9. Annexure A - Accounting Entries and Advices

9.1 Introduction

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

9.2 IDV Events

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 Profit Accrual
DIAM Contract Inception Amortization
DILQ Contract Profit 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
DOPT Event for Swaption Contract
SGEN SETT MESSAGES
UIDB Upfront Profit Booking
PCON Purchase Confirmation
SCON Sale Confirmation

9.3 Amount Tags

The amount tags listed below are hard-coded in Oracle FLEXCUBE.

Amount Tag Description
AMNDDV_DISC charge for DV amnd
AMNDDV_LIQD charge for DV amnd
AMNDDV_PREM charge for DV amnd
BROKAMT Brokerage Amount
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
DV-IN-INTO_DLIQ Profit in Advance
DV-IN-INTO_DLIQ_CY Current Year Unrealized Income
DV-IN-INTO_DLIQ_PY Previous Year Unrealized Income
DV-IN-INTO_IAC Income Accrual
DV-IN-INTO_IAC_NLSS Expense Accrual on Net Loss Deal
DV-IN-INTO_IAC_NPRF Income Accrual on Net Profit Deal
DV-IN-INTO_ILIQ Profit Income
DV-IN-INTO_JEAC Adjustment Expense Accrual
DV-IN-INTO_JELQ Adjustment Profit Expense
DV-IN-INTO_JIAC Adjustment Income Accrual
DV-IN-INTO_JILQ Adjustment Profit Income
DV-IN-INTO_RAC Receivable Accrual
DV-IN-INTO_RLIQ Profit in Arrears
DV-IN-INTO_RLIQ_CY Current Year Unrealized Income
DV-IN-INTO_RLIQ_PY Previous Year Unrealized Income
DV-IN-INT_DLIQ Profit in Advance
DV-IN-INT_DLIQ_CY Current Year Unrealized Income
DV-IN-INT_DLIQ_PY Previous Year Unrealized Income
DV-IN-INT_IAC Income Accrual
DV-IN-INT_IAC_NLSS Expense Accrual on Net Loss Deal
DV-IN-INT_IAC_NPRF Income Accrual on Net Profit Deal
DV-IN-INT_ILIQ Profit Income
DV-IN-INT_JEAC Adjustment Expense Accrual
DV-IN-INT_JELQ Adjustment Profit Expense
DV-IN-INT_JIAC Adjustment Income Accrual
DV-IN-INT_JILQ Adjustment Profit Income
DV-IN-INT_RAC Receivable Accrual
DV-IN-INT_RLIQ Profit in Arrears
DV-IN-INT_RLIQ_CY Current Year Unrealized Income
DV-IN-INT_RLIQ_PY Previous Year Unrealized Income
DV-OUT-INO_DLIQ Profit in Advance
DV-OUT-INO_DLIQ_CY Current Year Unrealized Expense
DV-OUT-INO_DLIQ_PY Previous Year Unrealized Expense
DV-OUT-INO_EAC Expense Accrual
DV-OUT-INO_EAC_NLSS Expense Accrual on Net Loss Deal
DV-OUT-INO_EAC_N­PRF Income Accrual on Net Profit Deal
DV-OUT-INO_ELIQ Profit Expense
DV-OUT-INO_JEAC Adjustment Expense Accrual
DV-OUT-INO_JELQ Adjustment Profit Expense
DV-OUT-INO_JIAC Adjustment Income Accrual
DV-OUT-INO_JILQ Adjustment Profit Income
DV-OUT-INO_PAC Payable Accrual
DV-OUT-INO_RLIQ Profit in Arrears
DV-OUT-INO_RLIQ_CY Current Year Unrealized Expense
DV-OUT-INO_RLIQ_PY Previous Year Unrealized Expense
DV-OUT-INT_DLIQ Profit in Advance
DV-OUT-INT_DLIQ_CY Current Year Unrealized Expense
DV-OUT-INT_DLIQ_PY Previous Year Unrealized Expense
DV-OUT-INT_EAC Expense Accrual
DV-OUT-INT_EAC_NLSS Expense Accrual on Net Loss Deal
DV-OUT-INT_EAC_N­PRF Income Accrual on Net Profit Deal
DV-OUT-INT_ELIQ Profit Expense
DV-OUT-INT_JEAC Adjustment Expense Accrual
DV-OUT-INT_JELQ Adjustment Profit Expense
DV-OUT-INT_JIAC Adjustment Income Accrual
DV-OUT-INT_JILQ Adjustment Profit Income
DV-OUT-INT_PAC Payable Accrual
DV-OUT-INT_RLIQ Profit in Arrears
DV-OUT-INT_RLIQ_CY Current Year Unrealized Expense
DV-OUT-INT_RLIQ_PY Previous Year Unrealized Expense
DVR_CHG_DISC Derivatives Charge class
DVR_CHG_LIQD Derivatives Charge class
DVR_CHG_PREM Derivatives Charge class
DVTAX_LIQD Liquidation Amount
DVTOUT_LIQD Liquidation Amount
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
IV_CHRG_DISC Derivatives Charge class
IV_CHRG_LIQD Derivatives Charge class
IV_CHRG_PREM Derivatives Charge class
NET_INT_EXP Net Profit Expense
NET_INT_EXPA Net profit expense on Accrual Basis
NET_INT_EXPA_RNL Rounding loss for loss deals
NET_INT_EXPA_RNP Rounding profit for loss deals
NET_INT_EXPA_URN Net Expense on accrual basis
NET_INT_EXPC Net profit expense on Cash Basis
NET_INT_EXPC_URN Net Expense on cash basis
NET_INT_INC Net Profit Income
NET_INT_INCA Net Income on Accrual basis
NET_INT_INCA_RNL Rounding loss for profit deals
NET_INT_INCA_RNP Rounding profit for profit deals
NET_INT_INCA_URN Net income on accrual basis
NET_INT_INCC Net Profit Income on Cash basis
NET_INT_INCC_URN Net income on cash basis
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_PAY_PY Previous INRVL Payable for Previous Year
PRV_INRVL_REC Previous In Leg Revaluation Receivable
PRV_INRVL_REC_PY Previous INRVL Receivable for Previous Year
PRV_NETRVL_EXP Previous Net Revaluation Expense
PRV_NETRVL_EXP_PY Previous Net Revalued Expense for Previ­ous Year
PRV_NETRVL_INC Previous Net Revaluation Income
PRV_NETRVL_INC_PY Previous Net Revalued Income for Previous Year
PRV_OUTRVL_PAY Previous Out Leg Revaluation Payable
PRV_OUTRVL_PAY_PY Previous OUTRVL Payable for Previous Year
PRV_OUTRVL_REC Previous Out Leg Revaluation Receivable
PRV_OUTRVL_REC_PY Previous OUTRVL Receivable for Previous Year
TRMN_EXP_AMORT Termination Expense Amortization Amount
TRMN_GAIN Termination Gain
TRMN_GAIN_CY Current year Unrealized termination gain
TRMN_GAIN_DEF Termination Gain Deferred
TRMN_GAIN_PY Previous year Unrealized termination gain
TRMN_INC_AMORT Termination Income Amortization Amount
TRMN_LOSS Termination Loss
TRMN_LOSS_CY Current year Unrealized termination loss
TRMN_LOSS_DEF Termination Loss Deferred
TRMN_LOSS_PY Previous year Unrealized termination loss
UDEFCHGBASIS Charge Basis for UDEF Charges
Component_LIQD_CY Current year Unrealized accrual amount for a component
Component_LIQD_PY Previous year Unrealized accrual amount for a component
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
INLEG_PRN_PURC Inleg Principal Purchase
INLEG_PRN_SALE Inleg Principal Sale
OUTLEG_PRN_PURC Outleg Principal Purchase
OUTLEG_PRN_SALE Inleg Principal Sale

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.

9.4 Accounting Roles

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 Income
DV_IN_INT_REC Receivable
DV_IN_INT_RIA Received in Advance
DV_OUT_INT_EXP Expense
DV_OUT_INT_PAY Payable
DV_OUT_INT_PIA 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
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 profit income
NET_INT_EXP Net profit expense
NET_INT_RIA Netted profit Received in advance
NET_INT_PIA Netted profit paid in advance
NET_INT_INC_UNRLZ Unrealized Net profit Income
NET_INT_EXP_UNRLZ Unrealized Net profit Expense
DV_BRIDGE_GL Derivatives Bridge GL
IV_TAX_COD Tax Collected
IV_CHARGE_INC Islamic Charges

9.5 Event-wise Accounting Entries and Advices

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

Also note that some of the Amount Tags linked to the Accounting Roles are user defined

This section contains the following topics

9.5.1 DBOK: Contract Booking

Accounting Entries

For currency and profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
BROK_PAID BROKAMT DEBIT
BROK_PAYABLE BROKAMT CREDIT
CONT_ASSET INLEG_PRN DEBIT
CONT_ASSET_OFS INLEG_PRN CREDIT
CONT_LIAB OUTLEG_PRN CREDIT
CONT_LIAB_OFS OUTLEG_PRN DEBIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may additionally set up the following entries:

Accounting Role Amount Tag Dr/Cr Indicator
CONT_FAIR_VAL INCP_GAIN DEBIT
CONT_FAIR_VAL INCP_GAIN_DEF DEBIT
CONT_FAIR_VAL INCP_LOSS CREDIT
CONT_FAIR_VAL INCP_LOSS_DEF CREDIT
INCP_EXP INCP_LOSS DEBIT
INCP_GAIN_DEF INCP_GAIN_DEF CREDIT
INCP_INC INCP_GAIN CREDIT
INCP_LOSS_DEF INCP_LOSS_DEF DEBIT
IV_TAX_COD IV_TAX_LIQD CREDIT
CUSTOMER IV_TAX_LIQD DEBIT
IV_CHARGE_INC IV_CHARGE_LIQD CREDIT
CUSTOMER IV_CHARGE_LIQD DEBIT

Advices

Advice Name Description SWIFT Message
IV_OFFER IV Contract Offer  
DV_CCS_CONF CCS Contract Confirma­tion MT361
DV_CCS_TKT CCS Deal Ticket  
DV_IRS_CONF IRS Contract Confirmation  
DV_IRS_TKT IRS Deal Ticket  

 

9.5.2 DINT: Contract Initiation

Accounting Entries

For profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
CONT_ASSET INLEG_PRN CREDIT
CONT_ASSET_OFS INLEG_PRN DEBIT
CONT_LIAB OUTLEG_PRN DEBIT
CONT_LIAB_OFS OUTLEG_PRN CREDIT
INLEG_ASSET INLEG_PRN_PURC DEBIT
DV_BRIDGE_GL INLEG_PRN_PURC CREDIT
DV_BRIDGE_GL OUTLEG_PRN_SALE DEBIT
OUTLEG_LIAB OUTLEG_PRN_SALE CREDIT

For currency swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
CONT_ASSET INLEG_PRN CREDIT
CONT_ASSET_OFS INLEG_PRN DEBIT
CONT_LIAB OUTLEG_PRN DEBIT
CONT_LIAB_OFS OUTLEG_PRN CREDIT
INLEG_ASSET INLEG_PRN_PURC DEBIT
CUSTOMER INLEG_PRN_PURC CREDIT
CUSTOMER OUTLEG_PRN_SALE DEBIT
OUTLEG_LIAB OUTLEG_PRN_SALE CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may additionally set up the following entries:

Accounting Role Amount Tag Dr/Cr Indicator
CUSTOMER INLEG_PRN CREDIT
CUSTOMER OUTLEG_PRN DEBIT
INLEG_ASSET INLEG_PRN DEBIT
OUTLEG_LIAB OUTLEG_PRN CREDIT

Advices

Payment Message

9.5.3 DILQ: Contract Profit Liquidation

Accounting Entries

For currency and profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
CUSTOMER DV_IN_INT_RLIQ DEBIT
DV_IN_INT_REC DV_IN_INT_RLIQ CREDIT
DV_OUT_INT_PAY DV_OUT_INT_RLIQ DEBIT
CUSTOMER DV_OUT_INT_RLIQ CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may set up the following entries:

Accounting Role Amount Tag Dr/Cr Indicator
CUSTOMER DV-IN-INT_DLIQ DEBIT
CUSTOMER DV-IN-INT_ILIQ DEBIT
CUSTOMER DV-IN-INT_RLIQ DEBIT
CUSTOMER DV-OUT-INT_DLIQ CREDIT
CUSTOMER DV-OUT-INT_ELIQ CREDIT
CUSTOMER DV-OUT-INT_RLIQ CREDIT
CUSTOMER NET_INT_EXPC CREDIT
CUSTOMER NET_INT_INCC DEBIT
DV-IN-INT_REC NET_INT_INCC CREDIT
DV-IN-INT_REC DV-IN-INT_ILIQ CREDIT
DV-IN-INT_REC DV-IN-INT_RLIQ CREDIT
DV-IN-INT_RIA DV-IN-INT_DLIQ CREDIT
DV-OUT-INT_PAY NET_INT_EXPC DEBIT
DV-OUT-INT_PAY DV-OUT-INT_ELIQ DEBIT
DV-OUT-INT_PAY DV-OUT-INT_RLIQ DEBIT
DV-OUT-INT_PIA DV-OUT-INT_DLIQ 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

Payment Message

Accounting Entry Setup (Settlement on Cash basis - Advance and Arrears)

DR/CR Accounting Role Amount Tag
DR CUSTOMER Customer DV_IN_INT_ILIQ Profit amount (Inleg)
CR DV_IN_INT _INC In leg Income GL DV_IN_INT_ILIQ Profit Amount (Inleg)
DR DV_OUT_INT_EXP Out leg Expense GL DV_OUT_INT_ELIQ Profit amount (Outleg)
CR CUSTOMER Customer DV_OUT_INT_ELIQ Profit 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

 

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 Profit amount (Inleg)
CR DV_IN_INT _RIA In leg profit Received in advance DV_IN_INT_DLIQ Profit Amount (Inleg)
DR DV_OUT_INT_PIA Out leg Expense Paid in Advance DV_OUT_INT_DLIQ Profit amount (Outleg)
CR CUSTOMER Customer DV_OUT_INT_DLIQ Profit amount (Outleg)
DR CUSTOMER Customer NET_INT_INC Net Income on Accrual basis
CR DV_IN_INT_RIA Net Profit 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 Profit amount (Inleg)
CR DV_IN_INT_REC In leg receivable GL DV_IN_INT_RLIQ Profit Amount (Inleg)
DR DV_OUT_INT_PAY Out leg payable GL DV_OUT_INT_RLIQ Profit amount (Outleg)
CR CUSTOMER Customer DV_OUT_INT_RLIQ Profit amount (Outleg)
DR CUSTOMER Customer NET_INT_INC Net Income on Accrual basis
CR DV_IN_INT_REC Net Profit 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

 

Note

In all the above scenarios (Settlement on cash and non cash basis), netting tags (NET_INT_INC and NET_INT_EXP) will be updated only if the in leg and out leg sched­ules coincide. Other amount tags will not be applicable in this case.

9.5.4 DPLQ: Contract Principal Liquidation

Accounting Entries

For profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to se up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
DV_BRIDGE_GL INLEG_PRN_SALE DEBIT
INLEG_ASSET INLEG_PRN_SALE CREDIT
OUTLEG_LIAB OUTLEG_PRN_PURC DEBIT
DV_BRIDGE_GL OUTLEG_PRN_PURC CREDIT
INLEG_ASSET INLEG_PRN_PURC DEBIT
DV_BRIDGE_GL INLEG_PRN_PURC CREDIT
DV_BRIDGE_GL OUTLEG_PRN_SALE DEBIT
OUTLEG_LIAB OUTLEG_PRN_SALE CREDIT

For currency swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
CUSTOMER INLEG_PRN_SALE DEBIT
INLEG_ASSET INLEG_PRN_SALE CREDIT
OUTLEG_LIAB OUTLEG_PRN_PURC DEBIT
CUSTOMER OUTLEG_PRN_PURC CREDIT
INLEG_ASSET INLEG_PRN_PURC DEBIT
CUSTOMER INLEG_PRN_PURC CREDIT
CUSTOMER OUTLEG_PRN_SALE DEBIT
OUTLEG_LIAB OUTLEG_PRN_SALE CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may set up the following entries:

Accounting Role Amount Tag Dr/Cr Indicator
CONT_ASSET INLEG_PRN_DECR CREDIT
CONT_ASSET INLEG_PRN_INCR DEBIT
CONT_ASSET INLEG_PRN_LIQD CREDIT
CONT_ASSET_OFS INLEG_PRN_DECR DEBIT
CONT_ASSET_OFS INLEG_PRN_INCR DEBIT
CONT_ASSET_OFS INLEG_PRN_LIQD DEBIT
CONT_ASSET_OFS OUTLEG_PRN_DECR CREDIT
CONT_ASSET_OFS OUTLEG_PRN_INCR DEBIT
CONT_LIAB OUTLEG_PRN_DECR DEBIT
CONT_LIAB OUTLEG_PRN_INCR CREDIT
CONT_LIAB OUTLEG_PRN_LIQD DEBIT
CONT_LIAB_OFS OUTLEG_PRN_LIQD CREDIT
CUSTOMER INLEG_PRN_DECR DEBIT
CUSTOMER INLEG_PRN_INCR CREDIT
CUSTOMER INLEG_PRN_LIQD DEBIT
CUSTOMER OUTLEG_PRN_DECR CREDIT
CUSTOMER OUTLEG_PRN_INCR DEBIT
CUSTOMER OUTLEG_PRN_LIQD CREDIT
INLEG_ASSET INLEG_PRN_DECR CREDIT
INLEG_ASSET INLEG_PRN_INCR CREDIT
INLEG_ASSET INLEG_PRN_LIQD CREDIT
OUTLEG_LIAB OUTLEG_PRN_DECR DEBIT
OUTLEG_LIAB OUTLEG_PRN_INCR CREDIT
OUTLEG_LIAB OUTLEG_PRN_LIQD DEBIT

Advices

Payment Message

9.5.5 DRVL: Contract Revaluation

Accounting Entries

Accounting Role Amount Tag Dr/Cr Indicator
CONT_FAIR_VAL CUR_INRVL_PAY CREDIT
CONT_FAIR_VAL CUR_INRVL_REC DEBIT
CONT_FAIR_VAL CUR_NETRVL_EXP CREDIT
CONT_FAIR_VAL CUR_NETRVL_INC DEBIT
CONT_FAIR_VAL CUR_OUTRVL_PAY CREDIT
CONT_FAIR_VAL CUR_OUTRVL_REC DEBIT
CONT_FAIR_VAL PRV_INRVL_PAY DEBIT
CONT_FAIR_VAL PRV_INRVL_REC CREDIT
CONT_FAIR_VAL PRV_NETRVL_EXP DEBIT
CONT_FAIR_VAL PRV_NETRVL_INC CREDIT
CONT_FAIR_VAL PRV_OUTRVL_PAY DEBIT
CONT_FAIR_VAL PRV_OUTRVL_REC CREDIT
INLEG_RVL_EXP CUR_INRVL_PAY DEBIT
INLEG_RVL_EXP PRV_INRVL_PAY CREDIT
INLEG_RVL_INC CUR_INRVL_REC CREDIT
INLEG_RVL_INC PRV_INRVL_REC DEBIT
NET_RVL_EXP CUR_NETRVL_EXP DEBIT
NET_RVL_EXP PRV_NETRVL_EXP CREDIT
NET_RVL_INC CUR_NETRVL_INC CREDIT
NET_RVL_INC PRV_NETRVL_INC DEBIT
OUTLEG_RVL_EXP CUR_OUTRVL_PAY DEBIT
OUTLEG_RVL_EXP PRV_OUTRVL_PAY CREDIT
OUTLEG_RVL_INC CUR_OUTRVL_REC CREDIT
OUTLEG_RVL_INC PRV_OUTRVL_REC DEBIT

 

Advices

No advices allowed for this Event.

9.5.6 DIAM: Contract Inception Amortization

Accounting Entries

Accounting Role Amount Tag Dr/Cr Indicator
INCP_EXP INCP_EXP_AMORT DEBIT
INCP_GAIN_DEF INCP_INC_AMORT DEBIT
INCP_INC INCP_INC_AMORT CREDIT
INCP_LOSS_DEF INCP_EXP_AMORT CREDIT

 

Advices

No advices allowed for this Event.

9.5.7 DTER: Contract Termination

Accounting Entries for NPV/Rebate

Accounting Role Amount Tag Dr/Cr Indicator
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 SWIFT Message
DV_CCS_TRMN CCS Termination MT365
DV_IRS_TRMN IRS Termination  

 

9.5.8 DAMN: Contract Amendment

Accounting Entries

Nil

Advices

Advice Name Description SWIFT Message
DV_IRS_AMND IRS Amendment  
DV_CCS_AMND CCS Amendment MT365

 

9.5.9 DIAC: Contract Profit Accrual

Accounting Entries

For currency swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role Amount Tag Dr/Cr Indicator
DV_IN_INT_UID DV_IN_INT_RAC DEBIT
DV_IN_INT_INC DV_IN_INT_RAC CREDIT
DV_OUT_INT_EXP DV_OUT_INT_PAC DEBIT
DV_OUT_INT_UID DV_OUT_INT_PAC CREDIT

 

For products wherein the ‘Asset Movement Required’ box is not checked, you may additionally set up the following entries:

Accounting Role Amount Tag Dr/Cr Indicator
DV-IN-INT_INC DV-IN-INT_IAC CREDIT
DV-IN-INT_UID DV-IN-INT_IAC DEBIT
DV-OUT-INT_EXP DV-OUT-INT_EAC DEBIT
DV-OUT-INT_UID DV-OUT-INT_EAC CREDIT
DV-IN-INT_INC DV-IN-INT_IAC CREDIT
DV-IN-INT_RIA DV-IN-INT_IAC DEBIT
DV-OUT-INT_EXP DV-OUT-INT_EAC DEBIT
DV-OUT-INT_PIA DV-OUT-INT_EAC 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

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

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.

