9. Annexure A - Accounting Entries and Advices

9.1 Introduction

This section contains details of the suggested accounting entries that can be set up, for the Derivatives module of Oracle FLEXCUBE. The details of the suggested Accounting Entries and Advices are listed event-wise.

This chapter contains the following sections

Section 9.2, "IDV Events"
Section 9.3, "Amount Tags"
Section 9.4, "Accounting Roles"
Section 9.5, "Event-wise Accounting Entries and Advices"

9.2 IDV Events

The following is an exhaustive list of events that can take place during the lifecycle of a Derivatives contract.

Event Code	Event Description
DAMN	Contract Amendment
DASG	Contract Assignment
DASS	Contract Assumption
DBOK	Contract Booking
DIAC	Contract Profit Accrual
DIAM	Contract Inception Amortization
DILQ	Contract Profit Liquidation
DINT	Contract Initiation
DPLQ	Contract Principal Liquidation
DRVL	Contract Revaluation
DRVN	Contract Rate Revision
DRVS	Contract Reversal
DTAM	Contract Termination Amortization
DTRB	Booking of Termination Date
DTER	Contract Termination
DRRL	Contract Revaluation Reversal
DOPT	Event for Swaption Contract
SGEN	SETT MESSAGES
UIDB	Upfront Profit Booking
PCON	Purchase Confirmation
SCON	Sale Confirmation

9.3 Amount Tags

The amount tags listed below are hard-coded in Oracle FLEXCUBE.

Amount Tag	Description
AMNDDV_DISC	charge for DV amnd
AMNDDV_LIQD	charge for DV amnd
AMNDDV_PREM	charge for DV amnd
BROKAMT	Brokerage Amount
CUR_INRVL_PAY	Current In Leg Payable
CUR_INRVL_REC	Current In Leg Receivable
CUR_NETRVL_EXP	Current Net Revaluation Expense
CUR_NETRVL_INC	Current Net Revaluation Income
CUR_OUTRVL_PAY	Current Out Leg Payable
CUR_OUTRVL_REC	Current Out Leg Receivable
DV-IN-INTO_DLIQ	Profit in Advance
DV-IN-INTO_DLIQ_CY	Current Year Unrealized Income
DV-IN-INTO_DLIQ_PY	Previous Year Unrealized Income
DV-IN-INTO_IAC	Income Accrual
DV-IN-INTO_IAC_NLSS	Expense Accrual on Net Loss Deal
DV-IN-INTO_IAC_NPRF	Income Accrual on Net Profit Deal
DV-IN-INTO_ILIQ	Profit Income
DV-IN-INTO_JEAC	Adjustment Expense Accrual
DV-IN-INTO_JELQ	Adjustment Profit Expense
DV-IN-INTO_JIAC	Adjustment Income Accrual
DV-IN-INTO_JILQ	Adjustment Profit Income
DV-IN-INTO_RAC	Receivable Accrual
DV-IN-INTO_RLIQ	Profit in Arrears
DV-IN-INTO_RLIQ_CY	Current Year Unrealized Income
DV-IN-INTO_RLIQ_PY	Previous Year Unrealized Income
DV-IN-INT_DLIQ	Profit in Advance
DV-IN-INT_DLIQ_CY	Current Year Unrealized Income
DV-IN-INT_DLIQ_PY	Previous Year Unrealized Income
DV-IN-INT_IAC	Income Accrual
DV-IN-INT_IAC_NLSS	Expense Accrual on Net Loss Deal
DV-IN-INT_IAC_NPRF	Income Accrual on Net Profit Deal
DV-IN-INT_ILIQ	Profit Income
DV-IN-INT_JEAC	Adjustment Expense Accrual
DV-IN-INT_JELQ	Adjustment Profit Expense
DV-IN-INT_JIAC	Adjustment Income Accrual
DV-IN-INT_JILQ	Adjustment Profit Income
DV-IN-INT_RAC	Receivable Accrual
DV-IN-INT_RLIQ	Profit in Arrears
DV-IN-INT_RLIQ_CY	Current Year Unrealized Income
DV-IN-INT_RLIQ_PY	Previous Year Unrealized Income
DV-OUT-INO_DLIQ	Profit in Advance
DV-OUT-INO_DLIQ_CY	Current Year Unrealized Expense
DV-OUT-INO_DLIQ_PY	Previous Year Unrealized Expense
DV-OUT-INO_EAC	Expense Accrual
DV-OUT-INO_EAC_NLSS	Expense Accrual on Net Loss Deal
DV-OUT-INO_EAC_NPRF	Income Accrual on Net Profit Deal
DV-OUT-INO_ELIQ	Profit Expense
DV-OUT-INO_JEAC	Adjustment Expense Accrual
DV-OUT-INO_JELQ	Adjustment Profit Expense
DV-OUT-INO_JIAC	Adjustment Income Accrual
DV-OUT-INO_JILQ	Adjustment Profit Income
DV-OUT-INO_PAC	Payable Accrual
DV-OUT-INO_RLIQ	Profit in Arrears
DV-OUT-INO_RLIQ_CY	Current Year Unrealized Expense
DV-OUT-INO_RLIQ_PY	Previous Year Unrealized Expense
DV-OUT-INT_DLIQ	Profit in Advance
DV-OUT-INT_DLIQ_CY	Current Year Unrealized Expense
DV-OUT-INT_DLIQ_PY	Previous Year Unrealized Expense
DV-OUT-INT_EAC	Expense Accrual
DV-OUT-INT_EAC_NLSS	Expense Accrual on Net Loss Deal
DV-OUT-INT_EAC_NPRF	Income Accrual on Net Profit Deal
DV-OUT-INT_ELIQ	Profit Expense
DV-OUT-INT_JEAC	Adjustment Expense Accrual
DV-OUT-INT_JELQ	Adjustment Profit Expense
DV-OUT-INT_JIAC	Adjustment Income Accrual
DV-OUT-INT_JILQ	Adjustment Profit Income
DV-OUT-INT_PAC	Payable Accrual
DV-OUT-INT_RLIQ	Profit in Arrears
DV-OUT-INT_RLIQ_CY	Current Year Unrealized Expense
DV-OUT-INT_RLIQ_PY	Previous Year Unrealized Expense
DVR_CHG_DISC	Derivatives Charge class
DVR_CHG_LIQD	Derivatives Charge class
DVR_CHG_PREM	Derivatives Charge class
DVTAX_LIQD	Liquidation Amount
DVTOUT_LIQD	Liquidation Amount
INCP_EXP_AMORT	Inception Expense Amortization Amount
INCP_GAIN	Inception Gain
INCP_GAIN_DEF	Inception Gain Deferred
INCP_INC_AMORT	Inception Income Amortization Amount
INCP_LOSS	Inception Loss
INCP_LOSS_DEF	Inception Loss Deferred
INLEG_PRN	In Leg Principal
INLEG_PRN_CONT	In Leg Contingent Principal Amount
INLEG_PRN_DECR	In Leg Principal Decrement
INLEG_PRN_INCR	In Leg Principal Increment
INLEG_PRN_LIQD	In Leg Principal Liquidation
IV_CHRG_DISC	Derivatives Charge class
IV_CHRG_LIQD	Derivatives Charge class
IV_CHRG_PREM	Derivatives Charge class
NET_INT_EXP	Net Profit Expense
NET_INT_EXPA	Net profit expense on Accrual Basis
NET_INT_EXPA_RNL	Rounding loss for loss deals
NET_INT_EXPA_RNP	Rounding profit for loss deals
NET_INT_EXPA_URN	Net Expense on accrual basis
NET_INT_EXPC	Net profit expense on Cash Basis
NET_INT_EXPC_URN	Net Expense on cash basis
NET_INT_INC	Net Profit Income
NET_INT_INCA	Net Income on Accrual basis
NET_INT_INCA_RNL	Rounding loss for profit deals
NET_INT_INCA_RNP	Rounding profit for profit deals
NET_INT_INCA_URN	Net income on accrual basis
NET_INT_INCC	Net Profit Income on Cash basis
NET_INT_INCC_URN	Net income on cash basis
OUTLEG_PRN	Out Leg Principal
OUTLEG_PRN_CONT	Out Leg Contingent Principal Amount
OUTLEG_PRN_DECR	Out Leg Principal Decrement
OUTLEG_PRN_INCR	Out Leg Principal Increment
OUTLEG_PRN_LIQD	Out Leg Principal Liquidation
PRV_INRVL_PAY	Previous In Leg Revaluation Payable
PRV_INRVL_PAY_PY	Previous INRVL Payable for Previous Year
PRV_INRVL_REC	Previous In Leg Revaluation Receivable
PRV_INRVL_REC_PY	Previous INRVL Receivable for Previous Year
PRV_NETRVL_EXP	Previous Net Revaluation Expense
PRV_NETRVL_EXP_PY	Previous Net Revalued Expense for Previous Year
PRV_NETRVL_INC	Previous Net Revaluation Income
PRV_NETRVL_INC_PY	Previous Net Revalued Income for Previous Year
PRV_OUTRVL_PAY	Previous Out Leg Revaluation Payable
PRV_OUTRVL_PAY_PY	Previous OUTRVL Payable for Previous Year
PRV_OUTRVL_REC	Previous Out Leg Revaluation Receivable
PRV_OUTRVL_REC_PY	Previous OUTRVL Receivable for Previous Year
TRMN_EXP_AMORT	Termination Expense Amortization Amount
TRMN_GAIN	Termination Gain
TRMN_GAIN_CY	Current year Unrealized termination gain
TRMN_GAIN_DEF	Termination Gain Deferred
TRMN_GAIN_PY	Previous year Unrealized termination gain
TRMN_INC_AMORT	Termination Income Amortization Amount
TRMN_LOSS	Termination Loss
TRMN_LOSS_CY	Current year Unrealized termination loss
TRMN_LOSS_DEF	Termination Loss Deferred
TRMN_LOSS_PY	Previous year Unrealized termination loss
UDEFCHGBASIS	Charge Basis for UDEF Charges
Component_LIQD_CY	Current year Unrealized accrual amount for a component
Component_LIQD_PY	Previous year Unrealized accrual amount for a component
Component_IAC/EAC_NPRF	_NPRF tag would be created for each component. This tag would represent accruals for net profit deals. For example, DV_IN_INT_IAC_NPRF
Component_IAC/EAC_NLSS	Accruals for Net loss deals
Component_DLIQ_PY	Previous year Unrealized outstanding
Component_DLIQ_CY	Current year Unrealized outstanding
INLEG_PRN_PURC	Inleg Principal Purchase
INLEG_PRN_SALE	Inleg Principal Sale
OUTLEG_PRN_PURC	Outleg Principal Purchase
OUTLEG_PRN_SALE	Inleg Principal Sale

In addition to these you can define amount tags as per your requirement for the ICCF and tax components that are attached to the product.

* The ‘component’ is the ICCF component that you have created.

9.4 Accounting Roles

The following list contains the Accounting Roles that are applicable to the Derivative contracts that you can process at your bank.

Accounting Role	Description
BROK_PAID	Brokerage Paid
BROK_PAYABLE	Brokerage Payable
CONT_ASSET	Contingent Asset
CONT_ASSET_OFS	Contingent Asset Offset
CONT_FAIR_VAL	Contract Fair Value Account
CONT_LIAB	Contingent Liability
CONT_LIAB_OFS	Contingent Liability Offset
DV_IN_INT_INC	Income
DV_IN_INT_REC	Receivable
DV_IN_INT_RIA	Received in Advance
DV_OUT_INT_EXP	Expense
DV_OUT_INT_PAY	Payable
DV_OUT_INT_PIA	Paid in Advance
INCP_EXP	Inception Expense
INCP_GAIN_DEF	Inception Gain Deferral Account
INCP_INC	Inception Income
INCP_LOSS_DEF	Inception Loss Deferral Account
INLEG_ASSET	In Leg Asset
INLEG_RVL_EXP	In Leg Revaluation Expense
INLEG_RVL_INC	In Leg Revaluation Income
NET_RVL_EXP	Net Revaluation Expense
NET_RVL_INC	Net Revaluation Income
OUTLEG_LIAB	Out Leg Liability
OUTLEG_RVL_EXP	Out Leg Revaluation Expense
OUTLEG_RVL_INC	Out Leg Revaluation Income
TRMN_EXP	Termination Expense
TRMN_INC	Termination Income
TRMN_GAIN_DEF	Termination Gain Deferral Account
TRMN_LOSS_DEF	Termination Loss Deferral Account
Component_REC	Receivable
Component_PAY	Payable
Component_INC	Realized Income
Component_EXP	Realized Expense
Component_INC_UNRLZ	Unrealized Income
Component_EXP_UNRLZ	Unrealized Expense
TRMN_INC_UNRLZ	Unrealized termination income
TRMN_EXP_UNRLZ	Unrealized termination expense
NET_INT_INC	Net profit income
NET_INT_EXP	Net profit expense
NET_INT_RIA	Netted profit Received in advance
NET_INT_PIA	Netted profit paid in advance
NET_INT_INC_UNRLZ	Unrealized Net profit Income
NET_INT_EXP_UNRLZ	Unrealized Net profit Expense
DV_BRIDGE_GL	Derivatives Bridge GL
IV_TAX_COD	Tax Collected
IV_CHARGE_INC	Islamic Charges

9.5 Event-wise Accounting Entries and Advices

In this section we will discuss the suggested accounting entries and advices that should be generated for each event in the life cycle of Derivative contracts.

Note

Also note that some of the Amount Tags linked to the Accounting Roles are user defined

This section contains the following topics

Section 9.5.1, "DBOK: Contract Booking"
Section 9.5.2, "DINT: Contract Initiation"
Section 9.5.3, "DILQ: Contract Profit Liquidation"
Section 9.5.4, "DPLQ: Contract Principal Liquidation"
Section 9.5.5, "DRVL: Contract Revaluation"
Section 9.5.6, "DIAM: Contract Inception Amortization"
Section 9.5.7, "DTER: Contract Termination"
Section 9.5.8, "DAMN: Contract Amendment"
Section 9.5.9, "DIAC: Contract Profit Accrual"
Section 9.5.10, "DTAM: Contract Termination Amortization"
Section 9.5.11, "DRRL: Contract Revaluation Reversal"
Section 9.5.12, "UIDB: Upfront Profit Booking"
Section 9.5.13, "DTER: Contract Termination"
Section 9.5.14, "PCON: Purchase Confirmation "
Section 9.5.14, "PCON: Purchase Confirmation "
Section 9.5.15, "SCON: Sale Confirmation"
Section 9.5.16, "DASS: Contract Assumption"
Section 9.5.17, "DASG: Contract Assignment"
Section 9.5.18, "DRVN: Contract Rate Revision"

9.5.1 DBOK: Contract Booking

Accounting Entries

For currency and profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
BROK_PAID	BROKAMT	DEBIT
BROK_PAYABLE	BROKAMT	CREDIT
CONT_ASSET	INLEG_PRN	DEBIT
CONT_ASSET_OFS	INLEG_PRN	CREDIT
CONT_LIAB	OUTLEG_PRN	CREDIT
CONT_LIAB_OFS	OUTLEG_PRN	DEBIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may additionally set up the following entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CONT_FAIR_VAL	INCP_GAIN	DEBIT
CONT_FAIR_VAL	INCP_GAIN_DEF	DEBIT
CONT_FAIR_VAL	INCP_LOSS	CREDIT
CONT_FAIR_VAL	INCP_LOSS_DEF	CREDIT
INCP_EXP	INCP_LOSS	DEBIT
INCP_GAIN_DEF	INCP_GAIN_DEF	CREDIT
INCP_INC	INCP_GAIN	CREDIT
INCP_LOSS_DEF	INCP_LOSS_DEF	DEBIT
IV_TAX_COD	IV_TAX_LIQD	CREDIT
CUSTOMER	IV_TAX_LIQD	DEBIT
IV_CHARGE_INC	IV_CHARGE_LIQD	CREDIT
CUSTOMER	IV_CHARGE_LIQD	DEBIT

Advices

Advice Name	Description	SWIFT Message
IV_OFFER	IV Contract Offer
DV_CCS_CONF	CCS Contract Confirmation	MT361
DV_CCS_TKT	CCS Deal Ticket
DV_IRS_CONF	IRS Contract Confirmation
DV_IRS_TKT	IRS Deal Ticket

