The inputs you have made at different stages of maintaining a derivative contract are pieced together and can be extracted in the form of meaningful reports as and when you may require them. The following are the reports that you can generate for the Derivatives module:
When a report is generated, it can be directed to one of the following destinations:
In the Application Browser, these reports are available under the option Reports, for the Derivatives module. The reports that have been spooled can be printed or viewed through the Reports Browser screen.
Note
Both these screens have been documented in the manual about Common Procedures in Oracle FLEXCUBE.
The report headers for all the reports carry the following information:
Field | Field Description | ||
---|---|---|---|
Branch | This is the code of the branch for which the report is being generated. | ||
User ID | This is the user ID of the person generating the report. | ||
Date | This indicates the date of generation of the report. | ||
Time | This indicates the time of generation of the report. | ||
Page | The report may run into several pages. Each page of the report is numbered. | ||
Module | This is the name of the Oracle FLEXCUBE module for which you are generating the report. Any report on derivatives will have DV as its module name. |
This chapter contains the following sections:
This section contains the following topics:
The interest accrual report gives details of accruals done on hedge type of derivative contracts.
You can invoke the screen by typing the code ‘DVRPACCR’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
Accrual Processing Date
Specify the accrual processing date on which you want to generate the interest accrual details report.
The report will be sorted based on the Branch and the User ID of persons who entered the contracts.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Contract Reference
This is the reference number of the derivative contract whose accrual related details are being reported.
Component
This is the component of the contract against which the accrual details are being reported. When more than one component is involved they will be reported one by one.
Period Start Date
This is the start date of the accrual period for the particular component.
Period End Date
This is the end date of the accrual period for the particular component.
Payment Method
This is the method of payment for the particular component.
Previous Accrual to Date
This is the previous accrued amount until date.
Current Accrual to Date
This is the current accrued amount until date.
Current Run Accrual
This is the current run accrued amount.
Accrual Till Date
The total amount accrued until date.
This section contains the following topics:
The Back Dated Deals report gives details of those deals which were inserted into the system with the value date earlier than that of Booking Date.
You can invoke the screen by typing the code ‘DVRPBKDT’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
From Date
Specify the date from when the contract was booked.
To Date
Specify the date till when the contract was booked.
From Date
Specify the value date from when, you want to generate the report with data of back valued deals.
To Date
Specify the value date till when, you want to generate the report with data of back valued deals.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
CIF ID
This is the CIF ID of the counter-party involved in the contract.
Cust Name
Apart from the CIF ID the name of the customer involved in the contract is also reported.
Cont Ref Number
This is the reference number of the contract whose details are being reported.
In Leg Principal
This is the In Leg Principal Amount.
Cont Type
This indicates whether the contract whose details are being reported is a Trade type of contract or a Hedge contract.
Booking Date
This is the date on which the derivatives contract was booked.
Out Leg Principal
This is the Out Leg Principal Amount.
Value Date
This is the date on which the Swap takes effect. In the case of an FRA this would typically be the date on which the deal settles.
Maturity Date
This is the date on which the Swap matures. In the case of an FRA this would typically be the last date for the computation period.
Maker ID
This is the Login ID of the user who entered the contract.
Maker Dt
This is the date on which the contract was entered.
Checker ID
This is the Login ID of the user who authorized the contract.
Checker Dt
This is the date on which the contract was authorized.
In Leg and Out Leg Interest Component Details
The in and out leg interest details for each of the components involved in the contract will be reported under this head. These details include the following:
This section contains the following topics:
The Contract Activity report gives details of all the activities that were performed on the contract in a chronological order. This is from the date on which the contract was booked in the system upto today’s date.
You can invoke the screen by typing the code ‘DVRPCACT’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
Contract Reference
You have to specify the reference number of the contract for which the report is to be generated.
Apart from the header the following information will be provided for the Contract Activity report. The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Contract Reference
This is the reference number of the contract that you specified at the time of generating the report.
Version Number
This is the latest version number of the contract.
