Reference

In Oracle Banking Treasury Management, the system generates instrument reference numbers automatically and sequentially by the system. This number tag is used to identify the instrument that you are entering. It is also used in all transactions related to this instrument. Here the system generates a unique 16 digit alphanumeric reference value for each instrument.

Instrument Identification

Type the reference number or value for the instrument here. This is called the ‘Instrument Identification’. The ‘Instrument Identification’ in addition to the ‘Reference’ generated by the system identifies the instrument.

The ‘Instrument Identification’ should be unique and cannot be used to identify any other instrument. It also cannot exceed 16 characters. By default, the system generates an Instrument Reference number which is taken as the Instrument ID.

Description

Here you can provide a brief description for the instrument. This description cannot exceed 35 characters.

Contract Size and Unit

Indicate the number of the units of the underlying asset that makes this instrument., as part of specifying the instrument details.

For example, refer Table 5.2 and Table 5.3.

Value

You can capture additional details pertaining to the instrument or the underlying.

The details that you capture in this field are meant for your bank’s internal reference and will not be used for processing the contract.

Call/Put

Select Call/Put option from the Call/Put list. While capturing the details of an Option instrument, you need to indicate whether the option is a Call or a Put option. In the ETD module the Call and Put Options are treated as two separate instruments in all respects.

Therefore, when an Exchange issues Call and Put options on the same underlying assets, you need to have defined two instruments to take care of the two Options.

Premium

Indicate the premium style, which should be picked up for the particular option.

You can choose one of the following options here:

•Select Option Style for booking the Premium Amount for the Deal during the Opening/Closing of the Position, along with the deal. This means there is no Variation Margin (Cash Settlement of Revaluation Differences based on Daily Closing Price of the Instrument) to be processed for such instruments. For your portfolios, you are allowed to do a Notional Revaluation for such Instruments.

•Select Futures Style for not booking the Premium Amount during the Opening/Closing of Position, that is, there is no exchange of Cash during the deal. But based on the every day closing prices of the Instrument, there will be a variation Margin Computation that has to be exchanged between the Portfolio and Broker (Revaluation based on Cash Basis).

Contract Size

100

Unit

Kilo-grams

Contract Size

1,000,000

Unit

DEM

Underlying Asset

After you have indicated the instrument details, you must specify the underlying asset, which is to be linked to the instrument being defined. The option list available for this field is populated based on the Asset Type linked to the product involving this instrument. You can select an appropriate underlying code.

Pricing Multiple

Specify the Pricing Multiple of the underlying. The Pricing Multiple is the multiplication factor that should be applied to the Price of the Underlying to arrive at the price per contract.

For example, refer Table 5.5.

Price Code

A single underlying can be linked to several instruments issued at various exchanges. As a result, there might be slight price variations in the closing price of the same underlying in each exchange where the instrument is traded.

Since the system automatically picks up all open position contracts for auto Expiry/Exercise, on the expiry date of the instrument, the closing price of the underlying is required for triggering this process. Therefore, if each of the exchanges where the underlying trades is identified by a unique price code, it becomes possible to associate the price code to be used to pick up the closing price of the underlying for processing the Expiry/Exercise event.

On saving the record, the other details of the underlying - such as the Pricing Size, the Pricing Unit and the Nature of the Asset - are defaulted from the Underlying Asset Maintenance screen, depending on the underlying that you link with the instrument. You cannot change them.

Contract Size

100

Unit

Kilo-grams

Pricing Currency and Asset Currency

Indicate the currency in which the instrument is to be priced in. The asset currency of the product involved in the instrument defaults as the pricing currency.

Precision

Specify the maximum decimal places that can be allowed for quoting the Instrument price.

Pricing Size, Pricing Unit and Instrument Pricing Multiple

While specifying the contract size of the Gold Option instrument you have indicated that the contract size was 10 kilograms of Gold. Now, as part of specifying the premium of this option if we were to specify that it should be quoted per every gram of gold, the instrument pricing size and unit are given in the Table 5.7.

For Instrument Pricing Size, value is 1 and Instrument Pricing Unit, the value is in Gram

Consequently, the multiplication factor to arrive at the Cost Per Contract (Pricing Multiple)

equals 10000.

Instrument Pricing

Size

1

Instrument Pricing Unit

Gram

Minimum Movement

Specify a certain minimum movement in the price of the instrument to trade in the instrument the exchange. The price that you enter in this field is merely for informational purposes and is not used during contract processing. This value is also referred to as the Tick Size of the Instrument.

Maximum Movement

Specify the maximum movement value. The value that you capture in this field is meant for your internal reference only. No processing is done in Oracle Banking Treasury Management based on this value. This price is set at the exchange and is indicative of the forward movement in the instrument price. When the instrument price reaches this limit, trading in this instrument will be suspended for the particular day by the exchange.

Money

Specify the Money settlement days When a particular deal involves money settlement, (Option Premium in case of an Open Deal for an Option or an Exercise deal) the money settlement days are used to arrive at the date on which the money settlement should take place.

For instance if you indicate that the money settlement date is two days, the system calculates the money settlement date in the following manner:

Deal Date + 2 Working Days

Your entry in this field determines the Value Date for Money Settlement.

Physical

When a particular deal involves the physical settlement of the underlying asset, (Exercise of Stock Options or Interest Rate Options) you need to indicate the physical settlement days. The system calculates the Value Date of the Physical Settlement based on the number of days that you specify in this field.

For instance, if you specify the number of days as one, the value date for physical settlement of the underlying asset will be done in the following manner:

Deal Date + 1 Working Day

Long and Short

In certain exchanges, it is mandatory that you deposit as collateral (Initial Margin), a fixed percentage of the Contract Value. You need to specify the percentage of initial margin for every open contract held by the investor. The percentage that you specify can change on a day-to-day basis. Similarly, the percentage per Open Short Contract may differ from the percentage per Open Long Contract

Since the ETD module does not calculate the Initial Margin Requirements, the value that you specify in this field represents an approximate percentage that will be required as Initial Margin. The percentage of the contract amount that you enter in these fields will not be considered for processing.

Currency

Indicate the currency in which the percentage amount is to be paid. This field assumes significance only when the margin amount is paid in cash. A list of currencies maintained in Oracle Banking Treasury Management is displayed in the available option list. You can choose the appropriate currency.

Default Broker

Your bank can trade-in instruments involving brokers and clearinghouses. You have to indicate the ID of the broker/clearing member involved in the deal. A list of all customers categorized as brokers and clearing members through the Customer Information maintenance screen are available in the list of options. You can choose the appropriate ID.

Subsequently, whenever this instrument is chosen in the deal, the broker for the deal defaults from this value. You can change the broker ID if necessary.

Issuer

This is the ID of the exchange that has issued the particular instrument. The list of options available for this field contains a list of all customers categorized as Issuers through the Customer Information File details screen. You can associate the appropriate issuer ID with this instrument.

Clearing House

You can capture the ID of the clearing house where the settlement of trades is to take place.

The daily settlement of trades is Oracle Banking Treasury Management will be carried out, based on your holiday specifications in the Holiday Calendar maintenance screen. Processing for a day is skipped, if both the branch and the clearing house are configured for a holiday as of the processing date.

Contract Standard

You can capture additional information about the ETD instrument that you are processing. The additional text that you capture should not exceed 255 characters. The details that you capture in this field can pertain to any of the following:

•Instrument involved in the deal

•Underlying asset

•Physical settlement of the deal

•Money settlement of the deal

This information will be printed on all the advices that are sent to your portfolio customers if you identify Contract Standard as an Advice Tag, while specifying message formats in the Messaging sub-system.

Series ID

To identify the series, you need to assign a unique 16 character code to the series. After you associate a code with the series, you have to capture a brief description of the series. This description will be associated with the series for information retrieval purposes.

Strike Price

While capturing the details of an option instrument, you need to indicate the price at which the option buyer can purchase the asset for a call option or sell the asset in the case of a put option.

The Strike Price is specified in terms of the Pricing Size and Unit maintained for the Instrument. Therefore, it is multiplied by the instrument pricing multiple to arrive at the contract value.

Trade Start Date and Expiry Date

You can indicate the time period for which the series can be traded in the market by specifying the following:

•Trade Start Date

•Expiry Date

The Trade Date is the first date on which the series can be traded in the market. The value dates of deals involving the particular series cannot be earlier than the Trade Date.

The Expiry Date is the date on which the series expires. The value dates of any of the deals involving the series cannot be later than the expiry date. The automatic Expiry/Exercise liquidation of all open positions for a series is done as part of the End of Day activities on the expiry date of the series.

Series ID

LME – Wrought Iron Futures – DEC 2000 series

Opening Day

01 Dec 2000

Lifetime

6 months

Series ID

LME – Wrought Iron Futures – JAN 2001 series

Opening Day

01 Dec 2001

Lifetime

5 months

Contract Standard

The European Interbank Offered Rate (EURIBOR) for one-month euro time deposits.

Contract Value

EUR 3,000,000

Settlement

Cash Settlement, payable on the first exchange trading settlement day immediately following the Last Trading Date.

Price Determination

In percent, with three decimal places, expressed as 100 minus the going rate of interest.

Minimum Price Change

0.005 percent, equivalent to a value of EUR 12.50.

Maturity Months

The six nearest calendar months. The longest term available is therefore six months.

Last Trading Day – Final Settlement Day

Two exchange trading days prior to the third working Wednesday of the respective settlement month, provided that on that day the FBE/ACI has determined the reference interest rate EURIBOR pertaining to one-month euro time deposits; otherwise, the preceding day. Trading in the maturing contract ceases at 11:00 am CET.

Daily Settlement Price

The volume-weighted average price of the last five trades of the day, provided they are not older than 15 minutes; or, if more than five trades have occurred during the final minute trading, then the volume weighted average price of all trades that occurred during that final minute. If such a price cannot be determined, or if the price so determined does not reasonably reflect prevailing market conditions, then Eurex will establish the official settlement price.

Final Settlement Price

Eurex establishes the final settlement price at 11:00 am CET on the last trading day based on the reference interest rate (EURIBOR) for one-month euro time deposits as determined by FBE/ACI. To fix the Final Settlement Price, the EURIBOR rate is rounded to the nearest price interval (0.005, 0.01 or multiple thereof) and is then subtracted from 100

Trading Hours

8.45 am until 7.00 pm CET.

Product Code

FEU1

Option/Future

Future

Asset Type

Time Deposit

Physical Settlement

Yes

Settle Before Expiry

Yes

Reference

000FEU100123

Instrument

1-Month-Euribor-TimeDeposit- Future

Nature of Asset

Real

Asset Currency

EUR

Contract Size

1

Contract Size Unit

Deposit

Contract Value

3000000

Pricing Currency

EUR

Pricing Size

1

Pricing Size Unit

Deposit/30000

Pricing Unit Multiple

30000

Precision

3

Minimum Price Movement

0.005

Underlying Asset

ETD (1-Month-Euribor-TimeDeposit)

Pricing Size

1

Pricing Size Unit

Deposit / 30000

Pricing Unit Multiple

30000

Price Code

EUREX

Contract Standard

Three-Month EURIBOR Futures. The nominal value of one futures contract is EUR 1,000,000.

Contract Value

One Three-Month EURIBOR Futures contract.

Settlement

The exercise of a Three-Month EURIBOR Futures option results in the creation of a corresponding Three-Month EURIBOR Futures position for the buyer as well as the seller to whom the exercise is assigned. The position is established after the Post-Trading Period of the exercise day, and is based on the agreed exercise price.

Price Determination

In points, with three decimal places.

Minimum Price Change

0.005 of a point, equivalent to a value of EUR 12.50.

Last Trading Day

Two exchange trading days prior to the third Wednesday of the respective settlement month, provided that on that day the FBE/ACI has determined the reference interest rate EURIBOR pertaining to three-month euro time deposits; otherwise, the preceding day. Trading in the maturing contract ceases at 11:00 a.m. CET.

Daily Settlement Price

The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price.

Exercise

American style, i.e. an option can be exercised up to the end of the Post-Trading Period on any exchange trading day during the lifetime of the option.

Expiration Months

The next four months within the cycle March, June, September and December; i.e. options contracts are available with a lifetime of 3, 6, 9 and a maximum of 12 months. The maturity month of the underlying futures contract and the expiration month of the option are identical.

Exercise Value

Options series have exercise prices with intervals of 0.10 of a point (e.g. 96.40, 96.50, 96.60). Twenty-one exercise prices are introduced initially for each expiration month.

Option Premium

The premium is settled using the ‘futures-style’ method.

Trading Hours

8:30 a.m. until 7:00 p.m. CET.

Product Code

OEU3

Option/Future

Option

Asset Type

Interest Rate Future

Physical Settlement

Yes

Settle Before Expiry

Yes

Reference

000OEU300123

Instrument

Option on Three-Month EURIBOR Futures contract.

Nature of Asset

Contingent

Asset Currency

EUR

Contract Size

1

Contract Size Unit

Future Contract

Contract Value

One Three-Month EURIBOR Futures contract.

Pricing Currency

EUR

Pricing Size

1

Pricing Size Unit

Future Contract / 30000

Pricing Unit Multiple

30000

Precision

3

Minimum Price Movement

0.005

Contract Standard

Three-Month EURIBOR Futures. The nominal value of one futures contract is EUR 1,000,000.

Underlying Asset

One Three-Month EURIBOR Futures contract.

Pricing Size

1

Pricing Size Unit

Future Contract / 30000

Pricing Unit Multiple

30000

Price Code

EUREX

Contract Size

Contracts are generally based on 100 shares of the underlying instrument. However, for shares with a nominal or calculated value of DEM 50 or equivalent in euro, the contract size is 10 shares. Options on Munich Re and Allianz have a contract size of 50 shares.

Minimum Price Change

The minimum price change for options is EUR 0.01. In the case of options on shares with a nominal value of DEM 50, price changes of DEM 0.1 are possible.

Settlement

Physical delivery of 10, 50, or 100 shares, respectively, of the underlying security.

Settlement Day

Two exchange trading days after exercise.

Last Trading Day

The third Friday of the expiration month, if this is an exchange trading day; otherwise, the exchange trading day immediately preceding that Friday.

Daily Settlement Price

The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price.

Exercise

American style, i.e. an option can be exercised until 18:30 on any exchange trading day during the lifetime of the option, except on days where resolutions regarding dividends take place.

Expiration Months

Group A shares: the three nearest calendar months, as well as the following two months within the cycle March, June, September and December thereafter (i.e. up to a maximum lifetime of 9 months).

Group B shares: the three nearest calendar months, as well as the following three months within the cycle March, June, September and December thereafter (i.e. up to a maximum lifetime of 12 months).

Group C shares: the three nearest calendar months, as well as the following three months within the cycle March, June, September and December thereafter, and the following two months within the cycle June and December thereafter (i.e. up to a maximum lifetime of 24 months).

Exercise Price

Options series may have the following exercise prices:

Shares with a nominal or calculated value of DEM 50 Shares with a nominal or calculated value of DEM 50

Refer Table 5.24 and Table 5.25.

Underlying Instruments

Eurex equity options on German shares are traded in the following groups according to their expiration months:

Refer Table 5.26, Table 5.27 and Table 5.28.

EUR 1 to EUR 20

EUR 1

EUR 22 to EUR 50

EUR 2

EUR 52,50 to EUR 100

EUR 2,50 only the two next expiration months

EUR 55 to EUR 100

EUR 5

EUR 110 to EUR 200

EUR 10

EUR 220 to EUR 500

EUR 20

EUR 525 to EUR 1.000

EUR 25 only the two next expiration months

EUR 550 to EUR 2.000

EUR 50

EUR 2.100 and above

EUR 100

EUR 1 to EUR 20

EUR 1

EUR 22 to EUR 50

EUR 2

EUR 52,50 to EUR 100

EUR 2,50 only the two next expiration months

EUR 55 to EUR 200

EUR 5

EUR 210 and beyond

EUR 10

1, 2, 3, 6 and 9 months

1, 2, 3, 6, 9 and 12 months

1, 2, 3, 6, 9, 12, 18 and 24 months

Adidas (ADS)

Bay. Hypo- und Vereinsbank (HVM)

Allianz-Holding (ALV)

Degussa Hls (DHA)

Dresdner Bank (DRB)

BASF (BAS)

Henkel Vz. (HEN3)

Lufthansa (LHA)

Bayer (BAY)

Metro (MEO)

Mannesmann (MMN)

Commerzbank (CBK)

Mnchener Rck- versicherung (MUV2)

RWE (RWE)

Daimler Chrysler DCX)

SAP Vz. (SAP3)

Thyssen Krupp (TKA)*

Deutsche Bank (DBK)

Schering (SCH)

Deutsche Telekom (DTE)

Hoechst (HOE)

Siemens (SIE)

VEBA (VEB)

VW (VOW)

Mnchener Rckversicherung (MVUZ)

Karstadt (KAR)

BMW (BMW)

Linde (LIN)

Preussag (PRS)

MAN (MAN)

VIAG (VIA)

Trading Hours (CET)

9:00 a.m. until 5:00 p.m. CET.

All equity options are subject to mandatory market making.

Option Premium

Payable in full on the exchange trading day immediately following the trade date.

Product Code

OTSK

Option/Future

Option

Asset Type

Equity

Physical Settlement

Yes

Settle Before Expiry

Yes

Reference

000OTSK00123

Instrument

Option on Allianz -Holding (ALZ)

Nature of Asset

Real

Asset Currency

EUR

Contract Size

100

Contract Size Unit

Shares

Call Put Indicator

Call

Pricing Currency

EUR

Pricing Size

1

Pricing Size Unit

Share

Pricing Unit Multiple

100

Precision

2

Minimum Price Movement

0.01

Money Settlement Days

1

Physical Settlement days

2

Contract Standard

100 Shares of Allianz-Holding of par value 5 DEM each (or equivalent in EUR)

Underlying Asset

Allianz-Holding

Pricing Size

1

Pricing Size Unit

Share

Pricing Unit Multiple

100

Price Code

FSE

Contract Standard

The Deutscher Aktienindex (DAX ).

Contract Value

EUR 25 per DAX index point.

Settlement

Cash settlement based on the Final Settlement Price, payable on the first exchange trading day following the Last Trading Day.

Price Determination

In points, with one decimal place.

Minimum Price Change

0.5 of a point, equivalent to a value of EUR 12.50.

Maturity Months

The three successive quarterly months within the cycle March, June, September and December.

Last Trading Day

The third Friday of each maturity month, if this is an exchange trading day; otherwise, the exchange trading day immediately preceding that Friday. Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET.

Daily Settlement Price

The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price.

Final Settlement Price

The value of the DAX , determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day, as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET.

Trading Hours

8:25 a.m. until 5:00 p.m. CET.

Product Code

FDAX

Option/Future

Future

Asset Type

Index

Physical Settlement

No

Settle Before Expiry

Yes

Reference

000FDAX00123

Instrument

DAX-Future

Nature of Asset

Real

Asset Currency

EUR

Contract Size

1

Contract Size Unit

Point

Contract Value

EUR 25 per DAX ® index point

Pricing Currency

EUR

Pricing Size

1

Pricing Size Unit

Point

Pricing Unit Multiple

25

Precision

1

Contract Standard

The Deutscher Aktienindex (DAX ® ).

Underlying Asset

The Deutscher Aktienindex (DAX ® ).

Pricing Size

1

Pricing Size Unit

Point

Pricing Unit Multiple

25

Price Code

DAX-5:30 Quote

Contract Standard

The Deutscher Aktienindex (DAX).

Contract Value

EUR 5 per DAX index point.

Settlement

Cash settlement, payable on the first exchange trading day following the Last Trading Day.

Price Determination

In points, with one decimal place.

Minimum Price Change

0.1 of a point, equivalent to a value of EUR 0.50.

Last Trading Day

The third Friday of each maturity month, if this is an exchange trading day; otherwise, the exchange trading day immediately preceding that Friday. Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET.

Daily Settlement Price

The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price.

Final Settlement Price

The value of the DAX, determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day, as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET.

Exercise

European style, i.e. an option may only be exercised on the Last Trading Day of the respective option series, up to the end of the Post-Trading Period.

Expiration Months

The three nearest calendar months, the three following months within the cycle March, June, September and December thereafter, as well as the two following months of the cycle June and December thereafter; i.e. options contracts are available with a lifetime of 1, 2, 3, max 6, max 9, max 12, as well as max 18 and max 24 months.

Exercise Price

Exercise price intervals for DAX(r) Options are given in the Table 5.38.

9 months

9

50

12 months

5

100

24 months

5

200

Option Premium

The EUR equivalent of the premium in points is payable in full, on the first exchange trading day following the trade date.

Trading Hours (CET)

8:25 a.m. until 5:00 p.m.

Product Code

ODAX

Option/Future

Option

Asset Type

Index

Physical Settlement

No

Settle Before Expiry

Yes

Reference

000ODAX00123

Instrument

DAX-Option

Nature of Asset

Real

Asset Currency

EUR

Contract Size

1

Contract Size Unit

Point

Contract Value

EUR 5 per DAX index point

Call Put Indicator

Call

Pricing Currency

EUR

Pricing Size

1

Pricing Size Unit

Point

Pricing Unit Multiple

5

Precision

1

Minimum Price Movement

0.1

Money Settlement Days

1

Physical Settlement days

2

Contract Standard

The Deutscher Aktienindex (DAX ®)

Underlying Asset

The Deutscher Aktienindex (DAX ® ).

Pricing Size

1

Pricing Size Unit

Point

Pricing Unit Multiple

5

Price Code

DAX-Daily-5.30

Branch

The current logged-in branch is displayed here.

Instrument Identification

Select the instrument ID from the adjoining list of values provided.

Portfolio Identification

Select the portfolio ID from the adjoining list of values provided.

Initial Margin Level (%)

Indicate the initial margin percentage per open contract for a combination of instrument ID and Portfolio.

Maintenance Margin Level (%)

Indicate the maintenance margin percentage per open contract for a combination of instrument ID and Portfolio.

PROCESS_FROM_DT

Specify the Effective Date on which the ETD Intraday Batch is required to be triggered. The default value is the previous working date.

PORTFOLIO

Choose the specific Portfolio ID for which batch reprocessing is required.The default value is ALL.

CURRENCY

Choose the specific currency for which batch reprocessing is required.The default value is ALL.

INSTRUMENT

Choose the specific Instrument for which batch reprocessing is required.The default value is ALL.

SERIES

Choose the specific Instrument series for which batch reprocessing is required.The default value is ALL.

BROKER

Choose the specific Broker for which batch reprocessing is required.The default value is ALL.

BROKER_ACC

Choose the specific Broker account for which batch reprocessing is required.The default value is ALL.

BASKET_REFERENCE

Choose the specific Basket for which batch reprocessing is required.The default value is ALL.

IMPACTED_BASKETS

This box is applicable during the MTM Recalculation process.

When you trigger the normal ETD batch process, set the Effective date and do not check the Impacted Baskets box.

After a price correction or on receiving a new back dated deal, set the effective date to today and then check the Impacted Baskets box.

FLEXCUBE picks up all the baskets which are impacted as part of Price Modification or Back value dated deal for MTM processing.

This box is not checked by default.