This section contains details of the suggested accounting entries that can be set up, for the Derivatives module of Oracle FLEXCUBE. The details of the suggested Accounting Entries and Advices are listed event-wise.
This chapter contains the following sections:
The following is an exhaustive list of events that can take place during the lifecycle of a Derivatives contract.
Event Code | Event Description | ||
---|---|---|---|
DAMN | Contract Amendment | ||
DASG | Contract Assignment | ||
DASS | Contract Assumption | ||
DBOK | Contract Booking | ||
DIAC | Contract Interest Accrual | ||
DIAM | Contract Inception Amortization | ||
DILQ | Contract Interest Liquidation | ||
DINT | Contract Initiation | ||
DPLQ | Contract Principal Liquidation | ||
DRVL | Contract Revaluation | ||
DRVN | Contract Rate Revision | ||
DRVS | Contract Reversal | ||
DTAM | Contract Termination Amortization | ||
DTRB | Booking of Termination Date | ||
DTER | Contract Termination | ||
DRRL | Contract Revaluation Reversal |
The amount tags listed below are hard-coded in Oracle FLEXCUBE.
Amount Tag | Description | |||
---|---|---|---|---|
CUR_INRVL_PAY | Current In Leg Payable | |||
CUR_INRVL_REC | Current In Leg Receivable | |||
CUR_NETRVL_EXP | Current Net Revaluation Expense | |||
CUR_NETRVL_INC | Current Net Revaluation Income | |||
CUR_OUTRVL_PAY | Current Out Leg Payable | |||
CUR_OUTRVL_REC | Current Out Leg Receivable | |||
INCP_EXP_AMORT | Inception Expense Amortization Amount | |||
INCP_GAIN | Inception Gain | |||
INCP_GAIN_DEF | Inception Gain Deferred | |||
INCP_INC_AMORT | Inception Income Amortization Amount | |||
INCP_LOSS | Inception Loss | |||
INCP_LOSS_DEF | Inception Loss Deferred | |||
INLEG_PRN | In Leg Principal | |||
INLEG_PRN_CONT | In Leg Contingent Principal Amount | |||
INLEG_PRN_DECR | In Leg Principal Decrement | |||
INLEG_PRN_INCR | In Leg Principal Increment | |||
INLEG_PRN_LIQD | In Leg Principal Liquidation | |||
NET_INT_EXP | Net Interest Expense | |||
NET_SET_INC | Net Interest Income | |||
NET_SET_EXP | Net Interest Expense | |||
NET_INT_INC | Net Interest Income | |||
OUTLEG_PRN | Out Leg Principal | |||
OUTLEG_PRN_CONT | Out Leg Contingent Principal Amount | |||
OUTLEG_PRN_DECR | Out Leg Principal Decrement | |||
OUTLEG_PRN_INCR | Out Leg Principal Increment | |||
OUTLEG_PRN_LIQD | Out Leg Principal Liquidation | |||
PRV_INRVL_PAY | Previous In Leg Revaluation Payable | |||
PRV_INRVL_REC | Previous In Leg Revaluation Receivable | |||
PRV_NETRVL_EXP | Previous Net Revaluation Expense | |||
PRV_NETRVL_INC | Previous Net Revaluation Income | |||
PRV_OUTRVL_PAY | Previous Out Leg Revaluation Payable | |||
PRV_OUTRVL_REC | Previous Out Leg Revaluation Receivable | |||
TRMN_EXP_AMORT | Termination Expense Amortization Amount | |||
TRMN_GAIN | Termination Gain | |||
TRMN_GAIN_DEF | Termination Gain Deferred | |||
TRMN_INC_AMORT | Termination Income Amortization Amount | |||
TRMN_LOSS | Termination Loss | |||
TRMN_LOSS_DEF | Termination Loss Deferred | |||
Component_LIQD_CY | Current year Unrealized accrual amount for a component | |||
Component_LIQD_PY | Previous year Unrealized accrual amount for a component | |||
NET_INT_INCC | Net interest Income on Cash basis | |||
NET_INT_INCA | Net interest Income on Accrual basis | |||
NET_INT_EXPC | Net interest expense on Cash Basis | |||
NET_INT_EXPA | Net interest expense on Accrual Basis | |||
Component_IAC/EAC_NPRF | _NPRF tag would be created for each component. This tag would represent accruals for net profit deals. | For example, DV_IN_INT_IAC_NPRF | ||
Component_IAC/EAC_NLSS | Accruals for Net loss deals | |||
Component_DLIQ_PY | Previous year Unrealized outstanding | |||
Component_DLIQ_CY | Current year Unrealized outstanding |
In addition to these you can define amount tags as per your requirement for the ICCF and tax components that are attached to the product.
* The ‘component’ is the ICCF component that you have created.
Note
NET_INT_INCC, NET_INT_INCA, NET_INT_EXPC, NET_INT_EXPA Amount tags used in case of FRA and NET_INT_EXP, NET_INT_INC Amount Tags used in case of IRS/CCS.
The following list contains the Accounting Roles that are applicable to the Derivative contracts that you can process at your bank.
