This section contains details of the suggested accounting entries that can be maintained, while setting up a Interest Rate and Currency Option products for the OTC module of Oracle FLEXCUBE. The details of the suggested accounting entries 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 an OTC deal. In the subsequent paragraphs we shall examine the accounting entries for each of the events listed below.
Event Code | Event Description | ||
---|---|---|---|
BOOK | Contract Booking | ||
AMND | Contract Amendment | ||
REVR | Contract Reversal (Cancellation) | ||
EXPR | Contract Expiry | ||
TERM | Contract Termination | ||
EXER | Exercise of options | ||
EXST | Exercise Settlement | ||
AMRT | Amortization of inception Gain/Loss | ||
REVL | Revaluation of option | ||
RTFX | Rate Fixing | ||
PRPT | Premium Payment | ||
KNIN | Knock In of Currency Option | ||
KIST | Knock In Settlement | ||
KNOT | Knock Out of Currency Option | ||
KNST | Knock Out Settlement | ||
AMDG | Amortization of Deferred Gains-Hedge | ||
DOPT | Booking of underlying IRS in a Swaption | ||
DLTA | Delta Accounting. |
The Amount Tags listed below are provided in Oracle FLEXCUBE.
Amount Tag | Description | ||
---|---|---|---|
PUR_OPTION_PREM | Premium on Purchased Options | ||
WRI_OPTION_PREM | Premium on Written Options | ||
PUR_INCEP_LOSS | Inception Loss on Purchased Options | ||
WRI_INCEP_LOSS | Inception Loss on Written Options | ||
PUR_INCEP_GAIN | Inception Gain on Purchased Options | ||
PUR_INCEP_GAIN_DEF | Deferred Inception Gain on Purchased Options | ||
WRI_INCEP_GAIN | Inception Gain on Written Options | ||
WRI_INCEP_GAIN_DEF | Deferred Inception Gain on Written Options | ||
PUR_INCEP_IV | Intrinsic Value at Inception | ||
PUR_INCEP_TV | Time Value at Inception | ||
PUR_INCEP_TV_DEF | Deferred Time Value at Inception | ||
PUR_REVAL_GAIN | Revaluation Gain on Purchased Options | ||
PUR_REVAL_LOSS | Revaluation Loss on Purchased Options | ||
PUR_LAST_REVAL_GAIN | Previous Revaluation Gain on Purchased Options | ||
PUR_LAST_REVAL_LOSS | Previous Revaluation Loss on Purchased Options | ||
WRI_REVAL_GAIN | Revaluation Gain on Written Options | ||
WRI_REVAL_LOSS | Revaluation Loss on Written Options | ||
WRI_LAST_REVAL_GAIN | Previous Revaluation Gain on Written Options | ||
WRI_LAST_REVAL_LOSS | Previous Revaluation Loss on Written Options | ||
NET_AMORT_TV | Net Amortized Time Value | ||
PUR_NET_INCEP_GAIN | Net Amortized Inception Gain | ||
PUR_NET_INCEP_LOSS | Net Amortized Inception Loss | ||
WRI_NET_INCEP_GAIN | Net Amortized Inception Gain | ||
WRI_NET_INCEP_LOSS | Net Amortized Inception Loss | ||
PUR_TERM_FV | Fair Value of Purchased opt at Termination | ||
PUR_TERM_GAIN | Gain on Termination of Purchased Option | ||
PUR_TERM_LOSS | Loss on Termination of Purchased Option | ||
WRI_TERM_FV | Fair Value of Written opt at Termination | ||
WRI_TERM_GAIN | Gain on Termination of Written Option | ||
WRI_TERM_LOSS | Loss on Termination of Written Option | ||
HED_TERM_GAIN | Termination Gain on Hedge Option | ||
HED_TERM_LOSS | Termination Loss on Hedge Option | ||
HED_TERM_GAIN_DEF | Termination Gain Deferred on Hedge Option | ||
PUR_INTR_SETL_AMT | Settlement Amount on Intermediate Exercise | ||
WRI_INTR_SETL_AMT | Settlement Amount on Intermediate Exercise | ||
PUR_SETL_AMT | Final Exercise Settlement Amount on Purchased Option | ||
WRI_SETL_AMT | Final Exercise Settlement Amount on Written Option | ||
PUR_INTR_FLR_AMT | Intermediate Exercise Settlement Amount for Collars on Purchased options when Floor is in the money | ||
WRI_INTR_FLR_AMT | Intermediate Exercise Settlement Amount for Collars on Written options when Floor is in the money | ||
PUR_INTR_CAP_AMT | Intermediate Exercise Settlement Amount for Collars on Purchased options when the Cap is in the money | ||
WRI_INTR_CAP_AMT | Intermediate Exercise Settlement Amount for Collars on Written options when the Cap is in the money | ||
PUR_FLOOR_AMT | Final Exercise Settlement Amount for Collars on Purchase options when the Floor is in the money | ||
PUR_CAP_AMT | Final Exercise Settlement Amount for Collars on Purchase options when the Cap is in the money | ||
WRI_FLOOR_AMT | Final Exercise Settlement Amount for Collars on Written options when the Floor is in the money | ||
PUR_CAP_AMT | Final Exercise Settlement Amount for Collars on Written options when the Cap is in the money | ||
PUR_SWAP_AMT | Swap Value of Physically Settlement Swaption | ||
WRI_SWAP_AMT | Swap Value of Physically Settlement Swaption | ||
HED_EXER_GAIN | Exercise Gain on Hedge Option | ||
HED_EXER_LOSS | Exercise Loss on Hedge Option | ||
PUR_INCEP_IV_SWAP | Intrinsic Value at Inception | ||
PUR_REBATE_AMT | Rebate received for a purchased currency option if the option is knocked out or not knock in | ||
WRI_REBATE_AMT | Rebate paid for a written currency option if the option is knocked out or not knock in | ||
NET_GAIN_DEF | Net Amortized Deferred Gain | ||
WRI_CALL_AMT | Notional Principal for Written Call option | ||
PUR_CALL_AMT | Notional Principal for Purchased Call Option | ||
WRI_CALL_AMT_EQ | Notional Principal offset for Written Call Option | ||
PUR_CALL_AMT_EQ | Notional Prin. offset for Purchased Call Option. | ||
WRI_PUT_AMT | Notional Principal for Written Put Option. | ||
WRI_PUT_AMT_EQ | Notional Principal offset for Written Put Option. | ||
PUR_PUT_AMT | Notional Principal for Purchased Put Option. | ||
PUR_PUT_AMT_EQ | Notional Principal offset for Purchased put Option. | ||
PREV_DELTA_AMT | Previous Delta Amount. | ||
PREV_ANTI_DELTA_AMT | Previous Anti Delta Amount. | ||
DELTA_AMT | Delta Amount. | ||
ANTI_DELTA_AMT | Anti Delta Amount. |
In addition to these, you can define any number of amount tags as per your requirement.
The following list contains details of the accounting Roles that are applicable to deals involving OTC options.
Accounting Role | Description | Role Type | |||
---|---|---|---|---|---|
CUSTOMER | Counterparty | X type | |||
OPT_PREM_PAY | Option Premium Payable | Liability | |||
OPT_PREM_REC | Option Premium Receivable | Asset | |||
MKT_VAL_PUR_OPT | Market Value of Purchased Option | Asset | |||
MKT_VAL_WRI_OPT | Market Value of Written Option | Liability | |||
PUR_INCEP_LOSS | Inception Loss on Purchased Options | Expense | |||
WRI_INCEP_LOSS | Inception Loss on Written Options | Expense | |||
PUR_IN_GAIN_DEF | Deferred Inception Gain on Written Options | Asset | |||
WRI_IN_GAIN_DEF | Deferred Inception Gain on Written Options | Asset | |||
PUR_IV_DEF | Deferred Intrinsic Value | Asset | |||
PUR_TV_DEF | Deferred Time Value | Asset | |||
RV_GAIN_PUR_OPT | Revaluation Gain on Purchased Option | Income | |||
RV_LOSS_PUR_OPT | Revaluation Loss on Purchased Option | Expense | |||
RV_GAIN_WRI_OPT | Revaluation Gain on Written Option | Income | |||
RV_LOSS_WRI_OPT | Revaluation Loss on Written Option | Expense | |||
EXP_ON_HEDGE | Expense on Hedge Options | Expense | |||
PUR_IN_GAIN_OPT | Inception Gains on Purchased Options | Income | |||
WRI_IN_GAIN_OPT | Inception Gains on Written Options | Income | |||
PUR_OPT_INCOME | Income on Purchased Options | Income | |||
WRI_OPT_INCOME | Income on Written Options | Income | |||
PUR_OPT_EXPENSE | Expense on Purchased Options | Expense | |||
WRI_OPT_EXPENSE | Expense on Written Options | Expense | |||
PUR_GAIN_DEF | Deferred Gains on Purchased Options | Asset | |||
PUR_HED_EXPENSE | Expense on Hedge Options | Expense | |||
MKT_VAL_PUR_IRS | Market Value of purchased Interest Rate Swap | Expense | |||
MKT_VAL_WRI_IRS | Market Value of WRITTEN Interest Rate Swap | Expense | |||
PUR_OPT_SET_REC | Payout amount receivable on Purchased Options | Asset | |||
WRI_OPT_SET_PAY | Payout amount Payable on Written Options | Liability | |||
PUR_OPT_SET_PAY | Payout amount Payable on Purchased Options | Liability | |||
WRI_OPT_SET_REC | Payout amount receivable on Written Options | Asset | |||
PUR_REBATE_REC | Rebate amount receivable on Purchased Options | Asset | |||
PUR_REBATE_PAY | Rebate amount payable on Written Options | Liability | |||
CON_WRI_CALL | Notional Principal for written Call options | Contingent | |||
CON_WRI_CAL_OFF | Offset for Notional Principal for written Call options | Contingent | |||
CON_WRI_PUT | Notional Principal for written Put options. | Contingent | |||
CON_WRI_PUT_OFF | Offset for Notional Principal for Written Put options. | Contingent | |||
CON_PUR_CALL | Notional Principal for purchased Call options | Contingent | |||
CON_PUR_CAL_OFF | Offset for Notional Principal for purchased Call options | Contingent | |||
CON_PUR_PUT | Notional Principal for purchased Put options | Contingent | |||
CON_PUR_PUT_OFF | Offset for Notional Principal for purchased Put options | Contingent | |||
CON_DELTA_AC | Contingent Delta amount | Contingent | |||
CON_DELTA_OFF | Offset for Contingent Delta Amount | Contingent | |||
CON_ANT_DEL_AC | Contingent Anti Delta amount | Contingent | |||
CON_ANT_DEL_OFF | Offset for Contingent Anti Delta amount | Contingent |
In the subsequent sections we have defined suggested accounting entries for each of the events in the lifecycle of deals involving OTC products.
Also note that some of the Amount Tag’s linked to the Accounting Roles are user defined.
This section contains the following topics:
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
MKT_VAL_PUR_OPT | PUR_OPTION_PREM | Debit | |||
OPT_PREM_PAY | PUR_OPTION_PREM | Credit | |||
OPT_PREM_REC | WRI_OPTION_PREM | Debit | |||
MKT_VAL_WRI_OPT | WRI_OPTION_PREM | Credit | |||
PUR_INCEP_LOSS | PUR_INCEP_LOSS | Debit | |||
MKT_VAL_PUR_OPT | PUR_INCEP_LOSS | Credit | |||
WRI_INCEP_LOSS | WRI_INCEP_LOSS | Debit | |||
MKT_VAL_WRI_OPT | WRI_INCEP_LOSS | Credit | |||
MKT_VAL_PUR_OPT | PUR_INCEP_GAIN_DEF | Debit | |||
PUR_IN_GAIN_DEF | PUR_INCEP_GAIN_DEF | Credit | |||
MKT_VAL_WRI_OPT | WRI_INCEP_GAIN_DEF | Debit | |||
WRI_IN_GAIN_DEF | WRI_INCEP_GAIN_DEF | Credit |
If the Inception Gain is not amortized, then the entries passed will be:
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
MKT_VAL_PUR_OPT | PUR_INCEP_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_INCEP_GAIN | Credit | |||
MKT_VAL_WRI_OPT | WRI_INCEP_GAIN | Debit | |||
PUR_OPT_INCOME | WRI_INCEP_GAIN | Credit | |||
PUR_IV_DEF | PUR_INCEP_IV | Debit | |||
OPT_PREM_PAY | PUR_INCEP_IV | Credit | |||
PUR_TV_DEF | PUR_INCEP_TV_DEF | Debit | |||
OPT_PREM_PAY | PUR_INCEP_TV_DEF | Credit |
If the Time Value is not amortized, then the entries passed will be:
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
EXP_ON_HEDGE | PUR_INCEP_TV | Debit | |||
OPT_PREM_PAY | PUR_INCEP_TV | Credit |
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
OPT_PREM_PAY | PUR_OPTION_PREM | Debit | |||
CUSTOMER | PUR_OPTION_PREM | Credit | |||
CUSTOMER | WRI_OPTION_PREM | Debit | |||
OPT_PREM_REC | WRI_OPTION_PREM | Credit |
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
MKT_VAL_PUR_OPT | PUR_REVL_GAIN | Debit | |||
RV_GAIN_PUR_OPT | PUR_REVL_GAIN | Credit | |||
MKT_VAL_WRI_OPT | WRI_REVL_GAIN | Debit | |||
RV_GAIN_WRI_OPT | WRI_REVL_GAIN | Credit | |||
RV_GAIN_PUR_OPT | PUR_LAST_REVL_GAIN | Debit | |||
MKT_VAL_PUR_OPT | PUR_LAST_REVL_GAIN | Credit | |||
RV_GAIN_WRI_OPT | WRI_LAST_REVL_GAIN | Debit | |||
MKT_VAL_WRI_OPT | WRI_LAST_REVL_GAIN | Credit | |||
RV_LOSS_PUR_OPT | PUR_REVL_LOSS | Debit | |||
MKT_VAL_PUR_OPT | PUR_REVL_LOSS | Credit | |||
RVL_LOSS_WRI_OPT | WRI_REVL_LOSS | Debit | |||
MKT_VAL_WRI_OPT | WRI_REVL_LOSS | Credit | |||
MKT_VAL_PUR_OPT | PUR_LAST_REVL_LOSS | Debit | |||
RV_LOSS_PUR_OPT | PUR_LAST_REVL_LOSS | Credit | |||
MKT_VAL_WRI_OPT | WRI_LAST_REVL_LOSS | Debit | |||
RV_LOSS_WRI_OPT | WRI_LAST_REVL_LOSS | Credit | |||
EXP_ON_HEDGE | NET_AMORT_TV | Debit | |||
PUR_TV_DEF | NET_AMORT_TV | Credit |
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_IN_GAIN_DEF | PUR_NET_INCEP_GAIN | Debit | |||
PUR_IN_GAIN_OPT | PUR_NET_INCEP_GAIN | Credit | |||
WRI_IN_GAIN_DEF | WRI_NET_INCEP_GAIN | Debit | |||
WRI_IN_GAIN_OPT | WRI_NET_INCEP_GAIN | Credit |
Trigger Revaluation at current FV as specified while terminating Trade contracts.
Trigger AMRT for residual Amortization for Trade Contracts
For Hedge contracts trigger Revaluation to amortize the remaining time value.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CUSTOMER | PUR_TERM_FV | Debit | |||
MKT_VAL_PUR_OPT | PUR_TERM_FV | Credit | |||
MKT_VAL_WRI_OPT | WRI_TERM_FV | Debit | |||
CUSTOMER | WRI_TERM_FV | Credit | |||
CUSTOMER | PUR_TERM_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_TERM_GAIN | Credit | |||
WRI_OPT_EXPENSE | WRI_TERM_LOSS | Debit | |||
CUSTOMER | WRI_TERM_LOSS | Credit | |||
PUR_OPT_EXPENSE | PUR_TERM_LOSS | Debit | |||
CUSTOMER | PUR_TERM_LOSS | Credit | |||
CUSTOMER | WRI_TERM_GAIN | Debit | |||
WRI_OPT_INCOME | WRI_TERM_GAIN | Credit |
Termination Loss = FV @ Termination - Termination Value
Termination Gain = Termination Value - FV @ Termination
Termination Loss = Termination Value - Termination FV
Termination Gain = Termination FV - Termination Value
Entries for moving all Revaluation Gain/Loss to Income/Expense and Inception Gain to Income
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
RV_GAIN_PUR_OPT | PUR_REVL_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_REVL_GAIN | Credit | |||
RV_GAIN_WRI_OPT | WRI_REVL_GAIN | Debit | |||
WRI_OPT_INCOME | WRI_REVL_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_REVL_LOSS | Debit | |||
RV_LOSS_PUR_OPT | PUR_REVL_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_REVL_LOSS | Debit | |||
RV_LOSS_WRI_OPT | WRI_REVL_LOSS | Credit | |||
PUR_IN_GAIN_OPT | PUR_INCEP_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_INCEP_GAIN | Credit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Debit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_INCEP_LOSS | Debit | |||
PUR_INCEP_LOSS | PUR_INCEP_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_INCEP_LOSS | Debit | |||
WRI_INCEP_LOSS | WRI_INCEP_LOSS | Credit | |||
CUSTOMER | PUR_INCEP_IV | Debit | |||
PUR_IV_DEF | PUR_INCEP_IV | Credit | |||
CUSTOMER | HED_TERM_GAIN_DEF | Debit | |||
PUR_GAIN_DEF | HED_TERM_GAIN_DEF | Credit |
If termination gain is not to be amortized then the following entries are passed for termination gain
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CUSTOMER | HED_TERM_GAIN | Debit | |||
PUR_OPT_INCOME | HED_TERM_GAIN | Credit | |||
PUR_HED_EXPENSE | HED_TERM_LOSS | Debit | |||
CUSTOMER | HED_TERM_LOSS | Credit | |||
PUR_HED_EXPENSE | PUR_INCEP_TV | Debit | |||
EXP_ON_HEDGE | PUR_INCEP_TV | Credit |
Trigger Reval @ current FV (Which is same as Settlement Amount) for final Exercise.
Trigger AMRT for residual Amortization for final Exercise
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_OPT_SET_REC | PUR_INTR_SETL_AMT | Debit | |||
PUR_OPT_INCOME | PUR_INTR_SETL_AMT | Credit | |||
WRI_OPT_EXPENSE | WRI_INTR_SETL_AMT | Debit | |||
WRI_OPT_SET_PAY | WRI_INTR_SETL_AMT | Credit | |||
PUR_OPT_SET_REC | PUR_SETL_AMT | Debit | |||
MKT_VAL_PUR_OPT | PUR_SETL_AMT | Credit | |||
MKT_VAL_WRI_OPT | WRI_SETL_AMT | Debit | |||
WRI_OPT_SET_PAY | WRI_SETL_AMT | Credit |
Second set of Entries are passed for Physically settled Swaptions.
For physical Currency options, Reval is triggered @ 0. No entries are passed on Exercise.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
MKT_VAL_PUR_IRS | PUR_SWAP_AMT | Debit | |||
MKT_VAL_PUR_OPT | PUR_SWAP_AMT | Credit | |||
MKT_VAL_WRI_OPT | WRI_SWAP_AMT | Debit | |||
MKT_VAL_WRI_IRS | WRI_SWAP_AMT | Credit |
In Case of Collars, the following entries will be passed. Collars are not allowed for Hedge Contracts
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_OPT_EXPENSE | PUR_INTR_FLR_AMT | Debit | |||
PUR_OPT_SET_PAY | PUR_INTR_FLR_AMT | Credit | |||
WRI_OPT_SET_REC | WRI_INTR_FLR_AMT | Debit | |||
WRI_OPT_INCOME | WRI_INTR_FLR_AMT | Credit | |||
PUR_OPT_SET_REC | PUR_INTR_CAP_AMT | Debit | |||
PUR_OPT_INCOME | PUR_INTR_CAP_AMT | Credit | |||
WRI_OPT_EXPENSE | WRI_INTR_CAP_AMT | Debit | |||
WRI_OPT_SET_PAY | WRI_INTR_CAP_AMT | Credit |
In the case of Purchased or Written Collar, if the Floor is in the money during final settlement, Revaluation has to be triggered @ 0 Fair Value. If the Cap is in the money, Revaluation has to be triggered @ final settlement amount (PUR_CAP_AMT or WRI_CAP_AMT) and the following entries would be passed.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_OPT_EXPENSE | PUR_FLOOR_AMT | Debit | |||
PUR_OPT_SET_PAY | PUR_FLOOR_AMT | Credit | |||
WRI_OPT_SET_REC | WRI_FLOOR_AMT | Debit | |||
WRI_OPT_INCOME | WRI_FLOOR_AMT | Credit |
Entries for moving all Revaluation Gain/Loss to Income/Expense and Inception Gain to Income:
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
RV_GAIN_PUR_OPT | PUR_REVL_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_REVL_GAIN | Credit | |||
RV_GAIN_WRI_OPT | WRI_REVL_GAIN | Debit | |||
WRI_OPT_INCOME | WRI_REVL_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_REVL_LOSS | Debit | |||
RV_LOSS_PUR_OPT | PUR_REVL_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_REVL_LOSS | Debit | |||
RV_LOSS_WRI_OPT | WRI_REVL_LOSS | Credit | |||
PUR_IN_GAIN_OPT | PUR_INCEP_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_INCEP_GAIN | Credit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Debit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_INCEP_LOSS | Debit | |||
PUR_INCEP_LOSS | PUR_INCEP_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_INCEP_LOSS | Debit | |||
WRI_INCEP_LOSS | WRI_INCEP_LOSS | Credit | |||
PUR_OPT_SET_REC | PUR_INCEP_IV | Debit | |||
PUR_IV_DEF | PUR_INCEP_IV | Credit |
Gain on Exercise is not Deferred. It is taken directly to Income.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_OPT_SET_REC | HED_EXER_GAIN | Debit | |||
PUR_OPT_INCOME | HED_EXER_GAIN | Credit | |||
PUR_HED_EXPENSE | HED_EXER_LOSS | Debit | |||
PUR_OPT_SET_REC | HED_EXER_LOSS | Credit | |||
MKT_VAL_PUR_IRS | PUR_INCEP_IV_SWAP | Debit | |||
PUR_IV_DEF | PUR_INCEP_IV_SWAP | Credit |
The following entries are to move the Inception TV to Final Expense A/c from the Revaluation Expense account.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_HED_EXPENSE | PUR_INCEP_TV | Debit | |||
EXP_ON_HEDGE | PUR_INCEP_TV | Credit |
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CUSTOMER | PUR_SETL_AMT | Debit | |||
PUR_OPT_SET_REC | PUR_SETL_AMT | Credit | |||
WRI_OPT_SET_PAY | WRI_SETL_AMT | Debit | |||
CUSTOMER | WRI_SETL_AMT | Credit |
Following entries are passed for settlement of Payout in case of Floor being in the money.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_OPT_SET_PAY | PUR_FLOOR_AMT | Debit | |||
CUSTOMER | PUR_FLOOR_AMT | Credit | |||
CUSTOMER | WRI_FLOOR_AMT | Debit | |||
WRI_OPT_SET_REC | WRI_FLOOR_AMT | Credit |
No entries required for intermediate expiry. Only final Expiry has entries
Trigger Reval @ 0 as the value of the option would be 0 on expiry for Trade contracts
Trigger AMRT for residual Amortization of inception gain for Trade
Entries for moving all Reval Gain/Loss to Income/Expense and Inception Gain to Income.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
RV_GAIN_PUR_OPT | PUR_REVL_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_REVL_GAIN | Credit | |||
RV_GAIN_WRI_OPT | WRI_REVL_GAIN | Debit | |||
WRI_OPT_INCOME | WRI_REVL_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_REVL_LOSS | Debit | |||
RV_LOSS_PUR_OPT | PUR_REVL_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_REVL_LOSS | Debit | |||
RV_LOSS_WRI_OPT | WRI_REVL_LOSS | Credit | |||
PUR_IN_GAIN_OPT | PUR_INCEP_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_INCEP_GAIN | Credit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Debit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_INCEP_LOSS | Debit | |||
PUR_INCEP_LOSS | PUR_INCEP_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_INCEP_LOSS | Debit | |||
WRI_INCEP_LOSS | WRI_INCEP_LOSS | Credit |
For Hedge deals Amortization of TV should have been completed before Final Expiry. Only Inception IV entries are passed.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_HED_EXPENSE | PUR_INCEP_IV | Debit | |||
PUR_IV_DEF | PUR_INCEP_IV | Credit |
This event is meant only for Hedge deals.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_GAIN_DEF | NET_GAIN_DEF | Debit | |||
PUR_OPT_INCOME | NET_GAIN_DEF | Credit |
These entries are meant for Trade and Hedge deals.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_REBATE_REC | PUR_REBATE_AMT | Debit | |||
PUR_OPT_INCOME | PUR_REBATE_AMT | Credit | |||
WRI_OPT_EXPENSE | WRI_REBATE_AMT | Debit | |||
PUR_REBATE_PAY | WRI_REBATE_AMT | Credit |
Trigger Revaluation at 0 for Trade. For Hedge do residual amortization of Time Value.
