Contents

1. Preface

  • 1.1 Introduction
  • 1.2 Audience
  • 1.3 Documentation Accessibility
  • 1.4 Acronyms and Abbreviations
  • 1.5 Organization
  • 1.6 Related Documents
  • 1.6.1 Glossary of Icons
  • 2. Derivatives - An Overview

  • 2.1 Introduction
  • 2.2 Types of Derivatives
  • 2.3 Features of Derivatives Module
  • 2.3.1 Derivatives Workflow
  • 2.3.2 Maintaining Mandatory Details
  • 2.3.3 Defining Fair Price Revaluation Methods
  • 2.4 Reports in Derivatives Module
  • 2.4.1 Generating reports in Derivatives Module
  • 3. General Maintenance for the Derivatives Module

  • 3.1 Derivative Type Maintenance
  • 3.1.1 Maintaining Derivative Types
  • 3.1.2 Fields Button
  • 3.2 Derivatives Branch Parameters Maintenance
  • 3.2.1 Maintaining Branch Parameters
  • 3.3 Counterparty Master Agreement Maintenance
  • 3.3.1 Maintaining Counterparty Master Agreement Details
  • 3.4 Clearing House Maintenance
  • 3.4.1 Maintaining Clearing Houses
  • 3.5 Messaging Parties Maintenance
  • 3.5.1 Maintaining Messaging Parties Details
  • 4. Defining Attributes Specific to Derivative Products

  • 4.1 Derivatives Product Definition
  • 4.1.1 Creating Derivative Product
  • 4.1.2 Preferences Button
  • 4.2 Derivatives Revaluation Contract Fair Values
  • 4.2.1 Defining the Fair Price Revaluation Methods
  • 4.2.2 Maintaining Fair Values for Revaluing a Contract
  • 4.2.3 Operations on the Contract Fair Price Maintenance record
  • 4.3 Derivatives Revaluation Branch Interest Rates
  • 4.3.1 Maintaining Branch-wise Forward Interest Rates
  • 4.3.2 Operations on the Branch wise Forward Interest Rate Maintenance record
  • 4.4 Derivatives Revaluation Contract Interest Rates
  • 4.4.1 Maintaining Contract specific Forward Interest Rates for Revaluation
  • 4.4.2 Operations on the Contract Specific Forward Interest Rate Maintenance record
  • 5. Processing a Derivatives Contract

  • 5.1 Derivatives Contract Input
  • 5.1.1 Maintaining the Derivative Contract Input Screen
  • 5.1.2 Main Tab
  • 5.1.3 Details Tab
  • 5.1.4 Additional Tab
  • 5.1.5 Termination Details Tab
  • 5.1.6 Event Button
  • 5.1.7 Brokerage Button
  • 5.1.8 Settlements Button
  • 5.1.9 Advice Button
  • 5.1.10 Interest Button
  • 5.1.11 Charges Button
  • 5.1.12 Tax Button
  • 5.1.13 Fields Button
  • 5.1.14 Principal Button
  • 5.1.15 Saving the Details of a Contract
  • 5.2 Contract Upload
  • 5.2.1 Uploading Contracts for Amendment
  • 5.2.2 Operations on a Derivatives Contract Record
  • 5.2.3 Uploading Derivative Rates
  • 5.3 Schedule Confirmation
  • 5.3.1 Confirming of Interest and Principal Schedules
  • 5.4 Derivatives Contract Reassign
  • 5.4.1 Reassigning a Contract to another User
  • 6. Batch Processing

  • 6.1 Daily Events
  • 6.1.1 Processing Daily Events
  • 6.2 Mandatory Batch Program Maintenance
  • 6.2.1 Invoking the Automatic Daily Program
  • 6.3 Batch Process
  • 6.3.1 Triggering the Year-end Batch process for collecting Contract-wise Data
  • 6.3.2 Uploading DV Contracts
  • 7. Error Messages for Derivative

  • 7.1 Error Codes and Messages
  • 8. Reports

  • 8.1 Introduction
  • 8.2 Interest Accrual Report
  • 8.2.1 Generating Interest Accrual Report
  • 8.2.2 Contents of the report
  • 8.3 Back Dated Deals Report
  • 8.3.1 Generating Back Dated Deals Report
  • 8.3.2 Contents of the report
  • 8.4 Contract Activity Report
  • 8.4.1 Generating Contract Activity Report
  • 8.4.2 Contents of the report
  • 8.5 Customer-Wise Contract Details Report
  • 8.5.1 Generating Customer-wise Contract Details Report
  • 8.5.2 Contents of the report
  • 8.6 Customer-Wise Contract Summary Report
  • 8.6.1 Generating Customer-wise Contract Summary Report
  • 8.6.2 Contents of the report
  • 8.7 Process Exception Report
  • 8.7.1 Generating Process Exception Report
  • 8.7.2 Contents of the report
  • 8.8 Revaluation Log Report
  • 8.8.1 Generating Revaluation Log Report
  • 8.8.2 Contents of the report
  • 8.9 Settled Deals Report
  • 8.9.1 Generating Settled Deals Report
  • 8.9.2 Contents of the report
  • 9. Annexure A - Accounting Entries and Advices

  • 9.1 DV Events
  • 9.2 Amount Tags
  • 9.3 Accounting Roles
  • 9.4 Event-wise Accounting Entries and Advices
  • 9.4.1 Accounting Entries and Advices
  • 9.4.2 DBOK: Contract Booking
  • 9.4.3 DINT: Contract Initiation
  • 9.4.4 DILQ: Contract Interest Liquidation
  • 9.4.5 DPLQ: Contract Principal Liquidation
  • 9.4.6 DRVL: Contract Revaluation
  • 9.4.7 DIAM: Contract Inception Amortization
  • 9.4.8 DTER: Contract Termination
  • 9.4.9 DAMN: Contract Amendment
  • 9.4.10 DIAC: Contract Interest Accrual
  • 9.4.11 DTAM: Contract Termination Amortization
  • 9.4.12 DRRL: Contract Revaluation Reversal
  • 10. Function ID Glossary