund Branch you must associate the portfolio with a Fund ID Since there might be multiple funds defined in the branch you must select the appropriate Fund ID from the available list The portfolio that is associated with the Fund ID becomes the fund s portfolio Costing Method A costing method is used to determine your holding cost in a portfolio Since futures and options with future style of premium are revalued on a cash basis Variation Margin everyday B 18 ORACLE 6 7 0 1 the system automatically uses the Weighted Average method as the basis for costing these instruments However while setting up a bank portfolio for options with option style of premium you have to indicate the costing method that is to be used Based on the preference of your bank you can select an option from the option list The costing methods for options are as given below e Weighted Average Cost WAC e Lastin first out LIFO e First in first out FIFO e Deal matchi
34. clicking on the adjoining arrow button Commodity Definition Commodity Commodity Description _ Pricing Size AssetNature Real Contingent Commodity Pricing Unit To enter new records in this screen click new icon You can specify the following details in the screen Underlying Asset Specify a name for the underlying asset here This name that you give to a underlying asset identifies the underlying asset throughout the module Ensure that the name assigned to the underlying asset is unique and is not used to identify any underlying asset commodity asset This is a mandatory field a ORACLE You can follow your convention for naming the commodity However the name should not exceed 16 characters Underlying Asset Description You may provide additional details of the underlying asset here Your description for the underlying asset can be in no more than 255 characters This description is associated with the underlying asset for information retrieval purposes only Asset Type Specify the Asset Type under which your asset should be grouped Although you can define as many asset types as required a list of pre defined asset types is available in Oracle FLEXCUBE This list includes e Bond e Commodity e Currency e Derivatives e Equity e Index e Interest rates Select the appropriate asset type from the adjoining list of options Note Individual underlying asset can be mapped to any one of
35. deals 10 Con Lon Deal0O Premium Paid 2 USD per Contract tracts g 1 4 Contracts Lon Deal0O Premium Paid 3 USD per Contract g 2 6 Contracts Lon Deal00 Premium Paid 4 USD per Contract g 3 Let us assume you are doing an Exercise Deal for 12 Contracts Deal004 Underlying Price 12 USD You would like to match this Exercise Deal of 12 Contracts partially to Deal001 and Deal003 Your deal matching preferences in the Deal Matching screen will read as follows Deal004 matched Deal00 6 Con to 1 tracts Deal004 matched Deal00 6 Con to 3 tracts After this matching e Deal001 will have unmatched number of Contracts as 4 e Deal002 will have unmatched number of Contracts as 4 e Deal003 will have unmatched number of Contracts as 0 e Deal004 will have unmatched number of Contracts as 0 The system will compute the Exercise Gain Loss as follows e Cost of Deal001 for 6 Contracts 6 x 2 12 USD e Cost of Deal003 for 6 Contracts 6 x 4 24 USD Pa ORACLE 7 4 1 Total Cost 36 USD The difference between the Underlying Price and Strike Price will be computed as e 12 10 2 USD per Contract e 2x6 12 USD for 6 Contracts Thus the Exercise Loss will be computed as 36 USD 12 USD 24 USD In the above example the number of Contracts matched were equal to the Number of Contracts of the Closing Deal exercise deal i e 12 Now consider this sce
36. e The Procedures User Manual e The Messaging System User Manual e The Management Information System MIS User Manual ta ORACLE 2 1 2 2 2 2 1 2 Exchange Traded Derivatives An Overview Introduction The Exchange Traded Derivatives ETD module of Oracle FLEXCUBE is an automated and flexible back office system with the capability to process exchange traded derivative instruments such as Options and Futures Using this module you can capture details of long and short deals and liquidation type of deals entered at your front office process them and track life cycle events of holdings in your own or in your customer s portfolio Features of Portfolios Listed below are the various features of portfolios in the ETD module of Oracle FLEXCUBE Own Portfolio Opening long and short positions _ You can book contingent entries for the Long and Short positions opened during the day _ You can define the premium exchange involved in Option Style Options and book the premium amount _ You have the facility to define and book the brokerage amount and charges involved in the deal Closing long and short positions _ You can reverse contingent entries for all contracts that have been closed You have the facility to calculate the closing gains and losses and book appropriate entries for the same Revaluation of Futures and Options _ As part of the End of Day activities you ca
37. future price which is expressed in terms of the instrument pricing unit For index based futures this price is expressed in terms of index points per contract _OPTPRM_ This is the price at which the option was bought For index based options this is the price is specified in index points per contract 11 12 ORACLE _BSKREF_ This is the reference number of the basket to which the deal belongs _COSPTPRI This is the spot price of the underlying asset involved in the instrument _ SVALDT_ This is the date on which the liguidation gains losses will be settled _ESETAMT_ This is the Underlying spot price multiplied by the underlying asset pricing multiple for the instrument 11713 ORACLE 11 3 2 Long Short Deal Confirmation advice Advice tag Description _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the _BRNADD2_ tia Each line of the address can contain a maximum of 35 charac BRNODB SS There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C_ _CONTRST
38. heads GLs When you build a Class of Accounting Roles and Heads you will have to identify all heads specific to a service and indicate their roles individually The different stages in the life cycle of a portfolio are referred to as events After identifying accounting roles and mapping them with account heads you will have to identify the accounting entries which ought to be posted when individual events are triggered in Oracle FLEXCUBE For instance the opening of long and short positions will be recorded as two separate events in Oracle FLEXCUBE The mapping of accounting roles to respective account heads and the identification of life cycle events at which they ought to be triggered automates the process of posting accounting entries A single portfolio product can have multiple portfolios within it Although the various events that are likely to occur in a portfolio can be defined under a single product you can choose to post accounting entries to specific GLs for the different portfolios and Instruments within a portfolio product Assume this scenario Your bank is trading in a variety of Currency Index Options and in Commodity Index and Interest Rate Futures Typically on a daily basis you would like to process the following activities or events for all types of Options and Futures e Open Long Short Positions e Revalue Long Short Positions e Close Long Short positions e Process expiry of Long Short positions e E
39. of a deal that is yet to be booked is ORACLE 7 2 4 7 2 5 EMAT Deal Matching EREV Reversal of a deal At an event you may want to generate advices or post accounting entries For instance while booking a deal in your customer portfolio you would e Pass the requisite charge related entries e Print a confirmation advice for the benefit of your customer When defining a deal product firstly you have to identify the accounting roles and heads for the product in the Product Accounting Role to Head Mapping screen Similarly you have to specify the different event details in through the Product Event Accounting Entries and Advices screen by either of the following ways e Associating the product with an appropriate Role to Head Mapping class and an Events Class e Mapping accounting roles to heads and defining event details specifically for the product The appropriate accounting entries will be posted and the relevant advices can be generated only while booking a deal EBOK event During amendment of trade time stamp of a deal that is yet to be processed in the system EAMD and for deal matching EMAT the system will not post any accounting entries Neither will you be allowed to generate any advices for these events For reversing a deal EREV the system does an automatic reversal of all the accounting entries that were passed when the particular deal was booked EBOK For further details on m
40. on Closure of Position DEAL_PREMIUM_AMT Deal Premium Amount in Pricing Currency EFP_GAIN Gain due to Exchange of Futures for Physicals EFP_LOSS Loss due to Exchange of Futures for Physicals 10 2 ORACLE 10 4 EXERCISE_ASSIGN_GAI N Gain due to Assignment of the option EXERCISE_ASSIGN_LO SS Loss due to Assignment of the option EXERCISE_ GAIN Gain due to Exercise of the option EXERCISE_ LOSS Loss due to Exercise of the option EXPIRY_GAIN Gain due to Expiry of the Instrument EXPIRY_LOSS Loss due to Expiry of the Instrument NOTIONAL_GAIN Notional Gain in Pricing Currency NOTIONAL_LOSS Notional Loss in Pricing Currency REALIZED_GAIN Realized Gain in Pricing Currency REALIZED_LOSS Realized Loss in Pricing Currency SOLD_ASSET Sold Asset in Asset Currency SOLD_ASSET_DECR Decrease in contract Positions in Asset Currency SOLD_ASSET_INCR Incr in Cont Positions in Asset Currency SOLD_CCY_EQ Equivalent Amount in Pricing Currency SOLD_CCY_EQ_DECR Equivalent decrease in contract Positions in Pricing Cur rency SOLD_CCY_EQ_INCR Equivalent increase in contract Positions in Pricing Cur rency SPOT_STRIKE_DIFF Commodity spot minus Strike price of the option MG_SETLM_AMT_MREF Margin Refund Amount MG_SETLM_AMT_MTOP Margin Top Up Amount In addition to these you c
41. premium will be done during the Expiry event Reversal of Notional Revaluation for Options with Option Style of Premi um Reversal of Notional revaluation will be done only for your bank s own portfolios e9 ORACLE 9 4 7 9 4 7 1 The event that will be triggered in Oracle FLEXCUBE for the reversal of Notional Revaluation iS Event Description Code p RRVL Reversal of Notional Revaluation for Long Positions RRVS Reversal of Notional Revaluation for Short Positions Note For Options with future style of premium the system does a Realized Revaluation Producing Instrument Detail and Instrument Price Detail Handoffs The instrument details and instrument price details that were created or modified during the day can be handed off in an XML format using the Instrument Batch Handoff process This batch process collects the data of the instrument details that are either created or modified during the day and generates a notification for the same To run the Instrument Batch Handoff process automatically at EOD you must maintain two mandatory programs for instrument detail and instrument price detail under the batch operations You can do this using the Mandatory Batch Program Maintenance screen Maintaining Function Inputs Prior to maintaining the mandatory programs you must first maintain the function inputs for Batch EOD Functions You can do this using the Batch EOD Fu
42. set gents Contingent Asset Credit USD 960000 Control Debit USD 19400 Premium Paid Credit USD 19400 Settlement Bridge Debit USD 18000 Spot Strike Difference Control Credit USD 18000 Expense Debit USD 1400 Loss on Exercise Control Credit USD 1400 9 7 5 American Option Deals with Future Style Premium The Instrument involved in all the American option deals is NSE HLL 230 Option Put The details of this instrument are given below aa ORACLE 9 7 5 1 9 7 5 2 Instrument Details NSE HLL 230 Option Put Fields in the Screen Values Instrument Product EOAO Instrument Type Option Underlying Asset Type Eguity Nature of Underlying Asset Real Underlying Asset HINDLEVER Underlying Asset Currency INR Call Put Indicator Put Instrument ID NSE HLL 230 Option Put Instrument Series 23 Jan 01 Instrument Description EguityOptionHINDLEVERNSE230 Jan 01 Instrument Start Date 30 Oct 2000 Instrument Expiry Date 26 Jan 2001 Pricing Currency INR Contract Size 100 Contract Size Unit Share Pricing Precision 2 Decimals Instrument Pricing Size 1 Instrument Pricing Size Unit Share Instrument Pricing Size Multi 100 ple Underlying Pricing Size 1 Underlying Pricing Size Unit Share Underlying Pricing Unit Multiple 100 Underlying Price Code NSE Min Price Movement 0 05 Max Long Position Customer 10000 Max Short
43. the Initial Margin for Open contracts Long and Short In certain exchanges it is mandatory that you deposit as collateral Initial Margin a fixed percentage of the Contract Value You need to specify the percentage of initial margin for every open contract held by the investor The percentage that you specify can change on a day to day basis Similarly the percentage per Open Short Contract may differ from the percentage per Open Long Contract Since the ETD module does not calculate the Initial Margin Reguirements the value that you specify in this field represents an approximate percentage that will be reguired as Initial Margin The percentage of the contract amount that you enter in these fields will not be considered for processing Currency Indicate the currency in which the percentage amount is to be paid This field assumes significance only when the margin amount is paid in cash A list of currencies maintained in Oracle FLEXCUBE is displayed in the available option list You can choose the appropriate currency Specifying Other details Default Broker Your bank may trade in instruments involving brokers and clearing houses You have to indicate the ID of the broker clearing member involved in the deal A list of all customers categorized as brokers and clearing members through the Customer Information maintenance screen are available in the list of options You can choose the appropriate ID Subseguently whenever this
44. the above asset types However while defining currency assets like U S Dollar Great British Pound Japanese Yen to name a few you have to strictly map them to the Asset Type Currency Similarly while defining indices like the BSE Sensex NYSE LSE etc it is mandatory that you map them to the Asset Type Index For example while maintaining USD U S Dollar as a commodity you must group it under the Asset type Currency Similarly if you create a commodity titled BSESENSEX it should be grouped under the asset type INDEX Nature of Asset Specify the nature of the asset under which the underlying asset is categorized This indicates the basic nature of the underlying asset The options available are e Real e Contingent Indicate whether the nature of the underlying asset is Real or Contingent depending on the physical holding of the underlying Let us assume that you are identifying a particular currency in Oracle FLEXCUBE as an underlying asset In this case the nature of the asset will be Real However if you are maintaining an option on a currency swap as an underlying asset the underlying asset or commodity is not the currency but the currency swap itself Therefore the underlying asset becomes a contingent asset Pricing Size and Underlying Pricing Unit You can indicate how the underlying asset is priced in the market by specifying the market price per unit of the underlying Since every in
45. the field Account and select the transaction code associated with the Tax Payable account in the field Txn Code Liguidation Transaction Code Select the transaction code which is to be associated with brokerage liquidation Tax Scheme Select the tax scheme which is to be associated with the Broker Account and Currency combination Payable Currency Select the currency in which the brokerage amount is to be booked Applicable For Exchange Traded Derivatives Select this check box to indicate the broker whose details you maintaining can be used in the ETD module of Oracle FLEXCUBE If you check this box the system will display an override stating the booking method will be Advance Under the Broker Account table you can specify the following Account Specify the account of the broker The adjoining option list gives you a list of accounts Choose the appropriate one You cannot specify the same account number for another broker Each broker should have account numbers unique to him Note It is mandatory for you to specify at least one account number for the broker Description Enter a brief description for the account Defining a Broker Scheme You can associate a broker with an existing broker margin scheme through the Broker Scheme Linkage screen You can invoke this screen by typing BRDUATST in the field at the top right corner of the Application tool bar and clicking on the adjoi
46. the instrument pertaining to the instrument itself or the underlying asset the physical settlement of the deal or the money settlement of the deal is displayed in the Standard field Indicating the Settlement Instructions for the deal The settlement accounts are the accounts which will be impacted debited credited for settling the liquidation gains and losses Levying booking charges on a LQ deal You can specify the charges that should be levied on every LQ deal that is booked in the ETD module The charge components linked to the deal product will be defaulted to the LQ deal You can choose to recover the charges either from the Broker or the Portfolio Customer a ORACLE 7 3 3 7 3 4 7 3 5 7 3 6 During liguidation the relevant accounting entries are passed based on the accounting entry set up for the deal product Viewing the Accounting Entries posted for an LQ transaction The charge components associated with the liguidation product will be defaulted to the deal You can view the GL SLs that will be impacted when accounting entries are posted for booking EBOK the liquidation deal through the Liquidation Events Accounting Entries and Overrides screen The accounting entries will be displayed along with the overrides that were encountered while processing the transaction Specifying the Advices for a Deal The details of the advices applicable for an event are displayed in the Advices screen The
47. while entering the details of a deal on behalf of your bank you have to link it to the appropriate bank portfolio While defining a deal product you would have established certain controls over the portfolios that your branches can deal in by defining restrictions for the product The list provided alongside this field contains all the allowed portfolios for this product Select the appropriate portfolio form this list Note If you are capturing the details of a deal on behalf of your customer s portfolio then the CIF ID and the Name of the customer involved in the portfolio are defaulted in the respec tive fields fola ORACLE 7 2 1 7 2 2 Broker Clearing Member Specify the Broker ID of the broker through whom the deal was brokered You can select a Broker ID from the available list The available list contains the codes assigned to brokers with whom you can enter deals Broker Account Select the Broker Account from the adjoining list This account represents the actual account where the positions will be updated Basket Reference The Basket Reference number is the unique reference number or identifier that the system assigns each time you process a deal with the following combination Portfolio ID Instrument ID Series ID Broker Broker Account The reference number is referred to as the Basket Reference Once generated all subsequent deals in the same combination will be referenced with this ID Life cy
48. will be processed again To run the Batch process use the End of Day Batch Start screen You can invoke this screen by typing AEDSTART in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button a ORACLE 9 3 9 3 1 End Of Cycle Operations my H save EOC Reference EOC Type Single Thread v Group Code az Target Stage Maximum Threads Group Description E Mark Time Level 9 X Run Branches Serial v Add Branches From Group 10f1 l I l Wh E Sequence Branch Code Branch Description Branch Date CurrentStage Target Stage Thereafter click Ok button to start the batch process at the EOD To exit the screen without running the batch click Exit or Cancel button Note You cannot cancel an EOD Batch process once it has begun Automatic Events Executed during End of Day for Fu tures Settlement of Opening deals This process will update the Cost of the portfolio based on the new holdings The events that can be triggered in Oracle FLEXCUBE for settling open deals are Event Description Code P EOLG Opening of Long Position EOSH Opening of Short Posi tion Example a2 ORACLE 9 3 2 Opening Position for the day 10 Contracts Long Last Market Price 230 USD for 10 contracts Deals for the Day 2 Contracts Long at 25 USD Contract The resul
49. 01 ence Product Long Short deals for Portfolio Customers Instrument ID CME90DTB PUTE OP Description Chicago Mercantile Exchange 90 Day T bill Put Option Series 96 NOV 2000 Contract 15 Deal Type Long Where the Long holder for each long contract held has the right to sell hundred units of the T bill Conseguently a deal involving 15 Contracts translates to 1500 15 x 100 units of the T bill involved in the trade o ORACLE Deal Type While capturing the details of a specific deal you have to indicate whether it is a Buy Long or Sell Short type of deal You can select the appropriate preference from the available list Premium Future Price For Options the Option Premium is the price at which an option is bought or sold excluding any commissions trading fees and applicable levies For index based options the price has to be specified in index points per contract For non index based options the premium has to be expressed in terms if the Instrument Pricing Unit specified at the time of defining the instrument While capturing future deals you will have to indicate the Future Price For index based futures the price has to be specified in index points per contract For non index based futures the price has to be expressed in terms of the Instrument Pricing Unit indicated at the time of instrument definition For instance let us assume that you are capturing the details of a commo
50. 012 Oracle Financial Services Software Limited All rights reserved No part of this work may be reproduced stored in a retrieval system adopted or transmitted in any form or by any means electronic mechanical photographic graphic optic recording or otherwise translated in any language or computer language without the prior written permission of Oracle Financial Services Software Limited Due care has been taken to make this document and accompanying software package as accurate as possible However Oracle Financial Services Software Limited makes no representation or warranties with respect to the contents hereof and shall not be responsible for any loss or damage caused to the user by the direct or indirect use of this document and the accompanying Software System Furthermore Oracle Financial Services Software Limited reserves the right to alter modify or otherwise change in any manner the content hereof without obligation of Oracle Financial Services Software Limited to notify any person of such revision or changes All company and product names are trademarks of the respective companies with which they are associated 11 24 ORACLE 12 Function ID Glossary A AEDSTART eueuueueeeeeenneen 9 1 B BADEODFE nescence 9 7 BRDMAST oeenn 8 4 BRDUATST eee 8 6 E EDDBANK nenene 8 1 EDDCOMDF ee 3 1 EDDCORAT eee 8 2 EDDDLPRD e 7 1 EDDINRAT ee 8 3 EDDLQONL ee
51. 7 16 EDDLSONL ee 7 9 EDDMATCH ee 7 22 EDDPCMNT oseese 8 2 EDDPFMNT osese 6 17 EDDPFPRD uni iii 6 1 EIDMANPE onsere 9 8 ENDINMRG seen 5 22 ENDINPRO ee 4 1 ENDUINST visiirien 5 1 M MGDCPROD see e 9 9 6 11 MGDSCHEM c eee e 6 14 MGDSETLM see 9 9 6 13 12 1 ORACLE
52. CONT_ASSET_OF SOLD_CCY_EQ_INCR it F Debi CONT_ASSET_OF SOLD_CCY_EQ_DECR Futures Call Option F t F Cred CONT_ASSET BOT_ASSET_DECR it Debi CONT_LIAB_OFF BOT_CCY_EQ_INCR Futures Put Option F t Cred CONT_LIAB SOLD_ASSET_INCR it Debi CONT_LIAB SOLD_ASSET_DECR Futures Put Option F t Cred CONT_LIAB_OFF BOT_CCY_EQ_DECR it Debi CONT_ASSET_OF BOT_CCY_EQ Future Call Options F amp O t F Cred CONT_ASSET SOLD ASSET it Debi CONT_LIAB BOT_ ASSET Future Put Options F amp O t Cred CONT_LIAB_OFF SOLD_CCY_EQ it 10 8 ORACLE 10 5 4 EOSH Opening of Short Position Customer Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit BR_SETLM_BRIDG DEAL PREMIUM AM Call amp Put Options O E T Credi PF_SETLM BRIDG DEAL _PREMIUM AM t E T Own Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit CONT_ASSET BOT_ASSET Put Option O F Credi CONT_ASSET_OFF SOLD CCY EQ t Debit CONT_LIAB_ OFF BOT_CCY_EQ Futures Call Option O F Credi CONT_LIAB SOLD ASSET t Debit BR SETLM BRIDG DEAL PREMIUM AM Call amp Put Options O E T 10 9 ORACLE 10 5 5 ERVS Revaluation of Short Position Dr Cr Accounting Role Amount Tag indicator
53. D_ASSET_INCR t Debit CONT_LIAB BOT CCY_EO DEC Futures R Credi CONT_LIAB_OFF SOLD_ASSET_DECR t Debit CONT_LIAB SOLD_ASSET Futures Credi CONT_LIAB_OFF BOT_CCY_EQ t Note While reversing the accounting entries will be reversed 10 17 ORACLE 10 5 13 ERVL Revaluation of Long Position Dr Cr Accounting Role Amount Tag indicator Applicable BR_SETLM_BRID REALIZED GAIN Debit Futures Call amp Put GE Options F REALIZED_GAINS REALIZED GAIN Credit REALIZED_LOSS REALIZED LOSS Debit Futures Call amp Put Options F BR_SETLM_BRID REALIZED LOSS Credit GE CONT_ASSET BOT_ASSET_INCR Debit Futures Call Options F CONT_ASSET_OF SOLD_CCY_EQ_INC Credit F R CONT ASSET OF SOLD_CCY_EQ_DE Debit Futures Call Options F CR F CONT_ASSET BOT_ASSET_DECR Credit CONT_LIAB_OFF BOT_CCY_EQ_INCR Debit Futures Put Options F CONT_LIAB SOLD_ASSET_INCR Credit CONT_LIAB_OFF BOT_CCY_EQ DEC Debit Futures Put Options F R CONT_LIAB SOLD_ASSET_DEC Credit R REVAL_ASSET NOTIONAL_GAIN Debit Call amp Put Option O UNREAL_INCOME NOTIONAL_ GAIN Credit UNREAL_EXPENS NOTIONAL_ LOSS Debit Call amp Put Option O E REVAL_LIAB NOTIONAL_ LOSS Credit 10 5 14 ERVS Revaluation of Short Position Dr Cr Accounting Role Amount Tag Indicator Applicable BR_SETLM_BRID REALIZED_GAIN Debit Futures Cal
54. E _TIME_ This is the exact time at which the deal transaction took place in the exchange _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the broker account involved in the transaction _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT_ This is the Underlying asset spot price multiplied by the underlying pric ing multiple for the instrument Expiry Confirm Notice Advice tag Description _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated 11 21 ORACLE _BRNADD1_ This is the address for correspondence of the branch which sent the _BRNADD2_ ns Each line of the address can contain a maximum of 35 charac cPRNABDAL There are three lines in which the branch address for correspondence can be keyed in _ INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C_ _CONTRST These are the standard details of the contract D_ _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDE
55. E for processing the closure of deals are Event arr Code Description ECLG Closure of Long Positions ECSH Closure of Short Posi tions Liguidation of all Open positions on the Expiry Date As of the Expiry Date the system will identify all series expiring on that day and liquidate all Open positions in the series The system reverses contingents The events that will be triggered in Oracle FLEXCUBE for liguidating open positions on the Expiry Date are event Description Code P EEPL Liquidation of Long Positions a3 ORACLE 9 4 9 4 1 9 4 2 EEPS Liguidation of Short Posi tions Automatic Events Executed during End of Day for Op tions Settlement of Opening Deals for Options While running this process the system updates the cost of the portfolio based on the new holdings This is done as per the costing method Deal Matching Weighted Average LIFO FIFO defined for the portfolio Note Note that costing is applicable only for your bank s own portfolios For customer portfolios the system only facilitates the money settlement of the Deal Premium It does not so any costing The events that will be triggered in Oracle FLEXCUBE for processing the settlement of opening deals for options are Event Description Code p EOLG Opening of Long Positions EOSH Opening of Short Posi tions Settlement of Closing Deals
56. Friday Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Final Settlement Price The value of the DAX determined on the basis of the aggregate prices of the DAXcomponent shares on the Last Trading Day as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Exercise European style i e an option may only be exercised on the Last Trading Day of the respective option series up to the end of the Post Trading Period Expiration Months The three nearest calendar months the three following months within the cycle March June September and December thereafter as well as the two following months of the cycle June and December thereafter i e options contracts are available with a lifetime of 1 2 3 max 6 max 9 max 12 as well as max 18 and max 24 months Exercise Price Exercise price intervals for DAX r Options are as follows Expiration months with a Number of Exercise price intervals in remaining term up to exercise prices Index Points 9 months 9 50 12 months 5 100 24 months 5 200 At lea
57. LLYLL FFF LLnnnon 7 16 8 3 1 Indicating the Settlement Instructions for the deal 7 19 8 3 2 _ Levying booking charges on a LO deal cccccccete cette tents e teen ee etnneees 7 19 8 3 3 Viewing the Accounting Entries posted for an LQ transaction 7 20 8 3 4 Specifying the Advices for a DOAl oi ieceececetetteeeceetnteeeeeeetnneneeeetnaeeeenetee 7 20 8 3 5 Viewing Selecting the Custom Fields 0 cccecceeteeteeeeeenteeeeetetneeeeenetae 7 20 8 3 6 Viewing Specifying MIS Details cccccccccceeee eee eeteeeeeeetnneneeeetnaeeeeneeaa 7 20 8 3 7 Associating a Broker and Product with a Rule ecccccceteteeeeetnteeeetteee 7 21 8 3 8 Liquidation Deal Financial Amendment 22 2 ceccccecceeeeeeeeeeeeeneenteaeeees 7 22 9 4 Matching Deal Sroa aiea E dg E late dn Ua dL LLU igcacdaadtineds 7 22 8 4 1 Operations you can perform on a Matched and Unmatched Deal 7 25 General Maintenance 2incas0 o5 22 4025 doce uu cL tanh teeererenttnn tects cacectedoeedeleterceere 8 1 Yt IntrOGUCHION eeen e a EAE EEA E R a aE 8 1 9 2 Maintaining Bank Parameters 0 eccccececeeeceeeeeeeeeeeeeeeeeeeeeeeeseeeeeeeeeseeeaaeeeeteeaaeees 8 1 9 3 Maintaining Price Code Details ec eceeeeeeeeeeeeeeeeeeeeeeeeeeeseeeeeeeeeseeeaeeeeseeaaeees 8 2 9 4 Maintaining Underlying Asset Prices 0 ccccceeeeeeeeeeeeeeneeeeeseeeeeeeeeteeeaeeeeteeeaeeees 8 2 9 5 Maintaining Instrument Price Details 0 0 0 0 ce cee
58. Months The next four months within the cycle March June September and December i e options contracts are available with a lifetime of 3 6 9 and a maximum of 12 months The maturity month of the underlying futures contract and the expiration month of the option are identical Exercise Value Options series have exercise prices with intervals of 0 10 of a point e g 96 40 96 50 96 60 Twenty one exercise prices are introduced initially for each expiration month Option Premium The premium is settled using the futures style method Trading Hours 8 30 a m until 7 00 p m CET In Oracle FLEXCUBE To fit this reguirement in Oracle FLEXCUBE you have to specify the following details in the Instrument Definition screen Product Code OEU3 Option Future Option Asset Type Interest Rate Future Physical Settle Yes ment Settle Before Yes Expiry ol ORACLE 5 3 6 Instrument Details Reference 0000EU300123 Instrument Option on Three Month EURIBOR Futures contract Nature of Asset Contingent Asset Currency EUR Contract Size 1 Contract Size Unit Future Contract Contract Value One Three Month EURIBOR Futures contract Pricing Currency EUR Pricing Size 1 Pricing Size Unit Future Contract 30000 Pricing Unit Multiple 30000 Precision 3 Minimum Price 0 005 Movement Contract Standard Three Month EURIBOR Future
59. N Debit Future Call and Put GE Options F REALIZED_GAINS REALIZED_GAIN Credit Future Call and Put Options F REALIZED_LOSS REALIZED_LOSS Debit Future Call and Put Options F BR_SETLM_BRID REALIZED_LOSS Credit Future Call and Put GE Options F CONT_ASSET BOT_ASSET_INCR Debit Future Call Option F CONT_ASSET_OF SOLD CCY_EO INC Credit Future Call Option F F R CONT ASSET OF SOLD CCY_EO DE Debit Future Call Option F F CR CONT ASSET BOT ASSET_ DECR Credit Future Call Option F CONT_ LIAB OFF BOT CCY_EG INC Debit Future Put Option F R CONT_LIAB SOLD ASSET_INCR Credit Future Put Option F CONT_LIAB BOT CCY_EO DEC Debit Future Put Option F R CONT LIAB OFF SOLD ASSET DEC Credit Future Put Option F R REVAL_ASSET NOTIONAL_GAIN Debit Call amp Put Option C UNREAL_INCOME NOTIONAL_GAIN Credit Call amp Put Option C UNREAL_EXPENS NOTIONAL_LOSS Debit Call amp Put Option C E REVAL_LIAB NOTIONAL_LOSS Credit Call amp Put Option C 10 5 3 ECLG Closure of Long Position Customer Portfolio Pai Accounting Role Amount Tag Applicable Debi BR_SETLM_BRID CLOSE_PRICE_PREMI Futures Call amp Put Options t GE UM Cred PF_SETLM_BRID CLOSE_PRICE_PREMI it GE UM 10 6 ORACLE Debi PF_SETLM_BRID BOOK VALUE Futures Call amp
60. ORACLE Exchange Traded Derivatives User Guide Oracle FLEXCUBE Universal Banking Release 12 0 2 0 0 Part No E49740 01 October 2013 Exchange Traded Derivatives User Guide October 2013 Oracle Financial Services Software Limited Oracle Park Off Western Express Highway Goregaon East Mumbai Maharashtra 400 063 India Worldwide Inguiries Phone 91 22 6718 3000 Fax 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 u
61. Options O D Credi CONTROL AVG_PREMIUM RCEIVE t D Debit CONTROL EXPIRY_GAIN Call amp Put Options O F Credi EXPIRY_GAIN EXPIRY_GAIN t Debit BR_SETLM_ BRIDG DEAL PREMIUM AMT Call amp Put Options F E Credi CONTROL DEAL PREMIUM AMT t 10 13 ORACLE 10 5 9 EXRL Exercise in Long Position Customer Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit BR_SETLM_BRIDG SPOT_STRIKE_DIFF Call amp Put Options F O E Credi PF_SETLM BRIDG SPOT_STRIKE_DIFF t E Debit PF_SETLM_BRIDG DEAL PREMIUM AM Call amp Put Options F E T Credi BR _SETLM_ BRIDG DEAL PREMIUM AM t E T Own Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit CONT ASSET OFF SOLD CCY_EO Call Option O amp F Credi CONT_ASSET BOT_ASSET t Debit CONT_LIAB SOLD_ASSET Put Option O amp F Credi CONT_LIAB OFF BOT_CCY_EQ t Debit CONTROL AVG PREMIUM PAID Call amp Put options O Credi PREMIUM_PAID AVG_PREMIUM_PAID t Debit BR SETLM BRIDG SPOT_STRIKE_DIFF Call amp Put options O F E Credi CONTROL SPOT_STRIKE_ DIFF t Debit CONTROL EXERCISE_GAIN Call amp Put options O F Credi REALIZED_GAIN EXERCISE_ GAIN t Debit REALIZED LOSS EXERCISE_LOSS Call amp Put options O F Credi CONTROL EXERCISE LOSS t Debit CONTROL DEAL_PREMIUM_AM Call amp Put Options F
62. Price Details of the Instrument eueieiiiiiiiiiuiiuieenh 5 4 5 2 4 Specifying the Price Movement Details 0 ccccccceiececeeeenteteeeeenteeeeeeenaaes 5 5 9 2 5 Specifying Maximum Open Positions defailS eeeiiiiiiiiiiiiieinenh 5 5 5 2 6 Specifying the Days for Settlement ccccccseeeeceeeeeeeeeeeenteeeeeeeesaeeeessenaaes 5 6 5 2 7 Specifying the Initial Margin for Open contra S eueiiiiiiiiuieien 5 6 9 2 8 Specifying Other detalls z resenu iin Y ELLI iaa aaria iaai 5 6 5 3 Defining the Series associated with the Instrument sssssseeeseeerreseerrrrsseerrreeseees 5 7 5 3 1 Examples of capturing Actual Instruments in Oracle FLEXCUBE 5 9 5 3 2 Example l One Month Euribor Futures 2 ccccccceseccecceeeectteeeeeneenseaeeees 5 9 5 3 3 In Oracle FLEX CUBE one cccseecccccicsetscctcutsneincctecsnecsetdedueectecvunbbacettedenbineeteuee 5 10 5 3 4 Example ll Option on Three month Euribor Futures e 5 11 53 9 An Oracle FLEX CUBE on arrini dcuc ev escteen IWYD ELWYN FYNY A YA NYDDU ynd 5 12 5 3 6 Example lll Equity Options on German Shar6S eieeeieeeeeuenn 5 13 olf Im Oracle FLEXCUBE uu send lei alin Gaal MT AUD 5 16 5 3 8 Example IV Dax Futures cccccccccccceeceeeeeeceeensecaeeeseeeeeeeteteeesessnsaseees 5 17 9 3 9 In Oracle FLEX CUBE snerta Nyd dddo ddd hepa Nudd cnet 5 18 5 3 10 Example V Dax OptiOns 22 cc
63. Put Options t GE O F Cred BR SETLM BRID BOOK _VALUE it GE Own Portfolio Dr z i Cr Accounting Role Amount Tag Applicable Debi CONT_ASSET BOT_ASSET_INCR Futures Call Option F t Cred CONT_ASSET_OF SOLD CCY_EG INCR it F Debi CONT ASSET_OF SOLD CCY_ EG DECR Futures Call Option F t F Cred CONT_ASSET BOT_ASSET_DECR it Debi CONT_LIAB_OFF BOT_CCY_EG INCR Futures Put Option F t Cred CONT_LIAB SOLD ASSET_INCR it Debi CONT_LIAB SOLD_ASSET_DECR Futures Put Option F t Cred CONT_LIAB_OFF BOT_CCY_EG DECR it Debi CONT ASSET_ OF BOT CCY_EO Future Call Options F amp O t F Cred CONT_ASSET SOLD ASSET it Debi CONT_LIAB BOT_ ASSET Future Put Options F amp O t Cred CONT_LIAB_OFF SOLD_CCY_EQ it Debi BR SETLM BRID CLOSE_PRICE_PREMI Futures Call amp Put Options t GE UM F O Cred CONTROL CLOSE_PRICE_PREMI it UM Debi CONTROL BOOK_VALUE Futures Call amp Put Options t F Cred BR SETLM BRID BOOK _VALUE it GE 10 7 ORACLE Debi CONTROL AVG_PREMIUM_ PAID Call amp Put Options O t Cred PREMIUM_ PAID AVG_PREMIUM_ PAID it Debi CONTROL CLOSURE_ GAIN Futures Call amp Put Options t F O Cred TRADING_GAIN CLOSURE_GAIN it Debi TRADING_LOSS CLOSURE_LOSS Futures Call amp Put Options t F O Cred CONTROL CLOSURE_LOSS it Debi CONT_ASSET BOT_ASSET_INCR Futures Call Option F t Cred
64. R 56000 Deal Premium Control Credit INR 56000 Control Debit INR 6000 Gain on Assignment of Income Credit INR 6000 9 24 ORACLE 10 Annexure A Event wise Accounting Entries for your Own Portfolio 10 1 10 2 Accounting entries for a Bank portfolio This section contains details of the suggested accounting entries that can be maintained while setting up a portfolio product for your bank and for your customer s as well for the ETD module of Oracle FLEXCUBE The details of the suggested accounting entries are listed event wise ETD Events The following is an exhaustive list of events that can take place during the lifecycle of an ET deals In the subseguent paragraphs we shall examine the accounting entries for each of the events listed below EN Event Description EOLG Opening of Long Position ERVL Revaluation of long Position ECLG Closure of Long Position EOSH Opening of Short Position ERVS Revaluation of Short Position ECSH Closure of Short Position EXPL Expiry of Long Position EXPS Expiry of Short Position EXRL Exercise in Long Position EAXS Assignment in Short Position EEPL Exchange for Physicals in Long EEPS Exchange for Physicals in Short ROLG Reversal Opening of Long Position RRVL Reversal Revaluation of Long Position RCLG Reversal Closure of Long Position ROSH Reversal Opening of Short Position RRVS Reversa
65. R 6 13 6 5 Invoking ai Margin Calls cc itticcctesax sheets add GELL dyo LLd aigeathaategeesabelvineie LLI dL CLLR 6 14 6 6 Deining PortfollO 8 eau ie ie GR dy GYG ddd du ddd ae adie 6 16 6 7 Entering the Details of a PortfollO eueieee nn Y Y YL ee teeter L YL HL RALL LLY Y LL nno on 6 17 6 7 1 Specifying Role to Head Mapping PreferencesS eeeiiiiiiiiieen 6 21 6 7 2 Maintaining Instrument Restrictions for a portfolio eiieieieuu 6 22 6 7 3 Specifying the Margin Scheme linkage for a portfolio en 6 22 6 7 4 Linking MIS Transaction Codes with a PortfollO eeeiiiuiiieiiiuu 6 23 6 7 5 Associating Brokers and Broker Accounts with a portfolio 6 24 7 Defining Deal Products x sccacscs cece canes a co ctes ctedecci ca eetecceedece ceeeces eet eceeee 7 1 7 1 Introduction resini hira ee gd a alte AE cine en 7 1 7 2 Creating a Deal Product esirin air ade ceceetaddalscuavaansccendsladdigentaatedageavaaater wih 7 1 7 2 1 Specifying Preferences for the Deal Product cccceeseeteeettteteeteeneeees 7 3 7 2 2 Defining the Charge Components 000 0 eececcecteeenee eee teeee eect etaaeeeetetaaeeeeeee 7 4 7 2 3 Specifying the Accounting Entries and Advices eeieeiiiiiieiiuu 7 4 7 2 4 Restricting Branches And Currencies cccccceceeeeeeeeeeeeneeeeeeeeeenaeeeeteneaeeees 7 5 7 2 5 Specifying Portfolio Restrictions 0cccccecceeeeeteeeeet
66. SC This is the description assigned to the underlying asset _ASSNAT _ This indicates the basic nature of the underlying asset _COMPRSZ This indicates the manner in which the underlying asset has been _ prized in the market _COMPRUT This is the Prizing Unit at which the underlying asset has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _ STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME _ This is the name of the Broker _PFOLIOID_ This is the reference number which uniguely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio _CSNAME_ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 z z can be keyed in _ADRS4_ 11 22 ORACLE _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the r
67. T Credit Call amp Put Options F 10 23 ORACLE 10 6 9 EXRL Exercise in Long Position Dr Cr Accounting Role Amount Tag Indicator Applicable BR_SETLM_BRID SPOT_STRIKE_DIF Debit GE F Call Option O amp F Put option O amp F PF SETLM BRID SPOT STRIKE_DIF Credit GE F Call Option O amp F Put option O amp F PF_SETLM_BRID DEAL PREMIUM_ A Debit GE MT Call amp Put option F BR _SETLM BRID DEAL PREMIUM_ A Credit GE MT Call amp Put option F 10 6 10 EAXS Assignment in Short Position Dr Cr Accounting Role Amount Tag Indicator Applicable PF_SETLM_BRID SPOT_STRIKE_DIF Debit GE F Call Option O amp F Put option O amp F BR SETLM BRID SPOT STRIKE_DIF Credit GE F Call Option O amp F Put option O amp F BR_SETLM_BRID DEAL PREMIUM A Debit GE MT Call amp Put option F PF_SETLM_BRID DEAL PREMIUM A Credit GE MT Call amp Put option F 10 6 11 EEPL Exchange of physicals in Long Accounting Role Amount Dr Cr Indicator Applicabl Tag e BR_SETLM_BRIDG EFP_GAIN Debit Future E PF_SETLM_BRIDG EFP_GAIN Credit Future E PF_SETLM_BRIDG EFP LOSS Debit Future E BR SETLM BRIDG EFP LOSS Credit Future E 10 6 12 EEPS Exchange for physicals in Short Ac
68. This is the description assigned to the instrument involved in the deal C_ _CONTRST These are the standard details of the contract D_ _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the asset _ COMPRSZ This indicates the manner in which the underlying asset has been _ prized in the market _ COMPRUT This is the Prizing Unit at which the underlying asset has been prized 11 ORACLE _SERIES_ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME This is the name of the Broker _PFOLIOID_ This is the reference number which uniquely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio _CSNAME _ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of
69. UM_AMT CONTROL it 10 5 11 EEPL Exchange of physicals in Long Customer Portfolio Dr Cr Accounting Role Amount Applica Tag e Debit BR_SETLM_BRIDG EFP_GAIN Futures E Credi PF_SETLM_BRIDG EFP_GAIN t E Debit PF_SETLM_BRIDG EFP_LOSS Futures E Credi BR_SETLM_BRIDG EFP_LOSS t E Own Portfolio Dr Cr Accounting Role Amount Tag Appiicabi Debit BR_SETLM_BRIDG EFP_GAIN Futures E Credi REALIZED_GAINS EFP_GAIN t Debit EFP_LOSS EFP_LOSS Futures Credi BR_SETLM_BRIDG EFP_LOSS t E Debit CONT_ASSET BOT_ASSET_INCR Futures Credi CONT_ASSET_OFF SOLD_CCY_EQ_INCR t Debit CONT_ASSET_OFF SOLD_CCY_EQ_DEC Futures R Credi CONT_ASSET BOT_ASSET_DECR t Debit CONT_ASSET_OFF SOLD_CCY_EQ Futures 10 16 ORACLE Credi CONT_ASSET BOT_ASSET 10 5 12 EEPS Exchange for physicals in Short Customer Portfolio Dr Cr Accounting Role Ampuni Appli abi Tag e Debit BR_SETLM_BRIDG EFP_GAIN Futures E Credi PF_SETLM_BRIDG EFP_GAIN t E Debit PF_SETLM_BRIDG EFP_LOSS Futures E Credi BR SETLM BRIDG EFP LOSS t E Own Portfolio Dr Cr Accounting Role Amount Tag SL Debit BR SETLM BRIDG EFP_GAIN Futures E Credi REALIZED GAINS EFP_GAIN t Debit EFP LOSS EFP_ LOSS Futures Credi BR SETLM BRIDG EFP LOSS t E Debit CONT_LIAB_OFF BOT_CCY_EQ_INCR Futures Credi CONT_LIAB SOL
70. You do not want the product to be made available to Financial Institutions You however wish to make the product available to the financial institution Cavillieri and Barrett Inc When you include Financial Institutions in your disallowed list all customers belonging to the category will be displayed in the Customer Access column Move to Cavillieri and Barrett on the list and specify the Restriction Type as Allowed Note Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed pro cedure on how to restrict customer categories from using a customer portfolio product Specifying MIS details for a Portfolio Product You can define the Management Information Details MIS details for the portfolio product that you are creating through the MIS Details screen amp MIS Details Product Code MIS Group Pool Code Default Frorn MIS Group MIS Classes Cost Code 10f1 Ll misclass MIS Code Through the MIS product details screen you can link the product to transaction MIS codes The transaction codes linked to the portfolio product are defaulted to all the portfolios involving the product em ORACLE For more details on MIS Details screen refer section titled Invoking the MIS details screen for a product in the MIS user Manual 6 3 Maintaining Margin Products You can maintain Margin Products in Oracle FLEXCUBE The information about a margin product is captured
71. _ This is the day on which the settlement of liguidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _TIME_ This is the exact time at which the deal transaction took place in the exchange _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the broker account involved in the transaction _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT_ This is the Underlying asset spot price multiplied by the underlying pric ing multiple for the instrument 11 10 ORACLE 11 3 Message Types 11 3 1 Transactions Holdings Statements for a Portfolio Advice tag Description _ FROMDT_ This is the date from which the transaction holdings statement for the portfolio is being provided _TODT_ This is the to date from which the transaction holdings statement for the portfolio is being provided _OPENBAL_ This indicates the opening balance in the portfolio _CLOSBAL_ This indicates the closing balance in the portfolio _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for c
72. able BR_SETLM_BRID REALISED_GAI Debit Call amp Put Options F GE N Futures PF_SETLM BRID REALISED GAI Credit Call amp Put Options F GE N Futures PF_SETLM BRID REALISED LO Debit Call amp Put Options F GE SS Futures BR SETLM BRID REALISED LO Credit Call amp Put Options F GE SS Futures 10 6 3 ECLG Closure of Long Position g Dr Cr Accounting Role Amount Tag indicator Applicable BR SETLM BRID CLOSE PRICE PREMI Debit Call Options O amp F GE UM Put Options O amp F Futures PF_SETLM BRID CLOSE PRICE PREMI Credit Call Options O amp F GE UM Put Options O amp F Futures PF_SETLM_ BRID BOOK _ VALUE Debit Call Options O amp F GE Put Options O amp F Futures BR_SETLM_BRID BOOK VALUE Credit Call Options O amp F GE Put Options O amp F Futures EOSH Opening of Short Position R Dr Cr i Accounting Role Amount Tag Indicator Applicable BR_SETLM_BRID DEAL PREMIUM A Debit Call Option O Put GE MT Option O EOLG Opening of Long Position 10 20 ORACLE PF_SETLM_BRID GE DEAL_PREMIUM_A MT Credit Call Option O Put Option O 10 21 ORACLE 10 6 5 ERVS Revaluation of Short Position A Dr Cr i Accounting Role Amount Tag indicat
73. advices that need to be generated for deals associated with the product The details of the advices applicable for an event are displayed in the Advices screen The party ID to whom a specific advice should be sent is picked up automatically based on the Party Advice mapping done for the counterparty Viewing Selecting the Custom Fields You can view the UDFs only if you have maintained the same for the product involved in the deal To view the UDFs defined for the product click Fields button The list of fields and default values specified for the product to which the deal is associated is displayed aa ORACLE 7 2 6 User Defined Fields Contract Reference Field Properties ll Field Name Field Value You can add to the list of fields defaulted from the product but you will not be allowed to remove a field from the defaulted list You can change the values defaulted from the product to suit the deal you are processing For more details on defining custom fields in Oracle FLEXCUBE refer the User Defined Fields User Manual Viewing Specifying MIS Details You can choose to perform MIS Refinancing on a daily basis for all bill contracts only if this option has been enabled in the Bank wide Preferences screen If the MIS refinancing has been set to a daily freguency you have to indicate the refinance rate pick up specification through the transaction MIS sub screen while processing the contract
74. aintaining Accounting Entries and Advices refer Product Definition User Manual under Modularity Restricting Branches and Currencies The deal product that you create is by default available for use in all the various branches of your bank You can choose to restrict the branches of your bank which can offer it In addition to restricting the branches that can offer the deal product you have the option of identifying currencies in which an allowed branch can offer the product Through the Product Branch and Currency screen you can restrict the use of the deal product to specific branches and currencies of your bank When the pricing currency of instruments involving the deal product happens to be a restricted currency you will not be allowed to deal in the respective instruments Note Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed pro cedure on how to restrict specific branches and currencies for a deal product Specifying Portfolio Restrictions You can establish certain controls over the portfolios that your branches can deal in You can achieve these controls by specifying restrictions While defining a deal product you can choose to specify portfolio restrictions for the product either by e Using a portfolio restriction class or ee ORACLE 7 2 6 7 2 7 7 2 8 e Defining these restrictions specifically for the product The respective branch of your ba
75. al Closing of Long Short position e Reversal Exchange of Physicals Take Make delivery e Reversal Opening of Long Short positions oe ORACLE 6 2 4 6 2 5 e Reversal Reversal of Long position e Reversal Reval of Short positions e Reversal Expiry of Long Short positions e Reversal Exercise of Options You have to identify the life cycle events which need to be associated with the portfolio product you are setting up When each of these events is triggered in Oracle FLEXCUBE appropriate accounting entries need to be posted For instance while Opening a Long Position you will e Debit the Contingent Asset e Credit the Contingent Asset Offset Therefore you need to associate every event with appropriate accounting entries You can define the accounting entries that have to be passed for a set of events as an Event Accounting Entries and Advices Class You can associate event wise accounting entries through The Event Accounting Entry and Advice definition of the Product Definition screen To do this click Events button from the Portfolio Product screen Note Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed pro cedure on how to associate accounting entries with events For further details on maintaining Accounting Entries and Advices refer Product Definition User Manual under Modularity Restricting Branches The portfolio pro
76. an define any number of amount tags as per your requirement Accounting Roles The following list contains details of the accounting Roles that are applicable to deals involving portfolio products Accounting Role Description Role Type BR_SETLM_BRIDG Broker Settlement Bridge Asset E PF_SETLM_BRIDG Customer Settlement Bridge Asset E CONT_ASSET Contingent Asset Contingent Asset CONT_ASSET_OFF Contingent Asset Offset Contingent Asset 10 3 ORACLE CONT_LIAB Contingent Liability Contingent Liabil ity CONT_LIAB_OFF Contingent Liability Offset Contingent Liabil ity CONTROL Control Asset Asset EFP_GAIN Gain due to Exchange of Futures Income EXERCISE_ GAIN Gain due to Exercise of option Income ASSIGN_ GAIN Gain due to Assignment of option Income EXPIRY_ GAIN Gain due to Expiry of option Income EFP_ LOSS Loss due to Exchange of Futures Expense EXERCISE LOSS Loss due to Exercise of option Expense ASSIGN LOSS Loss due to Assignment of option Expense EXPIRY_LOSS Loss due to Expiry of option Expense TRADING_ GAIN Closure gain Income TRADING LOSS Closure loss Expense PREMIUM_ PAID Premium paid Asset PREMIUM_RECVD Premium received Liability REALIZED_GAINS Realized gains Income REALIZED_LOSS Realized loss Expense REVAL_ASSET Revaluation asset Asset REVAL_LIAB Revaluation liability Liability UNREAL_EXPENSE Unr
77. and contract Associating a Broker and Product with a Rule While capturing details of a contract brokerage can also be specified if the broker code chosen is associated with the deal product Brokerage association enables you to link a product a rule a currency or a currency pair in the case of foreign exchange products and a broker The attributes of the brokerage rule that you apply will be associated with contracts defined in this combination This can be done through the Brokerage Association screen Fel ORACLE For further information on the Brokerage Association screen refer to the chapter Processing Brokerage in the Brokerage User Manual 7 3 8 Liquidation Deal Financial Amendment During amendment if any field other than the Time Stamp and Remarks fields of a module is modified system will treat the amendment as a financial amendment System will reverse the previous deal and book a new deal with modified details The external reference number of the original deal is retained and the two deals are linked by the external reference number Oracle FLEXCUBE provides the facility to amend the financial details of a liquidation deal through external upload If an amendment is uploaded without settlement details but there is no change in the product ID instrument ID and the portfolio system will default the settlement details of the original deal Financial amendments of liquidation deals are uploaded by the ser
78. asket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _TIME_ This is the exact time at which the deal transaction took place in the exchange _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the broker account involved in the transaction _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT_ This is the Underlying spot price multiplied by the underlying asset pricing multiple for the instrument 11 17 ORACLE 11 3 4 Exercise Confirm Notice Advice tag Description _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the _BRNADD2_ a Each line of the address can contain a maximum of 35 charac BRNADDBL There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C_ _CONTRST These are the standard details of the contract D_ _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under whi
79. assification of instruments It provides a general framework and serves to classify or categorize instruments The first attribute you define for a product is its Type In other words you indicate the type of instruments that the product involves In Oracle FLEXCUBE you can set up products for the following instrument types e Futures e Options After making this basic classification you can create the product to suit your requirement Within the broad categories of the type of instruments listed above you can further define attributes that are characteristic to the type All the instruments associated with the product inherit the attributes that you define for the product You will not be allowed to change any of these attributes at the time of capturing a specific contract Who can create a product A product can be created only in the Head Office of your bank Any user in the head office with the requisite rights can create a product Creating an Instrument Product You can create and maintain an instrument product through the Exchange Derivatives Instrument Product Definition screen You can invoke this screen by typing ENDINPRO in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button 4i ORACLE Instrument Product Restriction Product Code Exchange Rate Variance Product Description Override Limit Product Type Stop Limit Description Rate Code Sl
80. ccccceccccceceeeeeeeeeennennecaeeeseeeeeeeteeseenisaseaes 5 19 5 3 11 In Oracle FLEIXCUBE uuiieiuei ces cisetaleneetenedaceiesstbeacedeuebbaateevsnedae steven 5 20 5 4 Margin Maintenance at Instrument Level eee uuuuunnesr eeeeeeenteeeeeeeeteeeeeeeeaees 5 22 5 5 Uploading Margin Details and Instrument Price Details eueeeeuuueieneeen 5 23 6 Creating Portfolio Products and Portfolios 6 1 6 1 Introduction cesses ee nea ee GY ee eta ie ee tenet eae denen une aes 6 1 6 2 Creating a Portfolio Product cc ececeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeseeeaaeeeeseeaaeees 6 1 6 2 1 Specifying other Details for the Portfolio PrOQUCE 0 ccccsicceeeeetteeeeeeenee 6 3 6 2 2 Mapping Accounting Roles to Accounting Heads uuuuuuiiiiiiieiiun 6 8 6 2 3 Specifying Event wise Accounting Entries cccccccccscceeeetsteeeeetnnteeeeeeeae 6 8 6 2 4 Restricting Branches meorenrireso nran r A Ea 6 9 6 2 5 Restricting Customer Categori S sssseeesrrrerersrnrrreeerrnnrrrnnnrreerrrnnerrennnne 6 9 6 2 6 Specifying MIS details for a Portfolio Product seceeeeceeeeteeeeeetnnteeeeees 6 10 6 3 Maintaining Margin Products ecceceeceeeeeeeneeeeeeecneeeeeeeaeeeeeeeenaeeeeeesiaeeeeeeenaaes 6 11 6 3 1 Specifying your Preferences for the Deal Producf iiieiieeeenn 6 12 6 4 Margin settlementa eii iun Y uu Gu GG Gn GM dna esate FY
81. ch charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _BSKREF_ This is the reference number of the basket to which the deal belongs _OPTFUT_ This indicates whether the contract is an Option or a Future _COSPTPRI This is the spot price of the underlying asset involved in the instrument _ SVALDT_ This is the date on which the liguidation gains losses will be settled _MVALDT_ This is the day on which the settlement of liguidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liquidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _TIME_ This is the exact time at which the deal transaction took place in the exchange _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the broker account involved in the transaction _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT_ This is the Underlying asset spot price multiplied by the underlying pricing multiple for the instrument 11 19 ORACLE 11 3 5 EFP Confirm Notice Advice tag Description _BRANCH_ This is the branch code of the b
82. ch the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the underlying asset _COMPRSZ This indicates the manner in which the underlying asset has been rp prized in the market _ COMPRUT This is the Prizing Unit at which the underlying asset has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME This is the name of the Broker _PFOLIOID_ This is the reference number which uniquely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio 11 18 ORACLE _CSNAME_ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in whi
83. cle processing for all events in the basket will be carried out based on the basket reference number Other Details These details of the instrument involved in the deal are displayed in the respective fields These details include e Strike Price if any of the instrument series e Expiry date of the instrument series e Underlying Asset associated with the instrument involved in the deal e Contract Standard or any additional details of the instrument involved in the deal Levying Booking Charges You can specify the charges that should be levied on every deal that is booked in the ETD module The charge components linked to the deal product are defaulted to the deal You can choose to recover the charges either from the Broker or the Portfolio Customer When a charge component that is applied to a deal is liquidated the relevant accounting entries are passed based on the accounting entry set up for the deal product Viewing the Events Accounting Entries As stated earlier in the ETD module you can collect charges for booking the deal in Oracle FLEXCUBE You have already associated the required charge components at the time of defining the product Additionally you have also identified the GL SLs that ought to be impacted when accounting entries are posted for these charges You can view the accounting entries for the deal booking EBOK event through the Events Accounting Entry and Overrides screen All the accounting entr
84. codes The transaction codes linked to the product are defaulted to the instrument For more details on MIS Details screen refer section titled Invoking the MIS details screen for a produc in the MIS user Manual ve ORACLE 5 1 5 2 5 Defining ET Instruments Introduction Each instrument that you enter in Oracle FLEXCUBE should necessarily be associated with an instrument product To recall you have already defined instrument products to group together or categorize instruments that share broad similarities Instrument products provide a general framework and serve to classify or categorize instruments Under each Product that you have defined you can enter specific instruments By default an instrument inherits all the attributes of the instrument product which is associated with it These include e Instrument Type e Asset Type linked to the product e Whether physical settlement of the underlying asset is possible e Whether settlement can be made prior to the Expiry Date This means that you will not have to define the general attributes each time you enter the instrument details In addition to the product preferences you will have to capture the other details of the instrument They include e Instrument details e Underlying Asset details e Pricing details e Price movement details e Max Open and Long positions e Days of settlement e Initial margin per contract Each of the above are explaine
85. counting Role aa Dr Cr Indicator PE 10 24 ORACLE 10 6 13 10 6 14 BR_SETLM BRIDG EFP_GAIN Debit Future E PF_SETLM_BRIDG EFP_GAIN Credit Future E PF_SETLM_BRIDG EFP LOSS Debit Future E BR SETLM BRIDG EFP LOSS Credit Future E ERVL Revaluation of Long Position Dr Cr Accounting Role Amount Tag Indicator Applicable BR_SETLM_BRID REALIZED_GAI Debit Futures Call amp Put Options GE N F PF_SETLM_BRID REALIZED_GAI Credit GE N PF_SETLM_BRID REALIZED_LO Debit Futures Call amp Put Options GE SS F BR_SETLM_BRID REALIZED_LO Credit GE SS ERVS Revaluation of Short Position Dr Cr f Accounting Role Amount Tag indicator Applicable BR_SETLM_BRID REALIZED GAI Debit Futures Call amp Put Options GE N F PF_SETLM_BRID REALIZED_GAI Credit GE N PF_SETLM_BRID REALIZED_LO Debit Futures Call amp Put Options GE SS F BR SETLM BRID REALIZED LO Credit GE SS 10 25 ORACLE 11 Annexure B Advice tags and their descriptions 11 1 Introduction All the Advice Tags available in the ETD module have been classified under relevant sub heads and listed along with their descriptions MM ORACLE 11 2 Branch Details 11 2 1 Advice tag Description _BRNNAM This is the name of the Branch where the advice was generated E_ _BRNADD Thi
86. culated value of DEM 5 and DEM10 or eguivalent in euro Exercise Prices Exercise Price Intervals EUR 1 to EUR 20 EUR 1 EUR 22 to EUR 50 EUR 2 EUR 52 50 to EUR 100 EUR 2 50 only the two next expiration months EUR 55 to EUR 200 EUR 5 EUR 210 and beyond EUR 10 For each expiration month there are at least three call and three put series providing an in the money at the money and out of the money exercise price For options contracts with lifetimes of 18 or 24 months XXL Options the exercise price intervals are doubled Underlying Instruments Eurex eguity options on German shares are traded in the following groups according to their expiration months Group A Group B Group C 1 2 3 6 and 9 months 1 2 3 6 9 and 12 months 1 2 3 6 9 12 18 and 24 months Shares with a calculated nominal value of DEM 5 or eguivalent in euro Adidas ADS Bay Hypo und Vereins Allianz Holding ALV bank HVM Degussa Huls DHA Dresdner Bank DRB BASF BAS Henkel Vz HEN3 Lufthansa LHA Bayer BAY Metro MEO Mannesmann MMN Commerzbank CBK Munchener Ruck versicherung RWE RWE Daimler Chrysler MUV2 DCX SAP Vz SAP3 Thyssen Krupp TKA Deutsche Bank DBK Schering SCH Deutsche Telekom DTE Hoechst HOE Siemens SIE VEBA VEB VW VOW MVUZ Munchener Ruckversicherung
87. d in the subseguent sections Defining Instruments Invoke the Instrument Definition screen by typing ENDUINST in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button al ORACLE 5 2 1 Instrument Definition X Derivatives Product Instrument Details Reference Contract Size Call Put Commodity details Commodity Asset Nature Price Details Pricing Currency Pricing Size Max Open Position Long Customer Short customer Days For Settlement Money Physical Other Details Default Broker FE Asset Type E Option Future Instrument Id Unit Premium Pricing Size Pricing Multiple Asset Currency Pricing Unit Sei Self Initial Margin Per Open Contract Long Short Margin Currency az Description Value Pricing Unit Price Code L Precision Multiple Price Movement Minimum Movement Maximum Movement Issuer Physical Settlement Prior Settlement Clearing House az Contract Standard Input By Date Time All ET instruments must be designated at inception either as Future or as Option instruments At the time of product definition you would have indicated whether the product being defined is meant for future instruments or options When you associate an instrument with a product the specifications you made for the instrument pr
88. ded The system will pick this up during conversion to scheme currency Fund ID Select the fund id from the option list provided Settlement Branch and Account The settlement branch and account will be defaulted for the scheme You will be allowed to change the same Auto settlement during margin call You can indicate if the system needs to collect the required margin when the margin balance is lesser than the maintenance margin If you check this box the system will collect the required margin from the settlement account Incase the system was not able to collect the margin a margin call is generated Calc Date Enter the date on which the initial margin and maintenance margin are entered in the system Initial Enter the initial margin here Maintenance Enter the maintenance margin here Balance This displays the current balance of the margin scheme You can query the margin balances of a scheme through the Scheme Balances Query screen Defining Portfolios After you have created ET Portfolio Products you can proceed to set up an ET portfolio To recall in Oracle FLEXCUBE you can define ET portfolios for your e Bank e Bank s Customers In addition you can maintain any number of portfolios for each branch or customer The portfolios that you set up should necessarily be associated with a portfolio product All portfolios associated with a portfolio product will inherit the attributes defined for it You can c
89. dity Option The commodity involved in the instrument is Wheat and the Option Premium is guoted in the market in terms of kilograms Accordingly you have priced the instrument in the following manner Instrument Pricing Size 1 Instrument Pricing Size Kilo Unit gram The system calculates and displays the Deal Value of the contract in the adjacent field based on your entry in this field The Deal Value is calculated in the following manner Example Futures Price Option Premium X Number of Contracts X Instrument Pricing Multiple You are capturing the details of a Short type of deal with the following details Deal Reference 000DP01003280008 User Reference WheatF1 Product DPO1 Long Short deals for Portfolio Customers Instrument ID CBOWHEAT CALE FP Description Chicago Board of Trade European Style call option Series 4 00 NOV 2000 Number of Con 12 tracts Deal Type Short Option Premium 0 25 USD Per KG The Instrument Details which will be taken into account for processing are _ The Contract Size 10 Kilograms FM ORACLE _ The Asset Currency USD _ The Pricing Currency USD _ The Pricing Multiple 10 Since the Number of Contracts involved is 12 the guantity of the actual commodity involved in the trade will be calculated as follows 12 Number of Contracts X10 Contract Size 120 KGs The Option Premium is 0 25 USD Per Kilog
90. duct that you create is by default available for use in all the various branches of your bank Through the Product Branch and Currency screen you can restrict the use of a product to specific branches only To invoke this screen click Branches button from the Portfolio Product screen If you restrict a specific branch from using the portfolio product the branch will not be allowed to use the particular portfolio product for defining portfolios Note Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed pro cedure on how to restrict specific branches for a portfolio product Restricting Customer Categories Customers can be grouped according to the common characteristics that they share For example you can group your customers into any of the following e Banks e Corporates e Financial Institutions excluding banks e Individuals e2 ORACLE 6 2 6 While defining Customer Portfolio products you can choose to restrict specific customer categories from using the customer portfolio product through the Customer Categories Restriction screen To invoke this screen click Customers button from the Portfolio Product screen Exempting specific customers belonging to a category You can exempt customers belonging to a particular category from the allowed or disallowed list that you maintain Example You have maintained Financial Institutions as a customer category
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92. e captured using the ETD module of Oracle FLEXCUBE Given below are some samples Example I One Month Euribor Futures Contract Standard The European Interbank Offered Rate EURIBOR for one month euro time deposits Contract Value EUR 3 000 000 Settlement Cash Settlement payable on the first exchange trading settlement day immediately following the Last Trading Date Price Determination In percent with three decimal places expressed as 100 minus the going rate of interest Minimum Price Change 0 005 percent eguivalent to a value of EUR 12 50 Maturity Months The six nearest calendar months The longest term available is therefore six months Last Trading Day Final Settlement Day Two exchange trading days prior to the third working Wednesday of the respective settlement month provided that on that day the FBE ACI has determined the reference interest rate EURIBOR pertaining to one month euro time deposits otherwise the preceding day Trading in the maturing contract ceases at 11 00 am CET Daily Settlement Price The volume weighted average price of the last five trades of the day provided they are not older than 15 minutes or if more than five trades have occurred during the final minute trading then the volume weighted average price of all trades that occurred during that final minute If such a price cannot be determined or if the price so determined does not reasonably reflect prevailing market conditio
93. e either partially or wholly at any given point in time While defining a customer portfolio you can link a margin scheme for every currency that the customer holds positions in To link a margin scheme with a portfolio click Margin button in the Product Definition screen Margin Details Portfolio Id Portfolio Description Portfolio Margin Scheme Details a Margin Scheme Currency Linking MIS Transaction Codes with a Portfolio As part of specifying the portfolio product details you would have identified the MIS transaction codes under which portfolios within the product are to report to These transaction codes will be defaulted to portfolio You can choose to change the defaults specifically for a portfolio Click MIS button in the Portfolio Definition screen The Transaction MIS Maintenance screen will be displayed Geg ORACLE 6 7 5 Contract Reference MIS Group FM 7 Link To Group z Input Floating Rate Related Reference Related Reference laz Rate Code az Related Account laz Fal Related Account laz Spread a Spread 3 ee kl Cost Code Jazi E Rate At EM m_ Rate Type X Interest Method X z Pool Code Pool Code az LH Contract Level az LH Reference Rate zZ Reference Rate LS z zz z Transaction MIS Code Composite MIS Code Funds MIS Code MIS Group
94. e executed on holidays or not Initiating the Instrument Handoffs Use the Intra Day Batch Start screen to initiate the instrument details and instrument price details handoffs You can invoke this screen by typing BABIDBAT in the field at the top right comer of the Application tool bar and clicking on the adjoining arrow button Login Page Function To start the handoff specify the respective Function Id in the Intra Day Batch Start screen and click Ok button Sample Accounting Entries for the various events In this section we have given samples of accounting entries that will be posted during the batch processing programs for Futures as well as Options Future Deals The Instrument involved in all the future deals is CME 90 day US T bill Future The details of this instrument are given below _ ORACLE 9 6 1 Instrument Details CME 90 day US T bill Future Fields in the Screen Values Instrument Product BNDF Instrument Type Future Underlying Asset Type Bond Nature of Underlying Asset Real Underlying Asset 90 Day US T Bill Underlying Asset Currency USD Instrument ID CME 90 day US T bill Future Pricing Currency USD Contract Size 100 Contract Size Unit T Bill Pricing Precision 4 Decimals Instrument Pricing Size 1 Instrument Pricing Size Unit Unit Instrument Pricing Size Multi 100 ple Underlying Pricing Size 1 Underlying
95. e system has to pick up the relevant accounting entries based on the hierarchical preference it will search for the accounting class associated with the 5 PF1 DAX_OPTION_FSE Portfolio ID Instrument ID combination 6 PF1 INDO Portfolio ID Instrument Product combination 7 PF1 Portfolio ID We have associated the accounting class ACR03 with PF1 The accounting entries that are passed for this event will be as follows Accounting fade Account Role Description Head Dr Cr Indicator BOT_ASSET Option Strike CA003 Debit Price SOLD CCY_EO Option Strike CL003 Credit Price Note Therefore to open a long position for both Index and Currency options within the portfolio PF1 the accounting treatment remains the same However the Account Heads GLs that are impacted debited credited while posting the entries differ For the Currency Option in P F1 the account heads that are impacted are e CA002 Contingent Asset e CLO02 Contingent Asset Offset For the Index Option in PF1 the account heads that are impacted are e CA003 Contingent Asset e CL003 Contingent Asset Offset 6 7 ORACLE 6 2 2 6 2 3 Scenario lll Assume you have not maintained the first three hierarchical preferences When the search results prove unsuccessful the accounting entries will be posted directly to the default GLs maintained at the portfolio product level Since we have associated the accou
96. e variance between the default rate and the rate input varies by a percentage between the Rate Override Limit and the Rate Stop Limit you can save the deal by providing an override Stop Limit If the variance between the defaulted rate and the rate that is entered varies by a percentage greater than or equal to the Rate Stop Limit you cannot save the deal Rate Code While settling charges for cross currency settlements you can choose to debit the customer by applying the mid rate or by using the buy sell spread over the mid rate ma ORACLE Rate Type In addition to specifying the Rate Code you have to indicate the Rate Type which should be picked up for exchange rate conversions involving settlement of charges for cross currency deals You can maintain any one of the following as the Rate Type e Cash Rate e TT Rates e Bill Rates Note Information pertaining to specific attributes of a product has to be defined in the sub screens within the Product Definition Main screen 7 2 1 Specifying Preferences for the Deal Product Click Preferences button to specify preferences for the product The Deal Product Preferences screen is invoked Preference Product Code Product Description Rekey Fields Portfolio Id Key Instrument Id Key Series Id Key Broker Id Key Broker Account Key No of Contracts Key Price Key Boe oe a o o 7 2 1 1 Indicating Rekey Fields In Oracle FLEXCUBE all opera