Trigger AMRT for residual Amortization for Trade.
Entries for moving all Revaluation Gain/Loss to Income/Expense and Inception Gain to Income.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
RV_GAIN_PUR_OPT | PUR_REVL_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_REVL_GAIN | Credit | |||
RV_GAIN_WRI_OPT | WRI_REVL_GAIN | Debit | |||
WRI_OPT_INCOME | WRI_REVL_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_REVL_LOSS | Debit | |||
RV_LOSS_PUR_OPT | PUR_REVL_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_REVL_LOSS | Debit | |||
RV_LOSS_WRI_OPT | WRI_REVL_LOSS | Credit | |||
PUR_IN_GAIN_OPT | PUR_INCEP_GAIN | Debit | |||
PUR_OPT_INCOME | PUR_INCEP_GAIN | Credit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Debit | |||
WRI_IN_GAIN_OPT | WRI_INCEP_GAIN | Credit | |||
PUR_OPT_EXPENSE | PUR_INCEP_LOSS | Debit | |||
PUR_INCEP_LOSS | PUR_INCEP_LOSS | Credit | |||
WRI_OPT_EXPENSE | WRI_INCEP_LOSS | Debit | |||
WRI_INCEP_LOSS | WRI_INCEP_LOSS | Credit |
For Hedge deals Amortization of TV should have been completed before Final Expiry. Only Inception IV entries are passed.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_HED_EXPENSE | PUR_INCEP_IV | Debit | |||
PUR_IV_DEF | PUR_INCEP_IV | Credit |
The following entries are to move the Inception TV to Final Expense A/c from Revaluation Exp A/c.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
PUR_HED_EXPENSE | PUR_INCEP_TV | Debit | |||
EXP_ON_HEDGE | PUR_INCEP_TV | Credit |
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CUSTOMER | PUR_REBATE_AMT | Debit | |||
PUR_REBATE_REC | PUR_REBATE_AMT | Credit | |||
PUR_REBATE_PAY | WRI_REBATE_AMT | Debit | |||
CUSTOMER | WRI_REBATE_AMT | Credit |
No entries are passed for this event.
If an option is not Knocked in during the Barrier Window, entries for rebate will be passed on KIST at Expiry.
Accounting Role | Amount Tag | Dr./Cr. | |||
---|---|---|---|---|---|
CUSTOMER | PUR_REBATE_AMT | Debit | |||
PUR_OPT_INCOME | PUR_REBATE_AMT | Credit | |||
WRI_OPT_EXPENSE | WRI_REBATE_AMT | Debit | |||
CUSTOMER | WRI_REBATE_AMT | Credit |
Given below is an event-wise list of accounting entries for Purchase/Written – Call/Put options. For an example on Written and Call physical Currency option refer to Example III in Annexure B.
Contingent Entries on BOOK
|
|
Accounting Role | Amount Tag | Dr./Cr. | CCY | ||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Written | Call | CON_WRI_CALL | WRI_CALL_AMT | Debit | Counter CCY and Amount | ||||||
CON_WRI_CAL_OFF | WRI_CALL_AMT_EQ | Credit | Contract CCY and Amount | ||||||||
Written | Put | CON_WRI_PUT | WRI_PUT_AMT | Debit | Contract CCY and Amount | ||||||
CON_WRI_PUT_OFF | WRI_PUT_AMT_EQ | Credit | Counter CCY and Amount | ||||||||
Purchase | Call | CON_PUR_CALL | PUR_CALL_AMT | Debit | Contract CCY and Amount | ||||||
CON_PUR_CAL_OFF | PUR_CALL_AMT_EQ | Credit | Counter CCY and Amount | ||||||||
Purchase | Put | CON_PUR_PUT | PUR_PUT_AMT | Debit | Counter CCY and Amount | ||||||
CON_PUR_PUT_OFF | PUR_PUT_AMT_EQ | Credit | Contract CCY and Amount |
Reversal of contingent Entries will be triggered for the following events - KNOT/TERM/EXPR/EXER and the following entries will be passed:
|
|
Accounting Role | Amount Tag | Dr./Cr. | CCY | ||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Written | Call | CON_WRI_CALL | WRI_CALL_AMT | Credit | Counter CCY and Amount | ||||||
CON_WRI_CAL_OFF | WRI_CALL_AMT_EQ | Debit | Contract CCY and Amount | ||||||||
Written | Put | CON_WRI_PUT | WRI_PUT_AMT | Credit | Contract CCY and Amount | ||||||
CON_WRI_PUT_OFF | WRI_PUT_AMT_EQ | Debit | Counter CCY and Amount | ||||||||
Purchase | Call | CON_PUR_CALL | PUR_CALL_AMT | Credit | Contract CCY and Amount | ||||||
CON_PUR_CAL_OFF | PUR_CALL_AMT_EQ | Debit | Counter CCY and Amount | ||||||||
Purchase | Put | CON_PUR_PUT | PUR_PUT_AMT | Credit | Counter CCY and Amount | ||||||
CON_PUR_PUT_OFF | PUR_PUT_AMT_EQ | Debit | Contract CCY and Amount |
DLTA – Delta Accounting
New delta entries will be passed and previous day's entries will be reversed
On KNOT/TERM/EXER/TERM events, the delta entries will be reversed and only the accounting entries with tags PREV_DELTA_AMT AND PREV_ANTI_DELTA_AMT will be passed.
