Commodity

COMMGOLD

Commodity contract on gold

Equity

EQUITY

Equities (stocks)

Foreign Exchange Deal Physicals

FX FWD

FX Forward—a foreign exchange deal set at an agreed upon rate for future execution

Foreign Exchange Deal Physicals

FX SPOT

FX Spot—a foreign exchange deal set at an agreed upon rate for execution in the near future (typically two days in the United States and one day in Canada)

Futures Contract

FUTR-TBOND

Futures contract US treasury bond

Generic Instrument

GENERIC

Generic instrument

Interest Rate Physical

1YR_FLOATR

1-year, floating-rate investment

Interest Rate Physical

6MO_COMPPR

6-month, commercial-paper investment

Interest Rate Physical

BANKDEP

Commercial bank term deposit

Interest Rate Physical

BANKLOAN

Commercial bank loan

Interest Rate Physical

BNKACCEPT

Bankers acceptance

Interest Rate Physical

BONDROLL

Rolling bond - single pay

Interest Rate Physical

CASH

Cash transaction

Interest Rate Physical

CDDAYCOMP

CD term deposit-interest compounded daily

Interest Rate Physical

CDWEEKCOMP

CD term deposit-interest compounded weekly

Interest Rate Physical

COMPAPD

Commercial paper-discount

Interest Rate Physical

COMPAPIB

Commercial paper-interest bearing

Interest Rate Physical

CORPBOND

Corporate bond

Interest Rate Physical

ECD

Euro certificate of deposit

Interest Rate Physical

ECP

Euro commercial paper

Interest Rate Physical

EMTN

Euro medium term note

Interest Rate Physical

FRN

Corporate floating rate note

Interest Rate Physical

JUMBOCD

Jumbo CD

Interest Rate Physical

LCLOAN

Line of credit

Interest Rate Physical

O/N USD

Overnight investment/borrowing

Interest Rate Physical

ON_BOND

Underlying US treasury bills

Interest Rate Physical

REPO

Repurchase agreement, using two lines—a sell line and a buyback line

Interest Rate Physical

REPOCBOND

Repurchase agreement on a corporate bond

Interest Rate Physical

RREPOCBOND

Reverse repurchase agreement on a corporate bond

Interest Rate Physical

SHARE MTN

Medium-term note

Interest Rate Physical

T-BILL

US treasury bill

Interest Rate Physical

T-BOND US

Treasury bond

Interest Rate Physical

TRLOAN

Loan granted by treasury

Interest Rate Swap

AMORTSWAP

Amortizing swap

Interest Rate Swap

BASSWAP

Basis swap

Interest Rate Swap

CCIRSWAP

Cross currency interest rate swap

Interest Rate Swap

FRA

Forward rate agreement

Interest Rate Swap

IRSWAP

Interest rate swap

Interest Rate Swap

IRSWAP PSC

Interest rate swap - principals swapped at commencements

Option

BINARY

Binary option

Option

FXAMCLPT

FX option - American style exercise

Option

FXBARRIR

FX option - single barrier

Option

IRCAP

Interest rate cap

Option

IRCOLLAR

Interest rate collar

Option

IRFLOOR

Interest rate floor

Option

IRSWPTN

Interest rate swap

Option

OPT_ONFUT

Option on US treasury bills futures

Option

OPTEQ

Option on equity (stocks)

Accounting Treatment

Select a default accounting treatment for deals created from this instrument. You can modify this setting at the deal level. Values are:

• Available for Sale:Select if the deal can be sold before its maturity date.

• Held to Maturity: Select if the deal is held until its maturity date.

• Loans and Receivables: Select if the instrument is a loan granted by the enterprise's treasury.

• Other: Select if the deal requires an alternative accounting treatment, such as IAS 39 or FAS 133 hedge accounting or other nonstandard accounting.

• Trading: Select if the deal is actively trading and is likely to be sold before its maturity date.

This field is primarily for audit purposes—the specified value does not affect the processing. The system processes accounting for an accounting treatment using templates assigned to events on the Accounting Templates page. This means that if you assign the same templates to accounting events on different accounting treatments, the system processes the treatments exactly alike.