97. ealized expense Expense UNREAL_INCOME Unrealized income Income BR_SETTLEMENT Broker Settlement BR_RECEIVABLE Broker Receivable BR_PAYABLE Broker Payable PF_SETTLEMENT Portfolio Settlement PF_PAYABLE Portfolio Payable PF_RECEIVABLE Portfolio Receivable 10 4 ORACLE 10 5 Event wise Accounting Entries for your Own portfolio In the subseguent sections we have defined suggested accounting entries for each of the events in the life cycle of deals involving your banks portfolio product Note Also note that some of the Amount Tag s linked to the Accounting Roles are user defined 10 5 1 EOLG Opening of Long Position Customer Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit PF_SETLM_BRIDG E DEAL_PREMIUM_AM T Call amp Put Options O Credi BR_SETLM_BRIDG DEAL _PREMIUM AM t E T Own Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit CONT_ASSET BOT _ASSET Futures Call Options O F Credi CONT ASSET_OF SOLD CCY_EO t F Debit CONT_LIAB_OFF BOT_CCY_EQ Put options O F Credi CONT_LIAB SOLD_ASSET t Debit PREMIUM_PAID DEAL_PREMIUM_AM T Call amp Put Options O 10 5 ORACLE 10 5 2 EVRL Revaluation of Long Position Dr Cr Accounting Role Amount Tag indicator Applicable BR_SETLM_BRID REALIZED_GAI
98. ection we had a look at the sample accounting entries that were triggered during EOD processing of future deals We will now have a look at the accounting entries that will get triggered during BOD and EOD processing for Option deals with Option and Future style premium European Option Deals with Option Style Premium The Instrument involved in all the European option deals is CME 90dayUSTbill 96 Option Call The details of this instrument are given below as ORACLE Instrument Details CME 90dayUSTbill 96 Option Call Fields in the Screen Values Instrument Product BNEO Instrument Type Option Underlying Asset Type Bonds Nature of Underlying Asset Real Underlying Asset 90 Day T Bill US Underlying Asset Currency USD Call Put Indicator Call Instrument ID CME90DTB CL E O0P Instrument Series 96 Nov 00 Instrument Description BondsOption90 Day T Bill USCME96 Nov 00 Instrument Start Date 28 Aug 2000 Instrument Expiry Date 24 Nov 2000 Pricing Currency USD Contract Size 100 Contract Size Unit T Bill Pricing Precision 4 Decimals Instrument Pricing Size 1 Instrument Pricing Size Unit Unit Instrument Pricing Size Multi 100 ple Underlying Pricing Size 1 Underlying Pricing Size Unit T bill Underlying Pricing Unit Multiple 100 Underlying Price Code CME Min Price Movement 0 01 Max Price Movement ina Day
99. eeeeeeeeeeeeeeeeeeeeeeeeseeenaeeeeeeeaaeeees 8 3 9 6 Maintaining Broker ACCOUNTS cccececeeeeeeeceeeeteeeeeeeeeeseeeeeeeeseeeaeeeeesenaaaeeeeeeeaaeees 8 4 9 7 Defining a Broker SCHOMG cccccccccceeeeseceeteeeeeneeeeeeeeeeeeeeneeeeeeeneneeeseeeeeneeees 8 6 Automatic Daily Processing cscceeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeseeneeenenees 9 1 10 1 cIntfoduction uiewn nud Oa ad ieeelta De cate neta DYAL TG Y he gushes 9 1 10 2 Running the ETD Batch Processes at EOD eeeccceeeeeeeneeeeeeeeceeeeeeentaeeeeeeenaaes 9 1 10 3 Automatic Events Executed during End of Day for Futures eeens 9 2 10 3 1 Settlement of Opening dealS uueiiei iiid enne eee eetnneeeeeeetneeeeeeetnaeeeeenenaa 9 2 10 3 2 Realized Revaluation of Open Positions 2 12 ccccseesneceeeeeteeteeeeteteteneenees 9 3 10 3 3 Settlement of all Closing Deals for the D8y ccccccciceecsetteeeceeenteeeeeeeenes 9 3 10 3 4 Liquidation of all Open positions on the Expiry Dat6 amp eeee 9 4 10 4 Automatic Events Executed during End of Day for Options ce eeeeeeeeeeees 9 4 10 4 1 Settlement of Opening Deals for Options 2 ccsceeecceseeeeeeeeeeteteeeneenees 9 4 10 4 2 Settlement of Closing Deals oo ec ececeecteeteeeeeetenneee eee etaeeeeeetneeeeeeetiaeeeenenaa 9 5 10 4 3 Notional Revaluation of Open Positions for Options with Option Style Premium 9 5 10 4 4 Automatic Exercise of options Assignment o
100. eeeeeeeteesecneeseecaeeeeeeeeeeneets 11 9 42 3 iMessage TYPOS s 22 49 ica seeds tite MM Lu Ganed nuu DA duet seats ages o 11 11 12 3 1 Transactions Holdings Statements for a Portfolio ueeuuieenn 11 11 12 3 2 Long Short Deal Confirmation adViCe eeeiiiiiiiiii ii ieeenr nin nenneeu 11 14 12 3 3 Assignment Notice onori a a a R 11 16 12 3 4 Exercise Confirm NotiC6 uuuu LLY L LL L LL LL LL LLY LL LY YF FL Y FFF Fi Fiuuuu 11 18 12 3 5 EFP Contin NOU GCG mea Ud Cd Good dd DDR RD N COL R 11 20 12 3 6 Expiry Confirm NOUO arrien inn aetra a AAA TO 11 21 13 Function ID Glossary sssssssssssssssnnnunnnnnnnnnnnnnnnnnnnnnnnnnnnunnnnnnnnnnnnnnnnnnnnna 12 1 1 1 Introduction 1 Preface This manual is designed to help acguaint you with the Exchange Traded Derivatives module of Oracle FLEXCUBE The manual provides an overview to the module and takes you through the various steps involved in maintaining instruments portfolios and deals It also explains how to track life cycle events of holdings in your own or in your customer s portfolio 1 2 Audience This manual is intended for the following User User Roles Role Function Back office data entry Clerks Input functions for deals queries Back office Managers Officers Authorization functions queries Product Managers Product definition and authorization End of Day Operators Processing during End of Da
101. eference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _BSKREF_ This is the reference number of the basket to which the deal belongs _OPTFUT_ This indicates whether the contract is an Option or a Future _COSPTPRI This is the spot price of the underlying asset involved in the instrument _ SVALDT_ This is the date on which the liguidation gains losses will be settled _MVALDT_ This is the day on which the settlement of liguidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liguidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _TIME_ This is the exact time at which the deal transaction took place in the exchange _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the broker account involved in the transaction _ ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _ESETAMT_ This is the Underlying asset spot price multiplied by the underlying pric ing multiple for the instrument 11 23 ORACLE ORACLE April 2012 Version 12 0 Oracle Corporation World Headquarters 500 Oracle Parkway Redwood Shores CA 94065 U S A Worldwide Inquiries Phone 1 650 506 7000 Fax 1 650 506 7200 www oracle com financial_services Copyright 2
102. enneeeeeetneeeetetiaeeeenee 7 5 7 2 6 Specifying Instrument Restrictions ccceccec tee eee eeeeeeeteteeeaaeeeeteenaeees 7 6 7 2 7 Associating User Defined FieldS ssseesesrrrenurernnnneserrnnrrrnnnrneerrrnnnrennnnne 7 6 7 2 8 Specifying MIS details for a Deal Product 1cccecceteceeeeeeeteneeeeetetntteeeete 7 6 8 Processing an ET Deal ccsssseseeeeeeeeeeeeeeeeeeeeeeeeeeeeeseeeeeeeesssseeeeneeeeees 7 8 ST ntroduCtiOl ussieeiisee iod uedd Tu dad dy adda Ain Tdd dn hie dT da FL dL 7 8 8 2 Processing Long Short DealS e uuueiuuniunnnL YY A LLALL LLYR ALL ELLY RF ELLY SEAE 7 9 8 2 1 Levwying Booking Charg es eueiiiieiui die eLnLu LL EEEE EEE Fun 7 13 8 2 2 Viewing the Events Accounting Entri6S eiieiuuiieeies iei eeeein nun 7 13 8 2 3 Specifying the Settlement Instructions eeueeieiiiiueeenee Y Yenen nno 7 14 8 2 4 Specifying Advices for the Deal eeeeuuiueiiei ui ueeHne YY YH HH FLY YeF Hn Hu 7 14 8 2 5 Viewing Selecting the Custom Fields iuuiueiie iii ieeeen nn Rene nFuH 7 14 8 2 6 Viewing Specifying MIS DetailS euueeeuuuuuueiie uid de nenn Ynn RHHH EE Y Ren EF oH 7 15 8 2 7 Associating a Broker and Product with a Rule a se 7 16 8 2 8 Long Short Deal Financial Amendment uieeeeeiieuieiiee un Yenn enu uned 7 16 10 8 3 Processing Liquidation Deals uuuu inner Y Y ALLL LEL ALL LLY LAL HL E
103. ered The fields for which the values have to be given are called the re key fields If no re key fields have been defined the details of the deal involving the product will be displayed immediately when the authorizer calls the deal for authorization The re key option also serves as a means of ensuring the accuracy of inputs Margin Settlement Settlement transactions may be in the form of initial margin collected or paid to a customer or broker or the liquidation of a net receivable or payable position of a scheme You can capture settlement details through the Margin Settlement screen You can invoke this screen by typing MGDSETLM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button os ORACLE 6 5 Margin Settlement k Scheme Balance Settlement Amount Scheme Id O O laz Settlement Account Scheme Event Sequence Settlement Branch Number Value Date Scheme Event D Transaction Date Customer Number L_ Settlement Currency Scheme Description Customer Name Specify the following details in this screen Scheme ID Select the ID of the scheme for which margin settlement will be processed When you select a Scheme ID the description of the scheme the currency the counterparty and transaction date will be defaulted You will not be allowed to change these details You will however be allowed to change the Settlement Branch and Accou
104. f ExerciS6 9 5 10 4 5 Automatic Expiry of Out At the Money Positions eueuiiiiiuieien 9 6 10 4 6 Reversal of Notional Revaluation for Options with Option Style of Premium 9 6 10 4 7 Producing Instrument Detail and Instrument Price Detail Handoffs 9 6 10 5 Sample Accounting Entries for the various events ee ceceeeeeeteeeeeeeetteeeeeeenaaes 9 9 10 6 Future Deals ett ii tees thooiedincad dydw nadd E ynd Fynd niU Tad ddd LL dynn LOL DU 9 9 10 6 1 Instrument Details CME 90 day US T bill Futufe euiiiieuun 9 10 OO yie ien YN el ian eve ee hens de eae tea eee ie 9 11 10 6 3 Deal Reference Number D20101 cccccccccceseeeeteenteeeeeteneeeeeteeeaetees 9 11 10 6 4 Deal Il Reference Number D20302 cccccccccseceteteeseeeeeteeeseeteeeneaeeees 9 12 10 6 5 Deal Ill Reference Number D20401 0 0 ccccccccssseeeeeestteeeeteenneeeeeeeeaeeees 9 14 10 7 Option Dealss un ee ees ee hada od cette eet aca cea alae ee Ud eden eee ae 9 15 10 7 1 European Option Deals with Option Style Premium eee 9 15 10 7 2 Deall Reference Number D10108 ccccccccccesseeeeteeeteeteeteeeeeeeteeeaeeees 9 17 10 7 3 Deal ll Reference Number D10201 eeeeeiuuiiieii nr Fen LY YFnn Hn LLD 9 18 10 7 4 Deal lIl Reference Number D10402 eeeeeiieiieiiii nr Fen LLY Fnnn nL LLun 9 19 10 7 5 American Option Deals with Future Style Premium
105. f running the End of Day processes for Exchange Traded Derivatives the system does an automatic Deal Settlement whereby all deals that were booked during the day will be processed seguentially This includes e For Futures Deals that result in Open Positions in the Basket Deals that close an existing Open Position Deals that Exchange Open Positions for Physicals Automatic Exchange for Physicals on the Futures Expiry Date e For Options Exercise deals Assignment deals _ Automatic Expiry of Out of Money options on the Option Expiry Date Automatic Exercise Assignment of In the Money options on the Option Expiry Date All the deals within a basket are processed in the order of the Value Date Trade Time Stamp of the Deal Running the ETD Batch Processes at EOD The ETD batch process is a POST EOTI batch function The batch can be run anytime after marking EOTI and before marking EOFI As part of End of Day EOD process for ETD the system does an automatic deal settlement in the order in which the deals have been booked during the day All deals within a basket are processed in the order of Value Date Time Stamp of deal Notional Revaluation done during previous EOD will be reversed before processing for the day begins If there is a back dated deal all the events in the basket after the back valued timestamp will be reversed during EOD and all deals booked after that back valued timestamp
106. folio Deal Number D20101 Deal Type LS Deal Product DPO3 Instrument ID CME 90 day US T bill Future ot ORACLE Instrument Nov 00 Series Buy Sell B Booking Date 21 Nov 2000 Value Date 21 Nov 2000 Trade Rate 97 No of Contracts 200 The Basket BSK001 will be updated with a balance of 200 Long contracts The event that needs to be processed in the Basket because of this Deal is EOLG The accounting entries posted for this event are as follows Accounting Role Drier Currane Amgu Description Indicator y nt Contingent Asset Debit USD 194000 Bought Asset at Asset Cur 0 rency Contingent Asset Credit USD 194000 Bought Asset at Pricing offset 0 Currency Realized Revaluation entries at EOD Let us assume that the EOD price of the Instrument is 97 25 USD At the End of Day the event ERVL will be triggered and the following entries will be passed Accounting Dr Cr Currenc Amou Da amp crintion Role Indicator y nt p Contingent Debit USD 5000 Increase in Contingent asset on Asset Revaluation in Pricing Currency Contingent Credit USD 5000 Asset offset Customer Debit USD 5000 Revaluation Gain realized in pric ing currency Income Credit USD 5000 9 6 3 Deal Il Reference Number D20302 Nature of Contract Partial Liquidation of Long Position for your Own Portfolio Deal Numbe
107. for all portfolios Example Let us assume that your bank has maintained a portfolio product titled BKPF Since a product can have multiple portfolios you have maintained several portfolios within BKPF Each of these portfolios will cater to specific instrument types This diagram shows the portfolio product portfolio relationship Product BKPE Product BKPE as The portfolio PF1 is meant for deals involving Currency and Index Options As per the preferential hierarchy method the role to head mappings specified for this product is as follows Ga ORACLE Preference I Portfolio ID Instrument ID Portfolio instrument iD Accounting ID Class PF1 DEM_OPTION_LIFF ACRO1 E Preference ll Portfolio ID Instrument Product Portfolio Instrument Accounting ID Product Class PF1 CCYO ACRO2 Preference lll Portfolio ID Portfolio Accounting ID Class PF1 ACRO3 Preference IV Portfolio Product Portfolio Accounting Product Class BKPF ACR04 The Role to Head mapping maintained within each class is as follows ORACLE ACRO1 Accounting Account Role Head BOT _ASSET CA001 SOLD CCY_ EO CL001 ACR02 Accounting Account Role Head BOT _ASSET CA002 SOLD CCY_L EO CL002 ACR03 Accounting Account Role Head BOT _ASSET CA003 SOLD CCY_L EO CL003
108. ge components applicable to a product when your bank has to e Collect money from the Customer Broker e Pay money to the Customer Broker For deals under a Long Short type of deal products the deal amount is calculated as follows Futures Future Price X Number of Contracts Deals Options Option Premium X Number of Contracts Deals For option and future deals under a Liquidation type of deal product the charge amount is calculated as Futures Underlying Spot Price X Number of Contracts Deals Option Deals Underlying Spot Price X Number of Contracts You should necessarily use a charge class to indicate the charge components applicable to the product A charge class is a specific type of component that you can build with certain attributes You can build a charge class for instance with the attributes of a specific type of charge component such as Charges for booking an LS deal The charges that you link to the deal product will be made applicable to all the deals involving the product You can link charge components with the deal product through the Deal Charge Definition screen Specifying the Accounting Entries and Advices The different stages in the life cycle of a deal are referred to as Events In the ETD module the following events are possible for a deal Event Description Code p EBOK Booking a deal EAMD Amendment of trade time stamp
109. guirement in Oracle FLEXCUBE you have to specify the following details in the Instrument Definition screen Product Code FDAX Option Future Futur e Asset Type Index Physical Settle No ment Settle Before Yes Expiry ote ORACLE Instrument Details Reference 000FDAX00123 Instrument DAX Future Nature of Asset Real Asset Currency EUR Contract Size 1 Contract Size Unit Point Contract Value EUR 25 per DAX 6 index point Pricing Currency EUR Pricing Size 1 Pricing Size Unit Point Pricing Unit Multi 25 ple Precision 1 Contract Standard The Deutscher Aktienindex DAX Underlying Asset Details Underlying Asset The Deutscher Aktienindex DAX Pricing Size 1 Pricing Size Unit Point Pricing Unit Multi 25 ple Price Code DAX 5 30 Quote 5 3 10 Example V Dax Options Contract Standard The Deutscher Aktienindex DAX Contract Value EUR 5 per DAX index point Settlement Cash settlement payable on the first exchange trading day following the Last Trading Day Price Determination In points with one decimal place Minimum Price Change 0 1 of a point equivalent to a value of EUR 0 50 ORACLE 5 3 11 Last Trading Day The third Friday of each maturity month if this is an exchange trading day otherwise the exchange trading day immediately preceding that
110. h the front end Processing Liguidation Deals Through the Liguidation Deal LO Input you can e Manually exercise European Options for Long Positions on the Expiry Date e Manually exercise American Options for Long Positions on or before the Expiry Date e Manually assign European Options for Short Positions on the Expiry Date e Manually assign American Options for Short Positions on or before the Expiry Date e Manually exchange for Physicals for Long Short Future Positions You can invoke the Liquidation Deals screen by typing EDDLOONL in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button 716 ORACLE Liguidation Deals Product Description _ Source e Instrument Details Instrument Id Description Portfolio Details Portfolio Id Description Portfolio Customer Customer Name Contracts Deal Type Spot Price Pricing Unit Value Date Transaction Date Expiry Date Strike Price Currency Remarks Contract Reference User Reference Reversed Reference Basket Reference Series Id Description Broker Id Broker Name Broker Account Account Description Deal Size Unit Deal Value _ Currency Time Stamp Money Settlement Date Settlement Date Commodity Basket Reference Standard While entering the details of a liqu
111. hange certain attributes that are defaulted to suit the portfolio you are defining While setting up a portfolio you can indicate the following details e Portfolio product that is to be associated with the portfolio e Notional revaluation method and frequency in case of a bank portfolio 918 ORACLE 6 7 e Option costing method that is to be used LIFO FIFO deal matching WAC in case of a bank portfolio e Margin Scheme which is to be linked to the particular portfolio in case of a customer portfolio e Brokers and Broker Accounts which are to be associated with the portfolio You can further specify restrictions on the instruments and instrument products that the portfolio can trade in The other preferences specified for the portfolio product are defaulted to the portfolio These preferences cannot be changed However you can set up the Role to Head mappings for the first three hierarchical levels Portfolio Instrument ID Portfolio Instrument Product Portfolio ID at the portfolio level Entering the Details of a Portfolio You can enter the details of a portfolio through the Portfolio Definition Maintenance screen You can invoke this screen by typing EDDPFMNT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Portfolio Definition Maintenance k Portfolio Product Description Portfolio Id Reference Number Portf
112. he option list When you select the product the Scheme Type will be defaulted Reference No In Oracle FLEXCUBE reference numbers are generated automatically and sequentially by the system This number tag is used to identify the instrument you are entering it is also used in all transactions related to this instrument Hence the system generates a unique 16 digit alphanumeric number for each instrument Scheme ID You can enter an ID or reference number for the scheme The Scheme ID in addition to the Reference generated by the system will identify the scheme This ID should be unique and cannot be used to identify any other scheme Besides it cannot exceed 16 characters By default the instrument Reference number generated by the system will be taken as the Scheme ID Scheme Type When you select the product the Scheme Type will be displayed here You will not be allowed to change the same Description You can capture a brief description that is to be associated with the scheme The description that you enter cannot exceed 35 characters Customer No Select the customer for whom the scheme is being created Rate Type Select the Rate Type You have the following options e Buy Sell Rate es ORACLE 6 6 e Mid Rate The system will pick this up during conversion to scheme currency Currency Select the currency in which the scheme is to be maintained Rate Code Select the Rate Code from the option list provi
113. he reversal of the Closing Deal Hae ORACLE During the end of day batch run the system will compute the number of contracts for which a closing operation has to be performed EXRL EAXS ECLG ECSH If the number of contracts that have been matched for the closing deal does not tally with the number of contracts that need to be closed the entire basket will be skipped as an exception This basket will be subseguently picked up for processing the next day provided the matching has been rectified 7 26 ORACLE 8 1 8 2 8 General Maintenance Introduction As part of the general maintenance required for the successful functioning of the ETD module you should maintain e Instrument Prices e Underlying Asset Prices e Price Codes e Broker Account details e Broker Schemes The necessity for maintaining these details is explained in sections dedicated to these topics in the sections that follow Maintaining Bank Parameters You need to maintain bank parameters for the ETD module The same can be done through the Bank Parameter Maintenance screen You can invoke this screen by typing EDDBANK in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Bank Parameters Ci New Bank Parameters Bank Code Expiry Deal Product Product Description Exercise Deal Product Product Description Input By Authorized By Date Time Date Time Exp
114. he strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME _ This is the name of the Broker _PFOLIOID_ This is the reference number which uniquely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio _ CSNAME_ This is the name of the receiver of the advice ORACLE _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 g can be keyed in _ADRS4_ _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _BSKREF_ This is the reference number of the basket to which the deal belongs _OPTFUT_ This indicates whether the contract is an Option or a Future _COSPTPRI This is the spot price of the underlying asset involved in the instrument _ SVALDT_ This is the date on which the liguidation gains losses will be settled _MVALDT
115. idation deal you should necessarily use an LQ product that exists in the system You can select the appropriate product code from the available list User Reference If the transaction is being uploaded from an external source you can specify the identification for the deal in the external source as the external reference number Reversed Reference The reference number of the contract that is being reversed and rebooked is displayed here Source You have to indicate the source from which deal is to be uploaded Basket Reference After you identify the product which should be used to capture the details of the deal you have to specify the Basket to which the deal belongs Select the Basket Reference number from the list of options alongside this field After selecting the reference number click Basket button a ORACLE List of Values Basket Reference Search BasketReference Portfoliold 95 Instrumentld Fetch Values Search Results 1 Of 1 Next Last Basket Portfolio Portfolio Instrument Series Broker Broker Current Type Reference Id Customer Id Id Id Account Balance i w No Records Found for the Specified Criteria On indicating the Basket reference number the following details about the basket are displayed e Portfolio ID e Instrument ID e Series ID e Broker e Broker Account If you are processing a Customer Deal the name of the customer involved in the portfolio will be displayed in as wel