|
|
Accounting Role | Amount Tag | Dr./Cr. | CCY | ||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Written | Call | CON_DELTA_AC | DELTA_AMT | Debit | Counter CCY and Amount | ||||||
CON_DELTA_OFF | DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_AC | ANTI_DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_OFF | ANTI_DELTA_AMT | Debit | Contract CCY and Amount | ||||||||
CON_DELTA_AC | PREV_DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
CON_DELTA_OFF | PREV_DELTA_AMT | Debit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_AC | PREV_ANTI_DELTA_AMT | Debit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_OFF | PREV_ANTI_DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
Written | Put | CON_DELTA_AC | DELTA_AMT | Debit | Contract CCY and Amount | ||||||
CON_DELTA_OFF | DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_AC | ANTI_DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_OFF | ANTI_DELTA_AMT | Debit | Counter CCY and Amount | ||||||||
CON_DELTA_AC | PREV_DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
CON_DELTA_OFF | PREV_DELTA_AMT | Debit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_AC | PREV_ANTI_DELTA_AMT | Debit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_OFF | PREV_ANTI_DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
Purchase | Call | CON_DELTA_AC | DELTA_AMT | Debit | Contract CCY and Amount | ||||||
CON_DELTA_OFF | DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_AC | ANTI_DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_OFF | ANTI_DELTA_AMT | Debit | Counter CCY and Amount | ||||||||
CON_DELTA_AC | PREV_DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
CON_DELTA_OFF | PREV_DELTA_AMT | Debit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_AC | PREV_ANTI_DELTA_AMT | Debit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_OFF | PREV_ANTI_DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
Purchase | Put | CON_DELTA_AC | DELTA_AMT | Debit | Counter CCY and Amount | ||||||
CON_DELTA_OFF | DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_AC | ANTI_DELTA_AMT | Credit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_OFF | ANTI_DELTA_AMT | Debit | Contract CCY and Amount | ||||||||
CON_DELTA_AC | PREV_DELTA_AMT | Credit | Counter CCY and Amount | ||||||||
CON_DELTA_OFF | PREV_DELTA_AMT | Debit | Counter CCY and Amount | ||||||||
CON_ANT_DEL_AC | PREV_ANTI_DELTA_AMT | Debit | Contract CCY and Amount | ||||||||
CON_ANT_DEL_OFF | PREV_ANTI_DELTA_AMT | Credit | Contract CCY and Amount |
For all the delta entries mentioned above the amount will be Contract CCY Amt/Counter CCY Amount *delta factor depending on the WRI/PUR and CALL/PUT combination.
Given below is a list of event-wise Amount Tags which can be used for the OTC module.
Entries in blue (Italics) are meant only for hedge deals. Entries in pink can be used for Hedge as well as Trade deals. Also note, for hedge deals, entries are relevant for only purchase options. Collars are not allowed for hedge deals.
Event | Amount Tag | Value | Remarks | |||||||
---|---|---|---|---|---|---|---|---|---|---|
BOOK | PUR_OPTION_PREM | WRI_OPTION_PREM | User Input Option Premium at Inception | Trade Deals | ||||||
PUR_INCEP_GAIN | PUR_INCEP_GAIN_DEF | WRI_INCEP_LOSS | Inception Fair Value - Option Premium | Trade Deals | ||||||
PUR_INCEP_LOSS | WRI_INCEP_GAIN | WRI_INCEP_GAIN_DEF | Option Premium – Inception Fair Value | Trade Deals | ||||||
PUR_INCEP_IV | Intrinsic Value at Inception (System Calculated) | Hedge Deals | ||||||||
BOOK | PUR_INCEP_TV | PUR_INCEP_TV_DEF | Time Value at Inception (System Calculated) | Hedge Deals | ||||||
PRPT | PUR_OPTION_PREM | WRI_OPTION_PREM | User Input Option Premium at Inception | Hedge and Trade Deals | ||||||
AMND | - | - | Only ICCF | |||||||
AMRT | PUR_NET_INCEP_GAIN | WRI_NET_INCEP_GAIN | Inception Gain to Amortize till date – Gain already amortized | Trade Deals | ||||||
REVL | PUR_REVL_GAIN | WRI_REVL_LOSS | Contract Fair Value – Option Premium | Trade Deals | ||||||
WRI_REVL_GAIN | PUR_REVL_LOSS | Option Premium - Contract Fair Value | Trade Deals | |||||||
PUR_LAST_REVAL_GAIN | WRI_LAST_REVAL_GAIN | Last Revaluation Gain | Trade Deals | |||||||
PUR_LAST_REVAL_LOSS | WRI_LAST_REVAL_LOSS | Last Revaluation Loss | Trade Deals | |||||||
NET_AMORT_TV | TV to Amort till date – TV already amortized | Hedge Deals | ||||||||
CANC | -- | -- | Reversal of entries and processing Charges. Trade and hedge deals | |||||||
RTFX | - | - | ||||||||
TERM | PUR_TERM_FV | WRI_TERM_FV | Fair Value of the contract as input at the time of termination | Hedge and Trade deals | ||||||
PUR_TERM_GAIN | WRI_TERM_LOSS | Termination Value –FV at the time of termination | Trade Deals | |||||||
PUR_TERM_LOSS | WRI_TERM_GAIN | FV at the time of termination –Termination value | Trade Deals | |||||||
HED_TERM_GAIN | HED_TERM_GAIN_DEF | Termination Value –Inception IV | Hedge Deals | |||||||
