Contents

1. Preface

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

    • 2. Over the Counter Options – An Overview

  • 2.1 OTC Instruments and Transactions
  • 2.1.1 Interest Rate Options (IROs)
  • 2.1.2 Swaptions
  • 2.1.3 Currency Options (COs)
  • 2.2 Dependencies

    • 3. General Maintenance

  • 3.1 Branch Parameters
  • 3.1.1 Maintaining Branch Parameters
  • 3.1.2 Maintaining Contract Fair Values
  • 3.1.3 Maintaining Limit Tracking (Other Exposure) Details

    • 4. Defining Attributes Specific to OTC Products

  • 4.1 OTC Options Products
  • 4.1.1 Create OTC Option products
  • 4.1.2 Indicating Exchange Rate Variance
  • 4.1.3 Specifying OTC Product Preferences
  • 4.1.4 Specifying Main Details
  • 4.1.5 Specifying Currency Option Preferences
  • 4.1.6 Exotics
  • 4.1.7 Specifying Interest Rate Option Preferences
  • 4.1.8 Specifying Interest Rate Option Schedules Preferences
  • 4.1.9 Specifying Rate Fixing Details
  • 4.1.10 Specifying Swaption Details
  • 4.1.11 Defining Interest Rate Option Schedules
  • 4.1.12 Defining Charge Components for a Product
  • 4.1.13 Defining Taxes for Product

    • 5. Processing OTC Option Instruments

  • 5.1 OTC Option Contract
  • 5.1.1 Entering Details of OTC Option Contract
  • 5.1.2 Format of Options Contract Input Screen
  • 5.1.3 Specifying Common Details (Main Tab)
  • 5.1.4 Specifying Details Specific to Currency Option
  • 5.1.5 Settlement Method for Currency Options
  • 5.1.6 Specifying Details Specific to Interest Rate Option
  • 5.1.7 Settlement Method for IROs
  • 5.2 Specifying Other Details for OTC Option Contract
  • 5.2.1 Processing Brokerage on Contract
  • 5.2.2 Specifying Advices for Contract
  • 5.2.3 Viewing Event Details
  • 5.2.4 Selecting User Defined Fields
  • 5.2.5 Levying Charges for Transaction
  • 5.2.6 Maintaining Settlement Instruction Details
  • 5.2.7 Levying Tax on Contract
  • 5.3 Manual Knock-In Knock-Out
  • 5.4 Terminating Option Contracts
  • 5.5 Uploading Options Contracts
  • 5.5.1 Uploading Options Contract for Amendment
  • 5.6 Exercising Option

    • 6. Automatic Daily Processing

  • 6.1 Automatic Events Executed during End of Day
  • 6.1.1 Revaluation (REVL)
  • 6.1.2 Amortization
  • 6.1.3 Auto Exercise and Rate Reset (RTFX and EXER)
  • 6.1.4 Knock In and Knock Out (Event KNIN and KNOT)
  • 6.1.5 Auto Settlement (EXST, KNST, KIST, PRPT)
  • 6.1.6 Auto Expiry (EXPR)

    • 7. Annexure A – Event-wise Accounting Entries and Advices for your OTC Op­tions

  • 7.1 Accounting Entries
  • 7.2 OTC Events
  • 7.3 Amount Tags
  • 7.4 Accounting Roles
  • 7.5 Event-Wise Accounting Entries
  • 7.5.1 BOOK – Contract Booking
  • 7.5.2 PRPT - Premium Payment
  • 7.5.3 REVL - Revaluation of Option
  • 7.5.4 AMRT - Amortization of Inception Gain/Loss
  • 7.5.5 TERM - Contract Termination
  • 7.5.6 EXER - Exercise of Options
  • 7.5.7 EXST - Exercise Settlement
  • 7.5.8 EXPR – Contract Expiry
  • 7.5.9 AMDG - Amortization of Deferred Gains-Hedge
  • 7.5.10 KNOT - Knock Out of Currency Option
  • 7.5.11 KNST - Knock Out Settlement
  • 7.5.12 KNIN - Knock In of Currency Option
  • 7.5.13 KIST - Knock In Settlement
  • 7.5.14 Delta Accounting
  • 7.5.15 Event-wise Amount Tags
  • 7.6 Advices Generated

    • 8. Annexure B – Examples of Processing Interest Rate and Currency Options in Oracle FLEXCUBE

  • 8.1 Examples
  • 8.1.1 Example I - Interest Rate Options
  • 8.1.2 Example II - Currency Options
  • 8.1.3 Example III – Contingent Entries and Delta Accounting
  • 8.1.4 Example IV – Swaption with European Expiration
  • 8.1.5 Examples of Different Types of Exotic Currency Options
  • 8.2 Explanation of Terms Associated with IRO Markets / Transactions

    • 9. Reports

  • 9.1 Rate Fixing Report
  • 9.2 Options Revaluation Report

    • 10. Function ID Glossary