9.5.2 DINT: Contract Initiation

Accounting Entries

For profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CONT_ASSET	INLEG_PRN	CREDIT
CONT_ASSET_OFS	INLEG_PRN	DEBIT
CONT_LIAB	OUTLEG_PRN	DEBIT
CONT_LIAB_OFS	OUTLEG_PRN	CREDIT
INLEG_ASSET	INLEG_PRN_PURC	DEBIT
DV_BRIDGE_GL	INLEG_PRN_PURC	CREDIT
DV_BRIDGE_GL	OUTLEG_PRN_SALE	DEBIT
OUTLEG_LIAB	OUTLEG_PRN_SALE	CREDIT

For currency swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CONT_ASSET	INLEG_PRN	CREDIT
CONT_ASSET_OFS	INLEG_PRN	DEBIT
CONT_LIAB	OUTLEG_PRN	DEBIT
CONT_LIAB_OFS	OUTLEG_PRN	CREDIT
INLEG_ASSET	INLEG_PRN_PURC	DEBIT
CUSTOMER	INLEG_PRN_PURC	CREDIT
CUSTOMER	OUTLEG_PRN_SALE	DEBIT
OUTLEG_LIAB	OUTLEG_PRN_SALE	CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may additionally set up the following entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CUSTOMER	INLEG_PRN	CREDIT
CUSTOMER	OUTLEG_PRN	DEBIT
INLEG_ASSET	INLEG_PRN	DEBIT
OUTLEG_LIAB	OUTLEG_PRN	CREDIT

Advices

Payment Message

9.5.3 DILQ: Contract Profit Liquidation

Accounting Entries

For currency and profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CUSTOMER	DV_IN_INT_RLIQ	DEBIT
DV_IN_INT_REC	DV_IN_INT_RLIQ	CREDIT
DV_OUT_INT_PAY	DV_OUT_INT_RLIQ	DEBIT
CUSTOMER	DV_OUT_INT_RLIQ	CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may set up the following entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CUSTOMER	DV-IN-INT_DLIQ	DEBIT
CUSTOMER	DV-IN-INT_ILIQ	DEBIT
CUSTOMER	DV-IN-INT_RLIQ	DEBIT
CUSTOMER	DV-OUT-INT_DLIQ	CREDIT
CUSTOMER	DV-OUT-INT_ELIQ	CREDIT
CUSTOMER	DV-OUT-INT_RLIQ	CREDIT
CUSTOMER	NET_INT_EXPC	CREDIT
CUSTOMER	NET_INT_INCC	DEBIT
DV-IN-INT_REC	NET_INT_INCC	CREDIT
DV-IN-INT_REC	DV-IN-INT_ILIQ	CREDIT
DV-IN-INT_REC	DV-IN-INT_RLIQ	CREDIT
DV-IN-INT_RIA	DV-IN-INT_DLIQ	CREDIT
DV-OUT-INT_PAY	NET_INT_EXPC	DEBIT
DV-OUT-INT_PAY	DV-OUT-INT_ELIQ	DEBIT
DV-OUT-INT_PAY	DV-OUT-INT_RLIQ	DEBIT
DV-OUT-INT_PIA	DV-OUT-INT_DLIQ	DEBIT

You will need to maintain the following accounting entry set-up when an arrears contract is liquidated with previous year adjustment option.

In/ Out leg	Dr/Cr Indicator	Accounting Role	Amount Tag
In	Debit	Customer	Component_RLIQ
In	Credit	Component_REC	Component_RLIQ
Out	Debit	Component_PAY	Component_RLIQ
Out	Credit	Customer	Component_RLIQ
In	Debit	Component_INC_UNRLZ	Component_RLIQ_PY
	Credit	Component_INC	Component_RLIQ_PY
	Debit	Component_INC_UNRLZ	Component_RLIQ_CY
	Credit	Component_INC	Component_RLIQ_CY
Out	Debit	Component_EXP	Component_RLIQ_PY
	Credit	Component_EXP_UNRLZ	Component_RLIQ_PY
	Debit	Component_EXP	Component_RLIQ_PY
	Credit	Component_EXP_UNRLZ	Component_RLIQ_PY

Advices

Payment Message

Accounting Entry Setup (Settlement on Cash basis - Advance and Arrears)

DR/CR	Accounting Role		Amount Tag
DR	CUSTOMER	Customer	DV_IN_INT_ILIQ	Profit amount (Inleg)
CR	DV_IN_INT _INC	In leg Income GL	DV_IN_INT_ILIQ	Profit Amount (Inleg)
DR	DV_OUT_INT_EXP	Out leg Expense GL	DV_OUT_INT_ELIQ	Profit amount (Outleg)
CR	CUSTOMER	Customer	DV_OUT_INT_ELIQ	Profit amount (Outleg)
DR	CUSTOMER	Customer	NET_INT_INC	Net Income
CR	DV_IN_INT _INC	Net Income	NET_INT_INC	Net Income
DR	DV_OUT_INT_EXP	Net Expense	NET_INT_EXP	Net Expense
CR	CUSTOMER	Customer	NET_INT_EXP	Net Expense

Accounting Entry Setup (Settlement on Non Cash basis - Advance Contracts)