Accounting Role | Description | ||
---|---|---|---|
BROK_PAID | Brokerage Paid | ||
BROK_PAYABLE | Brokerage Payable | ||
CONT_ASSET | Contingent Asset | ||
CONT_ASSET_OFS | Contingent Asset Offset | ||
CONT_FAIR_VAL | Contract Fair Value Account | ||
CONT_LIAB | Contingent Liability | ||
CONT_LIAB_OFS | Contingent Liability Offset | ||
DV_IN_INT_INC | DV_IN_INT - Income | ||
DV_IN_INT_REC | DV_IN_INT - Receivable | ||
DV_IN_INT_RIA | DV_IN_INT - Received in Advance | ||
DV_OUT_INT_EXP | DV_OUT_INT - Expense | ||
DV_OUT_INT_PAY | DV_OUT_INT - Payable | ||
DV_OUT_INT_PIA | DV_OUT_INT - Paid in Advance | ||
INCP_EXP | Inception Expense | ||
INCP_GAIN_DEF | Inception Gain Deferral Account | ||
INCP_INC | Inception Income | ||
INCP_LOSS_DEF | Inception Loss Deferral Account | ||
INLEG_ASSET | In Leg Asset | ||
INLEG_RVL_EXP | In Leg Revaluation Expense | ||
INLEG_RVL_INC | In Leg Revaluation Income | ||
NET_RVL_EXP | Net Revaluation Expense | ||
NET_RVL_INC | Net Revaluation Income | ||
NET_SET_BRIDGE | Net Settlement Bridge | ||
OUTLEG_LIAB | Out Leg Liability | ||
OUTLEG_RVL_EXP | Out Leg Revaluation Expense | ||
OUTLEG_RVL_INC | Out Leg Revaluation Income | ||
TRMN_EXP | Termination Expense | ||
TRMN_INC | Termination Income | ||
TRMN_GAIN_DEF | Termination Gain Deferral Account | ||
TRMN_LOSS_DEF | Termination Loss Deferral Account | ||
Component_REC | Receivable | ||
Component_PAY | Payable | ||
Component_INC | Realized Income | ||
Component_EXP | Realized Expense | ||
Component_INC_UNRLZ | Unrealized Income | ||
Component_EXP_UNRLZ | Unrealized Expense | ||
TRMN_INC_UNRLZ | Unrealized termination income | ||
TRMN_EXP_UNRLZ | Unrealized termination expense | ||
NET_INT_INC | Net interest income | ||
NET_INT_EXP | Net interest expense | ||
NET_INT_RIA | Netted interest Received in advance | ||
NET_INT_PIA | Netted interest paid in advance | ||
NET_INT_INC_UNRLZ | Unrealized Net interest Income | ||
NET_INT_EXP_UNRLZ | Unrealized Net interest Expense |
This section contains the following topics:
In this section we will discuss the suggested accounting entries and advices that should be generated for each event in the life cycle of Derivative contracts.
Note
Some of the Amount Tags linked to the Accounting Roles are user defined.
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. Indicator | |||
---|---|---|---|---|---|
BROK_PAID | BROKAMT | DEBIT | |||
BROK_PAYABLE | BROKAMT | CREDIT | |||
CONT_FAIR_VAL | INCP_GAIN | DEBIT | |||
INCP_INC | INCP_GAIN | CREDIT | |||
CONT_FAIR_VAL | INCP_GAIN_DEF | DEBIT | |||
INCP_GAIN_DEF | INCP_GAIN_DEF | CREDIT | |||
CONT_FAIR_VAL | INCP_LOSS | CREDIT | |||
INCP_EXP | INCP_LOSS | DEBIT | |||
CONT_FAIR_VAL | INCP_LOSS_DEF | CREDIT | |||
INCP_LOSS_DEF | INCP_LOSS_DEF | DEBIT | |||
CONT_ASSET | INLEG_PRN | DEBIT | |||
CONT_ASSET_OFS | INLEG_PRN | CREDIT | |||
CONT_LIAB | OUTLEG_PRN | CREDIT | |||
CONT_LIAB_OFS | OUTLEG_PRN | DEBIT |
Advices
Advice Name | Description | ||
---|---|---|---|
DV_FRA_CONF | FRA Contract Confirmation |
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. Indicator | |||
---|---|---|---|---|---|
CONT_ASSET | INLEG_PRN | CREDIT | |||
CONT_ASSET_OFS | INLEG_PRN | DEBIT | |||
INLEG_ASSET | INLEG_PRN | DEBIT | |||
CUSTOMER | INLEG_PRN | CREDIT | |||
Accounting Role | Amount Tag | Dr./Cr. Indicator | |||
CONT_LIAB | OUTLEG_PRN | DEBIT | |||
CONT_LIAB_OFS | OUTLEG_PRN | CREDIT | |||
OUTLEG_LIAB | OUTLEG_PRN | CREDIT | |||
CUSTOMER | OUTLEG_PRN | DEBIT |
Advices
Nil
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. Indicator | |||
---|---|---|---|---|---|
CUSTOMER | DV_IN_INT_ILIQ | DEBIT | |||
DV_IN_INT_INC | DV_IN_INT_ILIQ | CREDIT | |||
CUSTOMER | DV_OUT_INT_ELIQ | CREDIT | |||
DV_OUT_INT_EXP | DV_OUT_INT_ELIQ | DEBIT |
You will need to maintain the following accounting entry set-up when an arrears contract is liquidated with previous year adjustment option.
