Accounting Treatment

The value that you select from this drop-down list box determines which set of accounting templates on the Accounting Templates page to use when you are generating accounting events for the deal. You can create additional accounting treatment types by adding or modifying translate values for the TRA_ACTG_TREATMENT field by using PeopleSoft Application Designer.

The Financial Accounting Standards Board (FASB) defines these options:

Available for Sale: Indicates that the deal could be sold before its maturity date.

Held to Maturity: Indicates that the deal will be held until its maturity date.

Loans and Receivables: Indicates that the deal is a loan that is granted by the enterprise's treasury.

Trading: Indicates that the deal will likely be sold before its maturity date.

Other: Indicates that items do not fall within the previously listed parameters.

Amort Method (amortization method)

See Defining an Amortization Method for an IRP (Interest Rate Physical) or IR (Interest Rate) Swap Deal

Business Day Convention

For the purposes of calculating interest, a business day convention is used for establishing the beginning and end of interest periods. The options are:

• Following: If the date of interest period begins or ends on a weekend day or a holiday, then the first business day following the date is used.

• Modified Following: The same as Following with the exception that if the date falls on the end of the month, then the last business day of the month is used. For example, if the end of the period falls on a Saturday and it is the end of the month, then the previous Friday is used.

• Previous: If the date of interest period begins or ends on a weekend day or a holiday, then the last business day before the date is used.

• Modified Previous: The same as Previous with the exception that if the previous day falls on the end of the previous calendar month, then the first business day of the current month is used.

Cash Flows

Click to view the cash flows that result from this deal.

This button initially generates cash flows if none exist. After cash flows have been generated, and if the parameters of the deal have not been changed, clicking this button displays the previously generated cash flows.

The display of the Cash Flow buttondepends upon the instrument type that is selected.

Compound Frequency

Define at what interval the interest compounds.

Day Count Basis

Select a day count basis. Values are:

30/360: Assumes that a year consists of 12 months with an equal length of 30 days. A special rule applies when you are dealing with the end of a month.

30E/360: Assumes that a year consists of 12 months with an equal length of 30 days. This is also known as Euro 30/360.

Note. The difference between the 30/360 calculation and the 30E/360 calculation occurs when a period ends on the 31^st but did not start on the 30^th or 31^st. In this case, the 30/360 calculation uses the 31^st day as equal to 31, while the 30E/360 calculation uses the 31^st day as equal to 30. For example, using the 30/360 calculation, the period starting December 1 and ending December 31 contains 30 days. Using the 30E/360 calculation, however, the same December time period contains only 29 days.

Actual/360: Assumes that a year consists of 360 days, but the months are counted as actual calendar days.

Actual/365: Assumes that a year consists of 365 days, but the months are counted as actual calendar days.

Actual/Actual: Assumes that the number of days between two dates is the actual number of calendar days.

Day Counted Interest

Select to have the system use the actual number of days between interest dates to calculate interest payments. If you select this value, then select Use Actual Interest Dates or Use Nominal Datesto determine which interest dates to use when calculating interest payments.

If you select Use Nominal Dates, the nominal interest dates (the interest dates before adjusting for nonbusiness days and weekends) determine the amount of the interest payment. If you select Use Actual Interest Dates, the actual interest dates (the interest dates after adjusting for nonbusiness days and weekends) determine the amount of the interest payment.

Deal Status

This field has the default value of Open until you change it. The security level dictates whether you can change this value. Open deal status is the standard for preapproved deals or deals that require approval. Values are:

Deactivated: Indicates an open deal, erroneously entered and canceled.

Forecasted: Indicates a forecasted transaction.

Matured: Indicates a contractual deal past its maturity date.

Open: Indicates an active and open contractual deal. This is the default status for all deals.

Sample: Indicates a sample-only deal; do not use as an actual deal transaction.

Sold / Bought Back: Indicates a deal sold that is to another counterparty or bought back from the counterparty.

Under Negotiation: Indicates a deal that’s in the process of being entered or preauthorized.

Partially Sold / Bought Back: Indicates a part of a deal that is sold to another counterparty or bought back from the counterparty.