DR/CR	Accounting Role		Amount Tag
	Role	Description	Tag	Description
DR	CUSTOMER	Customer	DV_IN_INT_DLIQ	Profit amount (Inleg)
CR	DV_IN_INT _RIA	In leg profit Received in advance	DV_IN_INT_DLIQ	Profit Amount (Inleg)
DR	DV_OUT_INT_PIA	Out leg Expense Paid in Advance	DV_OUT_INT_DLIQ	Profit amount (Outleg)
CR	CUSTOMER	Customer	DV_OUT_INT_DLIQ	Profit amount (Outleg)
DR	CUSTOMER	Customer	NET_INT_INC	Net Income on Accrual basis
CR	DV_IN_INT_RIA	Net Profit received in advance	NET_INT_INC	Net Income on Accrual basis
DR	DV_OUT_INT_PIA	Net expense paid in advance	NET_INT_EXP	Net Expense on Accrual basis
CR	CUSTOMER	Net Expense paid in advance	NET_INT_EXP	Net Expense on Accrual basis

Accounting Entry Setup (Settlement on Non Cash basis - Arrears Contracts)

DR/CR	Accounting Role		Amount Tag
	Role	Description	Tag	Description
DR	CUSTOMER	Customer	DV_IN_INT_RLIQ	Profit amount (Inleg)
CR	DV_IN_INT_REC	In leg receivable GL	DV_IN_INT_RLIQ	Profit Amount (Inleg)
DR	DV_OUT_INT_PAY	Out leg payable GL	DV_OUT_INT_RLIQ	Profit amount (Outleg)
CR	CUSTOMER	Customer	DV_OUT_INT_RLIQ	Profit amount (Outleg)
DR	CUSTOMER	Customer	NET_INT_INC	Net Income on Accrual basis
CR	DV_IN_INT_REC	Net Profit Receivable	NET_INT_INC	Net Income on Accrual basis
DR	DV_OUT_INT_PAY	Net expense Payable	NET_INT_EXP	Net Expense on Accrual basis
CR	CUSTOMER	Net Expense	NET_INT_EXP	Net Expense on Accrual basis

Note

In all the above scenarios (Settlement on cash and non cash basis), netting tags (NET_INT_INC and NET_INT_EXP) will be updated only if the in leg and out leg schedules coincide. Other amount tags will not be applicable in this case.

9.5.4 DPLQ: Contract Principal Liquidation

Accounting Entries

For profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to se up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
DV_BRIDGE_GL	INLEG_PRN_SALE	DEBIT
INLEG_ASSET	INLEG_PRN_SALE	CREDIT
OUTLEG_LIAB	OUTLEG_PRN_PURC	DEBIT
DV_BRIDGE_GL	OUTLEG_PRN_PURC	CREDIT
INLEG_ASSET	INLEG_PRN_PURC	DEBIT
DV_BRIDGE_GL	INLEG_PRN_PURC	CREDIT
DV_BRIDGE_GL	OUTLEG_PRN_SALE	DEBIT
OUTLEG_LIAB	OUTLEG_PRN_SALE	CREDIT

For currency swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CUSTOMER	INLEG_PRN_SALE	DEBIT
INLEG_ASSET	INLEG_PRN_SALE	CREDIT
OUTLEG_LIAB	OUTLEG_PRN_PURC	DEBIT
CUSTOMER	OUTLEG_PRN_PURC	CREDIT
INLEG_ASSET	INLEG_PRN_PURC	DEBIT
CUSTOMER	INLEG_PRN_PURC	CREDIT
CUSTOMER	OUTLEG_PRN_SALE	DEBIT
OUTLEG_LIAB	OUTLEG_PRN_SALE	CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may set up the following entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
CONT_ASSET	INLEG_PRN_DECR	CREDIT
CONT_ASSET	INLEG_PRN_INCR	DEBIT
CONT_ASSET	INLEG_PRN_LIQD	CREDIT
CONT_ASSET_OFS	INLEG_PRN_DECR	DEBIT
CONT_ASSET_OFS	INLEG_PRN_INCR	DEBIT
CONT_ASSET_OFS	INLEG_PRN_LIQD	DEBIT
CONT_ASSET_OFS	OUTLEG_PRN_DECR	CREDIT
CONT_ASSET_OFS	OUTLEG_PRN_INCR	DEBIT
CONT_LIAB	OUTLEG_PRN_DECR	DEBIT
CONT_LIAB	OUTLEG_PRN_INCR	CREDIT
CONT_LIAB	OUTLEG_PRN_LIQD	DEBIT
CONT_LIAB_OFS	OUTLEG_PRN_LIQD	CREDIT
CUSTOMER	INLEG_PRN_DECR	DEBIT
CUSTOMER	INLEG_PRN_INCR	CREDIT
CUSTOMER	INLEG_PRN_LIQD	DEBIT
CUSTOMER	OUTLEG_PRN_DECR	CREDIT
CUSTOMER	OUTLEG_PRN_INCR	DEBIT
CUSTOMER	OUTLEG_PRN_LIQD	CREDIT
INLEG_ASSET	INLEG_PRN_DECR	CREDIT
INLEG_ASSET	INLEG_PRN_INCR	CREDIT
INLEG_ASSET	INLEG_PRN_LIQD	CREDIT
OUTLEG_LIAB	OUTLEG_PRN_DECR	DEBIT
OUTLEG_LIAB	OUTLEG_PRN_INCR	CREDIT
OUTLEG_LIAB	OUTLEG_PRN_LIQD	DEBIT

Advices

Payment Message

9.5.5 DRVL: Contract Revaluation

Accounting Entries

Accounting Role	Amount Tag	Dr/Cr Indicator
CONT_FAIR_VAL	CUR_INRVL_PAY	CREDIT
CONT_FAIR_VAL	CUR_INRVL_REC	DEBIT
CONT_FAIR_VAL	CUR_NETRVL_EXP	CREDIT
CONT_FAIR_VAL	CUR_NETRVL_INC	DEBIT
CONT_FAIR_VAL	CUR_OUTRVL_PAY	CREDIT
CONT_FAIR_VAL	CUR_OUTRVL_REC	DEBIT
CONT_FAIR_VAL	PRV_INRVL_PAY	DEBIT
CONT_FAIR_VAL	PRV_INRVL_REC	CREDIT
CONT_FAIR_VAL	PRV_NETRVL_EXP	DEBIT
CONT_FAIR_VAL	PRV_NETRVL_INC	CREDIT
CONT_FAIR_VAL	PRV_OUTRVL_PAY	DEBIT
CONT_FAIR_VAL	PRV_OUTRVL_REC	CREDIT
INLEG_RVL_EXP	CUR_INRVL_PAY	DEBIT
INLEG_RVL_EXP	PRV_INRVL_PAY	CREDIT
INLEG_RVL_INC	CUR_INRVL_REC	CREDIT
INLEG_RVL_INC	PRV_INRVL_REC	DEBIT
NET_RVL_EXP	CUR_NETRVL_EXP	DEBIT
NET_RVL_EXP	PRV_NETRVL_EXP	CREDIT
NET_RVL_INC	CUR_NETRVL_INC	CREDIT
NET_RVL_INC	PRV_NETRVL_INC	DEBIT
OUTLEG_RVL_EXP	CUR_OUTRVL_PAY	DEBIT
OUTLEG_RVL_EXP	PRV_OUTRVL_PAY	CREDIT
OUTLEG_RVL_INC	CUR_OUTRVL_REC	CREDIT
OUTLEG_RVL_INC	PRV_OUTRVL_REC	DEBIT

Advices

No advices allowed for this Event.

9.5.6 DIAM: Contract Inception Amortization

Accounting Entries

Accounting Role	Amount Tag	Dr/Cr Indicator
INCP_EXP	INCP_EXP_AMORT	DEBIT
INCP_GAIN_DEF	INCP_INC_AMORT	DEBIT
INCP_INC	INCP_INC_AMORT	CREDIT
INCP_LOSS_DEF	INCP_EXP_AMORT	CREDIT

Advices

No advices allowed for this Event.

9.5.7 DTER: Contract Termination

Accounting Entries for NPV/Rebate

Accounting Role	Amount Tag	Dr/Cr Indicator
DV_IN_INT_INC	DV_IN_INT_IAC	CREDIT
DV_IN_INT_RIA	DV_IN_INT_IAC	DEBIT
DV_IN_INT_INC	DV_IN_INT_JEAC	DEBIT
DV_IN_INT_REC	DV_IN_INT_JEAC	CREDIT
DV_OUT_INT_EXP	DV_OUT_INT_EAC	DEBIT
DV_OUT_INT_PIA	DV_OUT_INT_EAC	CREDIT
DV_OUT_INT_EXP	DV_OUT_INT_JIAC	CREDIT
DV_OUT_INT_PAY	DV_OUT_INT_JIAC	DBEIT
CONT_ASSET	INLEG_PRN_CONT	CREDIT
CONT_ASSET_OFS	INLEG_PRN_CONT	DEBIT
CONT_ASSET	INLEG_PRN_LIQD	CREDIT
CUSTOMER	INLEG_PRN_LIQD	DEBIT
CONT_ASSET_OFS	INLEG_PRN_LIQD	DEBIT
INLEG_ASSET	INLEG_PRN_LIQD	CREDIT
CONT_LIAB	OUTLEG_PRN_CONT	DEBIT
CONT_LIAB_OFS	OUTLEG_PRN_CONT	CREDIT
CONT_LIAB	OUTLEG_PRN_LIQD	DEBIT
OUTLEG_LIAB	OUTLEG_PRN_LIQD	DEBIT
CUSTOMER	OUTLEG_PRN_LIQD	CREDIT
CONT_LIAB_OFS	OUTLEG_PRN_LIQD	CREDIT
CUSTOMER	TRMN_GAIN	DEBIT
TRMN_INC	TRMN_GAIN	CREDIT
CUSTOMER	TRMN_LOSS	CREDIT
TRMN_EXP	TRMN_LOSS	DEBIT

Advices

Advice Name	Description	SWIFT Message
DV_CCS_TRMN	CCS Termination	MT365
DV_IRS_TRMN	IRS Termination

9.5.8 DAMN: Contract Amendment

Accounting Entries

Nil

Advices

Advice Name	Description	SWIFT Message
DV_IRS_AMND	IRS Amendment
DV_CCS_AMND	CCS Amendment	MT365

9.5.9 DIAC: Contract Profit Accrual

Accounting Entries

For currency swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
DV_IN_INT_UID	DV_IN_INT_RAC	DEBIT
DV_IN_INT_INC	DV_IN_INT_RAC	CREDIT
DV_OUT_INT_EXP	DV_OUT_INT_PAC	DEBIT
DV_OUT_INT_UID	DV_OUT_INT_PAC	CREDIT

For products wherein the ‘Asset Movement Required’ box is not checked, you may additionally set up the following entries:

Accounting Role	Amount Tag	Dr/Cr Indicator
DV-IN-INT_INC	DV-IN-INT_IAC	CREDIT
DV-IN-INT_UID	DV-IN-INT_IAC	DEBIT
DV-OUT-INT_EXP	DV-OUT-INT_EAC	DEBIT
DV-OUT-INT_UID	DV-OUT-INT_EAC	CREDIT
DV-IN-INT_INC	DV-IN-INT_IAC	CREDIT
DV-IN-INT_RIA	DV-IN-INT_IAC	DEBIT
DV-OUT-INT_EXP	DV-OUT-INT_EAC	DEBIT
DV-OUT-INT_PIA	DV-OUT-INT_EAC	CREDIT

Entries that are passed for the DIAC event (Arrears Contracts) for transfer of unrealized to realized income are as follows:

In/Out leg	Dr/Cr Indicator	Accounting Role	Amount Tag
In	Debit	Component_REC	Component_RAC
In	Credit	Component_INC_UNRLZ	Component_RAC
Out	Debit	Component_EXP_UNRLZ	Component_PAC
Out	Credit	Component_PAY	Component_PAC

Entries that are passed for the DIAC event (Advance Contracts) for transfer of unrealized to realized income are as follows:

In/Out leg	Dr/Cr Indicator	Accounting Role	Amount Tag
In	Debit	Component_RIA	Component_IAC
In	Credit	Component_INC_UNRLZ	Component_IAC
Out	Debit	Component_EXP_UNRLZ	Component_EAC
Out	Credit	Component_PIA	Component_EAC
Final Accruals (In addition to above)
In	Debit	Component_INC_UNRLZ	Component_DLIQ_PY
	Credit	Component_INC	Component_DLIQ_PY
	Debit	Component_INC_UNRLZ	Component_DLIQ_CY
	Credit	Component_INC	Component_DLIQ_CY
Out	Debit	Component_EXP	Component_DLIQ_PY
	Credit	Component_EXP_UNRLZ	Component_DLIQ_PY
	Debit	Component_EXP	Component_DLIQ_PY
	Credit	Component_EXP_UNRLZ	Component_DLIQ_PY

Advices

No advices allowed for this Event.

9.5.10 DTAM: Contract Termination Amortization

Accounting Entries

Accounting Role	Amount Tag	Dr/Cr Indicator
TRMN_EXP	TRMN_EXP_AMORT	CREDIT
TRMN_GAIN_DEF	TRMN_INC_AMORT	DEBIT
TRMN_INC	TRMN_INC_AMORT	CREDIT
TRMN_LOSS_DEF	TRMN_EXP_AMORT	DEBIT

Entries that are passed during the for transfer of unrealized to realized income are as follows:

Gain/Loss	Dr/Cr Indicator	Accounting Role	Amount Tag
Gain	Debit	TRMN_GAIN_DEF	TRMN_INC_AMORT
Gain	Credit	TRMN_INC_UNRLZ	TRMN_INC_AMORT
Loss	Debit	TRMN_EXP_UNRLZ	TRMN_EXP_AMORT
Loss	Credit	TRMN_LOSS_DEF	TRMN_EXP_AMORT
On Contract Maturity (In addition to above)
Gain	Debit	TRMN_INC_UNRLZ	TRMN_GAIN_PY
	Credit	TRMN_INC	TRMN_GAIN_PY
	Debit	TRMN_INC_UNRLZ	TRMN_GAIN_CY
	Credit	TRMN_INC	TRMN_GAIN_CY
Loss	Debit	TRMN_EXP	TRMN_LOSS_PY
	Credit	TRMN_EXP_UNRLZ	TRMN_LOSS_PY
	Debit	TRMN_EXP	TRMN_LOSS_CY
	Credit	TRMN_EXP_UNRLZ	TRMN_LOSS_CY

If the amount tag is of type Component_RLIQ/DLIQ_PY and if the accounting role pertains to unrealized income/expense, the head for the accounting role will be replaced by the previous year adjustment GL, while passing accounting entries.

Note

The transfer of income/expense from the previous year adjustment GL to the realized income/expense GL happens only if the Track PY P&L Adjustment option has been set as a branch preference through the Branch Parameter screen.

Note

When an arrears contract is liquidated (DILQ event) or an advance contract completes accruals (DIAC event), the income transfer to the realized income GL from the unrealized GL is performed first using the Previous Year Adjustment GL maintained in Chart of Accounts. This is because the previous year unrealized income would have already moved to the year ends P and L (EYPL) GL after financial closure. The remaining amount if any is debited from the current year unrealized income GL.

9.5.11 DRRL: Contract Revaluation Reversal

Accounting Entries

Case I – Next Day in BOD (when next day is not the beginning of a new financial year)

or at the time of the next revaluation.

Accounting Role	Amount Tag	Debit /Credit
In Leg entries
INLEG_RVL_INC	PRV_INRVL_REC	Debit
CONT_FAIR_VAL	PRV_INRVL_REC	Credit
CONT_FAIR_VAL	PRV_INRVL_PAY	Debit
INLEG_RVL_EXP	PRV_INRVL_PAY	Credit
Out Leg entries
OUTLEG_RVL_INC	PRV_OUTRVL_REC	Debit
CONT_FAIR_VAL	PRV_OUTRVL_REC	Credit
CONT_FAIR_VAL	PRV_OUTRVL_PAY	Debit
OUTLEG_RVL_EXP	PRV_OUTRVL_PAY	Credit
In case of Revaluation Netting
NET_RVL_INC	PRV_NETRVL_INC	Debit
CONT_FAIR_VAL	PRV_NETRVL_INC	Credit
CONT_FAIR_VAL	PRV_NETRVL_EXP	Debit
NET_RVL_EXP	PRV_NETRVL_EXP	Credit

Case II – Next Day during BOD (if the next day is the beginning of a new financial year).

Accounting Role	Amount Tag	Debit /Credit
In Leg entries
INLEG_RVL_INC	PRV_INRVL_REC_PY	Debit
CONT_FAIR_VAL	PRV_INRVL_REC_PY	Credit
CONT_FAIR_VAL	PRV_INRVL_PAY_PY	Debit
INLEG_RVL_EXP	PRV_INRVL_PAY_PY	Credit
Out Leg entries
OUTLEG_RVL_INC	PRV_OUTRVL_REC_PY	Debit
CONT_FAIR_VAL	PRV_OUTRVL_REC_PY	Credit
CONT_FAIR_VAL	PRV_OUTRVL_PAY_PY	Debit
OUTLEG_RVL_EXP	PRV_OUTRVL_PAY_PY	Credit
In case of Revaluation Netting
NET_RVL_INC	PRV_NETRVL_INC_PY	Debit
CONT_FAIR_VAL	PRV_NETRVL_INC_PY	Credit
CONT_FAIR_VAL	PRV_NETRVL_EXP_PY	Debit
NET_RVL_EXP	PRV_NETRVL_EXP_PY	Credit

For FRA contracts satisfying the following conditions the accounting entries for the Profit Settlement (Cash and Accrual) and Profit Accrual events are given below with the help of an example.

Conditions

The Netting Required option has to be enabled at the derivatives type level and Accrual Required has to be either enabled or disabled for both the legs. An error message will be shown if this is not the case.
This applies only to FRA contracts having the following definition of the derivative type attached in the product:
- Netting Required should be checked
- Payment method for both the in leg and out leg is ‘Advance’.
- Principal Exchange required is No.
- Asynchronous Profit schedules are not allowed.
- Asynchronous Revision schedules are not allowed

Note

Component_IAC/EAC_NLSS/NPRF tags for each of the profit components are created automatically on creation of a new profit class.

9.5.12 UIDB: Upfront Profit Booking

Accounting Entries

For currency and profit rate swap products wherein the ‘Asset Movement Required’ box is checked, you need to set up the following accounting entries:

Advices

Accounting Role	Amount Tag	Dr/Cr Indicator
DV-IN-INT_REC	DV-IN-INT_UINT	DEBIT
DV-IN-INT_UID	DV-IN-INT_UINT	CREDIT
DV-OUT-INT_UID	DV-OUT-INT_UINT	DEBIT
DV-OUT-INT_PAY	DV-OUT-INT_UINT	CREDIT

Nil

Following are the UIDB accounting entries that are passed along with other related events:

9.5.13 DTER: Contract Termination

Accounting Entries

Accounting Role	Amount Tag	Dr/Cr Indicator
CONT_ASSET	INLEG_PRN_CONT	CREDIT
CONT_ASSET	INLEG_PRN_LIQD	CREDIT
CONT_ASSET_OFS	INLEG_PRN_CONT	DEBIT
CONT_ASSET_OFS	INLEG_PRN_LIQD	DEBIT
CONT_LIAB	OUTLEG_PRN_CONT	DEBIT
CONT_LIAB	OUTLEG_PRN_LIQD	DEBIT
CONT_LIAB_OFS	OUTLEG_PRN_CONT	CREDIT
CONT_LIAB_OFS	OUTLEG_PRN_LIQD	CREDIT
CUSTOMER	INLEG_PRN_LIQD	DEBIT
CUSTOMER	OUTLEG_PRN_LIQD	CREDIT
CUSTOMER	TRMN_GAIN	DEBIT
CUSTOMER	TRMN_LOSS	CREDIT
DV-IN-INT_INC	DV-IN-INT_IAC	CREDIT
DV-IN-INT_INC	DV-IN-INT_JEAC	DEBIT
DV-IN-INT_REC	DV-IN-INT_JEAC	CREDIT
DV-IN-INT_RIA	DV-IN-INT_IAC	DEBIT
DV-OUT-INT_EXP	DV-OUT-INT_EAC	DEBIT
DV-OUT-INT_EXP	DV-OUT-INT_JIAC	CREDIT
DV-OUT-INT_PAY	DV-OUT-INT_JIAC	DEBIT
DV-OUT-INT_PIA	DV-OUT-INT_EAC	CREDIT
INLEG_ASSET	INLEG_PRN_LIQD	CREDIT
OUTLEG_LIAB	OUTLEG_PRN_LIQD	DEBIT
TRMN_EXP	TRMN_LOSS	DEBIT
TRMN_INC	TRMN_GAIN	CREDIT

Advices

Advice Name	Description
DV_CCS_TRMN	Cross Currency Swap Termination

9.5.14 PCON: Purchase Confirmation

Accounting Entries

Nil

Advices

Advice Name	Description
IV_ACPT_OFFER	Generate Acceptance of offer for IV Contracts

9.5.15 SCON: Sale Confirmation

Accounting Entries

Nil

Advices

Nil

9.5.16 DASS: Contract Assumption

Accounting Entries

Nil

Advices

Advice Name	Description
DV_ASSUME_1	Assumption Adv to Deal Party
DV_ASSUME_2	Assumption Adv to Assuming Party

9.5.17 DASG: Contract Assignment

Accounting Entries

Nil

Advices

Advice Name	Description
DV_ASSIGN_1	Assignment Adv to Deal Party
DV_ASSIGN_2	Assignment Adv to Assigning Party

9.5.18 DRVN: Contract Rate Revision

Accounting Entries

Nil

Advices

Advice Name	Description
DV_RATE_RESET	Floating Rate Reset