Brokerage

Click this icon to indicate brokerage details applicable to the contract.

Advice

Click on this button to enter the leg advice. View suppress and prioritize the devices that are to be generated for each

leg of the transaction.

Event

Click this icon to view details of the events and accounting entries that the contract involves. The screen displays the overrides encountered for the contract.

Fields

Click this icon to process the User Defined Fields screen. Indicate the user-defined fields for which information needs to be captured.

Charges

This button process the Charge service of Oracle Banking Treasury. On processing this function, charge rate, amount, and waive charge parameters are specified.

MIS

Click to enter the transaction MIS details.

Settlements

Click this icon to process the Settlement screens. The contract is settled based on the specified details in the settlement screens. The details of these screens are discussed in the Settlements manual.

Tax

This icon process Tax services. The application of the tax on a deal is discussed under the head Levying tax on a contract.

Interest

This icon process the Interest screen. The application of interest is discussed in this chapter.

Principal

This icon process the Principal screen. The application of the principal is discussed in this chapter.

Sub Agreement

This icon process the Sub Agreement screen.

Reference Number

Specify the Reference Number in the text box. The field is Mandatory.

In Oracle Banking Treasury, reference numbers are generated automatically and sequentially by the system. This numbered tag is used to identify the entered contract. It is also used in all the accounting entries and transactions related to this contract. Hence the system generates a unique number for each contract.

The contract reference number is a combination of a three-digit branch code, a four-character product code, a five-digit Julian Date, and a four-digit serial number. The Julian Date has the following format:

YYDDD

Here, YY stands for the last two digits of the year and DDD for the number of days (s) that has/ have elapsed in the year.

User Reference

Enter a reference number for the contract. A contract is identified by this number in addition to the Contract Reference Number generated by the system.

note:  Make sure that the number is unique and cannot be identified in any other contract. By default, the Contract Reference Number generated by the system will be taken as the User Reference No.

External Reference

Specify the identification for the transaction in the external source, as the external reference number, if the transaction is uploaded from an external source.

Reject Reason

Specify the Reject reason Code for payment reversal message. The option list displays all valid code maintained in the system. Choose the appropriate one.

Reversed Reference

The reference number displays the reversed and re-booked contract.

Deal Input time

This field captures the deal execution time at the time of deal booking received from front office.

Format: YYYY-MM-DD HH:MM:SS:SSS (Default).

Here SSS is milliseconds.

note: The above format can be changed in the user setting option based on requirement.

System throws an error when you give the wrong date or time format on modification.

Source Code

Indicates the indicate the source from which contracts have to be uploaded.

Swaption Reference

Specify the swaption reference number to associate this contract with an options contract. The option list displays all valid option contract reference numbers maintained in the system. Choose the appropriate one.

use P to have the details populated by the system. The system will default

the following details based on the product code or the swaption reference number.

•Product Code

•Product Type

•Counter party

•Value Date

•Maturity Date

•In Leg currency

•In Leg Principal Amount

•Settlement Account Branch

•Settlement Account

The system triggers DBOK event when you save the contract. In this case, the system

updates the status of the new contract as ‘Yet to be initiated’. On authorization, the system

links this contract to the corresponding swaption deal. On ‘Options Contract Input’ screen, you can view the contract reference number of the linked DV contract under ‘Interest Rate Options’ tab.

The system allows the reversal of the swaption contract only after reversing the IRS contract linked to it.

During the manual/auto-exercise of the OT contract, the system will initiate the corresponding DV contract. The system will trigger the DOPT event as part of this process. While performing auto-exercise during EOD operations, if an OT swaption contract is not linked to any DV contract, the system will move that particular OT contract to process exception. However, the EOD process will not fail for process exceptions. For such contracts, the contract status will continue to be active even after the maturity date of the swaption deal. You can manually control it by reversing or determination the Swaption contract.

Counterparty

When the details of a derivative contract are entered, specify the customer with whom the derivative contract is being entered. Specify the code of an authorized customer who falls into a category allowed for the product linked to the contract.

Settlement Account Branch

To settle these components in an account existing at a branch other than the one where the contract is initiated, then indicate the branch code where the account resides. Subsequently indicate the account number of the settlement account.

If Settlement Instructions is defined for the customer, the settlement accounts is picked from those instructions. While entering the details of the contract, you can change the Settlement Instructions for the derivative contract.

note:

If a settlement account is specified in the settlement instructions for the customer, and a different account is specified for the deriv­ative contract, the account specified for the contract takes prefer­ence.

If Debit or Credit settlement accounts are specified that use an accounting class that is restricted for the product, an override is sought.

Account

Specify the settlement account if the Settlement Instructions are not defined for the customer. The settlement account that specified is the account through which the various components linked to the contract get settled.

Contract Type

All derivative contracts must be designated at inception either as Trade or as Hedge contracts. At the time of product definition, you would have indicated whether the product being defined is meant for trade deals or hedge deals. When you associate a contract with a product, the specification you made for the product will default to the contract. It is possible to change this specification.

The Contract Type specification determines the accounting entries that will be passed for processing the particular contract. The system will identify all trade contracts and revalue them according to the revaluation preferences specified. For hedge type of contracts, interest accruals will be carried out at periodic intervals.

Also indicate the contract is a Buy type or Sell type of contract.

Resettable Leg

Specify the leg details as required. This identifies which leg of the swap is resettable. The options available are:

•None

•Inleg

•Outleg

warning: For IRS, FRA and plain CCS derivatives type deals, this field should be blank if you select any of the legs as an option then the system throws an error: Resettable is allowed only for Mark to Market Resettable Cross Currency Swaps.

Trade Date

The system defaults to the current date as the trade date. This is the date on which the deal is agreed with the counterparty. Once authorized, the Trade date cannot be amended.

The system displays error messages under the following conditions:

•Trade date is greater than current system date

•Trade date is holiday as per the deal currency

•Trade date is blank

•Trade date is later than the value date

•Trade date is earlier than the product start date

Booking Date

Displays the deal details entered date.

This defaults to the system date (todays date). This date is for information purposes only. The accounting entries are passed as of the Value Date of the deal (initiation date of the deal).

Value Date

If you are entering the details of interest/cross-currency swap, indicate the date on which the swap takes effect. In the case of an FRA, the value date would typically be the date on which the deal settles.

The accounting entries for the initiation of the deal will be passed as of the value date. The tenor of the deal will begin from this date and all calculations for interest and all the other components based on tenor will be made from this date onwards.

The system defaults to todays date. It is possible to enter the Value Date of your choice here, and it can be any one of the following:

•Todays date

•A date in the past

•A date in the future

The Value Date must not be earlier than the Start Date or later than the End Date of the product involved in the deal. If the liquidation date for any of the deal components falls before todays date, the liquidation entries (as defined by you for the product) will be passed if you have specified the same for the product.

Maturity Date

While maintaining the details of a swap, indicate the date on which the swap matures. If you are maintaining details of an FRA, the maturity date would be the last date for the computation period.

Buy or Sell

Indicates the contract is a Buy type or Sell type of contract.

Indexation Type

Select the indexation type from the adjoining drop-down list. The list displays the following values:

•Inflation Revenue

•Zero Coupon

•Year on year

In/Out Leg

As part of maintaining the In and Out leg details of the contract, indicate the currency, amount, rate code, rate source, the principal schedules and interest details for both the in as well as the out legs of the contract.

Currency and Amount

Indicate the currency in which interest amount should be calculated for both the inward as well as the outward legs of the contract. Select the currency code from the option list available.

In addition, you are also required to indicate the principal amount (Actual/ Notional) for both the legs of the contract. The amount that you specify will be taken in the currency indicated for the particular leg of the contract.

Liquidate Past Schedules

Choose to liquidate past schedules of backdated contracts. If you specify that backdated schedules should be liquidated the system will liquidate these schedules irrespective of the availability of funds.

For example,

The derivative contract is initiated as of today, a date in the future, or as a date in the past.

Todays date is October 15, 2000. Suppose you initiate a hedge swap today, of 15,000 USD with the Value Date (the date on which the swap comes into effect) as of September 15, 2000, the system will pass accounting entries for initiation as of September 15.

