Contents

1. Preface

  • 1.1 Introduction
  • 1.2 Audience
  • 1.3 Documentation Accessibility
  • 1.4 Abbreviations
  • 1.5 Organization
  • 1.6 Related Documents
  • 1.7 Glossary of Icons
  • 1.8 Related Documents

    • 2. Exchange Traded Derivatives – An Overview

  • 2.1 Introduction
  • 2.2 Portfolios
  • 2.2.1 Features of Portfolios
  • 2.2.2 Own Portfolio
  • 2.2.3 Customer Portfolio
  • 2.2.4 Advices
  • 2.3 Interaction with the Margin Maintenance Sub-System
  • 2.4 Illustration of the ETD Workflow

    • 3. Underlying Asset Definition

  • 3.1 Underlying Asset Definition
  • 3.1.1 Invoking Underlying Asset Definition Screen

    • 4. Creating Instrument Products

  • 4.1 Instrument Product Creation
  • 4.1.1 Invoking the Exchange Derivatives Instrument Product Definition Screen
  • 4.1.2 Preferences Button
  • 4.1.3 Branch and Currency Restrictions Button
  • 4.1.4 MIS Details Button

    • 5. Defining ET Instruments

  • 5.1 Instrument Definition
  • 5.1.1 Invoking Instrument Definition Screen
  • 5.1.2 Series Button
  • 5.1.3 Examples of Capturing Actual Instruments in Oracle FLEXCUBE
  • 5.2 Margin Maintenance at Instrument Level
  • 5.2.1 Invoking the Instrument Margin Screen
  • 5.3 Margin Details and Instrument Price Details

    • 6. Creating Portfolio Products and Portfolios

  • 6.1 Portfolio Product Creation
  • 6.1.1 Invoking the Exchange Derivatives Portfolio Product Definition Screen
  • 6.1.2 Accounting Roles Button
  • 6.1.3 Events Button
  • 6.1.4 Branch Currency Button
  • 6.1.5 Customer Button
  • 6.1.6 MIS Button
  • 6.2 Margin Products Maintenance
  • 6.2.1 Invoking the Margin Product Definition Screen
  • 6.2.2 Preferences Button
  • 6.3 Margin Settlement
  • 6.3.1 Invoking the Margin Settlement Screen
  • 6.4 Margin call
  • 6.4.1 Invoking the Scheme Maintenance Screen
  • 6.5 Portfolios Definition
  • 6.5.1 Invoking the Portfolio Definition Maintenance
  • 6.5.2 Role to Head Button
  • 6.5.3 Instrument Restrictions Button
  • 6.5.4 Margin Button
  • 6.5.5 MIS Button
  • 6.5.6 Broker Button

    • 7. Defining Deal Products

  • 7.1 Deal Product Creation
  • 7.1.1 Invoking the Exchange Derivatives Deal Product Definition Screen
  • 7.1.2 Preferences Button
  • 7.1.3 Charge Button
  • 7.1.4 Events Button
  • 7.1.5 Branch Currency Button
  • 7.1.6 Portfolio Restrictions Button
  • 7.1.7 Instrument Restrictions Button
  • 7.1.8 Fields Button
  • 7.1.9 MIS Button
  • 7.2 ET Deal Processing
  • 7.2.1 Processing the ET Deals
  • 7.2.2 Charges Button
  • 7.2.3 Events Button
  • 7.2.4 Settlements Button
  • 7.2.5 Specifying Advices for the Deal
  • 7.2.6 Fields Button
  • 7.2.7 MIS Button
  • 7.2.8 Associating a Broker and Product with a Rule
  • 7.2.9 Long Short Deal Financial Amendment
  • 7.3 Liquidation Deals
  • 7.3.1 Invoking the Liquidation Deals Screen
  • 7.3.2 Settlement Button
  • 7.3.3 Charges Button
  • 7.3.4 Viewing the Accounting Entries posted for an LQ transaction
  • 7.3.5 Specifying the Advices for a Deal
  • 7.3.6 Fields Button
  • 7.3.7 MIS Button
  • 7.3.8 Brokerage Button
  • 7.3.9 Liquidation Deal Financial Amendment
  • 7.4 Deals Matching
  • 7.4.1 Invoking Liquidation Deals Screen
  • 7.4.2 Operations you can perform on a Matched and Unmatched Deal