9.5.10 DTAM: Contract Termination Amortization

Accounting Entries

Accounting Role Amount Tag Dr/Cr Indicator
TRMN_EXP TRMN_EXP_AMORT CREDIT
TRMN_GAIN_DEF TRMN_INC_AMORT DEBIT
TRMN_INC TRMN_INC_AMORT CREDIT
TRMN_LOSS_DEF TRMN_EXP_AMORT DEBIT

 

Entries that are passed during the for transfer of unrealized to realized income are as follows:

Gain/Loss Dr/Cr Indicator 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.

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.

9.5.11 DRRL: Contract Revaluation Reversal

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 Profit Settlement (Cash and Accrual) and Profit Accrual events are given below with the help of an example.

Conditions

Note

Component_IAC/EAC_NLSS/NPRF tags for each of the profit components are created automatically on creation of a new profit class.

9.5.12 UIDB: Upfront Profit Booking

Accounting Entries

For currency and profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Advices

Accounting Role Amount Tag Dr/Cr Indicator
DV-IN-INT_REC DV-IN-INT_UINT DEBIT
DV-IN-INT_UID DV-IN-INT_UINT CREDIT
DV-OUT-INT_UID DV-OUT-INT_UINT DEBIT
DV-OUT-INT_PAY DV-OUT-INT_UINT CREDIT

Nil

Following are the UIDB accounting entries that are passed along with other related events:

9.5.13 DTER: Contract Termination

Accounting Entries

Accounting Role Amount Tag Dr/Cr Indicator
CONT_ASSET INLEG_PRN_CONT CREDIT
CONT_ASSET INLEG_PRN_LIQD CREDIT
CONT_ASSET_OFS INLEG_PRN_CONT DEBIT
CONT_ASSET_OFS INLEG_PRN_LIQD DEBIT
CONT_LIAB OUTLEG_PRN_CONT DEBIT
CONT_LIAB OUTLEG_PRN_LIQD DEBIT
CONT_LIAB_OFS OUTLEG_PRN_CONT CREDIT
CONT_LIAB_OFS OUTLEG_PRN_LIQD CREDIT
CUSTOMER INLEG_PRN_LIQD DEBIT
CUSTOMER OUTLEG_PRN_LIQD CREDIT
CUSTOMER TRMN_GAIN DEBIT
CUSTOMER TRMN_LOSS CREDIT
DV-IN-INT_INC DV-IN-INT_IAC CREDIT
DV-IN-INT_INC DV-IN-INT_JEAC DEBIT
DV-IN-INT_REC DV-IN-INT_JEAC CREDIT
DV-IN-INT_RIA DV-IN-INT_IAC DEBIT
DV-OUT-INT_EXP DV-OUT-INT_EAC DEBIT
DV-OUT-INT_EXP DV-OUT-INT_JIAC CREDIT
DV-OUT-INT_PAY DV-OUT-INT_JIAC DEBIT
DV-OUT-INT_PIA DV-OUT-INT_EAC CREDIT
INLEG_ASSET INLEG_PRN_LIQD CREDIT
OUTLEG_LIAB OUTLEG_PRN_LIQD DEBIT
TRMN_EXP TRMN_LOSS DEBIT
TRMN_INC TRMN_GAIN CREDIT

 

Advices

Advice Name Description
DV_CCS_TRMN Cross Currency Swap Termination

 

9.5.14 PCON: Purchase Confirmation

Accounting Entries

Nil

Advices

Advice Name Description
IV_ACPT_OFFER Generate Acceptance of offer for IV Contracts

 

9.5.15 SCON: Sale Confirmation

Accounting Entries

Nil

Advices

Nil

9.5.16 DASS: Contract Assumption

Accounting Entries

Nil

Advices

Advice Name Description
DV_ASSUME_1 Assumption Adv to Deal Party
DV_ASSUME_2 Assumption Adv to Assuming Party

 

9.5.17 DASG: Contract Assignment

Accounting Entries

Nil

Advices

Advice Name Description
DV_ASSIGN_1 Assignment Adv to Deal Party
DV_ASSIGN_2 Assignment Adv to Assigning Party

 

9.5.18 DRVN: Contract Rate Revision

Accounting Entries

Nil

Advices

Advice Name Description
DV_RATE_RESET Floating Rate Reset