But if there had been an interest payment schedule for September 30, 2000, for 500 USD, then if you specify that back valued schedules should be liquidated, you can make the system pass accounting entries to liquidate this schedule also when the loan is initiated.

note: The entries associated with each event (initiation and liquidation in this case) is passed only if it is defined for the product. Further, the accounts used will be the ones defined for each entry.

Broker

When processing a deal that involves brokerage, indicate the ID of the broker through whom the deal was brokered. The adjoining option list displays a list of valid brokers with whom you can enter deals. Select the appropriate one.

It is allowed to enter details of a broker only if brokerage is allowed for the product to which the deal is associated.

Dealer

Select the name of the dealer involved in the transaction.

Exchange Rate

While maintaining details of Cross Currency Swaps indicates the Exchange Rate for the exchange of principal. The indicated rate is used for determining the Out leg amount for the initial exchange in principal, given the In Leg amount.

note: The indicated exchange rate is validated against the exchange rate variance limits (Override Limit, Stop Limit) specified at the time of defining the product. If the exchange rate variance exceeds the Override Limit, the system displays an appropriate override message. If the rate variance exceeds the Stop Limit, then it is not allowed to save the contract until you change the rate.

Remarks

Free-format information about the details of the contract is captured in this field. The specified remarks are not reflected in any of the advice sent to the customer.

It is possible to capture the relevant information in the window that gets displayed. Once the necessary information is captured, click Ok.

Default Details

At the time of input of a contract in different currencies, after you have specified the currency and amount of the first leg and the currency of the second leg, you must click Default. The system displays the equivalent amount for the second leg in the currency specified for that leg.

In case of contracts with both legs in the same currency, use the Default button, or manually input the amount and currency for both legs.

note: If the Principal and Interest details for a contract need to be spec­ified, use the Default button irrespective of whether both legs of a contract are in the same currency or different currencies. The system displays an error if you try to access the Principal and Interest screens without having visited the Default button.

Rate Type

The interest paid on both the legs of the contract can either be a fixed amount or an interest rate that changes periodically. For special cases, it is also allowed to maintain a flat amount.

If you specify that the interest rate for either of the legs is fixed, then indicate the rate of interest for the particular leg of the contract. When the rate type is floating, indicate the rate code based on which the interest rate must be calculated. Similarly, when the rate type is special, indicate the flat amount that is to be used to calculate interest.

When the rate type is ‘Inflation’, then the rate maintained for index value must be allowed to select in rate code.

Rate Code

If the contract involves a product defined with floating interest, this is the Rate Code that links the contract to the Floating Rate table. As is the case with the Rate Type, so also the Rate Code linked to the product will be displayed in this field. You can choose to change it.

Rate Source

For all contracts with a floating interest rate leg, apart from specifying the Rate Code, it is required to indicate the Rate Source. The rate source indicated (such as Telerate, Reuters) is used to pick up the floating rate for the outward/inward leg of the contract.

Tenor Code

The tenor code refers to the tenor of the floating rate code and currency combination to be associated with this leg of the contract.

Once Rate Code is selected, the code assigned to the tenor linked to the particular Rate Code is displayed in this field. Choose to change it by selecting another code from the list of the available options

Spread (on a floating interest rate)

When the Rate Type of the particular leg of a contract is floating you can choose to specify a spread that is to be applied over the rate maintained in the Floating Rate screen.

The Spread that you enter should be greater than or equal to the Minimum Spread and less than or equal to the Maximum Spread defined for the product that the contract involves.

The entered Spread must be greater than or equal to the Minimum Spread and less than or equal to the Maximum Spread defined for the product that the contract involves.

If the applied spread happens to be greater than the Maximum Spread, then the Maximum Spread will be applied to the rate. On the other hand, if it is less than the Minimum Spread defined for the product, the Minimum Spread will be picked up.

Rate

If specified that the interest rate for this leg of the contract is Fixed, then enter the actual rate of interest.

Flat Amount

If indicated the Rate Type is Special for this leg of the contract then, specify the Flat Amount.

Initial Level

Specify the initial value of index that must be used for calculation.

Assuming

If the contract you are processing is assumed from another counterparty, you are required to indicate so before you begin to specify the other details. Uncheck the box if you are processing a fresh contract. Currently this functionality not supported. But the check box is available on the screen. The functionality will be supported in a future release.

Customer

If the counterparty from whom you are assuming the contract is a customer of your bank, indicate the name of the customer. When the counterparty is not in any way connected to your bank, it is not necessary to specify the name.

Base Currency

Since you can maintain different currencies for both the in and out legs of the contract, you have to identify one single currency as the Base Currency of the contract. The specified base currency is used to compute the contract fair value to be used for revaluation purposes.

Revision Schedules

Revaluation is typically applicable to trade deals. The revaluation preferences that you made at the product level will default to the contract. You may change these preferences while processing the contracts.

If indeed revaluation is required for the contract being processed, it is done, according to the chosen revaluation method.

note: Each of the revaluation methods is thoroughly explained in the chapter Defining the Fair Price revaluation methods.

Netting Required

This field indicates whether contracts with positive and negative MTM values are netted, for computing credit limit utilization.

Once the MA Code is specified, the other details linked to the code, such as Limits Tracking Required, Netting required, and so on being defaulted to the contract.

note: At the MA level, if indicated that Netting is required, and while entering the details of the contract, decided that netting is not required, for that particular contract, it will be allowed to Uncheck this box.

However, at the MA level, if you have specified that netting is not required, then you will not be allowed to change this default at the time of entering the contract details.

Similarly, how revaluation entries must be passed, whether at the leg level or the contract level, will also default from the Product Preference screen.

At the product level, if you have specified that revaluation netting is not required, then you will not be allowed to change this at the contract level. However, at the product level, if you have indicated that revaluation netting is required, then you can change this to Not Required at the contract level.

Rate Code

If you indicate that the revaluation must be based either on the Contract Specific Rate, or the Branch Specific Rate, then you have to indicate the Rate Code, which should be used for the same purpose.

Rate Source

This is the Rate Source to which the Rate Code belongs. Select from the adjoining option list, and indicate the Rate Source to which the Rate Code is to be linked.

Holiday Treatment

As part of specifying the maturity date details, select the holiday handling treatment if the Maturity Date were to fall due on a holiday. Specify that the holiday must be treated according to one of the following:

•Ignore the holiday

•Branch Holiday

•Currency Holiday

•Financial Center

Holiday Movement

You can choose to move the maturity date falling due on a holiday either forward or backward to the next or the previous working day respectively. If not, the maturity date is kept in the same month on the last or first working day of the month, depending on whether the maturity date is over the month-end or the beginning of the month.

Holiday CCY

If you have specified that the Holiday Treatment should be as per your specifications in the Currency Holiday Calendar, then you have to indicate the currency and check the holiday table.

Financial Centre

If you have indicated that the Holiday Treatment must be governed by the holiday calendar of the Financial Center, then you have to indicate the code assigned to the Financial Center.

Inception Value

The inception value refers to the value of the contract at inception. This is applicable only in the trade deals. Either you can choose to amortize the gain/loss at inception, or you can choose to ignore the same.

note: Your preference at the product level regarding the amortization of inception gain and/or loss will be made applicable to the contract as well. However, if you do not want to allow amorti­zation for inception gain/loss for this particular contract, you will be allowed to do so.

Governed By Master Agreement

Check this box to indicate that the contract for which you are capturing details comes under the purview of a master agreement that exists between your bank and the counter-party.

MA Code

If you have specified that, the contract is governed by a master agreement, then indicate the code assigned to the Master Agreement in the Master Agreement Maintenance screen.

Once the MA Code is chosen, the other details linked to the MA code, such as Limits Tracking Required, Netting required, and so on will default to the contract.

Once the MA Code is chosen, the other details linked to the MA code, such as Limits Tracking Required, Netting required, and so on will default to the contract.

note: If you input the MA Code, click the MA Details button. The system displays the related details for the MA code specified.

