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

6.1 Accounting Entries

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:\

• Section 6.2, "OTC Events"
• Section 6.3, "Amount Tags"
• Section 6.4, "Accounting Roles"
• Section 6.5, "Event-Wise Accounting Entries"
• Section 6.6, "Advices Generated"

6.2 OTC Events

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.

6.3 Amount Tags

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.

6.4 Accounting Roles

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

6.5 Event-Wise Accounting Entries

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:

• Section 6.5.1, "BOOK – Contract Booking"
• Section 6.5.2, "PRPT - Premium Payment"
• Section 6.5.3, "REVL - Revaluation of Option"
• Section 6.5.4, "AMRT - Amortization of Inception Gain/Loss"
• Section 6.5.5, "TERM - Contract Termination"
• Section 6.5.6, "EXER - Exercise of Options"
• Section 6.5.7, "EXST - Exercise Settlement"
• Section 6.5.8, "EXPR – Contract Expiry"
• Section 6.5.9, "AMDG - Amortization of Deferred Gains-Hedge"
• Section 6.5.10, "KNOT - Knock Out of Currency Option"
• Section 6.5.11, "KNST - Knock Out Settlement"
• Section 6.5.12, "KNIN - Knock In of Currency Option"
• Section 6.5.13, "KIST - Knock In Settlement"
• Section 6.5.14, "Delta Accounting"
• Section 6.5.15, "Event-wise Amount Tags"

6.5.1 BOOK – Contract Booking

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

6.5.2 PRPT - Premium Payment

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

6.5.3 REVL - Revaluation of Option

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

6.5.4 AMRT - Amortization of Inception Gain/Loss

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

6.5.5 TERM - Contract Termination

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

6.5.6 EXER - Exercise of Options

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

6.5.7 EXST - Exercise Settlement

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

6.5.8 EXPR – Contract Expiry

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

6.5.9 AMDG - Amortization of Deferred Gains-Hedge

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

6.5.10 KNOT - Knock Out of Currency Option

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

6.5.11 KNST - Knock Out Settlement

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

6.5.12 KNIN - Knock In of Currency Option

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.

6.5.13 KIST - Knock In Settlement

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

6.5.14 Delta Accounting

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.

6.5.15 Event-wise Amount Tags

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.

6.6 Advices Generated

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