    • 8. General Maintenance

  • 8.1 Bank Parameters Maintenance
  • 8.1.1 Invoking the Bank Parameters Screen
  • 8.2 Price Code Details
  • 8.2.1 Invoking Price Code Maintenance Screen
  • 8.3 Underlying Asset Prices
  • 8.3.1 Invoking Underlying Asset Price Maintenance Screen
  • 8.4 Instrument Price Details
  • 8.4.1 Invoking Instrument Price Details Screen
  • 8.5 Broker Accounts
  • 8.5.1 Invoking Broker Master Maintenance Screen
  • 8.6 Broker Scheme
  • 8.6.1 Invoking Broker Scheme Definition

    • 9. Automatic Daily Processing

  • 9.1 ETD Batch Processes at EOD
  • 9.1.1 Invoking the End of Day Batch Start Screen
  • 9.2 Automatic Events Executed during End of Day for Futures
  • 9.2.1 Settlement of Opening Deals
  • 9.2.2 Realized Revaluation of Open Positions
  • 9.2.3 Settlement of all Closing Deals for the Day
  • 9.2.4 Liquidation of all Open positions on the Expiry Date
  • 9.3 Automatic Events Executed during End of Day for Options
  • 9.3.1 Settlement of Opening Deals for Options
  • 9.3.2 Settlement of Closing Deals
  • 9.3.3 Notional Revaluation of Open Positions for Options with Option Style Premium
  • 9.3.4 Automatic Exercise of options/ Assignment of Exercise
  • 9.3.5 Automatic Expiry of Out / At the Money Positions
  • 9.3.6 Reversal of Notional Revaluation for Options with Option Style of Premium
  • 9.3.7 Producing Instrument Detail and Instrument Price Detail Handoffs
  • 9.4 Sample Accounting Entries for the various events
  • 9.5 Future Deals
  • 9.5.1 Instrument Details - CME-90 day US T-bill-Future
  • 9.5.2 Deal I – Reference Number D20101
  • 9.5.3 Deal II – Reference Number D20302
  • 9.5.4 Deal III – Reference Number D20401
  • 9.6 Option Deals
  • 9.6.1 European Option Deals with Option Style Premium
  • 9.6.2 Deal I – Reference Number D10103
  • 9.6.3 Deal II –Reference Number D10201
  • 9.6.4 Deal II –Reference Number D10402
  • 9.6.5 American Option Deals with Future Style Premium
  • 9.6.6 Deal I – Reference Number D20104
  • 9.6.7 Deal II – Reference Number D20601

    • 10. Annexure A – Event-wise Accounting Entries for your Own Portfolio

  • 10.1 ETD Events
  • 10.2 Amount Tags
  • 10.3 Accounting Roles
  • 10.4 Event-wise Accounting Entries for your Own portfolio
  • 10.5 Event-wise Accounting Entries for your Customer’s portfolio

    • 11. Annexure B - Advice tags and their descriptions

  • 11.1 Branch Details
  • 11.1.1 Advice Tag Description
  • 11.1.2 Customer Details
  • 11.1.3 Underlying Asset Details
  • 11.1.4 Charge Details
  • 11.1.5 Portfolio Details
  • 11.1.6 Series Details
  • 11.1.7 Instrument Details
  • 11.1.8 Broker Details
  • 11.1.9 Long Short deal details
  • 11.1.10 Liquidation deal details
  • 11.2 Message Types
  • 11.2.1 Transactions Holdings Statements for a Portfolio
  • 11.2.2 Long Short Deal Confirmation advice
  • 11.2.3 Assignment Notice
  • 11.2.4 Exercise Confirm Notice
  • 11.2.5 EFP Confirm Notice
  • 11.2.6 Expiry Confirm Notice

    • 12. Function ID Glossary