In/ Out leg | Dr./Cr. Indicator | Accounting Role | Amount Tag | ||||
---|---|---|---|---|---|---|---|
In | Debit | Customer | Component_RLIQ | ||||
Credit | Component_REC | Component_RLIQ | |||||
Out | Debit | Component_PAY | Component_RLIQ | ||||
Credit | Customer | Component_RLIQ | |||||
In | Debit | Component_INC_UNRLZ | Component_RLIQ_PY | ||||
Credit | Component_INC | Component_RLIQ_PY | |||||
Debit | Component_INC_UNRLZ | Component_RLIQ_CY | |||||
Credit | Component_INC | Component_RLIQ_CY | |||||
Out | Debit | Component_EXP | Component_RLIQ_PY | ||||
Credit | Component_EXP_UNRLZ | Component_RLIQ_PY | |||||
Debit | Component_EXP | Component_RLIQ_PY | |||||
Credit | Component_EXP_UNRLZ | Component_RLIQ_PY |
Advices
Nil
Accounting Entry Setup (Settlement on Cash basis - Advance and Arrears)
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
DR | CUSTOMER | Customer | DV_IN_INT_ILIQ | Interest amount (Inleg) | |||||
CR | DV_IN_INT _INC | In leg Income GL | DV_IN_INT_ILIQ | Interest Amount (Inleg) | |||||
DR | DV_OUT_INT_EXP | Out leg Expense GL | DV_OUT_INT_ELIQ | Interest amount (Outleg) | |||||
CR | CUSTOMER | Customer | DV_OUT_INT_ELIQ | Interest amount (Outleg) | |||||
DR | CUSTOMER | Customer | NET_INT_INC | Net Income | |||||
CR | DV_IN_INT _INC | Net Income | NET_INT_INC | ||||||
DR | DV_OUT_INT_EXP | Net Expense | NET_INT_EXP | Net Expense | |||||
CR | CUSTOMER | Customer | NET_INT_EXP |
For example,
Assume the following parameters for a DV IRS deal
In leg start date –: 01-jan-2004
Frequency -: Quarterly
In leg payment method -: Arrears
Accrual: ‘No’
In leg interest Component -: DV_IN_INT
Out leg start date -: 01-jan-2004
Frequency -: Half yearly
Out leg payment method -: Arrears
Accrual: ‘No’
Out leg interest Component -: DV_OUT_INT
Assume the following cash flows:
In Schedule Dates | Out Schedule Dates | IN Interest amount | OUT Interest amount | Net Amount | |||||
---|---|---|---|---|---|---|---|---|---|
01-MAR-2004 | 100 | NA | |||||||
01-JUL-2004 | 01-JUL-2004 | 100 | 50 | +50 | |||||
01-OCT-2004 | 100 | NA | |||||||
01-JAN-2005 | 01-JAN-2005 | 100 | 150 | -50 |
Accounting entries passed on 01-MAR-2004
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
Role | Description | Tag | Amount | ||||||
DR | CUSTOMER | Customer | DV_IN_INT_ILIQ | 100 | |||||
CR | DV_IN_INT _INC | In leg Income GL | DV_IN_INT_ILIQ | 100 |
Accounting entries passed on 01-JUL-2004 (Net Inflow)
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
Role | Description | Tag | Amount | ||||||
DR | CUSTOMER | Customer | NET_INT_INC | 50 | |||||
CR | DV_IN_INT _INC | Net Interest Income | NET_INT_INC | 50 |
Accounting entries passed on 01-OCT-2004
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
Role | Description | Tag | Amount | ||||||
DR | CUSTOMER | Customer | DV_IN_INT_ILIQ | 100 | |||||
CR | DV_IN_INT _INC | In leg Income GL | DV_IN_INT_ILIQ | 100 |
Accounting entries passed on 01-JAN-2005 (Net Outflow)
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
Role | Description | Tag | Amount | ||||||
DR | DV_OUT_INT _EXP | Net Interest Expense | NET_INT_EXP | 50 | |||||
CR | CUSTOMER | Customer | NET_INT_EXP | 50 |
Assume the following parameters for a DV IRS deal
In leg start date -: 01-JAN-2004
Frequency -: Monthly
In leg payment method-: Arrears
Accrual is -: Yes
In leg interest Component-: DV_IN_INT
Out leg start date-: 01-JAN-2004
Frequency-: Monthly
Out leg payment method-: Arrears
Accrual is -: Yes
Out leg interest Component-: DV_OUT_INT
Netting Allowed: Yes
Assume the following cash flows:
Schedule | Dates | IN Interest | Amount | OUT Interest | Amount | Net | Amount | ||||
---|---|---|---|---|---|---|---|---|---|---|---|
01-FEB-2004 | 100 | 60 | +40 | ||||||||
01-MAR-2004 | 60 | 100 | -40 |
Accounting Role | Amount Tag | Dr/Cr | Amount | ||||
---|---|---|---|---|---|---|---|
DV_IN_INT_INC | DV_IN_INT_RAC | Cr | 100 | ||||
DV_IN_INT_REC | DV_IN_INT_RAC | Dr | 100 | ||||
DV_OUT_INT_EXP | DV_OUT_INT_PAC | Dr | 60 | ||||
DV_OUT_INT_PAY | DV_OUT_INT_PAC | Cr | 60 |
Accounting entries passed on 01-FEB-2004(Net inflow)
