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. Defining Deal Product Restriction
8.1 Deal Product Restriction
8.1.1 Invoking the Deal Product Restriction Screen
8.1.2 Portfolio Restrictions Button
8.1.3 Instrument Restrictions Button
9. General Maintenance
9.1 Bank Parameters Maintenance
9.1.1 Invoking the Bank Parameters Screen
9.2 Price Code Details
9.2.1 Invoking Price Code Maintenance Screen
9.3 Underlying Asset Prices
9.3.1 Invoking Underlying Asset Price Maintenance Screen
9.4 Instrument Price Details
9.4.1 Invoking Instrument Price Details Screen
9.5 Broker Accounts
9.5.1 Invoking Broker Master Maintenance Screen
9.6 Broker Scheme
9.6.1 Invoking Broker Scheme Definition
10. Automatic Daily Processing
10.1 ETD Batch Processes at EOD
10.1.1 Invoking the End of Day Batch Start Screen
10.2 Automatic Events Executed during End of Day for Futures
10.2.1 Settlement of Opening Deals
10.2.2 Realized Revaluation of Open Positions
10.2.3 Settlement of all Closing Deals for the Day
10.2.4 Liquidation of all Open positions on the Expiry Date
10.3 Automatic Events Executed during End of Day for Options
10.3.1 Settlement of Opening Deals for Options
10.3.2 Settlement of Closing Deals
10.3.3 Notional Revaluation of Open Positions for Options with Option Style Premium
10.3.4 Automatic Exercise of options/ Assignment of Exercise
10.3.5 Automatic Expiry of Out / At the Money Positions
10.3.6 Reversal of Notional Revaluation for Options with Option Style of Premium
10.3.7 Producing Instrument Detail and Instrument Price Detail Handoffs
10.4 Sample Accounting Entries for the various events
10.5 Future Deals
10.5.1 Instrument Details - CME-90 day US T-bill-Future
10.5.2 Deal I – Reference Number D20101
10.5.3 Deal II – Reference Number D20302
10.5.4 Deal III – Reference Number D20401
10.6 Option Deals
10.6.1 European Option Deals with Option Style Premium
10.6.2 Deal I – Reference Number D10103
10.6.3 Deal II –Reference Number D10201
10.6.4 Deal II –Reference Number D10402
10.6.5 American Option Deals with Future Style Premium
10.6.6 Deal I – Reference Number D20104
10.6.7 Deal II – Reference Number D20601
11. Annexure A – Event-wise Accounting Entries for your Own Portfolio
11.1 ETD Events
11.2 Amount Tags
11.3 Accounting Roles
11.4 Event-wise Accounting Entries for your Own portfolio
11.5 Event-wise Accounting Entries for your Customer’s portfolio
12. Annexure B - Advice tags and their descriptions
12.1 Branch Details
12.1.1 Advice Tag Description
12.1.2 Customer Details
12.1.3 Underlying Asset Details
12.1.4 Charge Details
12.1.5 Portfolio Details
12.1.6 Series Details
12.1.7 Instrument Details
12.1.8 Broker Details
12.1.9 Long Short deal details
12.1.10 Liquidation deal details
12.2 Message Types
12.2.1 Transactions Holdings Statements for a Portfolio
12.2.2 Long Short Deal Confirmation advice
12.2.3 Assignment Notice
12.2.4 Exercise Confirm Notice
12.2.5 EFP Confirm Notice
12.2.6 Expiry Confirm Notice
13. Function ID Glossary