Deal Test

Click to ensure that this deal meets the conditions that are specified on the Deal Conditions page. If the deal meets the specified conditions, a message states that the deal passed checks. If not, the Deal Checking page displays the conditions that were not met. You can use this function only if a deal exists in a position tree to use this function. A deal exists in a tree if you select the Deal Must Exist as a Leaf check box in the Tree Wide Options page.

See Specifying IRP Deal Details.

See Defining Position Limits.

Description

For a single line instrument or for futures, if the Description field is blank, the system supplies the description when you save the deal. Leave the Description field blank, enter all deal specifics, save the deal, and then edit the system-generated description according to your requirements.

Exclude from Position

Select to exclude this deal from position analysis. Use this as a flag when you set up selection criteria in position analysis. When excluding a position from position analysis, you must add a selection condition to the top node of the position tree. For example:

EXCLUDE FROM POSITION Not Equal Y

Fees

Click to access the Fee Entry page to enter fees that are associated with a deal. The display of the Fees link depends upon the instrument type that is selected.

See Creating Fee Entries.

First Coupon Period

You must select a value for this field if you selected the Same Interest for each Period option.

Define the term for the first interest payment. Options are:

• Long First Coupon Period: If, based on the payment scheduling, the first coupon due date arrives before a full payment period has elapsed, the payment is held until the next coupon due date and combined with the payment due for that full period. For example, if the payments are scheduled for the end of each month, and the deal is carried out in the middle of the month, the first coupon is due at the end of the following month, thus creating a long first coupon period of one and a half months.

• Normal First Coupon Period: The coupon period commences on the day that the deal is executed and the first payment is due at the end of one full period.

• Short First Coupon Period: If, based on the payment scheduling, the first coupon due date arrives before a full payment period has elapsed, the initial payment is made regardless. For example, if the payments are scheduled for the end of each month, and the deal is executed in the middle of the month, the first coupon is paid after only a half of a normal coupon period has elapsed.

Forwards from Issue Date

See Interest Date Rule.

Index Margin

For interest calculations, the index margin is the value that is added to the reset index, or the value by which the reset index is multiplied. Use the Margin Operator field to specify whether the interest calculation involves adding or multiplying of the index margin value.

Instrument Types

Displays the instrument type on which the deal is based. This field is a link on the Deal Detail page that accesses the Instrument Detail page. Changes that are made to the instrument type when you are navigating using this link will not be reflected in the current deal. Only deals that are created in the future will reflect any of the changes.

Interest Calculation

Specify the method to use to calculate interest from the:

Discount to Yield: Select for discount securities that are quoted using a money market yield. This method uses the rate to derive the settlement amount. The difference between the settlement amount and the par amount is the interest.

Interest Bearing: Select for interest-bearing instruments. This method calculates interest for each period and pays interest on each period end date.

Straight Discount: Select for money market instruments that are quoted on a straight discount or discount rate basis. This method uses the rate to calculate a discount amount, and then subtracts this amount from the par amount to obtain the purchase price or settlement amount.

Interest Date Rule

Select an interest date rule to use to define how interest is calculated and when payments will be paid. Depending on the values that you select in this list, complete the related fields. Values are:

• No Interest Date Rule:No predefined calculation is used for determining interest.

• Backwards from Maturity Date: Interest is calculated starting from the maturity date backwards toward the issue date. This is used for instruments such as treasury bonds that have a final maturity date after which no further interest is accrued.

• End of Month:

  Select to indicate that interest payments will be paid at the end of each month. Enter a numeric equivalent in the Coupon Month field for the first month that interest will be paid.

• Forwards from Issue Date: Interest is calculated beginning from the issue date and going forward to the maturity date.

• Nth Weekday: Enter a week and day on which the interest period will end. For example, select Nth Weekday, Third in the Nth Week field, and Friday in the Weekday field to designate that the end of the interest period will always fall on the third Friday of every month.

• Override Month and Day: Select Override Month and Day and enter a month and day to designate when the interest period ends. For example, enter 10 in the Coupon Month field and 23 in the Coupon Day field to indicate that the interest period ends on the 23^rd day of every month beginning with the month of October.

Interest Dates

Values are:

• Use Nominal Dates: Determines the amount of the interest payment based on the interest dates before adjusting for nonbusiness days and weekends.

• Use Actual Interest Dates: Determines the amount of the interest payment based on the interest dates after adjusting for nonbusiness days and weekends.

Interest Frequency

Select an interval that reflects the cash flow frequency for the deal. Options are Annual, At Maturity, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, and Weekly. In the Compounds field, define how frequently this interest interval compounds. Options are Annual, At Maturity, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, and Weekly.

Interest Period Start Date

The Interest Period Start Date and Issue Date fields display the settlement date by default for both investments and debt instruments. In the case of investments, the interest period start date can be changed to a date in the past. The system then calculates the purchased interest.

Instrument Notes

Click to access the Show Treasury Instrument Notes page to review notes about the deal's underlying instrument. This text field is for reference only; you cannot modify the notes.

Last Coupon Period

You must select a value for this field if you selected the Same Interest for each Period option.

Define the term for the last interest payment. The values are:

• Long Last Coupon Period: If, based on the payment scheduling, the maturity date arrives before a full payment period has elapsed, the final full coupon period is combined with the remaining partial period. For example, if the payments are scheduled for the end of each month, and the deal matures in the middle of a month, a long-last coupon period of one and a half months is created.

• Normal Last Coupon Period: The coupon period commences on the day that the deal is completed and the first payment is due at the end of one full period.

• Short Last Coupon Period: If, based on the payment scheduling, the deal maturity date arrives before a full payment period has elapsed, the final payment is made based on the length of the partial period. For example, if the payments are scheduled for the end of each month, and the deal matures in the middle of the month, the last coupon is paid after only a half of a normal coupon period has elapsed.

Margin Operator

Select the operation, add or multiply, by which the rate as per the reset index is acted upon by the index margin to calculate the adjusted rate.

Maturity Date

The date on which your deal matures or ends. Enter a date or have the system calculate a maturity date based on the issue date and term that is entered.

Net Deal Settlement Cash Flows

Select this check box if your instrument has more than one instrument base type or contains an interest rate swap, and you require that cash flow from one instrument base type or swap leg net with cash flow from another instrument base type or swap leg.

Payment Date

Select from the following options and enter a value in the +/- Payment Days field:

• Business Days - Paid in Advance: The system calculates a payment for a specified number of days before the interest period start date, excluding days that are specified as nonbusiness days in the PeopleSoft system's calendar functionality. For example, if you specify Saturday and Sunday as nonbusiness days, the system does not include these days and uses a normal business week (Monday through Friday) to calculate the payment date.

• Business Days - Paid in Arrears: The system calculates a payment for a specified number of days after the interest period end date, excluding days that are specified as nonbusiness days on the PeopleSoft calendar functionality.

• Calendar Days - Paid in Advance: The system calculates a payment a specified number of days before the interest period start date, and includes all days, both business and nonbusiness days. For example, if you specify Saturday and Sunday as nonbusiness days, the system includes these days in calculating the payment date.

• Calendar Days - Paid in Arrears: The system calculates a payment a specified number of days after the interest period end date, and includes all days, both business and nonbusiness days. .

Pool Information

Click to access the Pool Information page for details regarding the investment pool that is the source of funds that are used to finance the deal.

See Managing Investment Pools.

Portfolio

Select the portfolio that categorizes the deal.

Rate

Enter the interest rate for the deal.

Rate Type

Select whether the interest rate for this instrument is fixed or floating. If you select Fixed, enter the rate. If you select Floating, enter the reset index for the floating rate.

Reference

If the trade is assigned any unique reference numbers by the counterparty, you can record them in this field.

Repeat Interest Dates

This check box is automatically selected if the interest-rate physical or interest-rate swap transaction has multiple interest cash flows. This is defined at the instrument type level.

Reset Date

Select from the following options and enter a value in the +/- Reset Days field:

Set in Arrears: Indicates that the reset date equates to the interest date that marks the end of the interest period.

Set in Advance: Indicates that the reset date equates to the interest date that marks the beginning of the interest period.

Reset Frequency

Specify the reset parameter for the interest calculation. Field values ending in the suffix - Comp indicate the interest compounds (per the field value time period). Select fromAnnual, At Maturity, Daily, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, Weekly or the appropriate - Comp value.