HED_TERM_LOSS | Inception IV –Termination value | Hedge Deals | ||||||||
PUR_INCEP_IV | Intrinsic Value at Inception | Hedge Deals | ||||||||
REVAL ON | TERM | PUR_REVL_GAIN | WRI_REVL_LOSS | Contract Fair Value at termination (User I/P)– Option Premium | Trade Deals | |||||
WRI_REVL_GAIN | PUR_REVL_LOSS | Option Premium - Contract Fair Value at termination (User I/P) | Trade Deals | |||||||
PUR_LAST_REVAL_GAIN | WRI_LAST_REVAL_GAIN | Last Revaluation Gain | Trade Deals | |||||||
PUR_LAST_REVAL_LOSS | WRI_LAST_REVAL_LOSS | Last Revaluation Loss | Trade Deals | |||||||
NET_AMORT_TV | Inception TV – TV amortized till date (Remaining Time Value) | Hedge Deals | ||||||||
AFTER REVAL ON TERM | PUR_REVL_GAIN | WRI_REVL_GAIN | (Recognition of total revaluation Income) | Current Revaluation Gain | After triggering revaluation process at termination | Trade Deals | ||||
PUR_REVL_LOSS | WRI_REVL_LOSS | (Recognition of total revaluation Expense) | Current Revaluation Loss | After triggering revaluation process at termination | Trade Deals | |||||
PUR_INCEP_TV | Time Value at Inception | Hedge Deals | ||||||||
AMORT ON TERM | PUR_NET_INCEP_GAIN | WRI_NET_INCEP_GAIN | Total Amt to Amort (Inception gain)– Amt amortized till date. This is the remaining inception gain | Trade Deals | ||||||
AFTER AMORT ON TERM | PUR_INCEP_GAIN | WRI_INCEP_LOSS | (Recognition of Inception Gain/Loss) | Inception Fair Value-Inception Fair Value | Trade Deals | |||||
PUR_INCEP_LOSS | WRI_INCEP_GAIN | (Recognition of Loss/Gain) | Option Premium - Inception Fair Value | Trade Deals = | ||||||
AMDG | NET_GAIN_DEF | (Amortization of Deferred termination Gains) | Amt to Amort –Amt Amortized till Date | Hedge deals. | ||||||
EXER | PUR_INTR_SETL_AMT | Calculated Settlement Amt | Intermediate Exercise except Collars. Trade and Hedge deals. | |||||||
WRI_INTR_SETL_AMT | Calculated Settlement Amt | Intermediate Exercise except Collars. Trade and Hedge deals. | ||||||||
PUR_SETL_AMT | Calculated Settlement Amt | Final Exercise except Collars. Trade deals. | ||||||||
WRI_SETL_AMT | Calculated Settlement Amt | Final Exercise except Collars. Trade deals. | ||||||||
PUR_INTR_FLR_AMT | WRI_INTR_FLR_AMT | Calculated Settlement Amt for Collars if Floor is in-the-money | Intermediate Exercise for Collars. Trade deals. | |||||||
PUR_INTR_CAP_AMT | WRI_INTR_CAP_AMT | Calculated Settlement Amt for Collars if Cap is in-the-money | Intermediate Exercise for Collars. Trade deals. | |||||||
PUR_FLOOR_AMT | WRI_FLOOR_AMT | Calculated Settlement Amt for Collars if Floor is in-the-money for final exercise | Final Exercise for Collars. Trade deals. | |||||||
PUR_CAP_AMT | WRI_CAP_AMT | Calculated Settlement Amt for Collars if Cap is in-the-money for final exercise | Final Exercise for Collars. Trade deals. | |||||||
PUR_SWAP_AMT | Swap Value (User I/P). This is the settlement Amount for cash settled swaptions | On initiation of underlying swap or cash settlement. | Swaptions. | |||||||
PUR_INCEP_IV | Intrinsic Value at Inception | Hedge Deals Only except collars | ||||||||
HED_EXER_GAIN | Payoff (System Calculated) – Inception IV | Hedge Deals Only except collars | ||||||||
HED_EXER_LOSS | Inception IV - Payoff (System Calculated) | Hedge Deals Only except collars | ||||||||
PUR_INCEP_IV_SWAP | Inception IV | Hedge Deals (Swaptions) Only | ||||||||
REVAL ON | EXER | PUR_REVL_GAIN | WRI_REVL_LOSS | Settlement Amt (Calculated)– Option Premium | Final Exercise except Collars with Floor in the money. Trade deals Only | |||||
WRI_REVL_GAIN | PUR_REVL_LOSS | Option Premium - Settlement Amt (Calculated) | Final Exercise except Collars with Floor in the money. Trade deals Only | |||||||
PUR_REVL_GAIN | WRI_REVL_LOSS | 0 | Final Exercise for Collars with Floor in the money. | Trade deals only. | ||||||
WRI_REVL_GAIN | PUR_REVL_LOSS | Option Premium-0 | Final Exercise for Collars with Floor in the money. | Trade deals only. | ||||||
PUR_LAST_REVAL_GAIN | WRI_LAST_REVAL_GAIN | Last Revaluation Gain | Final Exercise. Trade deals only. | |||||||
PUR_LAST_REVAL_LOSS | WRI_LAST_REVAL_LOSS | Last Revaluation Loss | Final Exercise. Trade deals only. | |||||||
NET_AMORT_TV | (Hedge Deals) | Inception TV – TV amortized till date | Remaining Time Value. | |||||||
AFTER REVAL ON EXER | PUR_REVL_GAIN | WRI_REVL_GAIN | (Recognition of total revaluation Income) | Current Revaluation Gain | After triggering revaluation process at Exercise | Final Exercise. Trade deals only. | ||||
PUR_REVL_LOSS | WRI_REVL_LOSS | (Recognition of total revaluation Expense) | Current Revaluation Loss | After triggering revaluation process at Exercise | Final Exercise Only. Trade deals only | |||||
PUR_INCEP_TV | Time Value at Inception | Hedge Deals Only except collars | ||||||||
AFTER AMORT ON EXER | PUR_INCEP_GAIN | WRI_INCEP_LOSS | (Recognition of Inception Gain/Loss) | Option Premium –Inception Fair Value | Trade deals Only | |||||
PUR_INCEP_LOSS | WRI_INCEP_GAIN | (Recognition of Loss/Gain) | Inception Fair Value - Option Premium | Trade deals Only | ||||||
EXST | PUR_SETL_AMT | Settlement amount Calculated at EXER event for purchased options | Both Hedge and Trade deals | |||||||
WRI_SETL_AMT | Settlement amount Calculated at EXER event for Written Options | Trade deals only | ||||||||
PUR_FLOOR_AMT | Settlement amount Calculated at EXER event for Collars if Floor is in the money | Trade deals only | ||||||||
PUR_CAP_AMT | Settlement amount Calculated at EXER event for Collars if Cap is in the money | Trade deals only | ||||||||
KNIN | - | - | Will be followed by KIST if Rebate is to be paid on Maturity. | Both for trade and Hedge. | ||||||
KIST | PUR_REBATE_AMT | WRI_REBATE_AMT | Rebate amount (User I/P at Inception) | Both for trade and Hedge. This event will be triggered along with EXPR (Expiry) | ||||||
KNOT | PUR_REBATE_AMT | WRI_REBATE_AMT | Rebate amount (User I/P at Inception) | Will be followed by KNST if Rebate is to be paid on Hit or Maturity. Both for trade and Hedge | ||||||
PUR_INCEP_IV | Inception Intrinsic Value | Hedge deals only | ||||||||
REVAL ON | KNOT | PUR_REVL_GAIN | WRI_REVL_LOSS | 0 | Since the option gets Knocked Out | |||||
WRI_REVL_GAIN | PUR_REVL_LOSS | Option Premium – 0 | Option premium is the revaluation gain for written options | |||||||
PUR_LAST_REVAL_GAIN | WRI_LAST_REVAL_GAIN | Last Revaluation gain | ||||||||
PUR_LAST_REVAL_LOSS | WRI_LAST_REVAL_LOSS | Last revaluation Loss | ||||||||
NET_AMORT_TV | (Hedge Deals) | Inception TV – TV amortized till date | Remaining Time Value. | |||||||
AFTER REVAL ON KNOT | PUR_REVL_GAIN | WRI_REVL_GAIN | (Recognition of reval Income) | Current Revaluation Gain | After triggering revaluation process at Knock Out | This will be 0 on Knock Out | ||||
PUR_REVL_LOSS | WRI_REVL_LOSS | (Recognition of reval Expense) | Current Revaluation Loss | After triggering revaluation process at Knock Out | This will be option premium on knock Out | |||||
AMRT ON KNOT | PUR_NET_INCEP_GAIN | WRI_NET_INCEP_GAIN | Inception gain – Amt amortized till date | Remaining Inception Gain | ||||||
AFTER AMRT ON KNOT | PUR_INCEP_GAIN | WRI_INCEP_LOSS | (Recognition of Inception Gain/Loss) | Option Premium –Inceptinon Fair Value | ||||||
PUR_INCEP_LOSS | WRI_INCEP_GAIN | (Recognition of Loss/Gain) | Inception Fair Value - Option Premium | |||||||
EXPR | PUR_INCEP_IV | Inception Intrinsic Value | Hedge deals only | |||||||
REVAL ON | EXPR | PUR_REVL_GAIN | WRI_REVL_LOSS | 0 | Since the option expires worthless | |||||
WRI_REVL_GAIN | PUR_REVL_LOSS | Option Premium – 0 | Option premium is the revaluation gain for written options | |||||||
PUR_LAST_REVAL_GAIN | WRI_LAST_REVAL_GAIN | Last Revaluation gain | ||||||||
PUR_LAST_REVAL_LOSS | WRI_LAST_REVAL_LOSS | Last revaluation Loss | ||||||||
NET_AMORT_TV | (Hedge Deals) | Inception TV – TV amortized till date | Remaining Time Value. | |||||||
AFTER REVAL ON EXPR | PUR_REVL_GAIN | WRI_REVL_GAIN | (Recognition of reval Income) | Current Revaluation Gain | After triggering revaluation process at Expiry | This will be 0 on expiry | ||||
PUR_REVL_LOSS | WRI_REVL_LOSS | (Recognition of reval Expense) | Current Revaluation Loss | After triggering revaluation process at Expiry | This will be option premium on expiry | |||||
AMRT ON EXPR | PUR_NET_INCEP_GAIN | WRI_NET_INCEP_GAIN | Inception gain – Amt amortized till date | Remaining Inception Gain | ||||||
AFTER AMRT ON EXPR | PUR_INCEP_GAIN | WRI_INCEP_LOSS | (Recognition of Inception Gain/Loss) | Option Premium –Inception Fair Value | ||||||
PUR_INCEP_LOSS | WRI_INCEP_GAIN | (Recognition of Loss/Gain) | Inception Fair Value - Option Premium | |||||||
AMDG ON Expiry | NET_GAIN_DEF | (Amortization of Deferred termination Gains) | Total Amt to Amort –Amt Amortized till Date | Remaining termination gains | Hedge deals Only. This is separate from EXPR. Either EXPR or AMDG will trigger on maturity. |
Following is a list of messages generated for different events in the lifecycle of an OTC Option contract:
Event | Unformatted Message | Swift (IRO) | Swift | Remarks | ||||||
---|---|---|---|---|---|---|---|---|---|---|
BOOK | Initiation of Contract | Contract Confirmation | MT360 | MT306 | MT 305 for Plain Vanilla COs | |||||
AMND | Amendment | Modification Confirmation | MT360 | MT306 | MT 305 for Plain Vanilla COs | |||||
TERM | Termination | Termination Confirmation | MT364 | MT 306 | MT 305 for Plain Vanilla COs | |||||
RTFX | Rate Fixing | Rate Fixing Advice | MT362 | Not Applicable | ||||||
EXER | Exercise | Not applicable | MT 362 sent on rate reset suffices for IROs | |||||||
REVR | Cancellation Confirmation | MT362 | MT306 | MT 305 for Plain Vanilla COs | ||||||
KNIN | Knock In Confirmation | N/A | MT306 | MT 305 for Plain Vanilla COs | ||||||
KNOT | Knock Out Confirmation | N/A | MT306 | MT 305 for Plain Vanilla COs |