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