See Accounting Treatments for Complying with IAS 39.

Copy from existing instrument

Click to copy details and accounting templates from another instrument to the current instrument viewable in the Details region. If a base type has already been chosen for the existing detail line, then the instrument that you choose here is added in additional lines on the detail of the new instrument. If you have not chosen a base type for the existing line on the main page, then the instrument that is copied from is updated on the existing line. This feature is particularly useful for creating complex instruments (for example, adding a option to a bond instrument).

Allow Deal Roll or Swap

Select to indicate that deals that you create using this instrument can be rolled forward or used in a swap.

Allow Fixed Rate Change

If selected, fixed rate deals that you create using this instrument can have the rate modified.

In addition, if you create an interest rate swap instrument and leave this check box deselected, the Reset Rate Set check box on the Reset Rates page is disabled for any deals created from this instrument. You cannot change the established fixed rate for these swap deals.

See Specifying Reset Rates.

Amort Method (Amortization Method)

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

• Constant Payment: Mortgage-style amortization, where 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.

• Constant Term: Mortgage-style amortization, where 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.

• 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.

Approval Required

Select if this instrument requires management approval before contract closure with the counterparty.

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.

Commercial Paper Issue

Select when creating IRP (Interest Rate Physical) instruments that will use a commercial paper issue facility.

See Understanding Commercial Paper and Line of Credit Facilities.

Important! If you select both the Drawn Line of Credit check box and the Commercial Paper Issue check box in the Other Instrument Attributes on the Define Instrument, Instrument Details page and the Define Instrument Templates page when you save the page an error message will appear stating that an instrument cannot be defined for both Line of Credit and Commercial Paper. You can select only one of these check boxes when defining an instrument.

Confirm Field Validation ID

If you intend to use automated inbound confirmations, enter the confirmation field validation.

Currency

You can create instruments with predefined currency values. This is useful if you enter into many similar foreign exchange deals—for example, if you buy Japanese Yen and sell United States dollars—you can create an instrument with predefined values to reduce data entry.

Any currency values that you specify at the instrument level can be overwritten at the deal level.

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 dealing with the end of a month.

30E/360: Assumes that a year consists of 12 months with an equal length of 30 days. 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 31st but did not start on the 30th or 31st. In this case, the 30/360 calculation uses the 31st day as equal to 31, while the 30E/360 calculation uses the 31st 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.

Drawn on Line of Credit

Select when creating IRP (Interest Rate Physical) instruments that will draw on a line of credit facility.

Important! If you select both the Drawn Line of Credit check box and the Commercial Paper Issue check box in the Other Instrument Attributes on the Define Instrument, Instrument Details page and Define Instrument Templates page, when you save the page an error message will appear stating that an instrument cannot be defined for both Line of Credit and Commercial Paper. You can select only one of these check boxes when defining an instrument.

See Managing Facilities in Deal Management.

Ex-Interest Rule

Defines how the instrument is traded with or without interest and how interest is calculated for the instrument. Applies to commodities or equities traded in the middle of the period. The options are:

• 1 Calendar Month Before

• 10 Business Days Before

• 10 Calendar Days Before

• 30 Calendar Days Before

• 5 Business Days Before

• 7 Business Days Before

• 7 Calendar Days Before

• Does Not Trade Ex-Interest

• Does Trade Ex-Interest

Extra Attributes

Click to access the Extra Attributes page used to define additional instrument features.

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. The 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 executed 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 1 1/2 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.

Rate Type

Indicate whether the interest rate for this instrument is fixed or floating. If the rate is fixed, enter a value in the Rate field. If it's floating, enter a value in the Reset Index field.

Hedging Information

Select from the options listed below if you use your instrument in a hedge accounting relationship:

• Can be a Hedged item

• Contains Embedded Derivative

• Is a Derivative

• Nonderivative Foreign Currency

Index Margin

For interest calculations, the index margin is the value 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 multiplication of the index margin value.

Interest Calculation

Select an interest calculation from the Interest Date and Calculations region:

Same Interest each Period: The system uses a fixed amount to calculate interest payments, regardless of the number of days between interest dates. Select options from the First Coupon and Last Coupon fields.

