8. Reports

8.1 Introduction

The inputs you have made at different stages of maintaining a derivative contract are pieced together and can be extracted in the form of meaningful reports as and when you may require them. The following are the reports that you can generate for the Derivatives module:

When a report is generated, it can be directed to one of the following destinations:

In the Application Browser, these reports are available under the option Reports, for the Derivatives module. The reports that have been spooled can be printed or viewed through the Reports Browser screen.

Note

Both these screens have been documented in the manual about Common Procedures in Oracle FLEXCUBE.

The report headers for all the reports carry the following information:

Field

Field Description

Branch

This is the code of the branch for which the report is being generated.

User ID

This is the user ID of the person generating the report.

Date

This indicates the date of generation of the report.

Time

This indicates the time of generation of the report.

Page

The report may run into several pages. Each page of the report is numbered.

Module

This is the name of the Oracle FLEXCUBE module for which you are generat­ing the report. Any report on derivatives will have DV as its module name.

This chapter contains the following sections:

8.2 Interest Accrual Report

This section contains the following topics:

8.2.1 Generating Interest Accrual Report

The interest accrual report gives details of accruals done on hedge type of derivative contracts.

You can invoke the screen by typing the code ‘DVRPACCR’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Selection Criteria

Accrual Processing Date

Specify the accrual processing date on which you want to generate the interest accrual details report.

8.2.2 Contents of the report

The report will be sorted based on the Branch and the User ID of persons who entered the contracts.

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

Contract Reference

This is the reference number of the derivative contract whose accrual related details are being reported.

Component

This is the component of the contract against which the accrual details are being reported. When more than one component is involved they will be reported one by one.

Period Start Date

This is the start date of the accrual period for the particular component.

Period End Date

This is the end date of the accrual period for the particular component.

Payment Method

This is the method of payment for the particular component.

Previous Accrual to Date

This is the previous accrued amount until date.

Current Accrual to Date

This is the current accrued amount until date.

Current Run Accrual

This is the current run accrued amount.

Accrual Till Date

The total amount accrued until date.

8.3 Back Dated Deals Report

This section contains the following topics:

8.3.1 Generating Back Dated Deals Report

The Back Dated Deals report gives details of those deals which were inserted into the system with the value date earlier than that of Booking Date.

You can invoke the screen by typing the code ‘DVRPBKDT’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Selection Criteria

Booking Date

From Date

Specify the date from when the contract was booked.

To Date

Specify the date till when the contract was booked.

Value Date

From Date

Specify the value date from when, you want to generate the report with data of back valued deals.

To Date

Specify the value date till when, you want to generate the report with data of back valued deals.

8.3.2 Contents of the report

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

CIF ID

This is the CIF ID of the counter-party involved in the contract.

Cust Name

Apart from the CIF ID the name of the customer involved in the contract is also reported.

Cont Ref Number

This is the reference number of the contract whose details are being reported.

In Leg Principal

This is the In Leg Principal Amount.

Cont Type

This indicates whether the contract whose details are being reported is a Trade type of contract or a Hedge contract.

Booking Date

This is the date on which the derivatives contract was booked.

Out Leg Principal

This is the Out Leg Principal Amount.

Value Date

This is the date on which the Swap takes effect. In the case of an FRA this would typically be the date on which the deal settles.

Maturity Date

This is the date on which the Swap matures. In the case of an FRA this would typically be the last date for the computation period.

Maker ID

This is the Login ID of the user who entered the contract.

Maker Dt

This is the date on which the contract was entered.

Checker ID

This is the Login ID of the user who authorized the contract.

Checker Dt

This is the date on which the contract was authorized.

In Leg and Out Leg Interest Component Details

The in and out leg interest details for each of the components involved in the contract will be reported under this head. These details include the following:

8.4 Contract Activity Report

This section contains the following topics:

8.4.1 Generating Contract Activity Report

The Contract Activity report gives details of all the activities that were performed on the contract in a chronological order. This is from the date on which the contract was booked in the system upto today’s date.

You can invoke the screen by typing the code ‘DVRPCACT’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Contract Reference

You have to specify the reference number of the contract for which the report is to be generated.

8.4.2 Contents of the report

Apart from the header the following information will be provided for the Contract Activity report. The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the Report

The report contains information on:

Contract Reference

This is the reference number of the contract that you specified at the time of generating the report.

Version Number

This is the latest version number of the contract.

The system assigns a version number to a contract whenever a it is created in the system. From then on each amendment and reinstatement results in the next version of the contract being created. When you generate a report the latest version number of the contact is reported.