Reset Index

Select a reset index for this instrument, for example, LIBOR. (London Interbank Offer Rate).

Reserve

Click to reserve headroom for this deal below the limit's ceiling. This button is available only when the deal status is Under Negotiation. Use the button to ensure that deals under negotiation have enough headroom reserved within the defined position limits. You must enter detail data on the Deal Detail page before using this feature. You can click the UnReserve button to reverse any limits that are established for deals that are under negotiation.

Same Interest each Period

Select to have the system use a fixed amount to calculate interest payments, regardless of the number of days between interest dates.

For IR Swap deals, if you select this value and the leg is a fixed-rate leg, the second list is replaced by two drop-down list boxes that enable odd (broken) first and last coupon periods to be handled. Select Normal First Coupon Period, Short First Coupon Period,or Long First Coupon Period in the first drop-down list box. Select Normal Last Coupon Period, Short Last Coupon Period,or Long Last Coupon Period in the second drop-down list box.

Security ID

Enter the security ID that was assigned when you defined the security using the Security Header page.

See Defining Securities.

Submit for Preview

A treasury organization can gauge the feasibility of hypothetical deals and ensure that limits exist for deals that are planned for the near future. When you enter provisional deals, select this check box and select Under Negotiation from the Deal Status drop-down list box on the Deal Detail page. When you save a deal, Pending Review is the default value as the deal status type, and the Workflow feature routes the deal to the designated manager for review.

Term

Displays the number of days between the settlement or commencement date and maturity dates on the Deal Detail page. The value is calculated by the system.

If you enter a term value, then the system calculates the maturity date by adding the term to the commencement or settlement date.

Test Limits

Click to test whether a deal falls within established position limits.

See Limit Checked Workflow.

See Defining Position Limits.

Deal Detail

TRX_DETAIL_TR

Deal Management, Capture Deals, Deals, Deal Detail

Define the conditions for a deal.

Commodities Settlement

TRX_COMO_STL

Click Settle Commodity on the Deal Detail page for a commodity instrument deal.

Set up the settlement of commodities.

Settle Option by Cash Difference

TRX_OPT_EXRCS_CASH

Click Exercise on the Deal Detail page for an options deal.

Exercise an option or update or change the exercise status for an option.

Roll Specific Details - Swap FX

TRX_ROLL_PHYS_SP

Click the Swap Cash link on the Deal Detail page for an FX deal physical.

Enter information that is required to swap this foreign exchange deal forward or backward.

Roll Specific Details - Interest Rate Physical

TRX_ROLL_PHYS_SP

Click the Rollover link on the Deal Detail page for an IRP.

Enter the investment terms for moving funds from one investment to another.

Ticker Symbol

Enter the stock exchange symbol that is used in trading the particular corporation's shares.

Exchange

Enter the market exchange with which the corporation is listed.

Number of Shares

Enter the number of shares that are being traded.

Price per Share

Enter the price of a single share of stock.

Transaction Amount

Enter the monetary total of the transaction based on the number of shares that are being sold multiplied by the price per share.

Currency

You must select the currency that is used by the country that is associated with the market exchange, entered in the Exchange field, on which the equity is traded.

Trade Date

Enter the date of stock purchase.

Barrier

You can define none, single, or double barriers. If the option has a single barrier, a single row exists with the Barrier field set to 1. If the option has double barriers, two rows exist, the first row with the Barrier field set to 1 and the second set to 2.

Period Start and Period End

Enter the specified date range for the barriers by entering dates in these boxes. Often, the period start date is the same as the option start date on the Deal Detail page, and the period end date is the same as the option expiry date on the Deal Detail page.

Barrier Type

Select the type of barrier. Possible values are:

Up and In: The option that is currently inactive. If the underlying price exceeds the barrier, the option becomes active, and the payoff equals the payoff of a standard option.

Up and Out: The option that is currently active with a payoff that is identical to a standard option. If the underlying price exceeds the barrier, the option becomes inactive and worthless.

Down and Out: The option that is currently active with a payoff that is identical to a standard option. If the underlying price falls below the barrier, the option becomes inactive and worthless.

Down and In: The option that is currently inactive. If the underlying price falls below the barrier, the option becomes active, and the payoff equals the payoff of a standard option.