Day Counted Interest: The system uses the actual number of days between interest dates to calculate interest payments. Select an option from the Interest Dates field.

Interest Calculation

Select the method in the IRP or IR Swap Details region to use to calculate interest:

Discount to Yield: Refers to 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: Refers to interest-bearing instruments. This method calculates interest for each period and pays interest on each period end date.

Straight Discount: Refers to 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 used 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 for determining interest.

• Backwards from Maturity Date: Interest is calculated starting from the maturity date backwards toward the issue date. 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 for 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 this value 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 23rd day of every month beginning with the month of October.

Interest Dates

Select from these values:

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.

Use Nominal Dates: The nominal interest dates (the interest dates before adjusting for nonbusiness days and weekends) determine the amount of the interest payment.

Interest Frequency

Select an interval that reflects the cash flow frequency for the deal. Values 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. Values are Annual, At Maturity, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, and Weekly.

Is a Commercial Paper Issue

Select if the instrument is a commercial paper facility.

See Establishing a Commercial Paper Facility.

Is a Repo (repurchase)

Select to indicate that deals created using this instrument are available for use in a repurchase agreement.

Issuer and Guarantor

Enter the issuer of the security and the entity that backs up the issued security.

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

• The selected instrument base type is Interest Rate Physical.

• The value in the Debt/Investment field on the Instrument Detail page is Investment.

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 options 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 1 1/2 months is created.

• Normal Last Coupon Period: The coupon period commences on the day the deal is executed, 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 reset index is acted upon by the index margin to calculate the adjusted rate.

Market/Exchange

Enter the exchange where the commodity or equity is traded.

Minimum Bids

Enter the number of minimum bids required for this instrument.

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.

Nth Week

Specify the monthly coupon period end date. Select from these four values: First, Fourth, Second, or Third. Also select a specific weekday.

See Common Elements Used in This Chapter.

Outbound Confirmations

Select to designate that these instrument deals be selected in the automated outbound confirmations procedure and forwarded to the counterparty for review.

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 a specified number of days before the interest period start date, excluding days specified as nonbusiness days on the PeopleSoft calendar functionality. For example, suppose that you specify Saturday and Sunday as nonbusiness days, the system ignores these days, and uses only a normal business week (Monday through Friday) to calculate the payment date.

• Business Days - Paid in Arrears: This field value's functionality is similar to Business Days - Paid in Advance, but it calculates the opposite result. If selected, the system calculates a payment a specified number of days after the interest period end date, excluding days 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: This field value's functionality is similar to Calendar Days - Paid in Advance, but it calculates the opposite result. If selected, the system calculates a payment a specified number of days after the interest period end date. It includes all days—both business and nonbusiness days.

Portfolio

Enter the collection of securities to which the instrument deals belongs.

Rate

Enter the interest rate for this instrument.

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.

Reset Date

Select from these options and enter a value in the +/- Reset Days field.

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

Set in Advance: Indicates that the reset date is equal 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 indicates the interest compounds (per the field value time period). Values are Annual, At Maturity, Daily, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, Weekly, and the appropriate -comp value.

Reset Index

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

Review At Confirmation

Select if you want to require your confirmation staff to review these instrument deals.

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.

Instrument Detail

INSTR_DETAIL_TR

Deal Management, Administer Deals, Define Instruments

Enter the specifics for an instrument. This page differs for each instrument base type.

Instrument Extra Attributes

INSTR_ADHOC_ATR

Click the Extra Attributes link on the Instrument Detail page.

Assign extra notational attributes to your instrument.

Notes

INSTR_NOTES_PNL

Click the Notes link on the Instrument Detail page.

Enter detailed notes to describe the function of the instrument being created. For example, when creating an instrument with an accounting treatment of Other, you can enter detailed information about that unique accounting treatment on the Notes page.

Delivery Schedule

INSTR_FUTURE_SP

Click Delivery Schedule on an Instrument Detail page for a futures contract.

Capture data that is specific to a particular futures contract.

Help page for IAS Accounting

INSTR_ACCTG_SP

Click the Rules for Accounting Treatment link on an Instrument Detail page.

Determine the accounting treatment for the instrument based on factors related to hedging, the length of time benefits that will be acquired, its inclusion in a portfolio, and so forth.

See Accounting Treatments for Complying with IAS 39.

Commodity Code

Enter the exchange code for the commodity being traded.

Buy/Sell

Specify whether the instrument being created is for deals that will buy or sell a commodity.

Unit of Measure

Specify a unit of measure most commonly used for trading the specified commodity.

Price Per Unit

Enter a price per unit of measure for the commodity.

Quantity

Enter the quantity of the commodity being traded.

Fixed

Select to specify a fixed rate of return on the commodity investment—entered in the Amount field.

Amount

Enter the monetary value based on the price per unit multiplied by the quantity of the commodity.

Floating

Select for deals that will be based on a floating rate of interest.

Index

Select the market for which thee floating rate index is based.

Use Time to Maturity

Select to use the Time to Maturity field. If the check box is selected, the system uses the Time to Maturity value to calculate the deal maturity date, based on these scenarios:

• If time to maturity is a positive number (greater than zero), then the deal maturity date is the specified number of calendar days added to the deal spot date.

• If time to maturity is a negative number (less than zero), then the deal maturity date is the specified number of business days subtracted from the deal spot date.

If the deal maturity date has no default value, leave the field blank.

Maturity Date

Enter the date the deal matures and ends.

Delivery Year and Month

Enter the month and year that the contracts are delivered and can no longer be traded.

Market Rate Index

Select the market rate index referenced when the contract is delivered.

Rate Type

Select the type of rate that, combined with the market rate index, determines the price of the delivered contract.

First Trade Date and Last Trade Date

Enter the first and last allowable trading dates of the futures contract.

First Delivery Date and Last Delivery Date

Enter the actual first and last dates the futures contracts transactions are completed.

Debt/Investment

Specify whether the instrument is for debt raising or is an investment. Values are Debt or Investment.

(Optional) Select Investment to fill in the Issuer and Guarantor fields on the Instrument Detail page.

Par Amount

Enter the nominal monetary amount for the security.

Discount/Premium

This field is available for entry when you select Interest Bearing in the Interest Calculation field. It determines how to account for and treat the discount or premium that is associated with an interest rate physical. Discount to Yield and Straight Discount are values only if you deselect the Repeat Interest Dates check box or if the instrument's interest rate is Floating. Select whether you amortize by straightline or constant yield to amortize the bond's discount (or premium). This also affects the calculation method for calculating interest accruals. Select from these values:

• (none): The discount amount is added to the interest amount (or the premium is deducted) and that total is accounted for using the interest accrual accounting event.

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

• Straightline Method: The discount (or premium) amount is amortized (accounted for) separately using the discount accrual accounting event. The amount of the discount (or premium) amortized in each period is set so that the total amortized portion is equal to 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 has been outstanding (using 30/360 day counts, if appropriate).

Time to Settlement

Enter the number of business days between the deal transaction date and the deal settlement date.

Time to Maturity

Enter the number of calendar days between the deal settlement date and the deal maturity date.

Issue Date

Enter the date that the instrument is issued.

Maturity Date

Enter the date that the deal matures.

Day Delay Instrument

Select to indicate that deals using this instrument are processed using day delay accounting. The system logs deals on the trade date (transaction date on Deal Header page) but does not settle them until the settlement date (settlement date on the Dates Detail page).

Repeat Interest Dates

Select the check box if the interest rate physical transaction has multiple interest payments.

Open-Ended Maturity

Select this check box if the instrument has no maturity date. For deals using this instrument type, the system builds out cash flow dates (to a maximum of three months) and accrues the amount on a daily basis. Enter the number of future periods to build. In the Minimum Periods field, enter the minimum number of rows remaining before the system builds more rows. For example, if the period is 12, and the minimum periods are 3, then when 10 period rows are filled with data, 12 more rows are built.

Periods

Enter the total number of interest periods to be built at one time for this instrument.

Minimum Periods

Enter the minimum number of interest periods that must pass before new periods can be built for this instrument.

Swap Principals

Select when to swap principals. Certain field values require a corresponding accounting template to ensure correct cash flow processing. Values are:

• At Commencement

• At Commencement & Maturity

  If you select At Commencement & Maturity, you must also specify the IRSPS-PERPMT-L2 accounting template.

• At Maturity

• Don't Swap

  If you select Don't Swap, also select the IRSPS-PERPMT-L1 accounting template.

See Understanding Interest Rate Swap Cash Flows and Accounting Templates.

Time to Commencement

Enter the number of actual days or number of business days from the trade date to the effective date of the swap.

Time to Maturity

Enter the number of actual days from the commencement date (or trade date) to the maturity date of the swap.

Maturity Date

Enter the date of termination for the underlying swap transaction.

Repeat Interest Dates

Select if the interest rate swap has multiple interest cash flows (a swap). Deselect if the interest rate swap has a single interest cash flow (for example, a forward rate agreement).

Notional Amount

Enter the specified monetary amount for this instrument. This amount is the principal amount on which the exchanged interest payment calculations are based for an interest rate swap.

Compound Frequency

Define at what interval the interest compounds.

Instrument Base Type

Select Option.

Contingent Upon Option Line

Use to associate an option with its underlying payoff transactions. Enter the line number of the option detail line of each payoff transaction or the detail line that is contingent upon the exercise of the option.

For example, suppose that line 2 is contingent on line 1, you enter 1 in the Contingent Upon Option Line field for line 3.

Exercise Type

Select an exercise type. Values are:

American: Can be exercised on any date between the start date and expiry date.

European: Can be exercised only on the expiry date.

Bermudan: Can be exercised on a predefined range of dates.

Exercise by

Select from the following values:

Cash Difference: Settles the option by the cash difference.

Delivery of Payoff: The payoff transaction is dealt at the specified payoff transaction rate.

Strike Determination

Select the price determinant to apply to the payment that is due. Some options require sampled historical prices or rates to determine their payoffs. For example, an Asian option with monthly sampling uses monthly data point to determine the average underlying price.

The options are:

Asian - Average Price: Pays the difference between the average underlying price over a specified period and the strike price. This option requires sampled historical prices or rates to determine the payoff. Enter values for Sampling Frequency and Average Type.

Asian - Average Strike: Pays the difference between the underlying price and an average strike price over a specified period. This option requires sampled historical prices or rates to determine the payoff. Enter values for Sampling Frequency and Average Type.

Hindsight: Pays the holder the best payoff between the spot price, sampled over time, and the fixed strike price. This option requires sampled historical prices or rates to determine the payoff. Enter a value for Sampling Frequency.

Lookback: Pays the holder of a call the difference between the spot price at maturity and the lowest spot price over an observation period. The payoff for a put is the highest spot price observed, less the spot price at maturity. This option requires sampled historical prices or rates to determine the payoff. Enter a value for Sampling Frequency.

Standard: Provides the holder the right to purchase or sell the underlying asset at a specific price on or before a specified date.

Strike Rate Varies Over Time

Select to enable the Strike Rate field on the Deal Detail page during deal capture. The Strike Rate Varies Over Time check box is available only for American or Bermudan exercise types.

Barriers

If you select Single, the Barriers button becomes enabled at deal capture, and a single Barrier row appears; if you select Double, two barrier rows appear at deal capture.

Sampling Frequency

Define the time interval between taking your first sample price and taking your second sample price. To compute an average for this field, select from the following values:

Continuous: Assumes that prices are being averaged on a continuous, real-time basis.

Daily: Assumes that price sampling is being performed on a daily basis.

Monthly: Assumes that prices are being taken on a monthly basis.

Weekly: Assumes that price sampling occurs every seven days.

Premium Payments

Select Single Premium to enable a premium payment row at deal capture. Select Multiple Premiums to enable multiple premium payment rows at deal capture.

Average Type

If the value of the Strike Determination field is Asian - Average Price or Asian - Average Strike, then select the average type to determine what method to employ for calculating an average for the selected sampling frequency. Values are:

Arithmetic: Assumes that a price is sampled at finite points in time.