DR/CR | Role | Description | Amount Tag | Amount | |||||
---|---|---|---|---|---|---|---|---|---|
DR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_ ITLQ | 100 | |||||
CR | DV_IN_INT_REC | In leg interest Receivable | DV_IN_INT_ ITLQ | 100 | |||||
CR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_OTLQ | 60 | |||||
DR | DV_IN_INT_PAY | In leg interest Payable | DV_IN_INT_OTLQ | 60 | |||||
DR | CUSTOMER | CUSTOMER | NET_SET_INC | 40 | |||||
CR | NET_SET_BRIDGE | Net Settlement | NET_SET_INC | 40 |
Accounting Role | Amount Tag | Dr/Cr | Amount | ||||
---|---|---|---|---|---|---|---|
DV_IN_INT_INC | DV_IN_INT_RAC | Cr | 60 | ||||
DV_IN_INT_REC | DV_IN_INT_RAC | Dr | 60 | ||||
DV_OUT_INT_EXP | DV_OUT_INT_PAC | Dr | 100 | ||||
DV_OUT_INT_PAY | DV_OUT_INT_PAC | Cr | 100 |
Accounting entries passed on 01-MAR-2004(Net Outflow)
DR/CR | Role | Description | Amount Tag | Amount | |||||
---|---|---|---|---|---|---|---|---|---|
DR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_ ITLQ | 60 | |||||
CR | DV_IN_INT_REC | In leg interest Receivable | DV_IN_INT_ ITLQ | 60 | |||||
CR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_OTLQ | 100 | |||||
DR | DV_IN_INT_PAY | In leg interest Payable | DV_IN_INT_OTLQ | 100 | |||||
CR | CUSTOMER | CUSTOMER | NET_SET_EXP | 40 | |||||
DR | NET_SET_BRIDGE | Net Settlement | NET_SET_EXP | 40 |
Accounting Entry Setup (Settlement on Non Cash basis - Advance Contracts)
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
Role | Description | Tag | Description | ||||||
DR | CUSTOMER | Customer | DV_IN_INT_DLIQ | Interest amount (Inleg) | |||||
CR | DV_IN_INT _RIA | In leg interest Received in advance | DV_IN_INT_DLIQ | Interest Amount (Inleg) | |||||
DR | DV_OUT_INT_PIA | Out leg Expense Paid in Advance | DV_OUT_INT_DLIQ | Interest amount (Outleg) | |||||
CR | CUSTOMER | Customer | DV_OUT_INT_DLIQ | Interest amount (Outleg) | |||||
DR | CUSTOMER | Customer | NET_INT_INC | Net Income on Accrual basis | |||||
CR | DV_IN_INT_RIA | Net Interest received in advance | NET_INT_INC | ||||||
DR | DV_OUT_INT_PIA | Net expense paid in advance | NET_INT_EXP | Net Expense on Accrual basis | |||||
CR | CUSTOMER | Net Expense paid in advance | NET_INT_EXP |
Accounting Entry Setup (Settlement on Non Cash basis - Arrears Contracts)
DR/CR | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|
Role | Description | Tag | Description | ||||||
DR | CUSTOMER | Customer | DV_IN_INT_RLIQ | Interest amount (Inleg) | |||||
CR | DV_IN_INT_REC | In leg receivable GL | DV_IN_INT_RLIQ | Interest Amount (Inleg) | |||||
DR | DV_OUT_INT_PAY | Out leg payable GL | DV_OUT_INT_RLIQ | Interest amount (Outleg) | |||||
CR | CUSTOMER | Customer | DV_OUT_INT_RLIQ | Interest amount (Outleg) | |||||
DR | CUSTOMER | Customer | NET_INT_INC | Net Income on Accrual basis | |||||
CR | DV_IN_INT_REC | Net Interest Receivable | NET_INT_INC | ||||||
DR | DV_OUT_INT_PAY | Net expense Payable | NET_INT_EXP | Net Expense on Accrual basis | |||||
CR | CUSTOMER | Net Expense | NET_INT_EXP |
Accounting Entry Setup (Settlement on Non Cash basis - Advance Contracts-Netting
allowed)
Advance
DR/CR | Role | Description | Tag | Description | |||||
---|---|---|---|---|---|---|---|---|---|
DR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_ IADL | Interest amount (Inleg) |
|||||
CR | DV_IN_INT_RIA | In leg interest Received in advance | DV_IN_INT_ IADL | Interest amount (Inleg) |
|||||
CR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_OADL | Interest amount (Outleg) |
|||||
DR | DV_IN_INT_PIA | Out leg Expense Paid in Advance |
DV_IN_INT_OADL | Interest amount (Outleg) |
|||||
DR | CUSTOMER | CUSTOMER | NET_SET_INC | Net Settlement
Income on Accrual basis |
|||||
CR | NET_SET_BRIDGE | Net Settlement | NET_SET_INC | ||||||
CR | CUSTOMER | CUSTOMER | NET_SET_EXP | Net Settlement
Expense on Accrual basis |
|||||
DR | NET_SET_BRIDGE | Net Settlement | NET_SET_EXP |
In Net liquidation event, the receivable and payable GLs is liquidated into a Net Settlement/Settlement Bridge GL, ensuring zero balance at the end of liquidation of cash-flows.