116. ies that were passed for the booking event will be displayed The following information is provided for each event e Branch e Account e The currency of the Account EB ORACLE 7 2 3 7 2 4 7 2 5 e The amount tag e The transaction code associated with the deal e Dr Crindicator e Value Date e The Charge Amount in the Currency of the Account when the currency is a foreign currency e The exchange rate that was used for the conversion if the Account is a foreign currency account e Amount in local currency e All the overrides that were encountered for the event will also be displayed e The date and time on which the entry was entered in Oracle FLEXCUBE Specifying the Settlement Instructions Along with other charge related details of a deal you have to specify the accounts that have to be debited or credited depending on whether the charges are to be collected or paid The Debit and Credit accounts and the amount indicate the accounting entry that has to be passed at your bank to effect the deal Apart from the details of accounts that have to be debited and credited for the charge amount you will have to capture the following details to effect a deal successfully e Details about the route through which the money settlement should take place e Indicate whether a payment message needs to be generated Specifying Advices for the Deal While defining the deal product you have already maintained the list of
117. ill be 10 kilograms of gold 10 grams of gold 1000 Thus on the option Exercise Date if the Spot Price of Gold is 50 USD for 10 grams of gold the instrument will be considered to be at the money if it has a Strike Price of 50000 USD 50 USD X 1000 per contract Indicate the multiplication factor that should be applied to the commodity price of the underlying Price Code A single underlying can be linked to several instruments issued at various exchanges As a result there might be slight price variations in the closing price of the same underlying in each exchange where the instrument is traded Since the system automatically picks up all open position contracts for auto Expiry Exercise on the expiry date of the instrument the closing price of the underlying is required for triggering this process Therefore if each of the exchanges where the underlying trades is identified by a unique price code it becomes possible to associate the price code to be used to pick up the closing price of the underlying for processing the Expiry Exercise event On saving the record the other details of the underlying such as the Pricing Size the Pricing Unit and the Nature of the Asset are defaulted from the Underlying Asset Maintenance screen depending on the underlying that you link with the instrument You cannot change them Specifying the Price Details of the Instrument Pricing Currency and Asset Currency As part of specifying the
118. in the Basket because of this Deal is EOLG The accounting entries posted for this event are as follows Accounting Role Pear Currency Amoun Description Indicator y t Contingent Asset Debit USD 768000 Bought Asset Value Contingent Asset Off Credit USD 768000 set Premium Paid Debit USD 15600 Deal Premium Settlement Bridge Credit USD 15600 For the event ERVL the following entries will be posted Accounting Role DNOF Gawene ATHOHN Description Indicator y t Unrealized Debit USD 160 Notional Loss on Expense Reval Reval Liability Credit USD 160 9 7 3 Deal Il Reference Number D10201 Nature of Contract Open Long European Call with Option style Premium on own account Deal Number D10201 Deal Type LS Deal Product DPO3 Instrument ID CME90DTB CL E OP Instrument 96 Nov 00 Series Strike Price 96 Buy Sell B Booking Date 22 Nov 2000 ORACLE Value Date 22 Nov 2000 Expiry Date 24 Nov 2000 Trade Rate 1 9 Premium Style Option No of Contracts 20 The balance in the basket prior to processing this deal was 80 Long contracts Since we are processing a long deal the current balance in the basket will go up to 100 Long contracts At EOD the event that needs to be processed in the Basket because of this Deal is EOLG The accounting entries posted for this event are as follows
119. instrument is chosen in the deal the broker for the deal is defaulted from this value You can change the broker ID if necessary a0 ORACLE 5 3 Issuer This is the ID of the exchange that has issued the particular instrument The list of options available for this field contains a list of all customers categorized as Issuers through the Customer Information File details screen You can associate the appropriate issuer ID with this instrument Clearing House You have to capture the ID of the clearing house where the settlement of trades is to take place The daily settlement of trades is Oracle FLEXCUBE will be carried out based on your holiday specifications in the Holiday Calendar maintenance screen Processing for a day is skipped if both the branch and the clearing house are configured for a holiday as of the processing date Contract Standard You can capture additional information about the ETD instrument that you are processing The additional text that you capture should not exceed 255 characters The details that you capture in this field can pertain to any of the following e Instrument involved in the deal e Underlying asset e Physical settlement of the deal e Money settlement of the deal This information will be printed on all the advices that are sent to your portfolio customers if you identify Contract Standard as an Advice Tag while specifying message formats in the Messaging sub system Login Page Funct
120. ion Defining the Series associated with the Instrument A single instrument can have multiple series attached to it At a given point in time multiple series of the same instrument can be traded simultaneously depending on the expiration months for each series Let us assume you are maintaining the details of Wrought Iron Futures traded in the London metal exchange The instrument has two series attached to it The details of the series are as follows au ORACLE Series Series ID LME Wrought Iron Futures DEC 2000 series Opening 01 Dec 2000 Day Lifetime 6 months Series Il Series ID LME Wrought Iron Futures JAN 2001 series Opening 01 Dec 2001 Day Lifetime 5 months In the subseguent section we will see how these details can be captured in the Series Definition screen To define the tradable series for each instrument click Series button in the Instrument Definition XDerivatives screen The Instrument Series screen is displayed Instrument Series Instrument Id Pricing Currency Description Series Details la Series Id Series Description Strike Price Trade Date Each time the exchange introduces a new series for the instrument the instrument maintenance record should be unlocked and the details of the new series captured Series Id To identify the series you need to assign a unique 16 character code to the se
121. ions Portfolio Id Portfolio Description Restriction Type Allowed Disallowed Instrument Product Restrictions al Product Code Description aZ Portfolio Instrument Access E instrumentid Product Instrument Description Allowed Disallowed Disallowed v In this screen you can identify the Instruments or Instrument Products the portfolio can trade in As a result the portfolio will not be allowed to trade in those instruments instrument products that you restrict in this screen Note For a detailed procedure on how to restrict specific instruments or instrument products re fer to the Common Procedures manual of Oracle FLEXCUBE Specifying the Margin Scheme linkage for a portfolio The different stages in the life cycle of an ET deal are called events All of these events involve money settlements either with the broker involved in the deal or with the portfolio customer In the case of customer portfolios you may have to do money settlements with the broker as well as with the portfolio customer In Oracle FLEXCUBE you have the option of netting settlements for the broker and the portfolio customer across events and portfolios You can do this by linking the portfolio and the broker account with a margin scheme pa ORACLE 6 7 4 A margin scheme is a pool of balance maintaining a net receivable or payable position for a broker or a Customer You can choose to liguidate the schem
122. iry Deal Product Select an expiry deal product During EOD when expiry happens the system will book the deal using the product that you have specified here Exercise Deal Product Select an exercise deal product During EOD when exercise happens the system will book the deal using the product that you have specified here a ORACLE 8 3 8 4 Maintaining Price Code Details You need to maintain price codes for each Underlying Asset and Instrument that is maintained in the system You can do this through the Price Code Maintenance screen You can invoke this screen by typing EDDPCMNTT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Price Code Maintenance k Price Code Description In this screen you should enter a code to identify the price and subsequently assign a brief description to identify the price code easily Maintaining Underlying Asset Prices The prices of commodities maintained in Oracle FLEXCUBE keep fluctuating depending on their market rates As a result you need to revalue each underlying on a daily basis Underlying Asset prices can be updated through the Underlying Asset Price Maintenance screen You can invoke this screen by typing EDDCORAT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Sa ORACLE 8 5 Commodity Price Maintenance Bra
123. ive Function Id in the Intra Day Batch Start screen and click Ok button The system processes records with the details one by one and uploads all the valid records into the system and rejects ones with errors The system also checks for duplicate records and if they exist then they are amended ot ORACLE 6 Creating Portfolio Products and Portfolios 6 1 Introduction A Portfolio Product is a category or a type of portfolio For instance you can define your investment portfolio of Currency Options as a product in Oracle FLEXCUBE A portfolio product can thus serve to classify the portfolios that you maintain in your bank Grouping your portfolios into products helps you standardize your bank portfolios across branches A product is created in the Head Office branch of your bank Any user in the head office with the reguisite rights can create a product 6 2 Creating a Portfolio Product You can capture information pertaining to a portfolio product through the Exchange Derivatives Portfolio Product Definition screen You can invoke this screen by typing EDDPFPRD in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Portfolio Product Product Code Exchange Rate Variance Product Description Override Limit Product Type Stop Limit Description Rate Code Slogan Rate Type Preferred Product Group Product Group Description Start
124. l Note _ The current balance in the basket will also be displayed for your reference You have to identify the basket to which the deal you are liguidating belongs If you select the portfolio the instrument and the broker and for this combination that you have specified there is no Basket Reference Number the basket will be created and the balance of the same will be updated If the liguidation amount of the contracts is more than the balance available in the basket the system will save the liquidation deal but at EOD display the message Insufficient Balance in Basket Contracts The number of contracts that have been liguidated in the basket is defaulted as the current balance in the basket You can change this default value and indicate the number of contracts within the basket that have to be liguidated Deal Type After identifying the number of contracts that have to be liguidated you have to indicate the type of liguidation that has to be performed on the contracts The options available are e Exercise of Options e Assignment of Options e EFP of Futures Long e EFP of Futures Short a ORACLE 7 3 1 7 3 2 Select the appropriate option from the list Spot Price Specify the Spot Price of the underlying asset involved in the instrument The spot price is to be expressed in terms of the Underlying Pricing Unit as maintained in the Underlying Asset Definition screen Value Date The Value Da
125. l Option on Three month Euribor Futures Contract Standard Three Month EURIBOR Futures The nominal value of one futures contract is EUR 1 000 000 Contract Value One Three Month EURIBOR Futures contract Settlement The exercise of a Three Month EURIBOR Futures option results in the creation of a corresponding Three Month EURIBOR Futures position for the buyer as well as the seller to whom the exercise is assigned The position is established after the Post Trading Period of the exercise day and is based on the agreed exercise price aM ORACLE 5 3 5 Price Determination In points with three decimal places Minimum Price Change 0 005 of a point eguivalent to a value of EUR 12 50 Last Trading Day Two exchange trading days prior to the third Wednesday of the respective settlement month provided that on that day the FBE ACI has determined the reference interest rate EURIBOR pertaining to three month euro time deposits otherwise the preceding day Trading in the maturing contract ceases at 11 00 a m CET Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Exercise American style i e an option can be exercised up to the end of the Post Trading Period on any exchange trading day during the lifetime of the option Expiration
126. l Revaluation of Short Position RCSH Reversal Closure of Short Position RXPL Reversal Expiry of Long Position 10 1 ORACLE RXPS Reversal Expiry of Short Position RXRL Reversal Exercise in Long Position RAXS Reversal Assignment in Short Position REPL Reversal Exchange for Physicals in Long REPS Reversal Exchange for Physicals in Short EMAT Event Matching of Deal EUMT Event for Un matching EBOK Booking of Contract EREV Reversal of Booking EAMD Amendment of Contract 10 3 Amount Tags The Amount Tags listed below are provided in Oracle FLEXCUBE Amount Tag Description AVG_PREMIUM_ PAID Average Premium Paid to acguire the Existing Holding AVG_PREMIUM_RECEIV ED Average Premium Received to acquire the Short Hold ing BOOK_VALUE Holding Cost of the Instrument BOT_ASSET Bought Asset in Asset Currency BOT ASSET DECR Decrease in contract Positions in Asset Currency BOT_ASSET_INCR Increase in contract Positions in Asset Currency BOT_CCY_EQ Equivalent Amount in Pricing Currency BOT_CCY_EQ DECR Equivalent decrease in contract Positions in Pricing Cur rency BOT_CCY_EQ_INCR Equivalent increase in contract Positions in Pricing Cur rency CLOSE_PRICE_PREMIU M Closing Price Premium in Pricing Currency CLOSURE_GAIN Gain on Closure of Position CLOSURE_LOSS Loss
127. l amp Put GE Options F REALIZED_GAINS REALIZED_GAIN Credit REALIZED_LOSS REALIZED_LOSS Debit Futures Call amp Put Options F BR_SETLM_BRID REALIZED_LOSS Credit GE 10 18 ORACLE CONT_ASSET BOT_ASSET_INCR Debit Put Options F CONT_ASSET_OF SOLD CCY_ EOG INC Credit F R CONT ASSET_OF SOLD CCY_EO DE Debit Put Options F F CR CONT_ASSET BOT_ASSET_DECR Credit CONT_LIAB_OFF BOT_CCY_EG INC Debit Futures Call Options R F CONT_LIAB SOLD_ASSET_INCR Credit CONT_LIAB_ OFF BOT_CCY_EQ DEC Debit Futures Call Options R F CONT_LIAB SOLD_ASSET_DEC Credit R REVAL_ASSET NOTIONAL_GAIN Debit Call amp put Options O UNREAL_INCOME NOTIONAL_GAIN Credit UNREAL_EXPEN NOTIONAL_LOSS Debit Call amp put Options O SE REVAL_LIAB NOTIONAL_LOSS Credit 10 6 Event wise Accounting Entries for your Customer s portfolio In this section we have defined suggested accounting entries for each of the events in the life cycle of deals involving customer portfolio product 10 19 ORACLE 10 6 1 10 6 2 10 6 4 Dr Cr a Accounting Role Amount Tag indicator Applicable PF_SETLM BRIDG DEAL_PREMIUM_AM Debit Call amp Put Options E T O BR_SETLM_BRIDG DEAL_PREMIUM_AM Credit Call amp Put Options E T O EVRL Revaluation of Long Position Dr Cr i Accounting Role Amount Tag Indicator Applic
128. ll the currencies maintained in your bank Through the Branch Currency Restrictions screen you can restrict the use of a product to specific currencies only Invoke this screen by clicking Branch Currency button from product maintenance screen 4 ORACLE 4 2 3 gt Branch Currency Restriction Product Code Product Description Class Code Class Description Branch Restrictions Branch Code 10f10 Branch Code Disallowed Allowed Branch Name Default From Class Currency Restrictions Disallowed Allowed Currency 100 Currency Code Currency Name If you restrict a specific currency in the Product Branch and Currency screen you will not be allowed to use it as a pricing currency for instruments involving this product Note Refer to the section titled Specifying Branch and Currency Restrictions in the chapter ti tled Product in Modularity User Manual Specifying MIS Details You can define the Management Information Details MIS details for the instrument product that you are creating through the MIS Details screen Invoke this screen by clicking MIS button a ORACLE MIS Details Product Code MIS Group Pool Code Default Fram MIS Groun MIS Classes Cost Code 10f1 MIS Class MIS Code m o Through the MIS product details screen you can link the product to transaction MIS
129. ls Each deal that you enter in Oracle FLEXCUBE should necessarily be associated with a deal product You have already defined deal products to group together or categorize deals that share broad similarities Deal products provide a general framework and serve to classify or categorize deals Under each Product that you have defined you can enter specific deals based on your requirement By default a deal inherits all the attributes of the product which is associated with it A deal would require information on the following e ET instrument involved in the deal e Series which is being traded e Number of contracts that are traded e Deal Type being processed whether it is a buy sell or liquidation type of deal e Option Premium or the price at which an option is bought or sold excluding any commissions trading fees and applicable levies The option premium is expressed in index points per contract While capturing future deals you will have to indicate the Future Price e Value Date of the money settlement e Portfolio involved in the deal whether it is a customer or bank portfolio e Broker involved in the deal e Details of the broker account involved in the deal In the ETD module you have to process Long Short and Liquidation deals using two separate screens They are e Long Short deal input screen e Liquidation deal input screen Moreover these deals could be directly captured in Oracle FLEXCUBE or uploaded from a
130. mple IV Dax Futures Contract Standard The Deutscher Aktienindex DAX Contract Value EUR 25 per DAX index point Settlement Cash settlement based on the Final Settlement Price payable on the first exchange trading day following the Last Trading Day Price Determination In points with one decimal place Minimum Price Change 0 5 of a point eguivalent to a value of EUR 12 50 Maturity Months The three successive guarterly months within the cycle March June September and December Last Trading Day The third Friday of each maturity month if this is an exchange trading day otherwise the exchange trading day immediately preceding that Friday Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Mw ORACLE 5 3 9 Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Final Settlement Price The value of the DAX determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange Xetra at 1 00 p m CET Trading Hours 8 25 a m until 5 00 p m CET In Oracle FLEXCUBE To fit this re
131. n external system You can nevertheless amend an uploaded deal in Oracle FLEXCUBE In case of uploaded deals users other than the maker also can unlock an unauthorized deal and modify the details of the record For deal matching purposes of your bank s own portfolios you can use the ET Deal Matching screen These details and several others required to process the two types of ET deals in Oracle FLEXCUBE have been discussed in the course of this chapter i ORACLE 7 2 Processing Long Short Deals You can process buy sell type of deals through the Long Short Deals screen You can invoke this screen by typing EDDLSONL in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Long Short Deals Product Code Description Source e Instrument Id Description Portfolio Id Description Customer Customer Name Contracts Deal Type Premium Future Price Pricing Unit Value Date Transaction Date Strike Price Commodity Remarks Contract Reference User Reference Reversed Reference Series Id Description Broker Clearing Member Customer Name Broker Account Description Deal Size Unit Deal Value Currency Time Stamp Money Settlement Date Basket Reference Expiry Date Contract Standard You can choose to e
132. n perform realized revaluation on futures and future style options based on the closing price of the instrument and the series For option style options you can perform a Memo or Notional revaluation for the entire portfolio depending on the freguency that you choose to maintain Exercise of Options Facility to reverse the contingent entries for those contracts that have been exercised Facility to calculate the exercise gain based on the difference between the price of the underlying asset and the Strike Price of the instrument and book accounting entries for the same Assignment of Options Facility to reverse the contingent entries for contracts that have been exercised Facility to calculate the assignment loss based on the difference between the price of the underlying asset and the strike price of the instrument and book entries for the same Exchange of futures for physicals Facility to reverse the contingent entries while exchanging futures for physicals Facility to calculate the exchange loss or gain based on the difference between the price of the underlying asset and the acguisition price and book entries for the same ae ORACLE 2 2 2 Expiry of Options _On the expiry date if the series is Out of the Money the system will process an automatic expiry for the series Similarly if the series is In the Money an automatic exercise assignment of options event will be processed _
133. nario Scenario Il Deal00 1 You are long in an Option for 5 Contracts Subseguent to that you do a Short Deal for 10 Contracts Deal00 2 Since Deal002 is subseguent to Deal001 deal matching should be done as follows Deal002 Matched Deal00 5 Con to 1 tracts This will result in e Deal001 having 0 unmatched number of Contracts e Deal002 having 5 unmatched number of Contracts Deal002 will be processed for the following events e ECLG Closing of Long Position for 5 Contracts e EOSH Opening of Short Position for 5 Contracts The Basket will now result in a balance of 5 Short Operations you can perform on a Matched and Unmatched Deal The deal matching operation results in the event EMAT for the closing deal You will need to authorize this event either through the Long Short or the Liquidation deal depending on the Deal Type of the Closing Deal To Un match the deal you must first select the Matched deal which has to be Unmatched using the list of values under the Branch field Then click QUERY Button If you need to unmatch or remove the matching associated with a particular deal you can do so by clicking Unmatch button in the Deal Matching screen The unmatching operation also introduces an event EUMT in the closing deal You will have to authorize this event Note Authorization of the EUMT Unmatching event results in t
134. nce PH Rate Code Fal Related Account Taz az Related Account az Spread laz Spread MiS Head E a s 7 Cost Code la i pi FS Rate At EHI Rate Type X Interest Method X M O Pool Code Pool Code az la Contract Level a jas Reference Rate la Reference Rate zi 23 5 zz 7z Transaction MIS Code Composite MIS Code Funds MIS Code MIS Group az 2 kzl la zl LH aa az a a z ee laz z laz la las J LH s la i LH s laz az Fane Anenanen rare Change Loo Balance Transtercoo Ok Exit In this screen the transaction type of MIS class the cost code and pool code are picked up from the product under which the deal is processed The composite MIS code is picked up from the definition made for the customer on behalf of whom the deal is being processed You have to indicate whether the system should pick up the MIS Rate associated with the pool linked to the contract or whether you would like to maintain a rate specific to the contract You can indicate your choice by selecting any one of the following options e Pool Code indicating that the MIS Rate maintained for the pool code should be used for refinancing e Contract Level indicating that you would like to maintain a specific MIS Rate for the particular contract Refer the MIS User Manual for more details on maintaining MIS related information for a product
135. nch Commodity Pricing Size Pricing Unit Price Detail Z Price Code Currency Market Date Market Price Input By Date Time In this screen enter the following details Underlying Asset To indicate the revaluation price you should first select the code of the underlying asset whose price is to be revalued The option list includes all the commodities you have maintained in the system through the Underlying Asset Definition screen The Pricing Size and Pricing Unit both of which you would have maintained through the Underlying Asset Definition screen are displayed based on the underlying selected Under Price Detail you can specify the following details Price Code Select the underlying price code from the option list The option list includes all price codes that you have maintained through the Price Code Maintenance screen Currency Indicate the currency in which the price of the underlying asset is to be revalued Market Price The Market Price is the price of the underlying asset as quoted in the market on that date Market Date This is the date for which the market price is maintained Maintaining Instrument Price Details Since prices of underlying assets commodities linked to instruments keep fluctuating based on the market conditions the prices of instruments maintained in Oracle FLEXCUBE have to be revalued on a daily basis You should capture the revalued prices for each instrument through the Ins