Event Sequence Number

The sequence in which the various events such as Contract Booking, Initiation, Interest Accrual etc were carried out on the particular contract will be reported.

Event Code

Indicates the code of the event.

Event Description

Indicates the description of the event code

Event Date

This is the date of the event

Counterparty

This is the counter-party involved in the contract.

Customer Name

Indicates the name of the customer

Maker ID/Maker Date Stamp

The Login ID of the user who initiated the event and the date on which it was initiated will be reported.

Checker ID/Checker Date Stamp

The Login ID of the user who authorized the event and the date on which the event was authorized will be reported.

8.5 Customer-Wise Contract Details Report

This section contains the following topics:

8.5.1 Generating Customer-wise Contract Details Report

The Customer-wise Details report gives you details of all contracts where the counter-party involved is a specific customer of your bank.

You can invoke the screen by typing the code ‘DVRPCSDT’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Selection Criteria

Once you indicate the ID of the customer for whom the report should be generated you have to specify the Booking date range within which the contracts generated for the specific customer should fall. You can do this by way of specifying the From and To booking dates.

In addition to the booking date range you can also specify that the report should be generated for contracts, which have value dates falling within a specified date range.

The generated report will contain details of the various activities carried out on all the contracts that were processed between the specified date range (both for the Booking Date and the Value Date) for the particular customer.

8.5.2 Contents of the report

The report options that you selected while generating the report are printed at the beginning of the report.

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

Counterparty

This is the CIF ID of the customer involved in the contract.

Contract Reference Number

This is the reference number of the contract for which details are being reported.

Note

Only details of those contracts where the particular customer happens to be the counter­party involved will be reported.

In Leg Notional

This is the In Leg Notional

Principal

This is the Principal Amount

Booking Date

The date on which the derivative contract was booked is reported here.

Effective Date

This is the date on which the interest or FX exposure rate comes into effect.

Ccy

This indicates the currency of the transaction.

Maturity Date

If the contract is a swap type of contract then this is the date on which the swap matures. When the contract is an FRA this would typically be the last day for the computation period.

Out Leg Notional

This is the Out Leg Notional

Principal

This is the Principal Amount

Derivative Type

This is the derivative type to which the contract belongs.

Type Description

The description associated with the derivative type.

Buy or Sell

This indicates whether the contract whose details are being reported is a Buy type or Sell type of contract.

Contract Type

This indicates whether the contract is a Trade contract or a Hedge contract.

Product Code

The code of the product associated with the contract is reported here.

Product Description

The description of the product is reported here.

In Leg and Out Leg Interest Component Details

The in and out leg interest details for each of the components involved in the contract will be reported under this head. These details include the following:

8.6 Customer-Wise Contract Summary Report

This section contains the following topics:

8.6.1 Generating Customer-wise Contract Summary Report

The Customer-wise summary report summarizes the details of all contracts where the counter-party involved in the contract is the specified customer.

After you indicate the name of the customer, the details of all those contracts where the specified customer is the counter-party involved will be summarized in the report.

You can invoke the screen by typing the code ‘DVRPCSSM in the field at the top right corner of the Application tool bar and clicking on the adjoining arrow button.

Selection Criteria

Customer

Select the customer ID on which you want to generate the customer-wise summary report.

8.6.2 Contents of the report

The report options that you selected while generating the report are printed at the beginning of the report.

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

Counterparty

This is the CIF ID of the customer involved in the contract.

Counterparty Name

This is the name of the customer involved in the contract.

Contract Reference

This is the reference number of the contract being reported.

Type Description

This is the description of the derivative type to which the derivative contract belongs.

Value Date

If the derivative type being reported is a Swap then this is the date on which the swap takes effect. When the derivative type for which details are being reported is an FRA this would be the date on which the deal settles.

Settlement Date

This is the date on which the various components associated with the contract get settled.

8.7 Process Exception Report

This section contains the following topics:

8.7.1 Generating Process Exception Report

When the complete details required for processing a contract are not available the system will stop processing those contracts. This report provides a list of all the exceptions that were encountered when the contracts stored in the specified branch were being processed.

You can invoke the screen by typing the code ‘DVRPEXCP’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Selection Criteria

Branch Code

Specify a valid branch code to generate the report either for all the branches of your bank or only for a particular branch.

From Date

Specify a valid date from when you wish to generate the report from the adjoining calendar.

To Date

Specify a valid date till when you wish to generate the report from the adjoining calendar.