Accounting Entry Setup (Settlement on Non Cash basis - Arrears Contracts, Netting al
lowed)
Arrears
CR/DR | Role | Description | Tag | Description | |||||
---|---|---|---|---|---|---|---|---|---|
DR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_ ITLQ | Interest amount (Inleg) |
|||||
CR | DV_IN_INT_REC | In leg interest Receivable | DV_IN_INT_ ITLQ | Interest amount (Inleg) |
|||||
CR | NET_SET_BRIDGE | Net Settlement | DV_IN_INT_OTLQ | Interest amount (Outleg) |
|||||
DR | DV_IN_INT_PAY | In leg interest Payable | DV_IN_INT_OTLQ | Interest amount (Outleg) |
|||||
DR | CUSTOMER | CUSTOMER | NET_SET_INC | Net Settlement
Income on Accrual basis |
|||||
CR | NET_SET_BRIDGE | Net Settlement | NET_SET_INC | ||||||
CR | CUSTOMER | CUSTOMER | NET_SET_EXP | Net Settlement
Expense on Accrual basis |
|||||
DR | NET_SET_BRIDGE | Net Settlement | NET_SET_EXP |
Note
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CONT_ASSET | INLEG_PRN_DECR | CREDIT | |||
CONT_ASSET_OFS | INLEG_PRN_DECR | DEBIT | |||
CUSTOMER | INLEG_PRN_DECR | DEBIT | |||
INLEG_ASSET | INLEG_PRN_DECR | CREDIT | |||
CONT_ASSET | INLEG_PRN_INCR | DEBIT | |||
INLEG_ASSET | INLEG_PRN_INCR | DEBIT | |||
CUSTOMER | INLEG_PRN_INCR | CREDIT | |||
CONT_ASSET_OFS | INLEG_PRN_INCR | CREDIT | |||
CONT_ASSET | INLEG_PRN_LIQD | CREDIT | |||
CONT_ASSET_OFS | INLEG_PRN_LIQD | DEBIT | |||
CUSTOMER | INLEG_PRN_LIQD | DEBIT | |||
INLEG_ASSET | INLEG_PRN_LIQD | CREDIT | |||
CONT_ASSET_OFS | OUTLEG_PRN_DECR | CREDIT | |||
OUTLEG_LIAB | OUTLEG_PRN_DECR | DEBIT | |||
CUSTOMER | OUTLEG_PRN_DECR | CREDIT | |||
CONT_LIAB | OUTLEG_PRN_DECR | DEBIT | |||
CONT_ASSET_OFS | OUTLEG_PRN_INCR | DEBIT | |||
OUTLEG_LIAB | OUTLEG_PRN_INCR | CREDIT | |||
CUSTOMER | OUTLEG_PRN_INCR | DEBIT | |||
CONT_LIAB | OUTLEG_PRN_INCR | CREDIT | |||
CONT_LIAB | OUTLEG_PRN_LIQD | DEBIT | |||
OUTLEG_LIAB | OUTLEG_PRN_LIQD | DEBIT | |||
CUSTOMER | OUTLEG_PRN_LIQD | CREDIT | |||
CONT_LIAB_OFS | OUTLEG_PRN_LIQD | CREDIT |
Advices
Nil
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CONT_FAIR_VAL | CUR_INRVL_PAY | CREDIT | |||
INLEG_RVL_EXP | CUR_INRVL_PAY | DEBIT | |||
CONT_FAIR_VAL | CUR_INRVL_REC | DEBIT | |||
INLEG_RVL_INC | CUR_INRVL_REC | CREDIT | |||
CONT_FAIR_VAL | CUR_NETRVL_EXP | CREDIT | |||
NET_RVL_EXP | CUR_NETRVL_EXP | DEBIT | |||
CONT_FAIR_VAL | CUR_NETRVL_INC | DEBIT | |||
NET_RVL_INC | CUR_NETRVL_INC | CREDIT | |||
CONT_FAIR_VAL | CUR_OUTRVL_PAY | CREDIT | |||
OUTLEG_RVL_EXP | CUR_OUTRVL_PAY | DEBIT | |||
CONT_FAIR_VAL | CUR_OUTRVL_REC | DEBIT | |||
OUTLEG_RVL_INC | CUR_OUTRVL_REC | CREDIT | |||
CONT_FAIR_VAL | PRV_INRVL_PAY | DEBIT | |||
INLEG_RVL_EXP | PRV_INRVL_PAY | CREDIT | |||
CONT_FAIR_VAL | PRV_INRVL_REC | CREDIT | |||
INLEG_RVL_INC | PRV_INRVL_REC | DEBIT | |||
CONT_FAIR_VAL | PRV_NETRVL_EXP | DEBIT | |||
NET_RVL_EXP | PRV_NETRVL_EXP | CREDIT | |||
CONT_FAIR_VAL | PRV_NETRVL_INC | CREDIT | |||
NET_RVL_INC | PRV_NETRVL_INC | DEBIT | |||
CONT_FAIR_VAL | PRV_OUTRVL_PAY | DEBIT | |||
OUTLEG_RVL_EXP | PRV_OUTRVL_PAY | CREDIT | |||
CONT_FAIR_VAL | PRV_OUTRVL_REC | CREDIT | |||
OUTLEG_RVL_INC | PRV_OUTRVL_REC | DEBIT |
Advices
No advices allowed for this Event.