136. nction Inputs screen You can invoke this screen by typing BADEODFE in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Batch EOD Function Inputs E New Enter Query Batch End Of Day Functions Branch Code Function Description End of Cycle Group Transaction Input Report Orientation Not Applicable End of Transaction Input Portrait End of Financial Input Landscape End of Day Beginning Of Day Function Inputs 10f1 a Parameter Data Type Value Date Format Maker Date Time Mod No Checker Record Status Date Time Authorization Status Here you can maintain the function inputs for Batch EOD Functions by specifying the following details a ORACLE e Branch of the bank involved e Function Identification of the EOD function _ EDINPRHF for Instrument Price Details Handoff _ EDINSTHF for Instrument Details Handoff e End of Cycle Group to which the function belongs in this case you must choose End Of Day e Orientation of the generated report this is optional After specifying the above details you can add the functions input for the function in the Function Inputs table You must mandatorily specify the Parameter and Data Type for each function Now you can proceed with maintaining the Instrument Batch Handoff process as a mandatory program Maintaining Mandatory Batch Programs You can maintain the Instrument Batch Ha
137. ndoff process as a mandatory program using the Mandatory Batch Program Maintenance screen You can invoke this screen by typing EIDMANPE in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Mandatory Batch Program Maintenance E New amp 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 EndofFin input Continue with Automatic End of Day End of Day Beginning of Day Frequency Daily Number Of Days Holiday Rule DoNotExecute Run Date SSeS E Job Code Description Execution Layer Database Application Sub Stage m Predecessors 10f1 Predecessors Maker Date Time Checker Date Time Mod No Record Status Authorization Status Here you can maintain the details of the batch program by specifying the following e Branch of the bank involved a ORACLE 9 4 7 3 9 5 9 6 e Module involved e Function Identification of the EOD function _ EDINPRHF for Instrument Price Details Handoff _ EDINSTHF for Instrument Details Handoff e End of Cycle Group to which the function belongs in this case you must choose End Of Day e Error Handling measures to be taken e Frequency of running the program e Holiday rule for specifying whether the program should b
138. ng DMAT The costing method for futures will only be WAC Note In Oracle FLEXCUBE profit and loss calculations are maintained only for the bank s own portfolio Therefore you can specify this preference only while setting up your own portfo lios Note Ifthe costing method is LIFO or FIFO at the time of processing EOLG EOSH and Exchange of physicals the system will automatically do a matching of deals based on deal time stamp to arrive at the closure and EFP gain or loss Ifthe costing method is DMAT you will have to carry out a manual matching based on which the system will compute the closure gain or loss at the end of the day Ifthe costing method is DMAT and deal matching has not been done the EOD Batch will skip the basket For a Non WAC Portfolio the Closure and EFP gain or loss is computed as follows Number of contracts Cost per contract of the closing expiry deal Total deal cost The total deal cost is computed as follows Cost per contract No of matched contracts for deals that are matched with the closing deal During EEPL EEPS the closing deal will be the liquidation deal booked manually or automatically at expiry For a WAC Portfolio the Closure and EFP gain or loss is computed as follows Number of contracts Cost per contract of closing expiry deal Latest WAC for the basket Specifying Revaluation Details Notional Revaluation Required Check the box
139. ning arrow button ae ORACLE Broker Scheme Linkage I Ni Branch Broker Broker Account Currency Scheme Id EJ RJ B In this screen you can specify the following details Branch Specify the branch code of the branch in which you are maintaining the Broker Scheme details record Broker Specify the Broker ID of the broker for whom you are maintaining the Broker Account Currency and Margin Scheme combination Broker Account Specify the broker account to be used for settling margin transactions Currency Specify the currency of the scheme which is to be linked to the Broker ID Scheme ID Specify a valid broker Scheme ID The option list available for the Scheme ID will be populated depending on your specification in the Currency field For instance if you select USD as the currency the system displays the broker schemes with USD as the scheme currency ai ORACLE 9 1 9 2 9 Automatic Daily Processing Introduction The End of Cycle EOC events constitute a set of programs which are automatically triggered during the batch processes The EOD process is designed to tie up all the operations for a financial day and prepare the system for the next day Note During End of Day the batch process should be run after End of Transaction Input EOTI has been marked for the day but before End of Financial Input EOFI has been marked for the day As part o
140. nk will not be allowed to trade in deals involving the portfolio that you have chosen to restrict Note Refer to the Common Procedures User Manual of Oracle FLEXCUBE for a detailed pro cedure on how to restrict specific portfolios for a deal product Specifying Instrument Restrictions You can choose to restrict specific instruments from trading in the deal product through the Instrument Restriction screen You can maintain a list of allowed disallowed instruments for a specific deal product through the Instrument Restrictions screen in the Deal Product Definition screen Note For a detailed procedure refer to the Common Procedures User Manual of Oracle FLEX CUBE Associating User Defined Fields The User Defined Fields UDFs are additional fields that are available for use depending on the bank s requirement You can define UDFs in the Product User Defined Fields screen Click Fields button to invoke the screen below Product User Defined Fields Product Code Product Description Fields 1010 Field Number Field Name o For a detailed discussion about maintaining UDFs refer the User Defined Fields manual Specifying MIS details for a Deal Product You can define the Management Information Details MIS details for the deal product that you are creating by clicking MIS button from the Deal Product Maintenance screen 16 ORACLE MIS Details Product Code
141. ns then Eurex will establish the official settlement price a ORACLE 5 3 3 Final Settlement Price Eurex establishes the final settlement price at 11 00 am CET on the last trading day based on the reference interest rate EURIBOR for one month euro time deposits as determined by FBE ACI To fix the Final Settlement Price the EURIBOR rate is rounded to the nearest price interval 0 005 0 01 or multiple thereof and is then subtracted from 100 Trading Hours 8 45 am until 7 00 pm CET In Oracle FLEXCUBE To fit this reguirement in Oracle FLEXCUBE you have to specify the following details in the Instrument Definition screen Expiry Product Code FEU1 Option Future Future Asset Type Time Deposit Physical Settle Yes ment Settle Before Yes ORACLE 5 3 4 Instrument Details Reference 000FEU 100123 Instrument 1 Month Euribor TimeDeposit Future Nature of Asset Real Asset Currency EUR Contract Size 1 Contract Size Unit Deposit Contract Value 3000000 Pricing Currency EUR Pricing Size 1 Pricing Size Unit Deposit 30000 Pricing Unit Multiple 30000 Precision 3 Minimum Price Move 0 005 ment Underlying Asset Details Underlying Asset ETD 1 Month Euribor TimeDe posit Pricing Size 1 Pricing Size Unit Deposit 30000 Pricing Unit Multi 30000 ple Price Code EUREX Example I
142. nt ID and portfolio The Instrument Margin screen can be used to capture details regarding percentage of initial and maintenance margins for each open contract Invoke the Instrument Margin screen by typing ENDINMRG in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button mee ORACLE 5 5 Instrument Margin b Branch Instrument Id Description Portfolio Id Description Initial Margin Level Maintenance Margin Level Branch The current logged in branch is displayed here Instrument Identification Select the instrument ID from the adjoining list of values provided Portfolio Identification Select the portfolio ID from the adjoining list of values provided Initial Margin Level Indicate the initial margin percentage per open contract for a combination of instrument ID and Portfolio Maint Margin Level Indicate the maintenance margin percentage per open contract for a combination of instrument ID and Portfolio Uploading Margin Details and Instrument Price Details Use the Intra Day Batch Start screen to upload the following details into Oracle FLEXCUBE from an external system e Initial and maintenance margin details Function Id MGSCHUPL e Instrument Price details Function Id EDINPRUP a8 ORACLE Login Page Function To start the upload specify the respect
143. nt defaulted Scheme Event Select the scheme event to be triggered during margin settlement You can either choose the option Refund or Top Up Amount Enter the amount to be settled in the transaction Settlement Account As mentioned above the settlement branch and account will be defaulted when you select the Scheme ID You have the option of changing the same Value Date Enter the date on which the margin settlement should be carried out You will be allowed to delete an unauthorized settlement transaction You can also reverse a transaction The event RTOP or RREF will be triggered depending on whether the scheme event is MTOP or MREF Invoking a Margin call You can maintain scheme details in the Scheme Maintenance screen You can invoke this screen by typing MGDSCHEM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button ole ORACLE Scheme Maintenance Product e Description Reference Number Scheme Id Description Scheme Type Scheme Details Customer Number az Currency Rate Type Buy Sell Rate v Rate Code Fund Id az Description Settlement Margin Level Percentage Branch Calculation Date Account Initial Maintenance Settlement Enter the following details in this screen Product Select the margin product from t
144. nter the details of a deal either by using a deal product You should necessarily use a long short deal product that has already been created to enter the details of a long short deal Based on the type of deal you are entering you can select a product from the list of options positioned next to the Product field The details which you can view or specify in the Long Short Deals screen are explained below Contract Reference In Oracle FLEXCUBE reference numbers are generated automatically and sequentially by the system This number tag is used to identify the deal you are entering it is also used in all the accounting entries and transactions related to this deal Hence the system generates a unique number for each deal User Reference You can enter a reference number for the deal A deal will be identified by this number in addition to the Deal Reference Number generated by the system This number should be unique and cannot be used to identify any other deal By default the Deal Reference Number generated by the system will be taken as the User Reference Number External Ref No If the transaction is being uploaded from an external source you can specify the identification for the deal in the external source as the external reference number i ORACLE Reversed Reference The reference number of the contract that is being reversed and rebooked is displayed here Source You have to specify the source from which deal is t
145. nting class ACR04 with BKPF the account heads that will be impacted will be as follows Accounting ng Account Role Description Head Dr Cr Indicator BOT_ASSET Option Strike CA004 Debit Price SOLD CCY_EO Option Strike CL004 Credit Price Mapping Accounting Roles to Accounting Heads You can map appropriate Accounting Roles to Account Heads for the portfolio product through the Role to Head mapping screen To invoke this screen click Roles button For a detailed procedure on how to map Accounting Roles to Account Heads refer to the Common Procedures User Manual of Oracle FLEXCUBE Note The Role to Head mapping definition for the following hierarchical levels 1 Portfolio Instrument ID 2 Portfolio Instrument Product 3 Portfolio ID Specifying Event wise Accounting Entries After mapping accounting roles to specific heads you have to define life cycle events for deals involving this product and identify the accounting entries which ought to be posted when individual events are triggered in Oracle FLEXCUBE The following is the list of events for a portfolio which you can maintain in Oracle FLEXCUBE e Assignment of Exercise e Closing of Long Short positions e Exchange of physicals Take Make delivery e Opening of Long Short positions e Revaluation of Long Short positions e Expiry of Long Short options e Exercise of Options e Reversal Assignment of Exercise e Revers
146. number which uniquely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio _CSNAME_ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _NOCTRS_ This indicates the number of contracts within the basket that have to be liguidated _BRKACC_ This is the account number of the broker involved in the deal _OPTFUT_ This indicates whether the contract is an Option or a Future _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUBE _MVALDT_ This is the day on which the settlement of liquidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liguidated _TIME_ This is the exact time at which the deal transaction took place in the exchange _ASSCYY_ This is the Asset Currency _PRICCY_ This is the currency in which the instrument is prized _FUTPRI_ This is the
147. o be uploaded Instrument Identification and Series Identification While entering the details of a deal you should indicate the instrument and series that the deal involves You have already restricted specific instruments from trading in the deal product in the Instrument Restriction screen of the Deal Product screen When you associate a product with the deal the restrictions defined for the particular product are made applicable to the deal You have to select the Instrument Identification which is to be associated with the deal A list of all the allowed instruments is available alongside As you have already maintained the instrument all the attributes of the deal like the contract size and unit underlying details pricing details initial margin per contract days of settlement will be processed based on these details After you associate an instrument with the deal you can the series identification Contracts Indicate the number of contracts that are to be traded The system multiplies the Number of Contracts and the Contract Size to arrive at the guantity of the actual underlying that is involved in the trade Based on the number that you specify the system calculates the guantity of the actual underlying that is involved in the trade and displays it in the adjacent field Example Let us assume you are processing a contract with the following details Deal Refer 000DP01003260006 ence User Refer LDeal0
148. oduct are defaulted to the instrument You will not be allowed to change the defaulted specifications Specifying the Instrument details Reference In Oracle FLEXCUBE instrument reference numbers are generated automatically and sequentially by the system This number tag is used to identify the instrument you are entering It is also used in all transactions related to this instrument Here the system generates a unique 16 digit alphanumeric reference value for each instrument Instrument Identification You can provide your own reference number or value for the instrument here This is called the Instrument Identification The Instrument Identification in addition to the Reference generated by the system identifies the instrument The Instrument Identification should be unique and cannot be used to identify any other instrument It also cannot exceed 16 characters By default the instrument Reference number generated by the system is taken as the Instrument ID Description Here you can provide a brief description for the instrument This description cannot exceed 35 characters Contract Size and Unit As part of specifying the instrument details you have to indicate the number of the units of the underlying asset that makes this instrument a ORACLE 5 2 2 For instance let us assume that the underlying asset for an instrument is Wheat Each instrument entitles the holder to buy or sell 100 Kilograms
149. of Wheat You entries in the Contract Size and Unit fields will be as follows Contract 100 Size Unit Kilo grams Similarly if the underlying asset is happens to be a currency DEM and if each instrument entitles the holder to buy or sell 1 000 000 DEM your entries in the respective fields should look like this Contract 1 000 00 Size 0 Unit DEM Value In addition to specifying the Contract Size and Unit you can capture additional details pertaining to the instrument or the underlying The details that you capture in this field are meant for your bank s internal reference and will not be used for processing the contract Call Put While capturing the details of an Option instrument you need to indicate whether the option is a Call or a Put option In the ETD module the Call and Put Options are treated as two separate instruments in all respects Therefore when an Exchange issues Call and Put options on the same underlying assets you need to have defined two instruments to take care of the two Options Premium Indicate the premium style which should be picked up for the particular option You can choose one of the following options here e Choose Option Style for booking the Premium Amount for the Deal during the Opening Closing of the Position along with the deal This means there is no Variation Margin Cash Settlement of Revaluation Differences based on Daily Closing Price of
150. of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME This is the name of the Broker _PFOLIOID_ This is the reference number which uniguely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio 11 16 ORACLE _CSNAME _ This is the name of the receiver of the advice _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _BSKREF_ This is the reference number of the basket to which the deal belongs _OPTFUT_ This indicates whether the contract is an Option or a Future _COSPTPRI This is the spot price of the underlying asset involved in the instrument _ SVALDT_ This is the date on which the liguidation gains losses will be settled _MVALDT_ This is the day on which the settlement of liquidation gains losses is to be done _VALDT_ This is the date on which the b
151. ogan Product Group Description Start Date End Date Remarks Rate Type Branch Currency MIS ELCH Date Time Checker Date Time Mod No Record Status Authorization Status Product Code Specify a four character product code for your product Every product that you create is identified by its own unigue product code Product Description Specify a short description for identifying the instrument product guickly The short description cannot exceed 35 characters It is meant for information purposes only and will not be printed on any customer correspondence Product Type An important detail in defining a product is to specify the nature of the product you are creating The product type identifies the basic nature of a product An ETD Instrument product that you create can be of the following types e Options O e Futures F Indicate the appropriate product type by selecting it from the adjoining list of options Product Group You must classify each product under a specific group The different groups are defined in the Product Group Definition screen Indicate the group to which a product belongs by selecting the group code from the adjoining list of options Product Slogan You may specify a marketing punch line to be associated with the product This slogan is printed on all the advices that are sent to the customers of instruments associated with this product Product Start Date and End Date For using a prod
152. olio The portfolio reference number is a combination of a three digit branch code a four character product code a five digit Julian Date and a four digit serial number Portfolio Identification Besides the reference number generated by the system you can enter a unigue reference ID for the portfolio This ID in addition to the Reference Number generated by the system will be used to identify the portfolio This ID should be unigue and cannot be used to identify any other portfolio lt cannot exceed 16 characters Portfolio Description In addition to the ID you can also capture a brief description that is to be associated with the portfolio The description that you enter cannot exceed 35 characters Portfolio Type The product type is defaulted depending on the portfolio product that you associate with the portfolio For instance if you are setting up a portfolio o manage your banks own trades and investments you will associate the portfolio with the appropriate portfolio product meant for your banks use Upon association the value in the Portfolio Type field will be defaulted as Own Similarly if you are defining a customer portfolio the value in the Portfolio Type field will be defaulted as Customer Note For each product type you can set up multiple portfolios Customer Number If you are capturing the details of a Customer Portfolio you have to indicate the ID of the customer involved in the portfolio You
153. olio Type Portfolio Description Customer Number Customer Name Fund Id Fund Description Costing Method Statement Details Revaluation Details Portfolio Statement F Notional Revaluation Required Required Frequency X Frequency v Start Month Start Month Start Day Start Day Last Statement Date Instrument Restrictions ms Role To Head Portfolio Product You should necessarily use a product that has already been created to enter the details of a portfolio Depending on the type of portfolio you are creating you can select an appropriate product code from the option list available A portfolio inherits all the attributes defined for the product associated with it You can also add details that are specific to the portfolio depending on the portfolio type you are creating For instance if you are setting your own portfolio you can indicate the following e Option costing method that is to be used e Whether notional revaluation is required Belt ORACLE If you are maintaining the details of your customer s portfolio you must specify the customer involved in the portfolio along with the other details Reference Number In Oracle FLEXCUBE reference numbers are generated automatically and seguentially by the system This number tag is used to identify the portfolio you are defining Hence the system generates a unigue number for each portf
154. omer Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit PF_SETLM BRIDG DEAL _PREMIUM AM Call amp Put Options F E T Credi BR _SETLM BRIDG DEAL PREMIUM AM t E T Own Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit CONT ASSET OFF SOLD CCY_EO Call Options O F Credi CONT ASSET BOT ASSET t Debit CONT_LIAB SOLD ASSET Put Options O amp F Credi CONT_LIAB OFF BOT CCY_EO t Debit CONTROL AVG_ PREMIUM PAID Call amp Put Options O Credi PREMIUM PAID AVG_PREMIUM_ PAID t Debit EXPIRY_LOSS EXPIRY_LOSS Call amp Put Options O F Credi CONTROL EXPIRY_LOSS t Debit CONTROL DEAL _PREMIUM AM Call amp Put Options F T 10 12 ORACLE Credi BR_SETLM_BRIDG E DEAL _PREMIUM AM T 10 5 8 EXPS Expiry of Short Position Customer Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit BR SETLM BRIDG DEAL PREMIUM AM Call amp Put Options F E T Credi PF_SETLM BRIDG DEAL PREMIUM AM t E T Own Portfolio Dr Cr Accounting Role Amount Tag Applicable Debit CONT_ASSET_OFF SOLD_CCY_EQ Put Options O F Credi CONT_ASSET BOT_ASSET t Debit CONT_LIAB SOLD_ASSET Call Options O amp F Credi CONT_LIAB_OFF BOT_CCY_EQ t Debit PREMIUM_RECVD AVG_PREMIUM_RCEIVE Call amp Put
155. on on the open positions held by your portfolio customers You can do this by specifying the maximum open long and short positions Your entries in this field are meant purely for information purposes Oracle FLEXCUBE being a back end processing system will not perform any validations against these values that you capture in these fields a ORACLE 5 2 6 5 2 7 5 2 8 Specifying the Days for Settlement Money Specify the Money settlement days here When a particular deal involves money settlement Option Premium in case of an Open Deal for an Option or an Exercise deal the money settlement days are used to arrive at the date on which the money settlement should take place For instance if you indicate that the money settlement date is two days the system calculates the money settlement date in the following manner Deal Date 2 Working Days Your entry in this field determines the Value Date for Money Settlement Physical When a particular deal involves physical settlement of the underlying asset Exercise of Stock Options or Interest Rate Options you need to indicate the physical settlement days The system calculates the Value Date of the Physical Settlement based on the number of days that you specify in this field For instance if you specify the number of days as one the value date for physical settlement of the underlying asset will be done in the following manner Deal Date 1 Working Day Specifying
156. or Applicable BR_SETLM_BRID REALISED GAI Debit Call amp Put Options F GE N Futures PF_SETLM BRID REALISED GAI Credit Call amp Put Options F GE N Futures PF_SETLM BRID REALISED LO Debit Call amp Put Options F GE Ss Futures BR SETLM BRID REALISED LO Credit Call amp Put Options F GE Ss Futures 10 6 6 ECSH Closure of Short Positions 10 6 8 Dr Cr Accounting Role Amount Tag Indicator Applicable PF_SETLM_BRID CLOSE PRICE_ Debit Call Options O amp F GE PREMIUM Put Options O amp F Futures BR SETLM BRID CLOSE PRICE PREMI Credit Call Options O amp F GE UM Put Options O amp F Futures BR _SETLM BRID BOOK VALUE Debit Call Options O amp F GE Put Options O amp F Futures PF_SETLM BRID BOOK VALUE Credit Call Options O amp F GE Put Options O amp F Futures 10 6 7 EXPL Expiry of Long Position Dr Cr Accounting Role Amount Tag indicator Applicable PF_SETLM BRIDG DEAL_PREMIUM_AM Debit Call amp Put Options E T F BR_SETLM BRIDG DEAL_PREMIUM_AM Credit Call amp Put Options E T F EXPS Expiry of Short Position R Dr Cr Accounting Role Amount Tag Indicator Applicable BR_SETLM_BRIDG DEAL_PREMIUM_AM Debit Call amp Put Options E T F 10 22 ORACLE PF_SETLM BRIDG E DEAL_PREMIUM_ AM
157. orrespondence of the branch which sent the _BRNADD2_ nae Each line of the address can contain a maximum of 35 charac BRNBPBS There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C _CONTRST These are the standard details of the contract D _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the underlying asset _COMPRSZ This indicates the manner in which the underlying asset has been gt prized in the market _ COMPRUT This is the Prizing Unit at which the underlying asset has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _ STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series 11 11 ORACLE _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME_ This is the name of the Broker _PFOLIOID_ This is the reference
158. ortfolio Product Product Code Product Description Product Type Description Slogan Exchange Rate Variance Override Limit Stop Limit Rate Code Rate Type Product Group Product Group Description Start Date End Date Remarks Accounting Roles Branch Currency Portfolio Restrictions Instrument Restrictions MIS Maker Date Time Checker Date Time Mod No Record Status Authorization Status In this screen you need to capture the basic information about the product This includes e Assigning a Code and Description to the product e Specifying the type of product e Associating the product with a Product Group e Creating a slogan for the product e Specifying the life span of a product The basic details about the product are common for every product that you capture in the ETD module of Oracle FLEXCUBE However while defining a deal product you need to specifically indicate the exchange rate variance that is to be associated with the product Indicating the Exchange Rate Variance For a special customer or in special cases you may want to use an exchange rate a special rate that is greater than the exchange rate maintained for a currency pair The variance is referred to as the Exchange Rate Variance When creating a product you can express an Exchange Rate Variance Limit in terms of a percentage This variance limit would apply to all deals associated with the deal product Override Limit If th
159. party ID to whom a specific advice should be sent is picked up automatically based on the Party Advice mapping done for the counterparty Viewing Selecting the Custom Fields You can view the UDFs only if you have maintained the same for the product involved in the deal To view the UDFs defined for the product click Fields button The list of fields and default values specified for the product to which the deal is associated is displayed You can add to the list of fields defaulted from the product but you will not be allowed to remove a field from the defaulted list You can change the values defaulted from the product to suit the deal you are processing For more details on defining custom fields in Oracle FLEXCUBE refer the User Defined Fields User Manual Viewing Specifying MIS Details You can choose to perform MIS Refinancing on a daily basis for all bill contracts only if this option has been enabled in the Bank wide Preferences screen If the MIS refinancing has been set to a daily freguency you have to indicate the refinance rate pick up specification through the transaction MIS sub screen while processing the contract Click MIS button to invoke the MIS screen na ORACLE 7 3 7 Contract Reference MIS Group Fa V Link To Group pa Input Floating Rate Related Reference Related Refere
160. r _PFOLIOID_ This is the reference number which uniquely identifies the Portfolio _PFOLDESC This is the description assigned to the portfolio _CSNAME_ This is the name of the receiver of the advice 11 20 ORACLE 11 3 6 _ ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4_ _ CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected _CHGAMT_ This is the charge amount _DLREF_ This is the reference number assigned to the deal _DLTYPE_ This indicates the deal Type whether it is a liguidation deal or a Long Short deal _BSKREF_ This is the reference number of the basket to which the deal belongs _OPTFUT_ This indicates whether the contract is an Option or a Future _COSPTPRI This is the spot price of the underlying asset involved in the instrument _ SVALDT_ This is the date on which the liguidation gains losses will be settled _MVALDT_ This is the day on which the settlement of liguidation gains losses is to be done _VALDT_ This is the date on which the basket is to be liguidated _TXNDT_ This is the date on which the transaction was entered in Oracle FLEX CUB
161. r D20302 Deal Type LS Deal Product DP03 Instrument ID CME 90 day US T bill Future ie ORACLE Instrument Nov 00 Series Buy Sell S Booking Date 23 Nov 2000 Value Date 23 Nov 2000 Expiry Date 24 Nov 2000 Trade Rate 97 75 No of Contracts 100 In this case since the Portfolio Instrument Series Broker and Broker Account combination is the same as the one that was used to process the earlier deal D20101 the system uses the same basket BSK001 The balance in the basket prior to processing this deal was 200 Long contracts Since we are processing a short deal the balance in the basket will come down to 100 long contracts The accounting entries posted for partial liquidation of long contracts will be as follows ORACLE Event Code ECLG Accounting Role Dir CUEFSHE AMOU Description Indicator y nt Contingent Asset Debit USD 3500 Increase in Contingent Asset Contingent Asset Credit USD 3500 offset Contingent Asset Debit USD 97750 Eq Amt in pricing currency offset 0 Contingent Asset Credit USD 97750 Sold Asset in Asset Cur 0 rency Settlement Bridge Debit USD 97750 Closing Price in Pricing Cur 0 rency Control Credit USD 97750 0 Control Debit USD 97400 Holding Cost in Pricing Cur 0 rency Settlement Bridge Credit USD 97400 0 Control Debit USD 3500 Gain on closure in Pricing Currency Income Credit USD 3500
162. r words you indicate the type of deals that the product can cater to In Oracle FLEXCUBE you can set up products for the following deal types e Liquidation deals LQ deals e Long Short deals LS deals You can use Liquidation type of deal products for processing deals which involve any of the following activities e Manual exercise of options e Manual assignment of options e Exchange for physicals of futures Long Short type of deal products can be used for processing deals involving the following activities e Opening of Long Short Positions in Futures and Options e Closing of Long Short Positions in Futures and Options The accounting entries passed the messages that are generated and the processing of deals involving a product are determined by your entry in the Product Type field Whenever a product is created or modified on authorization of the deal product Oracle FLEXCUBE notifies the external system of the modification and creation of deal products The notification code used will be NOTIF_ET DEALPRODUCT Refer the documentation on Messages for further information on Notification Message Creating a Deal Product The information about the deal product is captured through the Exchange Derivatives Deal Product Definition screen You can invoke this screen by typing EDDDLPRD in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button fl ORACLE 7 2 0 1 P
163. rage can also be specified if the broker code chosen is associated with the deal product Brokerage association enables you to link a product a rule a currency or a currency pair in the case of foreign exchange products and a broker The attributes of the brokerage rule that you apply will be associated with contracts defined in this combination This can be done through the Brokerage Association screen For further information on the Brokerage Association screen refer to the chapter Processing Brokerage in the Brokerage User Manual Long Short Deal Financial Amendment During amendment if any field other than the Time Stamp and Remarks fields of a deal is modified system will treat the amendment as a financial amendment System will reverse the previous deal and book a new deal with modified details The external reference number of the original deal is retained and the two deals are linked by the external reference number Oracle FLEXCUBE provides the facility to amend the financial details of an LS deal through external upload If an amendment is uploaded without settlement details but there is no change in the product ID instrument ID and the portfolio system will default the settlement details of the original deal Financial amendments of LS deals are uploaded by the service FCUBSETDService with the operation ETDLSDealModify Note System allows financial amendments of LS deals only through Gateway uploads and not throug
164. ram Therefore the Deal Value will be calculated as follows 0 25 Option Premium X 12 Number of Contracts X 10 Pricing Multiple The Deal Value will be displayed as 30 USD Value Date Specify the Value Date here The Value Date represents the date from which the obligation or the right on the underlying asset takes effect on the parties involved in the deal The Value Date you specify can be one of the following e Today s date e_ Past Date Time Stamp and Transaction Date The Time Stamp is the exact time at which the deal transaction took place in the exchange You have to specify the time at which the deal transaction took place The transaction date is the date on which you entered the deal into Oracle FLEXCUBE The system gives the present date as the transaction date You cannot change it Money Settlement Date The Money Settlement Date or the MSTL Date represents the Value Date of the Money Settlement of the Premium Amount in a Long Short option deal If there is any money settlement involved in the deal you are processing you can indicate the date on which the money settlement for the Premium Amount in a long short option should be done Portfolio Identification Every deal that you capture in Oracle FLEXCUBE should be associated with the respective portfolio For instance if you are capturing the details of a deal on behalf of your bank s customer you must link it to the relevant customer portfolio Similarly
165. ranch where the deal was initiated _BRNNAME_ This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the _BRNADD2_ ca Each line of the address can contain a maximum of 35 charac BRNAPPS There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C _CONTRSTD These are the standard details of the contract _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT_ This indicates the basic nature of the underlying asset _COMPRSZ_ This indicates the manner in which the underlying asset has been prized in the market _ COMPRUT This is the Prizing Unit at which the underlying asset has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _STRPRI_ This is the strike price of the instrument series _STARTDT_ This is the start date of the instrument series _EXPRDT_ This is the end date of the instrument series _BRKID_ This is the code or ID of the Broker _BRKNAME_ This is the name of the Broke
166. rice is specified in index points per contract 1 ORACLE 11 2 9 Liquidation deal details Advice tag Description _BRANCH_ This is the branch code of the branch where the deal was initiated _BRNNAME This is the name of the Branch where the advice was generated _BRNADD1_ This is the address for correspondence of the branch which sent the _BRNADD2_ a Each line of the address can contain a maximum of 35 charac BRNADDBL There are three lines in which the branch address for correspondence can be keyed in _INSTRID_ This is the ID or Reference Number of the instrument _INSTRDES This is the description assigned to the instrument involved in the deal C_ _CONTRST These are the standard details of the contract D_ _CONTRVAL This is the actual value of the contract _ASSTYP_ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDESC This is the description assigned to the underlying asset _ASSNAT _ This indicates the basic nature of the asset _ COMPRSZ This indicates the manner in which the underlying asset has been rp prized in the market _ COMPRUT This is the Prizing Unit at which the underlying asset has been prized _SERIES _ This is the Series ID of the instrument series _SERDESC_ This is the description assigned to the series _STRPRI_ This is t
167. ries After you associate a code with the series you have to capture a brief description of the series This description will be associated with the series for information retrieval purposes Strike Price While capturing the details of an option instrument you need to indicate the price at which the option buyer can purchase the asset for a call option or sell the asset in the case of a put option The Strike Price is specified in terms of the Pricing Size and Unit maintained for the Instrument Therefore it is multiplied by the instrument pricing multiple to arrive at the contract value oe ORACLE 5 3 1 5 3 2 Trade Start Date and Expiry Date You can indicate the time period for which the series can be traded in the market by specifying the following e Trade Start Date e Expiry Date The Trade Date is the first date on which the series can be traded in the market The value dates of deals involving the particular series cannot be earlier than the Trade Date The Expiry Date is the date on which the series expires The value dates of any of the deals involving the series cannot be later than the expiry date The automatic Expiry Exercise liquidation of all open positions for a series is done as part of the End of Day activities on the expiry date of the series Examples of capturing Actual Instruments in Oracle FLEXCUBE In this section we will see how the details of actual ET instruments traded in the market can b
168. ription You may specify the following product preferences in the Preferences screen Asset Type You need to associate the product with an asset type A list of all the asset types maintained at your bank is available in adjoining list of options From this list select the asset type to be linked to the product Physical Settlement Possible Here you can indicate whether the long party involved in the deal can take physical possession of the underlying asset upon exercise or expiry of the instrument ia ORACLE 4 2 2 Select the Physical Settlement Possible checkbox to indicate that for instruments involved in the product the long party can take possession of the underlying asset Leave this box unchecked to indicate that physical settlement is not possible For example consider that you are specifying the preferences of a product which is meant for Index futures In such a case as there is no physical delivery of the index involved you must leave this box unchecked Prior Settlement Possible Positions in the Options contracts can be exchanged for the underlying assets by exercising the options Similarly positions in Futures contracts can be settled by exchanging them for the underlying physical assets Underlyings You have to indicate whether the positions of instruments involving this product can be exchanged for positions in the underlying asset before the expiry date Select the Prior Settlement Possible check box to allow e
169. rner of the Application tool bar and clicking on the adjoining arrow button 54 ORACLE Broker Master Maintenance E Broker Id Booking Advance Name Arrears Street Category Broker City Exchange Country Clearing Member Liquidation Transaction Code Tax Scheme F Exchange Traded Payable Currency Dekanoa Applicable For Tax Paid Tax Payable Account Account Fal Transaction Code Transaction Code az Broker Account Based on the Broker ID you select the system displays other details such as Name Address Street City and Country of the Broker from the CIF Maintenance screen The other details that you need to specify are Category Select the customer category under which the broker is categorized You have the following options e Broker e Exchange e Clearing Member Booking Select the method in which the brokerage amount is to be liquidated The options available are e Advance e Arrears Note The Arrears option is not valid if you have selected the Exchange Traded Derivatives check box a ORACLE 8 7 Tax Paid In this section select the account which is to be debited when tax is to be paid in the field Account Also select the transaction code associated with the account in the field Txn Code Tax Payable In this section select the tax payable account in
170. roducts help you manage your banks own trades and investments Under each type you can create multiple portfolio products Product Slogan You can enter a slogan for the product that you are creating In the Slogan field enter a slogan that suitably announces the product to your customers If you are creating your own portfolio you can identify it with an appropriate slogan for your bank s internal reference purposes Product Group Grouping products according to the common features they share helps you organize information relating to the services you provide This helps you retrieve information easily You can invoke a list of all the product groups that you have maintained in your bank Choose the product group to which the product you are creating belongs Product Start Date and End Date When you create a product you must also specify a date from which it can be offered You may also specify the date upto which you would like to offer the product Enter these dates in the Start Date and End Date fields Note Note that you cannot offer a product beyond the specified end date If you do not specify an end date for a product you can offer it for an indefinite period Remarks If you want to enter any remarks regarding the product do so in the Remarks field e2 ORACLE 6 2 1 Specifying other Details for the Portfolio Product Every product that you maintain in Oracle FLEXCUBE will impact specific accounting
171. ruments on the Expiry Date and fire automatic exercise for Long Positions and Assignment of Exercise for Short Positions for the portfolio The Instrument and the Series which is being traded will be marked as Expired and will be unavailable for further trading For your bank s own portfolios the system will compute the Exercise Gain and Assignment Loss and post relevant accounting entries for the same Note For Customer portfolios for Options with Future Style Premium the system does the mon ey settlement for the difference between the underlying asset Spot Price and the Option Strike Price In addition the money settlement for the Deal Premium is also calculated Automatic Expiry of Out At the Money Positions The Automatic Expiry of Out of the Money At the Money positions will identify all out of at the money instruments on the Expiry Date and fire an automatic expiry for the portfolio The Instrument and Series which is being traded will be marked as expired and will not be available for future trading For long positions in your bank s own portfolios the acquisition premium paid to be paid depending on the Premium Style will be expensed out For short positions within your bank s own portfolios the received to be received premium will be credited as income For your customer portfolios the basket is marked as Expired In case of Options with Future style of Premium the money settlement of the
172. s The nominal value of one futures con tract is EUR 1 000 000 Underlying Asset Details Underlying Asset One Three Month EURIBOR Futures contract Pricing Size 1 Pricing Size Unit Future Contract 30000 Pricing Unit Multi 30000 ple Price Code EUREX Example lll Equity Options on German Shares Contract Size Contracts are generally based on 100 shares of the underlying instrument However for shares with a nominal or calculated value of DEM 50 or eguivalent in euro the contract size is 10 shares Options on Munich Re and Allianz have a contract size of 50 shares Minimum Price Change The minimum price change for options is EUR 0 01 In the case of options on shares with a nominal value of DEM 50 price changes of DEM 0 1 are possible Settlement Physical delivery of 10 50 or 100 shares respectively of the underlying security ORACLE Settlement Day Two exchange trading days after exercise Last Trading Day The third Friday of the expiration month if this is an exchange trading day otherwise the exchange trading day immediately preceding that Friday Daily Settlement Price The last traded price of the trading day or if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions then Eurex will establish the official settlement price Exercise American style i e an option can be exercised un
173. s is the address for correspondence of the branch which sent the 5 advice Each line of the address can contain a maximum of 35 charac _BRNADD e S 2_ There are three lines in which the branch address for correspondence _BRNADD can be keyed in 3 Customer Details AGVIEe Description tag _CSNAM This is the name of the receiver of the advice E_ _ADRS1 This is the address for correspondence of the receiver of the advice Each line of the address can contain a maximum of 35 characters _ADRS2_ There are four lines in which the receivers address for correspondence ADRS3 can be keyed in _ADRS4 __ 11 2 2 Underlying Asset Details Advice tag Description _ASSTYP__ This is the Asset Type under which the underlying asset is grouped _COMDTY_ This is the name of the underlying asset _COMDES This is the description assigned to the underlying asset C _ASSNAT_ This indicates the basic nature of the asset _COMPRS This indicates the manner in which the underlying asset has been prized Z_ in the market _COMPRU This is the Prizing Unit at which the underlying asset has been prized T 11 2 3 Charge DetailsPortfolio Details Advice tag Description ORACLE _CHGCOMP This is the Charge component that has been linked to the deal _CHGCCY_ This is the currency in which charges have been collected
174. se in any inherently dangerous 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
175. selected the half yearly option and specified the start date as 31 and the start month as June The first revaluation will be done on 30 June for the period from January 1 to June 30 and the second one on 31 December for the period from 1 July to 31 December If the revaluation date falls on a holiday the system does the revaluation on the previous working day before the holiday For example let us assume that the revaluation date falls due on 31 June which happens to be a holiday The system completes the revaluation on the 30 June which happens to be a working day Specifying Statement Details Frequency If you have indicated that a Statement of holdings and transaction should be generated for the customer portfolio you have to indicate the frequency with which a statement should be generated The frequency that you specify can be e Daily e Monthly e Quarterly e Half yearly or e Yearly 920 ORACLE Based on the freguency that you specify you can also indicate the start date and month for the generation of the statement The system generates a statement of holding and transactions automatically as part of the end of cycle processing based on the preferences that you specified here When the statement generation date falls on a holiday the statement is generated on the next working day after the holiday 6 71 Specifying Role to Head Mapping Preferences As part of defining the portfolio product you have as