Barrier Level

Enter the barrier breach rate.

Breached

If, during the life of the option, one of the barriers is breached, select this check box to indicate a breached barrier. This causes the current date to be the default value in the Breach Date field. Adjust the date to reflect the date on which the breach occurred.

Rebate Paid When

If you pay a rebate, select from the following values:

• At Option Expiry: An Up and Out or Down and Out barrier option pays a rebate amount on the expiration date of the option only if the barrier was breached. An Up and In or Down and In barrier option pays a rebate amount on the expiration date of the option, but only if no breach occurs.

• At Barrier Breach Date: An Up and Out or Down and Out barrier option pays a rebate on the date that the underlying price breaches the barrier; also, it must be a date between the purchase date and the expiry date.

Rebate Amount

Enter the rebate amount. If the option barrier does not pay a rebate, select No Rebate Paid.

Purchase/Write

Select from the following values:

Purchase: Select if you are purchasing the option; this means that you pay premiums.

Write: Select if you are selling the option; this means that you receive premiums.

Option Status

Select the options status. Values are:

Inactive: Option ineligible for exercise due to an Up and Out or Down and Out option barrier breach or cancelation. Options with Down and In or Up and In barriers start with Inactive selected in the Option Status field. If the option breaches the barrier, then the current option status becomes Active.

Active: Option eligible for exercise. Options with Down and Out or Up and Out barriers start with Active selected in the Current Option Status field. If the option breaches the barrier, then the current option status becomes Inactive.

Exercised: Option exercised.

Expired: Option exceeded its expiry date and is no longer eligible for exercise.

See Barrier Type field definition.

Strike Rate

Enter the rate at which the stock or commodity that underlies a put or call option can be purchased (call) or sold (put) over the period that is specified by the start and expiry dates.

Option Delta

Enter the absolute value, a number between 0.00 and 1.00, of the option delta. Do not enter a negative value for a put option.

Initial Intrinsic Value

Enter the difference between the strike price of an option and the market value of the underlying security. A purchased option that is in the money has a nonzero, positive intrinsic value. A written option that is in the money has a nonzero, negative intrinsic value. An option that is purchased (or written) that is out of the money has zero intrinsic value.

Start Date

Enter the first date that an option is eligible for exercise (for American or Bermudan options), and the first date on which accrual on the option premium begins.

Expiry Date

Enter the last day that an option is eligible for exercise or conversion into the underlying common stock. You can enter a value, or the system calculates the expiry date based on the term that you enter.

Term

Enter a value to establish the contractual period for the option agreement.

Exercise Dates

This link is available if the exercise type on the Instrument Detail page is Bermudan, or if the Strike Rate Varies Over Time check box is selected on the Instrument Detail page.

If the option has a European exercise type, then the option can be exercised only on the expiry date.

If the option has an American exercise type, then the option exercise can occur on any date between the start and expiry dates.

Payment Date

Enter a date for the premium payment.

Payment Amount

Specify an amount for the premium payment.

Spot Rate

Enter the deal's spot rate.

Spot Date

Enter the spot date. The default value is two working days after the current date, but you can override this value.

Term

Enter the deal's term. If you enter a spot date and a maturity date, the system calculates the value in this field. If you enter a value in this field, then the system calculates the maturity date by adding the term to the spot date.

Forward Rate

Specify the contracted forward rate for this deal. You can enter the quoted rate, or the system calculates the rate based on the data that you enter in the Amount fields.

Swap Cash

Click to access the Roll Specific Details - Swap FX page to specify information that is required to swap this foreign exchange forward or backward.

Settlement Date

The system populates this field with a date after the specified transaction date. The value in the Time to Settlement field on the instrument determines the number of days after the transaction date. You can edit this field.

Issue Date

Displays the first day that an IRP deal begins accruing interest. The value of this field by default becomes the settlement date for both investments and debt. This value can be overwritten for investments.

Classification

Identifies whether the instrument is for Debt raising or an Investment. This is determined on the Instrument Details page.

If you select Investment, you can complete the Issuer and Guarantor fields on the Deal Detail page.

Issuer and Guarantor

These fields are active only if the following conditions are met:

• The selected instrument base type is Interest Rate Physical.