The system assigns a version number to a contract whenever a it is created in the system. From then on each amendment and reinstatement results in the next version of the contract being created. When you generate a report the latest version number of the contact is reported.
Event Sequence Number
The sequence in which the various events such as Contract Booking, Initiation, Interest Accrual etc were carried out on the particular contract will be reported.
Event Code
Indicates the code of the event.
Event Description
Indicates the description of the event code
Event Date
This is the date of the event
Counterparty
This is the counter-party involved in the contract.
Customer Name
Indicates the name of the customer
Maker ID/Maker Date Stamp
The Login ID of the user who initiated the event and the date on which it was initiated will be reported.
Checker ID/Checker Date Stamp
The Login ID of the user who authorized the event and the date on which the event was authorized will be reported.
This section contains the following topics:
The Customer-wise Details report gives you details of all contracts where the counter-party involved is a specific customer of your bank.
You can invoke the screen by typing the code ‘DVRPCSDT’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
Once you indicate the ID of the customer for whom the report should be generated you have to specify the Booking date range within which the contracts generated for the specific customer should fall. You can do this by way of specifying the From and To booking dates.
In addition to the booking date range you can also specify that the report should be generated for contracts, which have value dates falling within a specified date range.
The generated report will contain details of the various activities carried out on all the contracts that were processed between the specified date range (both for the Booking Date and the Value Date) for the particular customer.
The report options that you selected while generating the report are printed at the beginning of the report.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Counterparty
This is the CIF ID of the customer involved in the contract.
Contract Reference Number
This is the reference number of the contract for which details are being reported.
Note
Only details of those contracts where the particular customer happens to be the counterparty involved will be reported.
In Leg Notional
This is the In Leg Notional
Principal
This is the Principal Amount
Booking Date
The date on which the derivative contract was booked is reported here.
Effective Date
This is the date on which the interest or FX exposure rate comes into effect.
Ccy
This indicates the currency of the transaction.
Maturity Date
If the contract is a swap type of contract then this is the date on which the swap matures. When the contract is an FRA this would typically be the last day for the computation period.
Out Leg Notional
This is the Out Leg Notional
Principal
This is the Principal Amount
Derivative Type
This is the derivative type to which the contract belongs.
Type Description
The description associated with the derivative type.
Buy or Sell
This indicates whether the contract whose details are being reported is a Buy type or Sell type of contract.
Contract Type
This indicates whether the contract is a Trade contract or a Hedge contract.
Product Code
The code of the product associated with the contract is reported here.
Product Description
The description of the product is reported here.
In Leg and Out Leg Interest Component Details
The in and out leg interest details for each of the components involved in the contract will be reported under this head. These details include the following:
This section contains the following topics:
The Customer-wise summary report summarizes the details of all contracts where the counter-party involved in the contract is the specified customer.
After you indicate the name of the customer, the details of all those contracts where the specified customer is the counter-party involved will be summarized in the report.
You can invoke the screen by typing the code ‘DVRPCSSM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button.
Customer
Select the customer ID on which you want to generate the customer-wise summary report.
The report options that you selected while generating the report are printed at the beginning of the report.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Counterparty
This is the CIF ID of the customer involved in the contract.
Counterparty Name
This is the name of the customer involved in the contract.
Contract Reference
This is the reference number of the contract being reported.
Type Description
This is the description of the derivative type to which the derivative contract belongs.
Value Date
If the derivative type being reported is a Swap then this is the date on which the swap takes effect. When the derivative type for which details are being reported is an FRA this would be the date on which the deal settles.
Settlement Date
This is the date on which the various components associated with the contract get settled.
This section contains the following topics:
When the complete details required for processing a contract are not available the system will stop processing those contracts. This report provides a list of all the exceptions that were encountered when the contracts stored in the specified branch were being processed.
You can invoke the screen by typing the code ‘DVRPEXCP’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
Branch Code
Specify a valid branch code to generate the report either for all the branches of your bank or only for a particular branch.
From Date
Specify a valid date from when you wish to generate the report from the adjoining calendar.
To Date
Specify a valid date till when you wish to generate the report from the adjoining calendar.
The report options that you selected while generating the report are printed at the beginning of the report.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Transaction Date
This is the date on which the contract was first processed in the system.
Transaction Ref No
This is the transaction reference number.
Branch Code
This is the code of the branch where the contract was processed.
Process Name
The name of the process during which the exception was encountered is reported here.
Contract Reference Number
This is the reference number of the contract for which the process exception details are being reported.
Error Code
The code assigned to the error for which the process exception was raised is reported here.
Error Message
The error message specific to the particular contract will be reported in this field.
This section contains the following topics:
Through the Revaluation Log report you can get product-wise details of all contracts which were revalued within a specific period. Thus at the product level you can guage the gains and losses due to changes in the market interest rates or the exchange rates.
You can invoke the screen by typing the code ‘DVRPRVAL’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
Product Code
Select the product code for which the report has to be generated.
is to be revalued you have to indicate the period for which revaluation should be carried out.
From Date
Specify the date from when the contract is to be revalued.
To Date
Specify the date till when the contract is to be revalued.
Note
You can choose to generate the revaluation log report either for one particular product or for all the products.
The report options that you selected while generating the report are printed at the beginning of the report.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Branch Code
This is the code of the branch for which the product-wise revaluation details are being reported.
Revaluation Sequence Number
This is the sequence number which was assigned to the revaluation
Value Date
This is the date as of which the swap takes effect. In the case of an FRA this is the date as of which the deal settles.
Transaction Date
This is the date on which the contract was first processed in the system.
Contract Reference
This is the reference number of the contract involved in the product for which revaluation details are being reported.
Previous Revaluation accounting entries
These are the revaluation entries that were passed in the previous revaluation cycle. These include the following:
Each of these entries will be reversed in the current revaluation cycle.
Product Code
The code of the product for which you are generating the revaluation details is reported here.
Current Revaluation accounting entries
These are the accounting entries, which have been passed in the current revaluation cycle:
Values for each of these fields will be displayed depending on whether the particular entry is applicable for the particular or not.
This section contains the following topics:
Through the Settled Deals report options screen you can generate a detailed report on all contracts which were settled as well as on those contracts which were terminated.
You can invoke the screen by typing the code ‘DVRPSTLD’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.
Firstly you have to indicate whether the report should be generated for settled deals or whether the report should contain details of contracts which were terminated.
After you indicate this specification you have to specify the date range within which the settled/terminated contracts were booked. Similarly you can specify that the report should contain deals bearing a value date falling within a specific date range.
The generated report will contain details of contracts satisfying the above criteria.
The report options that you selected while generating the report are printed at the beginning of the report.
The contents of the report are discussed under the following heads:
The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.
The report contains information on:
Counterparty
This is the CIF ID of the customer involved in the contract that was settled/terminated.
Customer Name
This is the name of the customer.
Contract Reference
This is the reference number of the contract which was settled/terminated.
Booking Date
This is the date on which the settled/terminated contract was booked.
Effective Date
This is the date on which the contract comes into effect.
Maturity Date
This is the date on which the Swap matures. In the case of an FRA this would typically be the last date for the computation period.
Contract Status
This is the status of the contract.
Contract Type
This is the derivative type to which the derivative contract belongs.
Type Description
This is the description associated with the derivative type
Termination Type
This indicates whether the termination of the contract was a normal termination or was assigned to another counterparty.
Termination Date
If you are generating the details of a contract which was terminated, the date on which the contract was terminated is reported.
In Leg
Indicates the In ledger
In Leg Principal
This is the in leg principal amount of the settled/terminated contract.
Currency
This is the currency of the In Leg principal.
Out Leg
Indicates the out ledger
Out Leg Principal
This is the out leg principal amount of the settled/terminated contract.
Currency
This is the currency of the Out Leg principal.
Termination To
Indicates the termination.
In Leg and Out Leg Interest Component Details
The in and out leg interest details for each of the components involved in the contract will be reported under this head. These details include the following: