Contents

1. Preface 1-1

  • 1.1 Introduction 1-1
  • 1.2 Audience 1-1
  • 1.3 Documentation Accessibility 1-1
  • 1.4 Organization 1-1
  • 1.5 Related Documents 1-2
  • 1.6 Glossary of Icons 1-2

    • 2. An Overview of the Foreign Exchange Module 2-1

  • 2.1 Introduction 2-1
  • 2.2 Setting up the System 2-1
  • 2.3 Organizing Foreign Exchange Deals 2-2
  • 2.4 Specifying the Brokerage 2-2
  • 2.5 Defining Tax 2-2
  • 2.6 Tracking Limits 2-3
  • 2.7 Settling FX Contracts 2-3
  • 2.8 Retrieving Information Relating to FX deals 2-3

    • 3. Maintaining Data Specific to the FX Module 3-1

  • 3.1 Static Data 3-1
  • 3.1.1 Static Data specific to the FX module 3-1
  • 3.2 Branch Parameters 3-1
  • 3.2.1 Maintaining Branch Parameters 3-2
  • 3.2.2 Maintaining CLS preferences for the branch 3-4
  • 3.2.3 Specifying UDF Values 3-4
  • 3.3 Forward Rates 3-5
  • 3.3.1 Maintaining Forward Rates 3-5
  • 3.3.2 Maintaining forward Rates for Currency Pairs 3-5
  • 3.4 Discounting Rates 3-6
  • 3.4.1 Maintaining Discounting Rates 3-6
  • 3.4.2 Specifying UDF Values 3-8
  • 3.4.3 Querying Discount Rates 3-8
  • 3.4.4 Querying Based on Tenor 3-9
  • 3.5 Netting 3-10
  • 3.5.1 Netting Details 3-10
  • 3.5.2 Maintaining Netting Details 3-10
  • 3.5.3 Specifying UDF Values 3-14
  • 3.5.4 Maintaining FX Risk Netting Details 3-14
  • 3.5.5 Specifying UDF Values 3-16
  • 3.6 Confirmation Rule Maintenance 3-17
  • 3.6.1 Invoking Confirmation Rule Maintenance Screen 3-18
  • 3.6.2 Viewing Confirmation Rule Maintenance Details 3-20
  • 3.6.3 Processing FX Confirmation Message Intraday Batch 3-21
  • 3.7 Confirmation Message Matching 3-22
  • 3.7.1 Invoking Confirmation Message Matching Screen 3-22
  • 3.7.2 View Message Button 3-24
  • 3.7.3 View Match Details Button 3-24
  • 3.7.4 Contract Button 3-25
  • 3.7.5 View Message Button 3-25
  • 3.7.6 Viewing Confirmation Message Matching Details 3-25
  • 3.7.7 Processing of Partially Matched /Unmatched Messages 3-26

    • 4. Defining Attributes specific to FX Products 4-1

  • 4.1 Introduction 4-1
  • 4.2 FX Products 4-1
  • 4.2.1 Invoking FX Product Definition Screen 4-1
  • 4.2.2 Preferences Tab 4-3
  • 4.2.3 Additional Tab 4-6
  • 4.3 Product Combinations 4-11
  • 4.3.1 Maintaining Product Combinations 4-11
  • 4.3.2 Creating a Product Combination 4-11
  • 4.3.3 Maintaining Product Category Details for Internal Swap Transactions 4-13

    • 5. Beginning of Day Operations 5-1

  • 5.1 Introduction 5-1
  • 5.2 Forward Rates 5-1
  • 5.2.1 Discounting Rates 5-1
  • 5.3 Automatic Liquidation of a Contract 5-2
  • 5.3.1 A description of the function 5-2
  • 5.4 Automatic Rollover of a Contract 5-3
  • 5.4.1 A Description of the Function/Procedures 5-3
  • 5.4.2 Retrieving Information 5-3

    • 6. Contract Processing 6-1

  • 6.1 Introduction 6-1
  • 6.2 FX Deal 6-1
  • 6.2.1 Entering an FX Deal 6-2
  • 6.2.2 Invoking Foreign Exchange Contract Input Screen 6-2
  • 6.2.3 Main Tab 6-5
  • 6.2.4 Specifying the ‘Rollover instructions’ Tab Details 6-12
  • 6.2.5 Specifying the ‘Netting’ Tab Details 6-15
  • 6.2.6 Process of updating of Limit Tracking options 6-17
  • 6.2.7 Manual Netting 6-18
  • 6.2.8 Automatic and Manual FX Netting Batch 6-19
  • 6.2.9 Capturing the ‘Revaluation Details Tab’ Details 6-20
  • 6.2.10 Specifying ‘Non-Deliverable Forward’ Tab Details 6-23
  • 6.2.11 Saving the Contract You Entered 6-28
  • 6.2.12 Processing a Contract Involving a Product Combination 6-28
  • 6.2.13 FX Contracts Processing with Netted Limits Tracking 6-29
  • 6.2.14 Upload 6-30
  • 6.2.15 Amendment of Uploaded Deals 6-30
  • 6.2.16 Indicating the Option Period and the Rate 6-31
  • 6.2.17 Viewing Event Details 6-31
  • 6.2.18 Suppressing or Prioritizing Advices 6-33
  • 6.2.19 Brokerage Details 6-34
  • 6.2.20 Settlement Details 6-34
  • 6.2.21 Viewing FX Linkage Details 6-34
  • 6.3 Operations on a Contract 6-35
  • 6.3.1 Amending deal details 6-36
  • 6.3.2 Uploading the contracts for amendment 6-37
  • 6.3.3 Identifying Financial and Non-Financial fields for Amendment 6-38
  • 6.3.4 Reversing and Rebooking a Contract 6-38
  • 6.3.5 Copying contract details 6-39
  • 6.3.6 Viewing different versions of the contract 6-39
  • 6.3.7 Deleting a contract 6-39
  • 6.3.8 Reversing a contract 6-40
  • 6.3.9 Putting a Contract on ‘Hold’ 6-40
  • 6.3.10 Multilevel Authorization of a Contract 6-40
  • 6.3.11 Authorizing a Contract 6-40
  • 6.3.12 Authorizing Bulk FX contracts 6-42
  • 6.3.13 Authorizing the Contracts 6-44
  • 6.3.14 Viewing the Errors 6-44
  • 6.3.15 Viewing the Settlement Details 6-45
  • 6.3.16 Viewing the Details of the Contract 6-45
  • 6.3.17 Rolling Over a Contract Manually 6-46
  • 6.3.18 Registering the Confirmation for a Contract 6-46
  • 6.3.19 Liquidating a contract manually 6-48
  • 6.4 The Liquidation and Cancellation Function 6-49
  • 6.4.1 Authorizing FX Payment Details 6-52
  • 6.5 Reassign Contract 6-52
  • 6.5.1 Reassigning a Contract to Another User 6-53
  • 6.5.2 Viewing FX Payment Details 6-54
  • 6.5.3 Viewing FX Contract 6-56
  • 6.6 Online Querying for FX positions 6-59
  • 6.6.1 Viewing the details of the individual deals that contribute
    to the position 6-60
  • 6.7 FX Affirmation Input 6-62
  • 6.7.1 Invoking FX Affirmation Input Screen 6-63
  • 6.8 Internal Swap Transactions 6-64
  • 6.8.1 Defining Internal Swap Transactions 6-64
  • 6.8.2 Validations for Internal Swap Transactions 6-67
  • 6.8.3 Processing Internal Swap Transactions 6-67

    • 7. Continuous Linked Settlements (CLS) 7-1

  • 7.1 Introduction 7-1
  • 7.2 CLS Preferences 7-1
  • 7.2.1 Maintaining CLS Preferences for the Branch 7-2
  • 7.2.2 Allowing a Currency to be Settled Inside CLS 7-4
  • 7.2.3 Identifying the customer as a CLS Participant and
    maintaining currency restrictions 7-4
  • 7.2.4 Maintaining CLS currency preferences for the branch 7-5
  • 7.2.5 Specifying UDF Values 7-7
  • 7.2.6 Maintaining Holidays for CLS Bank 7-8
  • 7.2.7 Specifying UDF Values 7-9
  • 7.2.8 Maintaining the participant type for CLS customers 7-10
  • 7.2.9 Specifying UDF Values 7-12
  • 7.2.10 Maintaining Settlement Instructions for CLS Deals 7-13
  • 7.2.11 Maintaining Alert Preferences for CLS deals 7-15
  • 7.2.12 Specifying UDF Values 7-18
  • 7.3 CLS deal 7-18
  • 7.3.1 Processing a CLS deal 7-19
  • 7.3.2 Checking the CLS Eligibility of an FX deal 7-19
  • 7.3.3 Processing a CLS deal as a non-CLS deal 7-22
  • 7.3.4 Processing a CLS deal 7-22
  • 7.3.5 Message Generation for CLS deals 7-23

    • 8. FX Advices and Messages 8-1

  • 8.1 Introduction 8-1
  • 8.2 Advices 8-1
  • 8.2.1 FX Deal Confirmation message 8-2
  • 8.2.2 Contract deal slip 8-3
  • 8.2.3 Contract brokerage advice 8-3
  • 8.2.4 FX Swap Confirmation Advice 8-4
  • 8.2.5 Contract amendment advice 8-5
  • 8.2.6 Roll-over advice 8-5
  • 8.2.7 Reversal advice 8-5
  • 8.2.8 Advice of Cancellation (MT292) 8-5
  • 8.3 Messages 8-6
  • 8.3.1 Generating Payment Messages 8-6
  • 8.3.2 Generating Receive Messages 8-8
  • 8.3.3 Generating User Ref. No. in Messages 8-9
  • 8.3.4 Generating Cancellation Request Messages 8-9

    • 9. Annexure A - Accounting Entries and Advices 9-1

  • 9.1 Accounting entries for Foreign Exchange 9-1
  • 9.2 FX Events 9-1
  • 9.3 Amount Tags 9-2
  • 9.4 Accounting Roles 9-3
  • 9.5 Event-wise Accounting Entries and Advices 9-4
  • 9.5.1 BOOK: Booking an FX contract 9-4

    • 10. Glossary 10-1

  • 10.1 Important Terms 10-1

    • 11. Reports 11-1

  • 11.1 Introduction 11-1
  • 11.2 FX Maturity Analysis Report 11-1
  • 11.3 Currency Forward Rates Report 11-2
  • 11.3.1 Contents of the Currency Forward Rates Report 11-2
  • 11.4 FX Currency Analysis Report 11-3
  • 11.4.1 Contents of the FX Currency Analysis Report 11-4
  • 11.5 FX Tenor-wise Currency Position Report 11-5
  • 11.5.1 Contents of the FX Tenor-wise Currency Position Report 11-5
  • 11.6 Counterparty Unconfirmed FX Contracts Report 11-6
  • 11.6.1 Contents of the Counterparty Unconfirmed FX Contracts Report 11-7
  • 11.7 FX Contract Daily Activity Report 11-7
  • 11.7.1 Contents of the FX Daily Activities Report 11-8
  • 11.8 FX Contract Overrides Report 11-10
  • 11.8.1 Contents of the FX Contracts Overrides Report 11-10
  • 11.9 FX Brokerage Details Report 11-11
  • 11.9.1 Contents of the FX Brokerage Details Report 11-12
  • 11.10 FX Daily Exception Report - Automatic Processing 11-13
  • 11.10.1 Contents of the FX Daily Exception Report 11-14
  • 11.11 FX Discounting Rate Report 11-15
  • 11.11.1 Contents of the Report 11-15
  • 11.12 Netting Agreement Report 11-16
  • 11.12.1 Contents of the Report 11-16
  • 11.13 Brokerage Confirmation Journal 11-17
  • 11.13.1 Contents of the Report 11-18
  • 11.14 Contract Maturity Due Report 11-18
  • 11.14.1 Contents of the Report 11-19
  • 11.15 Fund Transfer to Foreign Exchange Netting Report 11-20
  • 11.15.1 Contents of the Report 11-20
  • 11.16 FX to FT Netting Report 11-21
  • 11.16.1 Contents of the Report 11-22
  • 11.17 Process Exception Report 11-23
  • 11.17.1 Contents of the Report 11-23

    • 12. Function ID Glossary 12-1