• The value in the Classification field (on the Deal Detail page) is Investment.

Par Amount

The amount that is paid or received when the IRP matures. For Debt, the settlement amount is the amount that is borrowed on the settlement date. For Investment, the settlement amount is the amount that is invested on the settlement date.

If the deal's amount is amortized, the amortization conditions must be defined.

See Defining Amortization Functionality for IRP and IR Swap Deals

Price % (percent) of Par

The system uses the values in the Par Amount and Settlement Amount fields to calculate the displayed value.

Settlement Amount

If this deal is a Debt, the settlement amount is the amount that is borrowed on the settlement date. If this deal is an Investment, the settlement amount is the amount that is invested on the settlement date.

Purchased Interest

Displays the accrued interest as calculated from the interest-period start date to the maturity date.

Discount/Premium

This field is available when the Interest Calculation field is set to Interest Bearing. It dictates how to account for and treat any discount or premium that is associated with an interest rate physical. Select whether you use a straightline or constant yield method to amortize the bond’s discount (or premium). This also affects the calculation method for calculating interest accruals. Options are:

None (blank): The discount amount is added to the interest amount (or the premium is deducted), and that total is accounted for by using the Treasury accounting event Interest Accrual.

Constant Yield Method: The discount (or premium) amount is separately amortized (accounted for) using the Discount Accrual accounting event. The discount amount (or premium) that is amortized in each period is set so that the sum of the amortization amount plus the interest that is accrued provides a constant rate of interest (yield) when applied to the amount outstanding at the beginning of a period.

Straightline Method: The discount (or premium) amount is separately amortized (accounted for) using the Discount Accrual accounting event. The discount amount (or premium) that is amortized in each period is set so that the total amortized portion equals the total amount of the discount (or premium) divided by the total life of the deal (term) in days, multiplied by the number of days that the deal is outstanding (by using 30/360-day counts if appropriate).

See Accounting Events.

Yield

Enter the annual rate of return on the investment, expressed as a percentage. This field is calculated for interest bearing IRPs.

Initial Reset Rate

This field appears only for floating-rate deals. If you enter an initial reset rate in the Rate field, the system stores and displays it here for the life of the deal. You cannot edit this field.

Estimated Maturity Date

This field appears only for interest-bearing-debt instruments.

Use this field to amortize the discount or premium to a different schedule based on an estimated maturity date. For fixed-rate deals that use the straight-line discount or premium method, enter the estimated maturity date and click the Cash Flows button.

The system builds a table containing two sets of information. The first set is the payment schedule and contains information regarding cash flows, positions, and accounting events data for both the maturity date and estimated maturity date. The second set contains information that is segregated by source code.

When the accounting module calculates discount accrual for an estimated maturity date, it uses information from the estimated maturity date side of the table.

Next Interest Payment

Specify whether the next interest payment is:

• Traded Cum-Interest: Payment includes interest.

• Traded Ex-Interest: Payment does not include interest.

Amount

Enter the monetary amounts for this instrument. These amounts are the principal amounts that the system uses to calculate interest payments for an interest rate swap.

Term

If you entered the commencement and maturity dates, the system calculates the term. If you enter a term value, then the system calculates the maturity date by adding the term to the commencement date.

Swap Principals

Select an option to exchange principal amounts on the commencement date of the swap and on the maturity date. Specify Don’t Swap,At Commencement, At Commencement and Maturity, or At Maturity.

Amort Method (amortization method)

Select to indicate how the deal is amortized.

See Defining Amortization Functionality for IRP and IR Swap Deals

Note. Defining deal amortization is an optional step, depending on certain deal conditions. As such, establishing deal amortization is discussed in a separate section. However, it is a part of setting up deal detail information. When you have entered deal amortization information, you should continue capturing the deal by entering settlement instructions.

Constant Term/Payment

Note. You cannot use the constant amortization methods for floating-rate deals.

Fixed

Same Interest each Period

Factored

Fixed

Either of the following options:

• Same Interest each Period

• Day Counted Interest

Factored

Floating

Day Counted Interest

Constant Payment / Term

Selected in the Amort Method field.

Note. You cannot use a constant payment or a constant-term amortization method if either leg is set to Floating.

Fixed

Fixed

Same Interest each Period

Factored

Fixed

Fixed

Either of the following methods:

• Same Interest each Period

• Day Counted Interest

Factored

Floating

Fixed

For Leg 1: Day Counted Interest

For Leg 2, either of the following methods:

• Same Interest each Period

• Day Counted Interest

Fixed Paydown

Fixed

Fixed

Either of the following methods:

• Same Interest each Period

• Day Counted Interest

Fixed Paydown

Floating

Fixed

For Leg 1: Day Counted Interest

For Leg 2, either of the following methods:

• Same Interest each Period

• Day Counted Interest

Deal Detail

TRX_DETAIL_TR

Deal Management, Capture Deals, Deals, Deal Detail

Define the conditions for amortizing an IRP or IR swap deal.

Interest and Payment Dates

TRX_INTEREST_TR

Click Interest Dates on the Deal Detail page.

View detailed information about payment dates.

Amort Method (amortization method)

Select the method for amortizing the principal to zero or an end principal. Values are:

• Constant Payment: Mortgage-style amortization, for which the periodic payments are the same: part principal and part interest. If the principal is paid down early, then the payment still stays the same; however, the term is shortened.

  The system generates scheduled payments of the same amount each period, viewable on the Interest and Payment Dates page. Each payment includes part of the principal and part of the interest owed. As the deal matures, the payment percentages change, with the amount paid towards the principal increasing, and the amount paid towards the interest decreasing. (This amortization method is commonly used with loans such as mortgages and automobiles.)

• Constant Term: Mortgage-style amortization, for which the periodic payments are the same: part principal and part interest. If the principal is paid down early, then the term still stays the same; however, the payment amount each period is lessened for the rest of the term.

• Factored: Amortization and accretion factors are applied to the principal and the principal is adjusted by that percentage.

  When you select this value, the system amortizes the principal amount using factors that are entered on the Interest and Payment Dates page.

  You must complete the setup of this amortization method on the Deal Detail page before saving and exiting the deal.

• Non Amortizing: The principal is not amortized throughout the life of the deal.

• Fixed Paydown: The principal changes for the term at a fixed percentage every period or by a fixed amount. The fixed paydown option is available only for IR swap deals.

Constant Payment or Constant Term

When you select one of these values, the End Principal fields for the Pay and Receive regions appear on the Deal Detail page with a 0 value by default; you can edit these fields.

Factored

When you select this value, the Beginning Amount and End Amount fields are unavailable. You must complete the setup for this factored swap on the Amortization Details page. The factors can be added on the Interest and Payments pages.

Fixed Paydown

Select this amortization method to make changes to the principal balance (after the system has generated the payment schedule) by amount or percentage. When you select this value, the Percent/Amountfields for the Pay and Receive regions appear on the Deal Detail page.

Factored

To enter a factored value:

1. In the Change Principal region, select Pay or Receive in the Leg field.

2. Enter a payment amount and payment date.

3. Click Change Principal at the prompt.

   The system inserts a row with Paydown selected as the payment type, and the Factor field enabled.

4. Click Save.

Fixed Paydown

To edit the fixed-paydown, principal amount:

1. Click the Change Principal link for a specific Pay or Receive row on the Deal Detail page.

2. Click Save.

Payment Type

Factored:

To enter a factored value:

1. For IR swap deals, select Pay or Receive on the Interest and Payment Dates page.

2. Click OK at the prompt.

3. Enter a value for the factor.

   To establish accreting factors, select drawdown instead of paydown. The system then uses the factor as an accreting (not amortizing) factor.

4. Click Change Principal

   The system recalculates and displays the amortization payment data.

Fixed Paydown:

To edit the fixed paydown principal amount:

1. Enter the payment amount, period end date, and payment date.

2. Click Change Principal.

   The system recalculates and displays the amortization payment data.

Deal Detail

TRX_DETAIL_TR

Deal Management, Capture Deals, Deals

Adjust margin figures on floating-rate instruments for IRP or IR swap deals.

Interest and Payment Dates

TRX_INTEREST_TR

Click Dates Detail on the Deal Detail page.

Specify reset rates and payment amounts.