176. sociated the product with an appropriate accounting class To associate accounting role to head mappings or classes for the first three hierarchical levels click Role To Head button in the Portfolio Definition screen Role To Head Mapping Portfolio Role To Head Class Mapping Portfolio Id Role To Head az Portfolio Description Description Instrument Product Role To Head Class Mapping Il Product Description Role To Head Description instrument Role To Head Class Mapping Il instrument id Description Role To Head Description In the Portfolio Role to Head Mapping screen you can link accounting Role to Head mapping classes with any of the following e Portfolio and an Instrument ID e Portfolio and an Instrument Product e Portfolio ID Note For a detailed procedure on How to map Accounting Roles to Account Heads or How to link an accounting class with any of the three levels G2 ORACLE 6 7 2 6 7 3 Refer to the Common Procedures User Manual of Oracle FLEXCUBE Maintaining Instrument Restrictions for a portfolio You can establish certain controls over the instruments and instrument products that a portfolio can trade in You can achieve these controls by specifying restrictions through the Instrument Restrictions screen To invoke this screen click Instrument Restrictions button in the Portfolio Definition screen Instrument Restrict
177. st five exercise prices are introduced initially for each expiration month Option Premium The EUR equivalent of the premium in points is payable in full on the first exchange trading day following the trade date Trading Hours CET 8 25 a m until 5 00 p m In Oracle FLEXCUBE The details that you specify in the Instrument Definition screen should be as follows Product Code ODA 50 ORACLE Option Future Optio n Asset Type Index Physical Settle No ment Settle Before Yes Expiry 5 21 ORACLE 5 4 Instrument Details Reference 000ODAX00123 Instrument DAX Option Nature of Asset Real Asset Currency EUR Contract Size 1 Contract Size Unit Point Contract Value EUR 5 per DAX index point Call Put Indicator Call Pricing Currency EUR Pricing Size 1 Pricing Size Unit Point Pricing Unit Multiple 5 Precision 1 Minimum Price Move 0 1 ment Money Settlement Days 1 Physical Settlement days 2 Contract Standard The Deutscher Aktienindex DAX Underlying Asset Details Underlying Asset The Deutscher Aktienindex DAX Pricing Size 1 Pricing Size Unit Point Pricing Unit Multi 5 ple Price Code DAX Daily 5 30 Margin Maintenance at Instrument Level Initial and maintenance margins are maintained at the instrument level for a combination of instrume
178. strument that is processed in the system automatically inherits the characteristics of the underlying asset the pricing size and the unit will be defaulted to the Instrument a2 ORACLE For instance let us assume you are maintaining the currency DEM Deutsche Mark as a underlying asset in Oracle FLEXCUBE If DEM is guoted in the market in terms of 1 DEM then the Pricing Size and the Pricing Size Unit that you specify will be as follows Pricing Size 1 Pricing Size DE Unit M Similarly if you are capturing the details of the commodity titled Crude Oil and Crude Oil is guoted in the Market in terms of 1 barrel your entries in the respective fields will be Pricing Size 1 Pricing Size Bar Unit rel Examples of how to define an underlying asset in Oracle FLEXCUBE Let us assume you want to define the following underlyings e DEM Deutsche Mark e Crude Oil While maintaining the details of each underlying your entries in Oracle FLEXCUBE will have to be as follows Scenario 1 DEM Underlying DEM Asset Asset Type CUR RENCY Nature of Asset Real Pricing Size 1 Pricing Size Unit DEM Scenario 2 Crude OIL Commodity CRUD E Asset Type FUEL Asset Nature Real Pricing Size 1 Pricing Size Barrel Unit me ORACLE 4 1 4 2 4 Creating Instrument Products Introduction An Instrument Product is a broad cl
179. system refer to the Margin Maintenance user manual 2 4 Illustration of the ETD Workflow The data diagram given below adequately illustrates the work flow of the ETD module Portfolio Product Broker Broker Account EN le Exchange Deal Transaction Basket Reference Portfolio ID Instrument ID Series Broker Broker Account iry Exercise ae EFP Delivery oe ORACLE 3 1 3 2 3 Underlying Asset Definition Introduction Derivatives are contracts which convey the right obligation to buy or sell a specified asset at a specified price at a specified future date An underlying asset or also called Commodity of the derivative contract is the one that is to be bought or sold on a future date Existing currencies within Oracle FLEXCUBE can be identified as underlying assets For example U S Dollar USD which is recognized as a currency in Oracle FLEXCUBE would be the underlying asset for a US Dollar option Similarly Eguities Bonds and Zero Coupon bonds can also be defined as underlying assets This chapter details the procedures for defining Commodities or Underlying Assets in Oracle FLEXCUBE Defining Underlying Asset In Oracle FLEXCUBE the underlying assets or commodities can be categorized and maintained through the Underlying Asset Definition screen You can invoke this screen by typing EDDCOMDF in the field at the top right corner of the Application tool bar and
180. t Date and End Date When you create a product you must also specify a date from which it can be offered You may also specify the date up to which you would like to offer the product Enter these dates in the Start Date and End Date fields Note Note that you cannot offer a product beyond the specified end date If you do not specify an end date for a product you can offer it for an indefinite period Remarks If you want to enter any remarks regarding the product do so in the Remarks field Specifying your Preferences for the Deal Product Click Preferences button to specify preferences for the product through the Margin Product Preferences screen 912 ORACLE 6 4 Margin Product Preferences Product Product Description Preferences Rekey Required Rekey Scheme Id Rekey Settlement Amount Rekey Scheme Event In Oracle FLEXCUBE all operations on a deal input amendment modification etc have to be authorized by a user other than the one who entered the deal details These operations have to be carried out before the end of day activities have begun Authorization is a way of checking the entries made by a user As part of specifying the preferences for a deal product you can indicate that details of certain fields should be re entered when a deal is invoked for authorization as a cross checking mechanism The complete details of the deal will be displayed only after the values to these fields are ent
181. t of the Settlement Process will be 12 Contracts at 280 USD where the average cost of holding will be 280 12 USD 23 33 USD Realized Revaluation of Open Positions As part of this running this process the system will egual the Holding Cost of the portfolio to the Current Market Price and account for the Realized Gain or Loss The events that can be triggered in Oracle FLEXCUBE for processing Realized Revaluation is Event er Code Description ERVL Revaluation of Long Position ERVS Revaluation of Short Posi tion Let us extend the above example and see what happens when Realized Revaluation is done for all Open Positions in Futures ORACLE 9 3 3 9 3 4 Existing Positions Opening Position for the day 10 Contracts Long Last Market Price 230 USD for 10 contracts Deals for the Day 2 Contracts Long at 25 USD Contract Result cess Result of Settlement Pro 12 Contracts at 280 USD Average Cost of Holding 9280 12 23 33 USD New Price per Contract 25 USD Revaluation Gain 1 67 USD per contract 20 04 for 12 contracts New Holding C ost 25 USD per contract 12 contracts 300 USD Settlement of all Closing Deals for the Day As part of settling all Closing deals for the day the system calculates and posts accounting entries for the closure gain or loss The events that can be triggered in Oracle FLEXCUB
182. te represents the date on which the basket is to be liquidated This is the date as of which the accounting entries will be posted for booking the liquidation gains and losses Time Stamp and Transaction Date You have to capture the exact time at which the deal transaction took place in the exchange The transaction date is the date on which you entered the deal into Oracle FLEXCUBE The system puts today s date as the transaction date You cannot change this date Settle Date If the basket involves physical settlement of the underlying asset you have to indicate the date on which the physical settlement of futures should be done Note The ETD module of Oracle FLEXCUBE does not support any processing with respect to the physical settlement of deals Money Settlement Date If there is any money settlement involved in the liquidation deal you are processing you can indicate the date on which the money settlement of liquidation gains losses is to be done Other details of the LQ Details screen The following details of the Liquidation details screen are picked up from the Instrument Definition screen and displayed in their respective fields on saving your entries e Strike Price at which the option buyer can purchase the asset for a call option or sell the asset in the case of a put option e Underlying Asset involved in the deal e Basket Reference number involved in the deal e Expiry Date of the series e Additional information about
183. the Instrument to be processed for such instruments For your own portfolios you are allowed to do a Notional Revaluation for such Instruments e Choose Option with Futures Style for not booking the Premium Amount during the Opening Closing of Position i e there is no exchange of Cash during the deal But based on the every day closing prices of the Instrument there will be a variation Margin Computation that has to be exchanged between the Portfolio and Broker Revaluation based on Cash Basis Specifying the Underlying Asset details Underlying Asset After you have indicated the instrument details you must specify the underlying asset which is to be linked to the instrument being defined The option list available for this field is populated based on the Asset Type linked to the product involving this instrument You can select an appropriate underlying code a ORACLE 5 2 3 Pricing Multiple Specify the Pricing Multiple of the underlying here The Pricing Multiple is the multiplication factor that should be applied to the Price of the Underlying to arrive at the price per contract Example Let us assume that you are maintaining the details of a Gold Option The Contract Size you have specified is as follows Contract 10 Size Unit Kilo grams The underlying you have linked to this instrument is Gold and it is priced in terms of 10 grams The Pricing Multiple that you define for this contract w
184. through the Margin Product Maintenance screen You can invoke this screen by typing MGDCPROD in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button Margin Product Definition Product Code Exchange Rate Variance Product Description Override Limit Product Type Stop Limit Description Rate Code Slogan Product Group Product Group Description Start Date End Date Remarks Rate Type Maker Date Time Checker Date Time Mod No Record Status Authorization Status In this screen you can enter the following basic details of the margin product e Product code and module e Description of the product e Product type e Slogan for the product e Group to which the product belongs e Start date of the product e End date of the product e Remarks 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 Charges e User Defined Fields Product Code and Product Description You can identify a product that you maintain with a unique Product Code and a brief description on ORACLE 6 3 1 In the Product Code field you must assign the product a unique code which is unique across all the modules of Oracle FLEXCUBE This code helps in identifying the product You can briefly describe a product that you create in the Description field
185. til 18 30 on any exchange trading day during the lifetime of the option except on days where resolutions regarding dividends take place Expiration Months Group A shares the three nearest calendar months as well as the following two months within the cycle March June September and December thereafter i e up to a maximum lifetime of 9 months Group B shares the three nearest calendar months as well as the following three months within the cycle March June September and December thereafter i e up to a maximum lifetime of 12 months Group C shares the three nearest calendar months as well as the following three months within the cycle March June September and December thereafter and the following two months within the cycle June and December thereafter i e up to a maximum lifetime of 24 months Exercise Price Options series may have the following exercise prices Shares with a nominal or calculated value of DEM 50 Shares with a nominal or calculated value of DEM 50 Exercise Prices Exercise Price Intervals EUR 1 to EUR 20 EUR 1 EUR 22 to EUR 50 EUR 2 EUR 52 50 to EUR EUR 2 50 only the two next expiration months 100 EUR 55 to EUR 100 EUR 5 EUR 110 to EUR 200 EUR 10 EUR 220 to EUR 500 EUR 20 EUR 525 to EUR EUR 25 only the two next expiration months 1 000 EUR 550 to EUR EUR 50 2 000 EUR 2 100 and above EUR 100 GU ORACLE Shares with a nominal or cal
186. tion instrument we had indicated that the contract size was 10 kilograms of Gold Now as part of specifying the premium of this option if we were to specify that it should be guoted per every gram of gold the instrument pricing size and unit will be as follows Instrument Pricing 1 Size Instrument Pricing Unit Gra Conseguently the multiplication factor to arrive at the Cost Per Contract Pricing Multiple eguals 10000 Specifying the Price Movement Details Minimum Movement To be able to trade in the instrument the exchange might specify a certain minimum movement in the price of the instrument The price that you enter in this field is merely for information purposes and is not used during contract processing This value is also referred to as the Tick Size of the Instrument Maximum Movement The value that you capture in this field is meant for your internal reference only No processing is done in Oracle FLEXCUBE based on this value This price is set at the exchange and is indicative of the forward movement in the instrument price When the instrument price reaches this limit trading in this instrument will be suspended for the particular day by the exchange Specifying Maximum Open Positions details Certain exchanges you deal in may place restrictions to mitigate the default risk by the various investors Irrespective of the exchange having this restriction your bank may want to impose a restricti
187. tions on a deal input amendment modification etc have to be authorized by a user other than the one who entered the deal details These operations have to be carried out before the end of day activities have begun Authorization is a way of checking the entries made by a user As part of specifying the preferences for a deal product you can indicate that details of certain fields should be re entered when a deal is invoked for authorization as a cross checking mechanism The complete details of the deal will be displayed only after the values to these fields are entered The fields for which the values have to be given are called the re key fields You can specify any or all of the following as re key fields e Broker Account e Instrument ID e Portfolio ID e Series ID a ORACLE 7 2 2 7 2 3 e Broker ID e Number of Contracts e Price If no re key fields have been defined the details of the deal involving the product will be displayed immediately when the authorizer calls the deal for authorization The re key option also serves as a means of ensuring the accuracy of inputs You can specify the authorization re key fields through the Deal Product Preferences screen Defining the Charge Components In the ETD module of Oracle FLEXCUBE charges can be associated and accounted for only with the Booking of the deal You can calculate and deduct charges as a percentage of the deal amount You can specify the char
188. trument Price Definition screen You can invoke this screen by typing EDDINRAT in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button oe ORACLE 8 6 Instrument Price Maintenance Instrument Id Pricing Currency Series Details Series Id Market Date Market Price Input By Date Time As part of indicating the Instrument Price you have to capture the following details Instrument Identification Select the instrument for which you are maintaining prices You can specify the following details under Series Details Series ID Select the ID of the Series to which the instrument is attached The option list includes all Series Ids you have maintained through the Instrument Series screen Market Date Indicate the date as of which you are maintaining the market price for the instrument Market Price Specify the Market Price of the instrument If you fail to update this price during EOD the system will pick up the previous day s price for the purpose of revaluation Maintaining Broker Accounts You can capture details of broker accounts which should associated with the Broker ID through the Broker Master Maintenance screen Only those accounts maintained in this screen will be impacted while processing margin settlement transactions involving the particular broker You can invoke this screen by typing BRDMAST in the field at the top right co
189. uct over a specific period you can define a Start Date and an End Date The settlement date of an instrument involving a product should be e Same as or later than the Start Date 2 ORACLE 4 2 1 e Same as or earlier than the End Date of the product The Start and End Date of a product is useful when you are defining a product that is applicable for a specific period Note If you do not specify an End Date the product can be used until it is closed Remarks Provide information about the product for the internal reference of your bank These remarks are shown when the details of the instrument are displayed or printed This information is not printed on any correspondences with the customer Specifying the Product Preferences Preferences are the options available for defining the attributes of a product The instruments categorized under a product will inherit the preferences that are defined for it To invoke the Instrument Product Preferences screen click Preferences button In this screen you can define preferences for the product you are creating Preferences Product Code Product Description Type Product Type Description Preferences Asset Type D Physical Settlement Possible Prior Settlement Possible Auto Exercise In this screen the following are displayed from the values you specify in the Product Maintenance screen e Product code and Description e Product Type and Desc
190. ucts explains the features unique to the Deal product General Maintenance explains the necessity of maintaining the following Instrument Prices Commodity Price Chapter 8 Price Codes Broker Accounts Broker Schemes Chapter9 Automatic Daily Processing Chapter Annexure A Event wise Accounting Entries for your Own Portfolio 10 Ve ORACLE Chapter Annexure B Advice tags and their descriptions 11 Processing an ET Deal discusses how you can process Long Short and Chapter 8 Liquidation type of deals It also explains how you can match deals for your bank s own portfolios Automatic Daily Processing discusses the End of Day processes that are carried out during the life cycle of an ETD contract Chapter 7 40 In addition you will also find samples of accounting entries that will be posted during the batch processing programs for Futures as well as Options Chapter Annexure A provides a list of suggested event wise accounting entries for 11 your bank s as well as your customer portfolios Chapter Annexure B contains a list of all the advice tags that will be shipped along 12 with the module 1 6 Related Documents e The Procedures User Manual 1 7 Glossary of Icons This User Manual may refer to all or some of the following icons Icons Function b3 Exit Add row Delete row a Option List 1 8 Related Documents
191. vice FCUBSETDService with the operation ETDLGDealModify Note System allows financial amendments of LO deals only through Gateway uploads and not through the front end 7 4 Matching Deals You can match deals for your bank s own portfolios through the ETD module of Oracle FLEXCUBE If the portfolio from which you are buying or selling is priced using the Deal Matching methodology you should identify the buy deal against which the sell liguidation deal is to be matched You can do this through the Deal Matching screen of the ETD module You can invoke the Liquidation Deals screen by typing EDDMATCH in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button HE ORACLE Deal Matching 1 Nev Basket Reference Broker Id Instrument Id Broker Account Series Id Portfolio Id Closing Deal Reference as Guery Criteria Closing Deal Type Value Date Time Latest Event Seguence Number Matched Unmatched Number of Contracts Branch Open Deal Details alue Date Time Basket Reference In this screen first you specify the Basket Reference for which you intend to do the Deal Matching The Basket Reference number available in the option list is displayed based on the following criteria 1 The Portfolio involved in the basket should be your Bank s own portfolio 2 The Option Costing Method specified for the portfolio should be Deal Matching
192. xchange of positions before the expiry date Leave this box unchecked to indicate that exchange of positions should not be allowed Auto Exercise Select this check box to indicate that instruments should be exercised automatically During EOD process any instrument will be automatically exercised only if this option is checked for the underlying product Whenever an instrument is liguidated before expiry the instrument will be open until it is exercised manually or through an upload from an external system An example of how to define an Instrument Product in Oracle FLEXCUBE Let us assume you want to define an American Currency Option where the product code ACYO It should be linked to the underlying asset type Currency You want to allow the long party to take possession of the underlying asset Moreover the instrument involving this product can be settled before the expiry date Your entries in the Instrument Product screen should look like this Product Code ACYO Product Type Option Asset Type Cur rency Physical Settlement Possi Yes ble Prior Settlement Possible Yes While capturing the details of a European Index Option apart from specifying a unique product code you will have to specify Index in the Asset Type field and leave the Physical Settlement Possible box unchecked Specifying Branch and Currency Restrictions When you create a product it is by default available for use in a
193. xercise Long positions e Assign Short positions e Exchange for physicals in Long Short positions When each of these events is triggered in Oracle FLEXCUBE appropriate accounting entries need to be posted to a variety of GLs Besides you would also like to perform notional revaluation for the open positions on a daily basis To cater to these diverse requirements you would need to set up portfolio products wherein for each product you have to e Identify the GL types and GLs that would be impacted e Define life cycle events e Create role to head mappings In addition to identifying the accounting entries you would also need to identify the MIS Heads under which you would like to report the portfolio To eliminate the process of defining multiple portfolio products and to restrict portfolios within a product from holding specific instrument products you need to follow a preferential hierarchy while defining accounting roles and account heads The order in which you would need to define Role to Head mappings is as follows 1 A portfolio and the Instrument involved in the portfolio a ORACLE 2 A portfolio and the Instrument Product involved in the portfolio 3 A specific portfolio 4 A portfolio product as a whole By defining role to head mappings at the four hierarchical levels you can maintain a single comprehensive portfolio product which can be used to process all possible events for options as well as futures
194. y beginning of day Financial Controller Product Managers Generation of queries reports 1 3 Documentation Accessibility For information about Oracle s commitment to accessibility visit the Oracle Accessibility Program website at http Avww oracle com pls topic lookup ctx acc amp id docacc 1 1 ORACLE 1 4 Abbreviations ee Description ETD Exchange Traded Deriva tive ET Exchange Traded LQ Liquidation type of deal LS Long Short deal type CM Clearing Member EOD End of Day 1 5 Organization This manual is organized into the following chapters About this Manual gives information on the intended audience It also lists CHA the various chapters covered in this User Manual Exchange Traded Derivatives An Overview gives a snapshot of the fea Chapter 2 tures that the module provides Chapter 3 Underlying Asset Definition details the procedures for defining Underlying p Assets in Oracle FLEXCUBE Chapter 4 Creating Instrument Products explains how to set up ET instruments as products in Oracle FLEXCUBE Chapter 5 Defining ET Instruments explains how you can define instruments Creating Portfolio products and Portfolios describes how you can set up Chapter 6 portfolio products for the ETD module It also explains how you can create individual portfolios for your bank and your bank s customers Chapter 7 Defining Deal Prod

Exchange Traded Derivatives User Manual

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