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
INCP_EXP | INCP_EXP_AMORT | DEBIT | |||
INCP_LOSS_DEF | INCP_EXP_AMORT | CREDIT | |||
INCP_GAIN_DEF | INCP_INC_AMORT | DEBIT | |||
INCP_INC_AMORT | INCP_INC_AMORT | CREDIT |
Advices
No advices allowed for this Event.
Accounting Entries for NPV/Rebate
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
DV_IN_INT_INC | DV_IN_INT_IAC | CREDIT | |||
DV_IN_INT_RIA | DV_IN_INT_IAC | DEBIT | |||
DV_IN_INT_INC | DV_IN_INT_JEAC | DEBIT | |||
DV_IN_INT_REC | DV_IN_INT_JEAC | CREDIT | |||
DV_OUT_INT_EXP | DV_OUT_INT_EAC | DEBIT | |||
DV_OUT_INT_PIA | DV_OUT_INT_EAC | CREDIT | |||
DV_OUT_INT_EXP | DV_OUT_INT_JIAC | CREDIT | |||
DV_OUT_INT_PAY | DV_OUT_INT_JIAC | DBEIT | |||
CONT_ASSET | INLEG_PRN_CONT | CREDIT | |||
CONT_ASSET_OFS | INLEG_PRN_CONT | DEBIT | |||
CONT_ASSET | INLEG_PRN_LIQD | CREDIT | |||
CUSTOMER | INLEG_PRN_LIQD | DEBIT | |||
CONT_ASSET_OFS | INLEG_PRN_LIQD | DEBIT | |||
INLEG_ASSET | INLEG_PRN_LIQD | CREDIT | |||
CONT_LIAB | OUTLEG_PRN_CONT | DEBIT | |||
CONT_LIAB_OFS | OUTLEG_PRN_CONT | CREDIT | |||
CONT_LIAB | OUTLEG_PRN_LIQD | DEBIT | |||
OUTLEG_LIAB | OUTLEG_PRN_LIQD | DEBIT | |||
CUSTOMER | OUTLEG_PRN_LIQD | CREDIT | |||
CONT_LIAB_OFS | OUTLEG_PRN_LIQD | CREDIT | |||
CUSTOMER | TRMN_GAIN | DEBIT | |||
TRMN_INC | TRMN_GAIN | CREDIT | |||
CUSTOMER | TRMN_LOSS | CREDIT | |||
TRMN_EXP | TRMN_LOSS | DEBIT |
Advices
Advice Name | Description | ||
---|---|---|---|
DV_FRA_TRMN | FRA Termination |
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CONT_ASSET | INLEG_PRN_DECR | CREDIT | |||
CONT_ASSET_OFS | INLEG_PRN_DECR | DEBIT | |||
CONT_ASSET | INLEG_PRN_INCR | DEBIT | |||
CONT_ASSET_OFS | INLEG_PRN_INCR | CREDIT | |||
CONT_LIAB | OUTLEG_PRN_DECR | DEBIT | |||
CONT_LIAB_OFS | OUTLEG_PRN_DECR | CREDIT | |||
CONT_LIAB | OUTLEG_PRN_INCR | CREDIT | |||
CONT_LIAB_OFS | OUTLEG_PRN_INCR | DEBIT |
Advices
Advice Name | Description | ||
---|---|---|---|
DV_FRA_AMND | FRA Amendment |
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
DV_IN_INT_INC | DV_IN_INT_IAC | CREDIT | |||
DV_IN_INT_RIA | DV_IN_INT_IAC | DEBIT | |||
DV_IN_INT_INC | DV_IN_INT_RAC | CREDIT | |||
DV_IN_INT_REC | DV_IN_INT_RAC | DEBIT | |||
DV_OUT_INT_EXP | DV_OUT_INT_EAC | DEBIT | |||
DV_OUT_INT_PIA | DV_OUT_INT_EAC | CREDIT | |||
DV_OUT_INT_EXP | DV_OUT_INT_PAC | DEBIT | |||
DV_OUT_INT_PAY | DV_OUT_INT_PAC | CREDIT |
Entries that are passed for the DIAC event (Arrears Contracts) for transfer of unrealized to realized income are as follows:
In/Out leg | Dr./Cr. Indicator | Accounting Role | Amount Tag | ||||
---|---|---|---|---|---|---|---|
In | Debit | Component_REC | Component_RAC | ||||
Credit | Component_INC_UNRLZ | Component_RAC | |||||
Out | Debit | Component_EXP_UNRLZ | Component_PAC | ||||
Credit | Component_PAY | Component_PAC | |||||
In | Credit | DV_IN_INT_INC | DV_IN_INT_RAC | ||||
Debit | DV_IN_INT_REC | DV_IN_INT_RAC | |||||
Out | Debit | DV_OUT_INT_EXP | DV_OUT_INT_PAC | ||||
Credit | DV_OUT_INT_PAY | DV_OUT_INT_PAC |
Entries that are passed for the DIAC event (Advance Contracts) for transfer of unrealized to realized income are as follows:
In/Out leg | Dr./Cr. Indicator | Accounting Role | Amount Tag | ||||
---|---|---|---|---|---|---|---|
In | Debit | Component_RIA | Component_IAC | ||||
Credit | Component_INC_UNRLZ | Component_IAC | |||||
Out | Debit | Component_EXP_UNRLZ | Component_EAC | ||||
Credit | Component_PIA | Component_EAC | |||||
In | Credit | DV_IN_INT_INC | DV_IN_INT_IAC | ||||
Debit | DV_IN_INT_RIA | DV_IN_INT_IAC | |||||
Out | Debit | DV_OUT_INT_EXP | DV_OUT_INT_EAC | ||||
Credit | DV_OUT_INT_PIA | DV_OUT_INT_EAC | |||||
Final Accruals (In addition to above) | |||||||
In | Debit | Component_INC_UNRLZ | Component_DLIQ_PY | ||||
Credit | Component_INC | Component_DLIQ_PY | |||||
Debit | Component_INC_UNRLZ | Component_DLIQ_CY | |||||
Credit | Component_INC | Component_DLIQ_CY | |||||
Out | Debit | Component_EXP | Component_DLIQ_PY | ||||
Credit | Component_EXP_UNRLZ | Component_DLIQ_PY | |||||
Debit | Component_EXP | Component_DLIQ_PY | |||||
Credit | Component_EXP_UNRLZ | Component_DLIQ_PY |
Advices
No advices allowed for this Event.
Accounting Entries
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
TRMN_EXP | TRMN_EXP_AMORT | DEBIT | |||
TRMN_LOSS_DEF | TRMN_EXP_AMORT | CREDIT | |||
TRMN_GAIN_DEF | TRMN_INC_AMORT | DEBIT | |||
TRMN_INC | TRMN_INC_AMORT | CREDIT |
Entries that are passed during the for transfer of unrealized to realized income are as follows:
Gain/Loss | Dr./Cr. | Accounting Role | Amount Tag | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Gain | Debit | TRMN_GAIN_DEF | TRMN_INC_AMORT | |||||||
Credit | TRMN_INC_UNRLZ | TRMN_INC_AMORT | ||||||||
Loss | Debit | TRMN_EXP_UNRLZ | TRMN_EXP_AMORT | |||||||
Credit | TRMN_LOSS_DEF | TRMN_EXP_AMORT | ||||||||
On Contract Maturity (In addition to above) | ||||||||||
Gain | Debit | TRMN_INC_UNRLZ | TRMN_GAIN_PY | |||||||
Credit | TRMN_INC | TRMN_GAIN_PY | ||||||||
Debit | TRMN_INC_UNRLZ | TRMN_GAIN_CY | ||||||||
Credit | TRMN_INC | TRMN_GAIN_CY | ||||||||
Loss | Debit | TRMN_EXP | TRMN_LOSS_PY | |||||||
Credit | TRMN_EXP_UNRLZ | TRMN_LOSS_PY | ||||||||
Debit | TRMN_EXP | TRMN_LOSS_CY | ||||||||
Credit | TRMN_EXP_UNRLZ | TRMN_LOSS_CY |
If the amount tag is of type Component_RLIQ/DLIQ_PY and if the accounting role pertains to unrealized income/expense, the head for the accounting role will be replaced by the previous year adjustment GL, while passing accounting entries.
Note
The transfer of income/expense from the previous year adjustment GL to the realized income/expense GL happens only if the Track PY P&L Adjustment option has been set as a branch preference through the ‘Branch Parameter’ screen.
For example,
You are processing an FRA contract which has the following interest components:
The previous year unrealized Income/Expense for the components are as follows:
Assuming the deal to be in net profit, with inflow as 500 and outflow as 275, the accounting entries passed during liquidation and final accrual are:
DILQ
Debit | CUSTOMER | 500 (DV_IN_INT_DLIQ) | |||
Credit | DV_IN_INT_RIA | 500 | |||
Debit | DV_OUT_INT_PIA | 275 (DV_OUT_INT_DLIQ) | |||
Credit | Customer | 225 |
DIAC
Assuming accrual amounts to be 75 and 45 for in and out legs respectively
Debit | DV_IN_INT_RIA | 75 (DV_IN_INT_IAC) | |||
Credit | DV_IN_INT_INC_ UNRLZ | 75 | |||
Debit | DV_OUT_INT_EXP_ UNRLZ | 45 (DV_OUT_INT_EAC) | |||
Credit | DV_OUT_INT_PIA | 45 |
Moving Unrealized Income/Expense to real Income/Expense
Debit | Previous Yr Adjustment GL | 300 (DV_IN_INT_DLIQ_PY) | |||
Credit | DV_IN_INT_INC | 300 | |||
Debit | DV_IN_INT_INC_UNRLZ | 200 (DV_IN_INT_DLIQ_CY) | |||
Credit | DV_IN_INT_INC | 200 | |||
Debit | DV_IN_INT_EXP | 275 (DV_OUT_INT_DLIQ_PY) | |||
Credit | Previous Yr Adjustment GL | 275 |
Note
When an arrears contract is liquidated (DILQ event) or an advance contract completes accruals (DIAC event), the income transfer to the realized income GL from the unrealized GL is performed first using the Previous Year Adjustment GL maintained in Chart of Accounts. This is because the previous year unrealized income would have already moved to the year ends P and L (EYPL) GL after financial closure. The remaining amount if any is debited from the current year unrealized income GL.
Accounting Entries
Case I – Next Day in BOD (when next day is not the beginning of a new financial year) or at the time of the next revaluation.
Accounting Role | Amount Tag | Debit /Credit | |||
---|---|---|---|---|---|
In Leg entries | |||||
INLEG_RVL_INC | PRV_INRVL_REC | Debit | |||
CONT_FAIR_VAL | PRV_INRVL_REC | Credit | |||
CONT_FAIR_VAL | PRV_INRVL_PAY | Debit | |||
INLEG_RVL_EXP | PRV_INRVL_PAY | Credit | |||
Out Leg entries | |||||
OUTLEG_RVL_INC | PRV_OUTRVL_REC | Debit | |||
CONT_FAIR_VAL | PRV_OUTRVL_REC | Credit | |||
CONT_FAIR_VAL | PRV_OUTRVL_PAY | Debit | |||
OUTLEG_RVL_EXP | PRV_OUTRVL_PAY | Credit | |||
In case of Revaluation Netting | |||||
NET_RVL_INC | PRV_NETRVL_INC | Debit | |||
CONT_FAIR_VAL | PRV_NETRVL_INC | Credit | |||
CONT_FAIR_VAL | PRV_NETRVL_EXP | Debit | |||
NET_RVL_EXP | PRV_NETRVL_EXP | Credit |
Case II – Next Day during BOD (if the next day is the beginning of a new financial year).
Accounting Role | Amount Tag | Debit /Credit | |||
---|---|---|---|---|---|
In Leg entries | |||||
INLEG_RVL_INC | PRV_INRVL_REC_PY | Debit | |||
CONT_FAIR_VAL | PRV_INRVL_REC_PY | Credit | |||
CONT_FAIR_VAL | PRV_INRVL_PAY_PY | Debit | |||
INLEG_RVL_EXP | PRV_INRVL_PAY_PY | Credit | |||
Out Leg entries | |||||
OUTLEG_RVL_INC | PRV_OUTRVL_REC_PY | Debit | |||
CONT_FAIR_VAL | PRV_OUTRVL_REC_PY | Credit | |||
CONT_FAIR_VAL | PRV_OUTRVL_PAY_PY | Debit | |||
OUTLEG_RVL_EXP | PRV_OUTRVL_PAY_PY | Credit | |||
In case of Revaluation Netting | |||||
NET_RVL_INC | PRV_NETRVL_INC_PY | Debit | |||
CONT_FAIR_VAL | PRV_NETRVL_INC_PY | Credit | |||
CONT_FAIR_VAL | PRV_NETRVL_EXP_PY | Debit | |||
NET_RVL_EXP | PRV_NETRVL_EXP_PY | Credit |
For FRA contracts satisfying the following conditions the accounting entries for the Interest Settlement (Cash and Accrual) and Interest Accrual events are given below with the help of an example.
Conditions
For example,
An FRA contract has DV_IN_INT as the In Leg interest component, and DV_OUT_INT as the Out Leg interest component. The deal is settled on Value Date with the following values for interest components:
Contract | Amount | ||
---|---|---|---|
DV_IN_INT = | USD 57.9818955567 | ||
DV_OUT_INT = | USD 32.1851185555 |
Rounded amounts before netting
Contract | Amount | ||
---|---|---|---|
DV_IN_INT = | USD 57.98 | ||
DV_OUT_INT = | USD 32.19 |
The Net Interest income is 57.98 – 32.19 = USD 25.79.
Case I - Settlement on Cash basis
Debit/Credit | Accounting Role | Amount Tag | Amount | ||||
---|---|---|---|---|---|---|---|
Debit | Customer | NET_INT_INCC | USD 25.79 | ||||
Credit | NET_INT_INC | NET_INT_INCC | USD 25.79 |
Case II - Settlement on Accrual basis
Since the deal makes a net profit for the bank, the accounting entries for the liquidation event (DILQ) are:
Debit/Credit | Accounting Role | Amount Tag | Amount | ||||
---|---|---|---|---|---|---|---|
Debit | Customer | NET_INT_INCA | USD 25.79 | ||||
Credit | NET_INT_RIA | NET_INT_INCA | USD 25.79 |
Accruals for In and Out Leg are performed separately. For the above deal, In Leg accrued amount is USD 5.25 and the Out Leg accrued amount is USD 3.47. The deal has made a net profit since the inflow is more than the outflow.
Entries passed during Contract Interest Accrual (DIAC) are given below.
Debit/ Credit | Accounting Role | Amount Tag | Amount | ||||
---|---|---|---|---|---|---|---|
Debit | NET_INT_RIA | DV_IN_INT_IAC_NPRF | USD 5.25 | ||||
Credit | NET_INT_INC | DV_IN_INT_IAC_NPRF | USD 5.25 | ||||
Debit | NET_INT_INC | DV_IN_INT_IAC_NPRF | USD 3.47 | ||||
Credit | NET_INT_RIA | DV_IN_INT_IAC_NPRF | USD 3.47 |
Note
Component_IAC/EAC_NLSS/NPRF tags for each of the interest components are created automatically on creation of a new interest class.