Contents
1. Preface
1.1 Introduction
1.2 Audience
1.3 Documentation Accessibility
1.4 Acronyms and Abbreviations
1.5 Organization
1.6 Related Documents
1.6.1 Glossary of Icons
2. Derivatives - An Overview
2.1 Introduction
2.2 Types of Derivatives
2.3 Features of Derivatives Module
2.3.1 Derivatives Workflow
2.3.2 Maintaining Mandatory Details
2.3.3 Defining Fair Price Revaluation Methods
2.4 Reports in Derivatives Module
2.4.1 Generating reports in Derivatives Module
3. General Maintenance for the Derivatives Module
3.1 Derivative Type Maintenance
3.1.1 Maintaining Derivative Types
3.1.2 Fields Button
3.2 Derivatives Branch Parameters Maintenance
3.2.1 Maintaining Branch Parameters
3.3 Counterparty Master Agreement Maintenance
3.3.1 Maintaining Counterparty Master Agreement Details
3.4 Clearing House Maintenance
3.4.1 Maintaining Clearing Houses
3.5 Messaging Parties Maintenance
3.5.1 Maintaining Messaging Parties Details
4. Defining Attributes Specific to Derivative Products
4.1 Derivatives Product Definition
4.1.1 Creating Derivative Product
4.1.2 Preferences Button
4.2 Derivatives Revaluation Contract Fair Values
4.2.1 Defining the Fair Price Revaluation Methods
4.2.2 Maintaining Fair Values for Revaluing a Contract
4.2.3 Operations on the Contract Fair Price Maintenance record
4.3 Derivatives Revaluation Branch Interest Rates
4.3.1 Maintaining Branch-wise Forward Interest Rates
4.3.2 Operations on the Branch wise Forward Interest Rate Maintenance record
4.4 Derivatives Revaluation Contract Interest Rates
4.4.1 Maintaining Contract specific Forward Interest Rates for Revaluation
4.4.2 Operations on the Contract Specific Forward Interest Rate Maintenance record
5. Processing a Derivatives Contract
5.1 Derivatives Contract Input
5.1.1 Maintaining the Derivative Contract Input Screen
5.1.2 Main Tab
5.1.3 Details Tab
5.1.4 Additional Tab
5.1.5 Termination Details Tab
5.1.6 Event Button
5.1.7 Brokerage Button
5.1.8 Settlements Button
5.1.9 Advice Button
5.1.10 Interest Button
5.1.11 Charges Button
5.1.12 Tax Button
5.1.13 Fields Button
5.1.14 Principal Button
5.1.15 Saving the Details of a Contract
5.2 Contract Upload
5.2.1 Uploading Contracts for Amendment
5.2.2 Operations on a Derivatives Contract Record
5.2.3 Uploading Derivative Rates
5.3 Schedule Confirmation
5.3.1 Confirming of Interest and Principal Schedules
5.4 Derivatives Contract Reassign
5.4.1 Reassigning a Contract to another User
6. Batch Processing
6.1 Daily Events
6.1.1 Processing Daily Events
6.2 Mandatory Batch Program Maintenance
6.2.1 Invoking the Automatic Daily Program
6.3 Batch Process
6.3.1 Triggering the Year-end Batch process for collecting Contract-wise Data
6.3.2 Uploading DV Contracts
7. Error Messages for Derivative
7.1 Error Codes and Messages
8. Reports
8.1 Introduction
8.2 Interest Accrual Report
8.2.1 Generating Interest Accrual Report
8.2.2 Contents of the report
8.3 Back Dated Deals Report
8.3.1 Generating Back Dated Deals Report
8.3.2 Contents of the report
8.4 Contract Activity Report
8.4.1 Generating Contract Activity Report
8.4.2 Contents of the report
8.5 Customer-Wise Contract Details Report
8.5.1 Generating Customer-wise Contract Details Report
8.5.2 Contents of the report
8.6 Customer-Wise Contract Summary Report
8.6.1 Generating Customer-wise Contract Summary Report
8.6.2 Contents of the report
8.7 Process Exception Report
8.7.1 Generating Process Exception Report
8.7.2 Contents of the report
8.8 Revaluation Log Report
8.8.1 Generating Revaluation Log Report
8.8.2 Contents of the report
8.9 Settled Deals Report
8.9.1 Generating Settled Deals Report
8.9.2 Contents of the report
9. Annexure A - Accounting Entries and Advices
9.1 DV Events
9.2 Amount Tags
9.3 Accounting Roles
9.4 Event-wise Accounting Entries and Advices
9.4.1 Accounting Entries and Advices
9.4.2 DBOK: Contract Booking
9.4.3 DINT: Contract Initiation
9.4.4 DILQ: Contract Interest Liquidation
9.4.5 DPLQ: Contract Principal Liquidation
9.4.6 DRVL: Contract Revaluation
9.4.7 DIAM: Contract Inception Amortization
9.4.8 DTER: Contract Termination
9.4.9 DAMN: Contract Amendment
9.4.10 DIAC: Contract Interest Accrual
9.4.11 DTAM: Contract Termination Amortization
9.4.12 DRRL: Contract Revaluation Reversal
10. Function ID Glossary