See Viewing and Modifying Interest and Payment Dates

Event Log

TR_EVENT_LOG_2_PG

Deal Management, Capture Deals, Deals

Click the Event Log link on the Deal Detail page.

View events that are associated with a deal.

Cash Flows

TRX_CASHFLOWS_TR

Deal Management, Capture Deals, Deals

Click Cash Flows on the Deal Detail page.

View the resultant cash flows after saving a completed deal.

Treasury Deal Limit Test

TRX_LIMIT_TEST_PNL

Deal Management, Capture Deals, Deals

Click Test Limits on the Deal Detail page.

Test whether a deal is within the established position limits.

Deal Checking

POS_LMT_CHK_MSG

Deal Management, Capture Deals, Deals

Click the Deal Test button on the Deal Detail page.

Determine whether the deal passes certain conditions that are specified on deal trees.

Show Treasury Instrument Notes

INSTR_NOTES_SHOW

Deal Management, Capture Deals, Deals

Click Instrument Notes on the Deal Detail page.

View notes on the instrument that is associated with the deal.

Additional Holiday Lists

TRX_DEAL_HOLLST

Deal Management, Capture Deals, Deals

Click the Additional Holidays link on the Deal Detail page.

Specify additional holiday list IDs for a deal, for example, holidays that affect a bank from another country.

Counterparty Competitive Bids

TRX_COMPETITVE_BID

Deal Management, Capture Deals, Deals

Click the Bids link on the Deal Detail page.

Enter counterparty, competitive-bid information for a deal.

Extra Attributes

INSTR_ADHOC_ATR

Deal Management, Capture Deals, Deals

Click Extra on the Deal Detail page for a generic instrument-type deal.

Review extra deal attributes that are assigned at the instrument type level.

Enter Fees

FEE_GENERATOR_PNL

Deal Management, Capture Deals, Deals

Click the Fees link on the Deal Detail page.

Define fees that are associated with a deal. The existence of the Fees link depends upon the instrument type that is selected.

See Creating Fee Entries.

Tree Name

Review the name of the position tree for the deal.

Tree Node

Review the name of the position node for the deal.

Int/Ext (internal or external)

Displays I for an internal deal or E for an external deal.

Limit Min (limit minimum)

Review the minimum deal-limit amount of the positions.

Limit Max (limit maximum)

Review the maximum, deal-limit amount of the positions.

Total Utilization

Review the amount of the position limit that is used so far, including this deal.

Refresh

Click to perform the limit testing calculations again.

Done

Select to specify the bid quote. You can select a quote other than the one offering the best rate. If the best rate,which is marked with a check in the Best Rate column, is not selected, then the system issues a warning; “Best bid is not chosen.”

Counterparty

Enter the counterparty that is making the bid.

Bid Quote Type

Specify whether you are recording bids on rates, yield, or price.

Best Rate

Designates the best rate quote for the deal.

Click to enter the system time for either the request or quote time.

Request Time

Enter the bid request time.

Quote Time

Enter the bid quote time.

Bid Quote

Enter the bid quote rate.

Best Rate

Displays the best bid rate (as determined by the system).

Exclude

Select to eliminate particular bids from consideration.

Their Dealer

Select the counterparty’s dealer name.

Settlement Instructions

TRD_DETAIL_STL_TR

Deal Management, Capture Deals, Deals, Settlement Instructions

Specify instructions for settling deals.

On Behalf of Deals

TRX_INTERNAL_TR

Deal Management, Capture Deals, On Behalf of Deals

Create the treasury’s on-behalf-of deal transactions.

Back to Back Counterparty

Click to select a counterparty for the back-to-back deal.

Create Back to Back

Click to automatically create a back-to-back deal. The system uses the defined back-to-back counterparty and the original deal information. You can edit information for the back-to-back deal in the deal component, as necessary.

List Related

Click to list all back-to-back and mirror deals that are created for the displayed deal ID.

Deal ID

Click to access the deal-capture pages and view back-to-back deal or mirror deal details.

Mirror Deal

Click to automatically create a mirror deal for the internal treasury. You can create mirror deals only from back-to-back deals that are defined with an internal business unit counterparty.

Trade Detail

TRD_DETAIL_TR

Deal Management, Capture Deals, Trade Tickets

Enter trade detail information.