Geometric: Assumes that a price is sampled on a continuous basis.

Option Type

If the payoff transaction (the Instrument Detail line that has this option in the Contingent Upon Option Line field) is an interest rate swap, then specify the type for this option. Select Cap/Floor or Swaption to determine how the option affects the swap:

Cap/Floor: Applies the option individually to each interest period. Upon exercise, exercise only the current interest period, and the option remains static for the remaining periods.

Swaption: Applies the option to the entire swap. Upon exercise, the option expires, and the swap becomes active.

Time to Expiry

Enter the number of days until the option expires.

Expiry Date

Enter the last day that the option can be exercised. The date that you enter here is automatically assigned the to the same field on the Deal Detail page for a deal with an instrument base type of option.

Amount

Enter the amount of the payoff.

Attribute

Enter a five-character, alphanumeric code for the attribute.

Attribute Type

Specify a value: Date, Market Rate, Small Integer, or Small Character.

Short Name

Enter a name for the attribute.

Accounting Templates

INSTR_ACCTGTMPL

Deal Management, Administer Deals, Define Instruments, Accounting Templates

Associate accounting templates with accounting event types of an instrument.

Template

TRA_TMPL_DETL

Click Accounting Templates on the Accounting Templates page.

View detailed information for a specific accounting template.

Accounting Event Type

Displays the accounting event type and associated accounting template ID default values. These vary depending on the instrument base type that you selected on the Instrument Detail page.

Leg 1 or Leg 2

If the instrument has multiple legs, you can specify different accounting templates for the accounting event types on each leg.

Accounting Template ID

You can override the template ID that appears and enter another template.

Include in Accounting

Select the check box to identify the defined instrument and template relationship as eligible for automated accounting builds for the accounting event type that you specified. During processing, the system identifies the event as an error if you have not specified an accounting template ID. In this case, use the Accounting Events page to assign an accounting template ID and retry the automated accounting. You can alternatively process manual accounting for this event. If you do not select this check box, the instrument and template relationship is not eligible for automated accounting builds.

Accounting Templates

Click this button to access the specified accounting template's detail page Templates used for straight-discount deals should be different from the ones for interest-bearing deals.

The Deal Amount must be one of the lines in the initial payment templates for straight-discount deals. Interest-bearing deals use Price.

See Entering Accounting Template Information.

Instrument Detail

DEFINE_INSTRUMENTS

Deal Management, Administer Deals, Define Instruments, Instrument Detail

Create complex instruments by adding additional instrument lines to the Details section, by copying instrument detail lines from existing instruments, and by clicking the Copy from existing instrument link.

Define Instrument Templates

INSTR_TMPL_DETL_TR

Deal Management, Administer Deals, Define Instrument Templates, Define Instrument Templates

Capture deal information that you use regularly.

Notes

INSTR_NOTES_SHOW

Click Notes on the Template Details page.

Capture notes that are relevant to your instrument.

Collateral

TR_COLL_HDR

Deal Management, Collateral, Collateral, Collateral

Set up a deal as collateral. Added collateral appears on the Collateral Summary page.

Collateral Summary

TR_COLL_SEARCH

Deal Management, Collateral, Collateral Summary, Collateral Summary

Work from a centralized location with items pledged as collateral.

Collateral Search Preferences

TR_COLL_SRCH_PREF

Click Preferences on the Collateral Summary page.

Specify default search preferences for collateral items. The system saves these preferences to a specific user ID, and automatically displays the default preferences in the Collateral Summary page search region when the user ID is active.

Item Type and Pledged to

Select Deal, L/C (letter of credit), or Other and enter the pledged to reference number.

% Pledged (percent pledged)

When you enter the percent pledged, the system automatically populates the Amount field with the percentage amount pledged.

Market Value

The system automatically populates this field with the calculated amount value.

Allocated

Date that the collateral is removed from free inventory, or segregated.

Expect Release

Date that the collateral is released back into free inventory, or unsegregated.

Collateral ID

Click to access the specified collateral.

Add Collateral

Click to access the Collateral page and create a new collateral item.