8.7.2 Contents of the report

The report options that you selected while generating the report are printed at the beginning of the report.

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

Transaction Date

This is the date on which the contract was first processed in the system.

Transaction Ref No

This is the transaction reference number.

Branch Code

This is the code of the branch where the contract was processed.

Process Name

The name of the process during which the exception was encountered is reported here.

Contract Reference Number

This is the reference number of the contract for which the process exception details are being reported.

Error Code

The code assigned to the error for which the process exception was raised is reported here.

Error Message

The error message specific to the particular contract will be reported in this field.

8.8 Revaluation Log Report

This section contains the following topics:

8.8.1 Generating Revaluation Log Report

Through the Revaluation Log report you can get product-wise details of all contracts which were revalued within a specific period. Thus at the product level you can guage the gains and losses due to changes in the market interest rates or the exchange rates.

You can invoke the screen by typing the code ‘DVRPRVAL’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Selection Criteria

Product Code

Select the product code for which the report has to be generated.

is to be revalued you have to indicate the period for which revaluation should be carried out.

Revaluation

From Date

Specify the date from when the contract is to be revalued.

To Date

Specify the date till when the contract is to be revalued.

Note

You can choose to generate the revaluation log report either for one particular product or for all the products.

8.8.2 Contents of the report

The report options that you selected while generating the report are printed at the beginning of the report.

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

Branch Code

This is the code of the branch for which the product-wise revaluation details are being reported.

Revaluation Sequence Number

This is the sequence number which was assigned to the revaluation

Value Date

This is the date as of which the swap takes effect. In the case of an FRA this is the date as of which the deal settles.

Transaction Date

This is the date on which the contract was first processed in the system.

Contract Reference

This is the reference number of the contract involved in the product for which revaluation details are being reported.

Previous Revaluation accounting entries

These are the revaluation entries that were passed in the previous revaluation cycle. These include the following:

Each of these entries will be reversed in the current revaluation cycle.

Product Code

The code of the product for which you are generating the revaluation details is reported here.

Current Revaluation accounting entries

These are the accounting entries, which have been passed in the current revaluation cycle:

Values for each of these fields will be displayed depending on whether the particular entry is applicable for the particular or not.

8.9 Settled Deals Report

This section contains the following topics:

8.9.1 Generating Settled Deals Report

Through the Settled Deals report options screen you can generate a detailed report on all contracts which were settled as well as on those contracts which were terminated.

You can invoke the screen by typing the code ‘DVRPSTLD’ in the field at the top right corner of the Application tool bar and click on the adjoining arrow button.

Selection Criteria

Firstly you have to indicate whether the report should be generated for settled deals or whether the report should contain details of contracts which were terminated.

After you indicate this specification you have to specify the date range within which the settled/terminated contracts were booked. Similarly you can specify that the report should contain deals bearing a value date falling within a specific date range.

The generated report will contain details of contracts satisfying the above criteria.

8.9.2 Contents of the report

The report options that you selected while generating the report are printed at the beginning of the report.

The contents of the report are discussed under the following heads:

Header

The Header carries the title of the Report, information on the branch code, the branch date, the user id, the module name, the date and time at which the report was generated and the page number of the report.

Body of the report

The report contains information on:

Counterparty

This is the CIF ID of the customer involved in the contract that was settled/terminated.

Customer Name

This is the name of the customer.

Contract Reference

This is the reference number of the contract which was settled/terminated.

Booking Date

This is the date on which the settled/terminated contract was booked.

Effective Date

This is the date on which the contract comes into effect.

Maturity Date

This is the date on which the Swap matures. In the case of an FRA this would typically be the last date for the computation period.

Contract Status

This is the status of the contract.

Contract Type

This is the derivative type to which the derivative contract belongs.

Type Description

This is the description associated with the derivative type

Termination Type

This indicates whether the termination of the contract was a normal termination or was assigned to another counterparty.

Termination Date

If you are generating the details of a contract which was terminated, the date on which the contract was terminated is reported.

In Leg

Indicates the In ledger

In Leg Principal

This is the in leg principal amount of the settled/terminated contract.

Currency

This is the currency of the In Leg principal.

Out Leg

Indicates the out ledger

Out Leg Principal

This is the out leg principal amount of the settled/terminated contract.

Currency

This is the currency of the Out Leg principal.

Termination To

Indicates the termination.

In Leg and Out Leg Interest Component Details

The in and out leg interest details for each of the components involved in the contract will be reported under this head. These details include the following: