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 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 |
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.
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 |
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
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 |
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
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.
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
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.
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.
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 |
Accounting Entries
Nil
Advices
Advice Name | Description | SWIFT Message | |||
---|---|---|---|---|---|
DV_IRS_AMND | IRS Amendment | ||||
DV_CCS_AMND | CCS Amendment | MT365 |
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.
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.
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.
Note
Component_IAC/EAC_NLSS/NPRF tags for each of the profit components are created automatically on creation of a new profit class.
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:
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 |
Accounting Entries
Nil
Advices
Advice Name | Description | ||
---|---|---|---|
IV_ACPT_OFFER | Generate Acceptance of offer for IV Contracts |
Accounting Entries
Nil
Advices
Nil
Accounting Entries
Nil
Advices
Advice Name | Description | ||
---|---|---|---|
DV_ASSUME_1 | Assumption Adv to Deal Party | ||
DV_ASSUME_2 | Assumption Adv to Assuming Party |
Accounting Entries
Nil
Advices
Advice Name | Description | ||
---|---|---|---|
DV_ASSIGN_1 | Assignment Adv to Deal Party | ||
DV_ASSIGN_2 | Assignment Adv to Assigning Party |
Accounting Entries
Nil
Advices
Advice Name | Description | ||
---|---|---|---|
DV_RATE_RESET | Floating Rate Reset |