Limits Tracking Required

At the MA level, if you have indicated that limit tracking is required, and while entering the details of the contract, you decide that tracking is not required, then you will be allowed to un check this box.

However, at the MA level, if you have specified that limit tracking is not required, then you will not be allowed to change this default at the time of entering the contract details.

Fair Value Limits Tracking

Check this option for fair value limit tracking is required.

Fair Value Line Code

This field is the Line Code for the Fair Value Limits tracking and will be defaulted from the master agreement maintenance once the master agreement is chosen.

If the Fair Value Limits Tracking option is checked, the field is mandatory.

Current Value

The Current Value represents the current Mark-to-Market value of the contract. This value changes when the contract is revalued.

When entering a contract, specify the inception value in this field. This is taken as the current value of the contract.

Interest and FX Exposure

When entering a contract, specify the inception value in this field. This is taken as the current value of the contract.

•Interest Exposure - Exposure to fluctuation in interest rates.

•FX Exposure - Exposure to fluctuations in exchange rates only when the foreign currency is involved.

Specify the interest and FX Exposure amounts.

Netting Required

Indicate whether contracts with positive and negative MTM values can be netted for computing credit limit utilization.

Amendment Fee Amount

Specify the Amendment fee amount as required.

Fee Currency

Specify the Fee Currency details as required.

Amendment Fee Indicator

Select the fee indicator as required. The options are:

•Pay

•Receive

Fee Settlement Date

Specify the Fee settlement details as required.

Notional & Risk Weighted Limits

Specify whether Limit Tracking is required for a particular contract. The fields Fair Value Limit Tracking, Notional Limits Tracking and Risk Weighted Limits Tracking is enabled only if the Limit Tracking option is enabled. If the contract is governed by a Master agreement, then if any of the three fields (Fair Value Limit Tracking, Notional Limits Tracking, and Risk Weighted Limits Tracking) are checked in the Master Agreement, the Limit Tracking

The required option is checked at the contract level.

The fields Notional Limits Tracking, Notional Line Code, Risk-Weighted Limits Tracking and Risk Weighted Line Code default from the Master agreement maintenance, if the contract comes under the preview of a Master Agreement.

The Notional Line Code and Risk Weighted Line Code are mandatory if the Notional Limits Tracking and Risk Weighted Limits Tracking options are enabled, respectively.

For the line code, all valid lines for the counterparty and the product will be displayed in the option list.

For the line code, all valid lines for the counterparty and the product will be displayed in the options list. On saving the contract, all the three lines selected will be validated for any restrictions based on product and currency. Oracle Banking Treasury will also ensure that all line codes selected are distinct from each other.

Risk% and Risk Weighted amount are calculated and shown on the screen as soon as the Risk-Weighted Limits Tracking option is selected. These fields are re-calculated if the value date or the maturity date is amended.

Risk-Weighted Amount will be calculated as follows:

Risk percent is computed by comparing the tenor (Maturity date – Value date) of the contract with the tenor slabs in risk percent maintenance. The risk category used for comparison will be the risk category, defined in customer maintenance for the counterparty of the derivatives and options contract. The product used for comparison will be the product for the contract. If there is no risk maintenance for the particular category and product, the product is replaced by ALL, and risk percent for contract tenor, customer category and product ALL will be arrived at. The module used to find out the risk percent will be ‘DV for derivatives.

Various combinations possible for find out risk percentage in order of preference are:

DV + Customer Category + Product

DV + Customer Category + ALL

An error message displays if Risk-Weighted Limit Tracking is checked, and risk percentage cannot be arrived at.

Risk percent once arrived is stored, and the contract level and will be used to compute the risk-weighted amount for limit tracking. Any future amendment of risk percentage, in risk percentage maintenance, will not affect the risk-weighted amount of the contract, and it will remain the same throughout the life cycle of the contract.

Limits Utilization for the Notional Amount and the Risk-Weighted amount will be done against the in leg currency for FRA, IRS, and CCS.

Termination Type

When you are terminating a particular contract, indicate whether it is a normal termination or whether the contract is going to be assigned to another counterparty. In the latter case, indicate the counterparty to which the contract is to be assigned.

note: This is not applicable when entering a new contract.

Counterparty

If the contract is to be assigned to another counterparty, indicate the ID of the counterparty to whom the contract is to be assigned.

Termination Value and Currency

If there is any gain or loss due to termination, indicate the gain or loss in value by specifying a positive or negative amount and the currency in which the termination gain or loss must be settled.

Either choose to amortize the termination gain/loss, or choose to ignore the same.

Termination Date

Specify the Termination Date. Termination can either be back-valued, current dated, or future-valued. The specified date must adhere to the following conditions:

•For FRA contracts, the termination date must be between the Booking Date (inclusive), and the Value Date (exclusive). For IRS/CCS contracts, the termination date is anywhere between the Booking Date (inclusive), and Maturity Date (exclusive). Any deviation from these conditions will result in an error message.

•If back-dated termination for an IRS/CCS contract is specified, ensure that the termination date is not greater than the most recent schedule settlement date that is executed.

•The termination date defaults as the System date. You can modify this date. Make sure not to leave this field blank.

•When you save the contract after specifying the Termination Date, the DTRB event is triggered. No accounting entries are passed for this event. The contract status remains active, after DTRB and a new version is created.

•For FRA contracts, if Settlement Message generation (SGEN) for liqui­dation is triggered before Termination Booking (DTRB), an override displays while saving the contract after entering the Termination Date.

•If the DTRB event has been triggered for a contract, you cannot termi­nate the contact again.

•For a back-valued termination or termination on the application date, the Termination event (DTER) is triggered along with the event DTRB when you save the contract. The SGEN for Termination is fired on the authorization.

•For future-dated termination, the termination event (DTER) is triggered during EOD/ BOD on the respective date.

note: Your specification in the Product Preferences screen, about the amortization of termination gain/loss, is defaulted on to the contract. At the product level, if you have set this preference, No then it is not allowed to change this to Yes, at the contract level. However, if you have set the preference as Yes, then you can change this to No at the contract level.

Contract Reference Number

The system displays the contract reference number.

Cashflow Summary

The system displays the following details:

•Due Date

•Pay Receive

•Currency

•Total Amount Due

•Total Amount Settled

Cashflow Details

The system displays the following details:

•Component

•Pay Receive

•Amount Due

•Amount Settled

Interest Rate Details

The system displays the following details:

•Component

•Calculation Date

•Rate Type

•Rate Code

•Principal Basis

•Base Rate

•Base Index Rate

•Spread/Margin

•Spread Adjustment

•No of days

•Compound Interest

•Simple Interest

•Total Interest

•Cumulative Interest

•Rate Pickup date

Amount Settled

The system displays the following details:

•Component

•Input Date

•Value Date

•Amount Settled

•LCY Equivalent Settled

Currency

If the brokerage payable currency is the same as the brokerage paid currency, then the same amounts (brokerage paid and brokerage payable) are displayed against the currencies. You have the option to change these currencies.

Amount

While you cannot input the brokerage payable amount, the brokerage paid amount can be changed.

The following brokerage details are displayed:

•The brokerage liquidation status. If it has been liquidated, the liquidation preference number is displayed.

•The rule code and description that has been linked to the broker.

Booking

Indicates preferences as to when the brokerage applicable to the contract must be linked. The options available are:

•No Booking

•Advance

•Arrears

Consider for Discount

Check this option if the brokerage charges are considered for a discount.

The preference specified for the broker will be displayed. It is possible to change it on this screen, say, from advance to arrears or vice-versa.

The third option is waiving brokerage. If you opt for no booking, no accounting entries are passed for a brokerage for this deal.

note: If the Contract Brokerage Details screen is processed, for operations like delete, change, authorize, liquidate, and detailed view, this screen displays brokerage details. You can change brokerage details for a deal, only if you have clicked the Modify option from the Actions Menu.

Specifying Instrument Details

For a transaction that is being settled through an instrument, specify the type of instrument being used. It could be Managers Check, Check, or a Demand Draft. Specify the number that will identify the instrument. This number will be printed on the instrument.

If the settlement is through an instrument, you cannot specify party details for the transaction.

Specifying Message Details

For a SWIFT message, you have to specify:

•Whether a Cover has to be sent to the Reimbursement Bank, along with the payment message to the receiver.

•Bank to bank payment details, (these can be in the form of instructions or additional

•information to any of the parties involved in the transaction).

•Information from the sender to the receiver.

Intermediary Reimbursement Institution

An Intermediary Reimbursement Institution is the financial institution between the Senders Correspondent and the Receivers Correspondent, through which the reimbursement of the transaction will take place.

Intermediary

The Intermediary in a transaction refers to the financial institution, between the Receiver and the Account With Institution, through which the transaction component must pass.

The Intermediary may be a branch or affiliate of the Receiver or the account with an Institution, or an entirely different financial institution. This field corresponds to field 56a of S.W.I.F.T.

Here you can enter either the:

•ISO Bank Identifier Code of the bank or the

•Name and address of the Bank.

Receivers Correspondent

The Receivers Correspondent is the branch of the Receiver or another financial institution at which the funds will be made available to the Receiver. This field corresponds to field 54a of S.W.I.F.T. Enter one of the following:

•ISO Bank Identifier Code of the bank

•The branch of the Receivers Correspondent

•Name and address of the Receivers Correspondent

Account With Institution

An Account With Institution refers to the financial institution, at which the ordering party requests the Beneficiary to be paid. The Account With Institution may be a branch or affiliate of the Receiver, or the Intermediary, or of the Beneficiary Institution, or an entirely different financial institution.

This field corresponds to field 57a of S.W.I.F.T. You can enter one of the following:

•ISO Bank Identifier Code of the bank

•The branch of the Receivers Correspondent

•Name and address of the Receivers Correspondent

•Other identification codes (for example, account number)

Ordering Institution

The Ordering Institution is the financial institution, which is acting on behalf of itself, or a customer, to initiate the transaction. This field corresponds to the 52a of S.W.I.F.T.

In this field you can enter one of the following:

•The ISO Bank Identifier Code of the Ordering Institution.

•The branch or city of the Ordering Institution.

•The Name and address of the Bank.

Ordering Customer

The Ordering Customer refers to the ordering customer of the transaction. Here you can enter the name and address or the account number of the Customer, ordering the transaction. This field corresponds to field 50 of S.W.I.F.T. You will be allowed to enter details in this field only if you have initiated a customer transfer (MT 100 and MT 202).

Beneficiary Institution

Here, you can enter details of the institution in favor of which the payment is made. It is, in reality, the bank that services the account of the Ultimate Beneficiary. This field corresponds to field 58a of S.W.I.F.T.

You are allowed to make entries into this field only for Bank Transfers (when the remitter and beneficiary of the transfer are financial institutions - MT 100 or MT 202). Here you enter either:

•The ISO Bank Identifier Code of the Beneficiary Institution or

•The Name and Address of the Beneficiary Institution.

Ultimate Beneficiary

The Ultimate Beneficiary refers to the Customer to whom the transaction amount is to be paid. This field refers to field 59 of S.W.I.F.T. You can make entries into this field only for a customer transfer (MT 100 and MT 202).

The number of banks involved in the transfer would depend on the:

•Relationships and arrangements between the sending and receiving banks

•Customer instructions

•Location of parties

•The banking regulations of a country

Refer to the Settlements User Manual of Oracle Banking Treasury for more details.

Party Type

The party type to whom specific advice should be sent is picked up automatically based on the type of contract you are entering and the parties specified in the contract.

You can change either of them.

The address of the party who is the recipient of the message will be picked up by default, based on the media and address maintenance for the party.

For a payment message by SWIFT, you also have the option to change the priority of the message.

Receiver ID

Specify the Customer to whom the Advice is being dispatched.

Suppress

By default, all the advice defined for a product will be generated for contracts involving it. If any of the advice does not apply to the contract you are processing, you can suppress its generation.

Priority

For a payment message by SWIFT, you also have the option to change the priority with which the message should be generated. By default, the priority of all advice is marked as Normal.

You have the option to prioritize a payment message to one of the following options:

•Normal

•Medium

•High

Medium

The medium through which advice is transmitted and the corresponding address will be picked up based on the address and media maintained for the customer who is the recipient of the message. You can, however, change either of these while processing the contract. Typically, if changed, both of them will be changed.

Accrual Required

You can choose not to accrue interest for a particular contract although you have indicated this preference at the product level.

The accrual function when running as part of the batch process run at EOD calculates the accrual amount and passes accrual accounting entries for the accruable interest components of a derivative contract. The function will pick up derivative contracts for processing on the following criterion:

For instance, when you are processing a trade deal, interest accrual details are not required, since trade deals are always revalued. In the Interest Details screen, indicate that interest accrual is not required for the specific contract by disabling the option.

However if indeed interest accrual is required for the contract you are processing and you merely want to change the accrual related details such as the interest calculation method, the basis on which interest is to be calculated for the accrual period, you are allowed to do so.

•Active and authorized contracts which are yet to be liquidated.

•Contracts whose accrual date falls on the current processing date or contracts whose accrual date falls between the current processing date and the next working date.

The date on which accrual is due for a contract is calculated based on the accrual date and accrual frequency defined for the product associated with the contract.

If the accrual date of a bill falls on a holiday, the accruals are done as per your holiday handling specifications for automatic processes.

Numerator Method

Select the Interest method that should be applied for accrual for both in and out leg from the adjoining drop down list. The list displays the following values:

•1

•ACT-ISMA

•30-Euro

•30-US

•Actual

•30-ISDA

•30-PSA

•Actual-Japanese

Denominator Method

Select the Interest method that must be applied for accrual for both in and out leg from the adjoining drop-down list. The list displays the following values:

•360

•365

•Actual

•1

•ACT-ICMA

Denominator Basis

You need to indicate the basis on which the denominator has to be computed. The options available are:

•Per annum

•Per period

Auto Settlement

When setting up a product, specify whether the mode of liquidation must be automatic or manual for the different components of contracts linked to that product. In this case, only automatic settlement is supported.

Include To Date

While calculating interest for the accrual period, indicate whether you would like to take into account the last day in an accrual period, for arriving at the accrual days both for the in and out legs of the contract.

Similarly, indicate whether the last day in a liquidation period must be considered for liquidation.

Refer the Chapter Defining Attributes specific to Derivative Products for details on Numerator and Denominator Methods

Liquidation Method

Specify the following details.

Numerator Method

Select the Interest method that should be applied for liquidation for both in and out leg from the adjoining drop down list. The list displays the following values:

•1

•ACT-ISMA

•30-Euro

•30-US

•Actual

•30-ISDA

•30-PSA

•Actual-Japanese

Denominator Method

Select the Interest method that should be applied for liquidation for both in and out leg from the adjoining drop down list. The list displays the following values:

•360

•365

•Actual

•1

•ACT-ICMA

Payment Details

Specify the following details.

Rate Denominator Basis

Indicate the basis on which rate denominator has to be computed. The available options are:

•Per annum

•Per period

note: If you are specifying in leg details, then indicate the in leg rate denomi­nator basis. While defining out leg details, indicate the out leg rate denominator basis.

Payment Method

Indicates the method in which interest components for both the in as well as the out legs of the contract should be paid. Specify one of the following:

•Arrears - interest is liquidated at the end of each interest period.

•Advance - interest is paid at the start of each interest period.

Discount Rate Basis

When you decide to pay interest in Advance, indicate the basis on which the interest rate should be picked up to compute the discounted amount. Select any one of the following options:

•Direct Input

•Contract Floating Component

•Other Floating Component

If you select the first option, then you have to manually enter the rate at which interest is to be discounted. When the discount rate basis is the Floating Component, specify the Floating Component based on which interest is to be discounted. If your choice to discount the rate basis is the Other Floating Component, indicate the rate source linked to the rate, the tenor associated with the rate, as well as the spread that is to be applied, over the rate maintained in the Floating Rates screen. Based on these parameters, the discount rate is calculated.

Specify the rate at which interest is to be discounted if the discount rate basis is Direct Input.

Discount Rate

Specify the rate at which interest is to be discounted if the discount rate basis is Direct Input.

Floating Component

Indicate the Floating Component based on which interest is to be discounted if indicated that the discount rate basis is Contract Floating Component.

Discount Auto Pickup

Check this box to indicate whether the discount rate must be automatically picked up by the system from the Floating Rates screen, depending on the other parameters you have specified, such as the discount rate source, rate code, tenor code, and the rate spread.

Discount Rate Source

If your choice for the discount rate basis is the Other Floating Component, indicate the Rate Source linked to the Rate Code based on which the discount rate is to be calculated.

Discount Rate Code

Specify the discount rate code. Select the rate code from the adjoining option list. The list displays all the valid codes maintained in the system.

Discount Tenor Code

If your choice for the discount rate basis is the Other Floating Component, then indicate the tenor code associated with the rate Code based on which the discount rate is to be calculated.

Discount Rate Spread

For the floating component, specify the Spread to apply over the rate maintained in the Floating Rates screen.

note: The applied Spread must always be greater than or equal to the Minimum Spread, and less than or equal to the Maximum Spread defined for the product involved in the contract. If the spread happens to be greater than the Maximum Spread, then the Maximum Spread will be applied to the rate. On the other hand, if it is less than the Minimum Spread defined for the product, the Minimum Spread will be picked up.

For a floating rate, the spread will be applied over the market rate applicable for the day.

Interest Rate Details:

Specify the following details.

Rate Type

The interest rate type paid on derivative settlements can be any one of the following types:

•Inflation

•Fixed

•Floating

•Special

Interest Rate

When you maintain a fixed interest rate for a particular component of the interest leg of a contract, specify the rate.

Flat Amount

When the interest rate is special you have to indicate the Flat Amount. Moreover, if the derivative you are processing happens to be a commodity type of derivative instrument, indicate whether the flat amount specified is per unit of the derivative.

Waiver

Check this box if you would like to waive this component. Else leave this box unchecked.

Interpolation Method

Select the required interpolation method from the adjoining drop-down list. The list displays the following values:

•Not Applicable

•Linear

If the option Linear is selected, then the system uses Interpolation formula. Rounding Rule and Precision is mandatory in this case.

Rounding Rule

Select the required rounding rule from the adjoining drop-down list. The list displays the following values:

•Blank

•Up

•Down

•Trunc

•Round Near

Rounding Rule will be applicable only for linear interpolation.

Rounding Units

Specify the Rounding Units value to round daily index value to the nearest

whole number and use it for interest calculation.

Rate Source

Indicate the Source from which the Rate Code is to be taken. The Rate Code option list is populated depending on your selection of the rate source.

Rate Code

If the Rate Type you have specified is Floating, then indicate the Rate Code that is to be associated (from the ‘Floating Rates screen) with the interest leg of the contract.

Tenor Code

Once you specify the Rate Code, indicate the Tenor Code that is to be linked to the particular Rate Code.

Interest Spread

Apply a spread over and above the rate maintained in the Floating Rates screen.

This Spread must be greater than or equal to the Minimum Spread and less than or equal to the Maximum Spread defined for the product that the contract involves.

If the spread you apply happens to be greater than the Maximum Spread, then the Maximum Spread will be applied on the rate. On the other hand, if it is less than the Minimum Spread defined for the product, the Minimum Spread will be picked up.

Main Component

In Oracle Banking Treasury, define any number of tenor based interest components for every contract that you process. Therefore you must identify one interest component as the Main Component. This component will be used for amortization purposes.

note: For the main component, the Rate Type will default from the Contract Input Maintenance screen. For all the other components the Rate type that you indicate will determine whether the particular in or out leg interest component (depending on which leg details you are specifying) is fixed, floating or special.

Alternative Risk Free Rate Preferences

While Creating the contract, the user can change the defaulted RFR preferences.

note: When you select or clear the RFR flag, respective Rate Code is mapped.

For more information on the Alternative Risk Free Rate Preferences fields, refer to Table 4.6: Interest Details - Field description

Rate code field displays the rates from RFR Input Screen also if the rate type on the leg is floating.

Existing spread field is used for RFR spread/margin value.

Once contract is saved and authorized, then you cannot change the RFR preferences.

You can book the RFR contracts from non-RFR products and vice-versa.

Daily revision schedule is mandatory for RFR enabled interest component(s).

   Accrual required flag is mandatory for RFR enabled interest component(s).

External Pricing

If the interest class linked at the product is enabled for external pricing, then during Contract input external pricing will be checked for that particular interest component in interest call form.

For the interest component enabled for external pricing, the system will fetch either fixed-rate or spread (where rate code is maintained) from external pricing and billing system and the same is displayed in the External Pricing multigrid.

Negative Interest Allowed

Check this box to indicate the negative rate should be allowed for DV module.

Negative Class Code

The system defaults the value from the product level.

Net Negative Interest

Check this box to indicate that the system should internally net the positive and negative amounts being paid to the customer during interest liquidation.

Rate Revision Preferences

Specify the following details.

Lookback Months

Specify the number of months to look back to capture the Lag.

Compounding Preferences

Specify the following details.

Frequency

Select the compounding frequency of the interest from the adjoining drop-down list. The list displays the following values:

•Daily

•Weekly

•Monthly

•Quarterly

•Half Yearly

•Yearly

•Bullet

Frequency Unit

Specify the frequency for compounding interest.

Compound on Holidays

Check this box to indicate that the compounding must be done on holidays.

The system allows to check this box only if the ‘Frequency’ is selected as ‘Daily’

Payment Preferences

Specify the following details:

Payment Date Movement

Specify the date on when the payment movement is to be done. The list displays the following values:

•Lead

•Lag

If the option LEAD is selected, then the payment is preponed.

If the option LAG is selected, then the payment is deferred

Payment Movement Calendar

Specify the payment movement calendar. The list displays the following values:

•Calendar

•Business

If Calendar is selected, the system skips the ‘holiday preferences’ selected at the contract level.

If Business is selected, it considers holiday treatment specified for schedule as per the holiday preferences selected at the contract level.

Schedule Holiday Treatment

You have to specify the holiday treatment that has to be followed when schedules fall due on a holiday. The holiday treatment method has been explained at length in the earlier section on Indicating Principal Schedule Details.

Interest Schedules

Specify the following details.

Start Date

Enter the date on which the particular interest schedule should start.

Frequency

To define periodic interest schedules, you should indicate the frequency of the schedules for a particular interest component. From the options list provided, select one of the following by clicking on the option:

• Daily

•Weekly

•Monthly

•Quarterly

•Half-yearly

•Yearly

•Bullet

note: Choose to have a bullet schedule for a particular interest component, in which case liquidation for the component will happen only as of the Maturity Date.

Frequency Units

Specify the number of units of the frequency in this field. The number that you specify will determine the actual schedule frequency.

For instance, for a particular schedule, you want to have a bi-weekly frequency. The options list available for Frequency does not have this option. In the Frequency field, indicate the option Weekly, and in the Frequency Unit field you enter 2, the particular schedule is due every once in two weeks.

Number of Schedules

For a particular Frequency and Frequency Unit combination, you can choose to have several schedules depending on how many you want to define for the particular interest component.

For instance, for a particular schedule, you have indicated that the Frequency should be Weekly and the Frequency Unit as 2. Subsequently, you indicate that the Number of Schedules as 12. This particular schedule will be run once in two weeks twelve times.

Adhere To Month End

If the interest liquidation schedule is in terms of a month, choose to indicate whether the schedule days should adhere to Month-Ends. Check this box to indicate that interest schedules should adhere to month ends.

Payment Due Date

Specify the payment due date.

The system calculates this date from schedule end date+ payment movement days.

Amount

If the interest schedules you are defining are for a special type of interest component, then indicate the interest amount for the particular special component.

Compounding Indicator

Check this box to indicate that the interest amount should not be repaid but should be added on to the principal amount at the end of the contract period.

Leave it unchecked to indicate that the interest repayment should be liquidated on the schedule end date.

Revision Holiday Treatment

Specify the holiday treatment to be followed, when schedules fall due on a holiday. The holiday treatment method is explained at length in the earlier section on Indicating Principal Schedule Details Holiday Treatment.

Reset Date Details

Specify the following details.

Reset Date Basis

Since the floating interest rates are entirely dependent on the market conditions, periodically reset the floating rate for each interest component over the tenor of the contract.

For this purpose, you need to specify the date basis on which interest rates must be reset. The available options are:

Start Date - The rate will be refreshed as of the start date of the schedule, depending on the reset movement and the reset days.

End Date- The rate will be refreshed as of the start date of the schedule, depending on the reset movement and the reset days indicated.

Other - Specify any other date basis as the reset date basis.

Reset Date Movement

Specify the basis on which rate must be reset you have to indicate whether the reset movement should be backward or forward from the schedule Start/ End Date or any other date.

Allow External Rate Revision

Checking this option indicates that for a contract, allow the rate revision based on the rates uploaded from an external system. If the option is checked, but no rate is uploaded for the contract, the rate would be picked up from the maintenance.

Reset Days

For the reset basis and reset date movement specified to indicate the number of days before or after the start/end or any other date that should be used to determine the rate reset date.

Reset Date Movement:

Forward

Reset Days:

2

Reset Date Movement:

Backward

Reset Days:

5

Reset Date

16th Jan 2000

Reset Date Movement

Backward.

Reset Days

1.

Start Date

Specify the date on which the particular interest revision schedule should start

Frequency

If you want to define periodic interest revision schedules, you should indicate the frequency of the revision schedules for a particular interest component. The options are:

•Daily

•Weekly

•Monthly

•Quarterly

•Half-yearly

•Yearly

•Bullet

If you prefer to keep the revision schedules as bullet, then the particular interest component will be liquidated only as of the Maturity Date.

Frequency Units

Specify the number of units of the frequency in this field. The number that you specify here determines the actual schedule frequency.

For instance, for a particular schedule, you want to have a bi-weekly frequency. The options list available for Frequency does not have this option. In the Frequency field indicate option Weekly, and in the Frequency Unit field, if you enter 2, the particular schedule will be due to each one in two weeks.

Number Of Schedules

For a particular Frequency and Frequency Unit combination, choose to have several schedules, depending on how many you want to define for the particular revision component.

For instance, for a particular schedule, you have indicated that the Frequency should be Weekly and the Frequency Unit as 2. Subsequently, you indicate that the Number of Schedules as 12. This particular schedule will run every two weeks twelve times.

Adhere To Month End

If the interest revision schedule is in terms of a month, choose to indicate whether the schedule days should adhere to Month-Ends by checking this option.

Charge Association

All the charge components applicable to the transaction leg you are processing is displayed together with the rule that is linked to the component.

In this section of the screen you can:

•Change the charge rule linked to the component

•Disassociate a charge component from the transaction leg

Changing the charge rule linked to a component:

•The rule that is linked to a charge component will be displayed next to the component. Select a new rule to link to the component from the adjoining option list. A list of all the charge rules maintained is displayed. Choose the appropriate one. The new rule will be made applicable to the charge component.

Disassociating a charge component from the transaction leg:

You can disassociate a charge component from the transaction leg. In the Association section of the Contract Charge Details screen, click against the waive option positioned next to the component. In this case, the charge component is attached to the transaction leg but is not calculated.

Charge Application

In the application section of the screen, you can indicate the charge components that must be applied to the transaction leg. The list of components that is displayed depends on the charge components that have associated with the transaction leg. The following details of the component are also displayed

•The basis component on which the charge is levied

•The currency of the basis amount

•The basis amount

•The charge amount

•The currency in which the charge amount is defined

You can change the charge amount that is calculated using the class applicable to the

component.

Waiving a charge on a transaction leg

You also have the option to waive the component for the transaction leg that you are processing. If for some reason, you want to waive the charge on the transaction you are processing, check against the waiver option in the application section of the screen. The charge will be calculated but not applied.

note: You can waive a charge only if it is yet to be liquidated.

Charge Liquidation

When a charge component that is applied to a transaction is liquidated, the relevant accounting entries are passed. The Contract Charge Details screen discretion is displayed:

•The charge components that have already been liquidated.

•The amount that was liquidated.

•The currency in which it was liquidated.

note: For further details on the fields and sections of Charges Details, sub-screen refer Charges and Fees user manual.

Holiday Treatment

In Oracle Banking Treasury, a scheduled date on a holiday is treated in the following ways:

•Ignore the holiday - In which case the holiday will be ignored, and the scheduled date will be retained on that day.

•Choose to follow the Local holiday - The holiday will be treated as per your specifications in the Branch Holiday Maintenance screen.

•Choose to follow the Currency holiday - The movement of schedules will be based on the holiday calendars maintained for all the curren­cies that you have specified for the contract in the Holiday Currency screen (explained in detail in the subsequent section.

•Indicate that the holiday treatment should be governed by the Finan­cial Center - In such a case, the movement of schedules is based on the holidays maintained for the financial institutions involved in the contract (multiple financial institutions are also maintained in the Holiday Currency screen).

Holiday Currency and Financial Centre

Choose to follow either the currency holiday or the holiday calendar maintained for the financial center, you need to specify the currencies/ financial institutions that are involved in the contract. In the event, the scheduled date of a component falls due on a holiday, the system computes the next schedule date based on the combination of holiday calendars maintained for all the currencies/ financial institutions that you have specified for the contract (whether principal, interest or revision). Therefore, in effect, the next scheduled date for a component will be a working day in all the calendars involved in the contract.

Auto Settlement

The principal exchange schedules can either be settled automatically or manually. In this case, only automatic settlement is supported.

Move Backward/Forward

Occasionally the preferred holiday treatment, the branch holiday, the currency holiday, or the holiday governed by the financial center may, in turn, fall on a holiday. In such a situation, indicate the movement of the scheduled date. Whether it is to be moved forward to the next working day, or whether it must be moved back to the previous working day.

This concept can be easily explained with the help of an example:

For a CCS Trade Contract, you have defined monthly schedules falling due on the following dates:

•March 31

•April 30

•May 31

April 30 is a holiday. You have the following options in fixing the date for that schedule:

•You can move the schedule date forward to the next working day, which happens to be May 1. In this case, the schedule will be liqui­dated during BOD processes on this date, as it is a working day.

•You can move the schedule date backward. In such a case, the scheduled date will be April 29, the last working day before the holiday. The schedule will be liquidated during BOD processes on this date as it is a working day.

Moving Across Months

If you have chosen to move a principal schedule falling due on a holiday either forward or backward, such that it falls due on a working day, and it crosses over into another month, the scheduled date will be moved into the next month only if you so indicate. If not, the scheduled date will be kept in the same month.

For example,

Scenario 1

You have defined a principal schedule that falls due on April 30. This happens to be a holiday. You have indicated that in case of a holiday, the scheduled date is to be moved forward to the next working day.

If you have indicated that the schedule can be moved across months, then the schedule will be automatically moved to May 1, that is, the next working day in the next month.

If you have not allowed movement across the month but have indicated forward movement for the same schedule under discussion, the scheduled date will be automatically moved (backward in this case), to the last working day of the same month, that is, to April 29 despite you are having indicated a forward movement into the next working day.

Scenario 2:

You have defined a repayment schedule that falls due on May 1. This happens to be a holiday. You have indicated that in case of a holiday, the scheduled date is to be moved backward to the previous working day.

If you have indicated that the schedule can be moved across months, then the schedule will be automatically moved to April 30, that is, the previous working day. If you have not allowed movement across months, but have indicated backward movement for this schedule, the scheduled date will be automatically moved (forward in this case), to the next

the working day of the same month, that is to May 2, despite your having indicated a backward movement into the previous working day.

Cascade Schedules

The question of cascading schedules arises only if:

•You have specified that a schedule falling due on a holiday has to be moved forward or backward

•The schedule has been defined with a definite frequency.

If you have indicated that schedules should be cascaded, the scheduled date for the next payable schedule will depend on how the schedule date was moved for a holiday. The following example illustrates how this concept of cascading schedules functions:

For example,

A monthly schedule is defined with backward movement, and a scheduled date falling due on April 30 was moved to April 29, April 30 is a holiday.

The scheduled date for May depends on whether you have chosen to cascade schedules. If you have, the scheduled date for May will be set as May 29, as the frequency is specified as monthly. For the subsequent schedules also, May 29 will be considered the last scheduled date.

If you have not specified that schedules have to be cascaded, the date originally specified will be the date for drawing up the schedules. Even if the April month-end schedule is moved to April 29, the next schedule will remain on May 30.

FX Rate Fixing Days

Specify the Days as required.

This field identifies for FX fixing Schedule Building.

note: If you do not specify the FX fixing days, the system will consider the value as zero.

warning: FX Rate fixing days must be Zero or higher.

FX Rate Fixing days overpassing the previous principal reset dates not allowed.

For Examples see: Rate Fixing Days Example

Payment Movement

Check this box to accept the payment movement.

Payment Movement Days

Specify the number of Payment Movement Days as required.

Payment Date Movement

Specify the date on when the payment movement is to be done. The list will display the following values:

•Lead

•Lag

If the option LEAD is selected, then the payment is preponed.

If the option LAG is selected, then the payment is deferred.

Payment Movement Calendar

Specify the payment movement calendar.

•Calendar

•Business

If Calendar is selected, then the system skips the ‘holiday preferences’ selected at the contract level.

If Business is selected, it considers holiday treatment specified for schedule as per the holiday preferences selected at the contract level.

Schedule Type

Select the schedule from the list of values displayed.

The Options are

•Principal

•Interest

•Revision

•Principal Reset

Base Start Date

Enter the date on which the particular principal schedule should start.

Frequency

In addition to indicating the holiday treatment, you also need to specify the periodicity of the frequency of the schedules for each principal component. You can indicate that the frequency of schedules can either be Periodic or Bullet.

Frequency Unit

In addition to specifying the frequency of schedules, you are also required to indicate the number of units of the frequency. The number of units that you indicate determines the actual schedule frequency.

For instance, for a particular schedule, have a bi-weekly frequency. The list of choices available for the Frequency field does not have this option. In the Frequency field, indicate the option Daily. Enter 2 as the Frequency Unit, the particular schedule will be due once every two weeks.

Number of Schedules

For a particular Frequency and Frequency Unit combination, you can choose to have several schedules depending on how many you want to define for the particular component.

For instance, for a particular schedule, you have indicated that the Frequency should be Weekly and the Frequency Unit as 2. Subsequently, you indicate that the Number of Schedules as 12. This particular schedule will be run once every two weeks, twelve times.

Adhere to the Month End

When the principal exchange frequency is in terms of a month, you can choose to indicate whether the schedules must be liquidated as of the last working day of the month, or whether it should strictly follow the defined schedule.

For example,

The start date of a particular schedule is 1st February 2000. The frequency you have specified is Monthly, and you indicate that the Frequency Unit is 1.

If you indicate that schedules have to adhere to month ends, the particular schedule will be liquidated on the 29th of February 2000. However, if you do enable this option, the schedule will be liquidated on the 1st of March 2000.

Adjustment Type

Periodically scheduled repayment of the principal amount will always bring about a readjustment in the principal amount. It either increases or decreases the amount that is to be repaid to the counterparty.

Therefore while defining principal schedules, indicate whether liquidation of the particular schedule results in the Increase or Decrease of the actual amount.

Amount

Since the periodic schedule repayment of the principal amount either increases or decreases the amount to be repaid to the counterparty, you have to indicate the amount by which the principal is being changed.

5/12/2020

2

3/12/2020

5/12/2020

1

4/12/2020

5/12/2020

0

5/12/2020

5/12/2020

2

2/12/2020

5/12/2020

1

3/12/2020

5/12/2020

0

5/12/2020

Start Date

3/2/2023

3/9/2023

3/16/2023

Schedule type

Identifies the schedule as Principal or Principal Reset

FX fixing rate

Identifies the FX fixing rate, based on which the delta principal is calculated.

FX Fixing Date

Identifies the FX fixing date as on which the FX rate is picked.

Principal Reset Amount

Identifies the resettable leg new principal amount.

On the fixing date, the principal amount reset, it can increase or decrease based on the FX rate movement.

Principal Reset Applied

Identifies if the Principal reset is applied or Not.

Payment Due Date

Specify the payment due date.

The system calculates this date from schedule due date+/- payment movement days.

USD

Working

Working

Holiday

Holiday

Working

GBP

Working

Holiday

Working

Holiday

Working

Combined result

Working

Holiday

Holiday

Holiday

Working

Contract Reference

   The Contract Reference number from the main screen is displayed here.

Holiday Validations Not Applicable

Check this box to indicate that the holiday calendar validation must not be performed.

ContractIn Leg/Contract Out Leg

Local Holiday

Select this check box, if the local holiday validation of dates and schedule movement is required, which is defaulted from product and amendable.

Currency Holiday

Select this check box, if the currency center holiday calendar validation of dates and schedule movement is required, which is defaulted from product and amendable.

Financial Center Holiday

Select this check box, if the financial center holiday calendar validation of dates and schedule movement is required, which is defaulted from product and amendable.

Move Across Months

Check this box to indicate that the final date must be derived next month if the date falls on holiday. Otherwise, final date becomes end of the month though actual date derived is on next month.

Date Movement

Select the holiday date movement when the date falls on holiday. The adjoining drop-down list displays the following values:

•Forward

•Backward

Currency

Specify the currency details for which the holiday validation for dates and schedules movement is required, which is defaulted from product and amendable.

Financial Center

Specify the financial center from the adjoining option list. The list displays all active financial centers maintained in the system. You can choose the appropriate one.

Holiday Check Required

Specify the following details:

Leg Type

Select the leg type for the holiday preferences from the adjoining drop-down list. The list displays the following values:

•In Leg

•Out Leg

Event Date Type Description

Specify the description of event date type for which the holiday calendar validations must be performed. The adjoining option list displays all valid event description maintained in the system. You can choose the appropriate one.

Local Holiday

Select this check box if the local holiday validation of the dates and schedule movement has to be executed.

Currency Holiday

Select this check box, to execute the currency holiday calendar validation of the dates and movement of schedules.

Financial Center

Select this check box, to execute the financial center holiday calendar validation of the dates and movement of schedules.

EventDate Type on

The event date type details is displayed in this field.

Move Across Months

Check this box to indicate that the final date must be derived next month if the date falls on holiday. Otherwise, final date becomes end of the month though actual date derived is on next month.

Date Movement

Select the holiday date movement when the date falls on holiday. The adjoining drop-down list displays the following values:

•Not Applicable

•Forward

•Backward

Currency

Specify the currency from the adjoining option list. The list displays all valid currencies maintained in the system. You can choose the appropriate one.

This field is mandatory if event date level currency holiday validation is required.

Financial Center

Specify the financial center from the adjoining option list. The list displays all active financial centers maintained in the system. You can choose the appropriate one.

This field is mandatory if event date level financial center holiday validation is required.

note: Based on the requirement you can choose more than one holiday check at the same time.

Clearing Member ID

Click the search icon and select the unique code from the displayed list for identifying the responsible clearing member ID of the reporting counterparty.

Trading Capacity

Select the Trading Capacity from the drop-down list.

The available options are:

•Principal

•Agent

Indicates whether the reporting counterparty has concluded the contract as principal on its account or as an agent for the account on behalf of a client.

EEA Domicile

Select the EEA Domicile check box, if the other counterparty is domiciled in the European Economic Area (EEA).

Treasury Financing

Select the Treasury Financing check box, if the contract is objectively measurable as directly linked to the reporting counterparty’s commercial or treasury financing activity, as referred to in Art. 10(3) of Regulation (EU) No 648/2012.

Indicates whether the contract is objectively measurable as directly linked to the reporting counterparty’s commercial or treasury financing activity, as referred to in Art. 10(3) of Regulation (EU) No 648/2012.

Note: Leave the check box unchecked, if the reporting counterparty is a financial counterparty as referred to in Art. 2 (8) Regulation (EU) No 648/2012.

Clearing Threshold

Select Clearing Threshold from the drop-down list. The available options are:

•Above

•Below

Indicates the information that the reporting counterparty is above the clearing threshold as referred to in Art. 10(3) of Regulation (EU) No 648/2012 or below the clearing threshold as referred to in Art. 2(8) Regulation (EU) No 648/2012.

Collateralized

Select the Collateralized value from the drop-down list. The drop-down list shows the following options:

•Uncollateralized

•Partially Collateralized

•One way Collateralized

•Fully Collateralized

Collateral Portfolio

Select the Collateral Portfolio check box, if the collateralization was performed on a portfolio basis.

Indicates whether the collateralization was performed on a portfolio basis. A portfolio means the collateral is calculated based on net positions resulting from a set of contracts, rather than per trade.

Collateral Portfolio Code

click the search icon and select the unique code of the Collateral Portfolio in this field.

note: If the collateral is reported on a portfolio basis, the portfolio should be identified by a unique code determined by the reporting counterparty.

Taxonomy Used

Select the Taxonomy Used for the contract from the drop-down list. The drop-down list shows the following options:

•Product Identifier

•ISIN/ALL

•Interim Taxonomy

ISIN/All

Specify the ISIN/All number, if ISIN/All option is selected in the Taxonomy Used field.

Derivative Class

Select the Derivative Class from the drop-down list, if the Interim Taxonomy option is selected in the Taxonomy Used field.

The drop-down list shows the following options:

•Commodity

•Credit

•Currency

•Equity

•Interest Rate

•Others

Derivative Type

Select the Derivative Class from the drop-down list, if the Interim Taxonomy option is selected in the Taxonomy Used field. The drop-down list shows the following options:

•Contract for Difference

•Forward Rate Agreement

•Futures

•Forward

•Options

•Swap

•Others

Compression

Select the Compression check box to indicate whether the contract results from a compression exercise.

Clearing obligation

Select the Clearing obligation check box to indicate whether the reported contract is subject to the clearing obligation under Regulation (EU) No 648/2012.

Clearing

Select the Clearing check box to indicate whether clearing has taken place.

Clearing timestamp

Enter the time and date when clearing took place.

CCP

Click the search icon and select the unique code from the displayed list for identifying the reported contract is subject to the clearing obligation under Regulation (EU) No 648/2012.

Intragroup

Select the Intragroup check box, to Indicate whether the contract was entered into as an intra-group transaction, defined in Article 3 of Regulation (EU) No 648/2012.

Action Type

Select the Action Type from the drop-down list.

The available options are:

•New

•Modify

•Error

•Cancel

•Compression

•Valuation Update

•Others

Indicates the action on the contract.

Action Type Details

Specify the details of the amendment, if the previous Action Type field is selected as Others.

2015 MAR

257.1

2015 APR

258.0

2015 MAY

258.5

2015 JUN

258.9

2015 JUL

258.6

2019 MAR

285.1

2019 APR

288.2

2019 MAY

289.2

2019 JUN

289.6

2019 JUL

289.5

Buy or Sell

Buy   

Trade Date

25-May-15

Tenor (T)

4 Years

Value Date

1-Jun-15

Maturity Date

1-Jun-19

Notional Amount

100,000

In Leg (Receive)   

Out Leg (Pay)

Currency   

GBP

GBP

Notional Amount (P)

100,000

100,000

Rate Type

Indexed

Fixed

Rate

-

2.50%

Rate Code

UKRPI

-

Tenor Code

1M

-

Interpolation Method

-

-

Interest Computation

Simple

Compound

Compounding Frequency (n)

-

Yearly

Period Start (TS)

1-Jun-15   

Period End (TE)

1-Jun-19

No. of Days (D) = TE-TS

1440   

Receive Principal (P)

100,000

Index Value (IT)

285.1

Receive Interest (RI)

10,890.70

Period Start (TS)

1-Jun-15   

Period End (TE)

1-Jun-19

No. of Days (D) = TE-TS

1440   

Pay Principal (P)

100,000

Rate (R)

2.50%

Pay Interest (PI)

10,381.29

Net Cashflow (RI-PI)

509.41

2015 MAR

236.119

2015 APR

236.599

2015 MAY

237.805

2016 MAR

238.132

2016 APR

239.261

2016 MAY

240.236

2017 MAR

243.801

2017 APR

244.524

2017 MAY

244.733

2018 MAR

249.554

2018 APR

250.546

2018 MAY

251.588

2019 MAR

254.202

2019 APR

255.548

2019 MAY

256.092

2020 MAR

258.115

2020 APR

256.389

2020 MAY

256.394

Buy or Sell

Sell   

Trade Date

15-May-15

Tenor (T)

4 Years

Value Date

18-May-15

Maturity Date

18-May-20

Notional Amount

100,000

In Leg (Receive)   

Out Leg (Pay)

Currency   

USD

USD

Notional Amount (P)

100,000

100,000

Rate Type

Fixed

Indexed

Rate

1.73%

-

Rate Code

-

CPURNSA

Tenor Code

-

1M

Interpolation Method

-

Linear

Interest Computation

Compound

Simple

Compounding Frequency (n)

Yearly

-

Period Start (TS)

18-May-15   

Period End (TE)

18-May-16

No. of Days (D) = TE-TS

366   

Receive Principal (P)

100,000

Index Value (IT)

1.73%

Receive Interest (RI)

1,734.78

Period Start (TS)

18-May-15   

Period End (TE)

18-May-16

No. of Days (D) = TE-TS

366   

Pay Principal (P)

100,000

Index Value (IT)

238.772

Pay Interest (PI)

1,007.13

Net Cashflow (RI-PI)

727.65

Recommended Field

Contract Reference Number

On screen launch, the application default with the Branch code value followed by % in the Contract Reference Number field. Click the Search button to display the contract summary.

Alternatively, you can select the reference number from the option list. The list displays all valid reference numbers maintained in the system.

Optional Fields

Select any one or all of the parameters from the Optional Field in the summary screen and click the Search button. The records meeting the selected criteria are displayed in the summary screen.

Interest Details

Accrual Allowed Flag

Numerator & Denominator Method

Denominator Basis

Liquidation Details

Auto Settlement flag

Numerator and Denominator Method

Denominator Basis

Payment Details

Rate Denominator Basis

Payment Method

Discount Rate basis

Discount Rate

Floating Component

Discount Rate Source

Discount Rate Code

Discount Tenor Code

Discount Rate Spread

Schedules

Holiday Treatment

Currency / Financial Centre

Holiday Movement

Cascade Schedules flag

Move across month flag

Schedule Details

Revision

Reset Date Basis

Revision Details

In leg and out leg Principal amounts

Principal amounts can be increased or decreased.

Schedule Date

The date on which a particular component falls due.

Component

The various principal and interest components for which the confirmation is being processed. The components displayed depend on the rate type associated with them.

All the components for which the rate type is fixed are displayed. In the case of a floating rate type, only those components that have undergone a rate revision will be displayed.

Amount

The amount due to each schedule.

If you have opted for netting at the contract level, the amount displayed will be netted, provided the components due for settlement are in the same currency and have the same schedule date. The components are always netted against the main component, specified for the In Leg of the contract. The netted amount is displayed against the main component.

Currency

The amount due to each schedule will be settled in the currency is displayed.

Pay/Receive

Indicates whether the components are payables or receivables. The value displayed may be:

•O (Outgoing/Payable), or

•I (Incoming/Receivable)

Product Code

Indicate the product associated with the contract. Select a product code from the option list, which contains a list of the authorized products that you have created.

Contract Reference

Indicate the contract reference number of the derivative, you wish to reassign to another user. Select a reference number from the option list, which contains a list of all the active derivative contracts.

New User Identity

Select the User ID of the user to whom the contract is assigned.

note: This user to whom you reassign a contract should have access rights to enter derivative contracts.

User ID will default from the login screen. Select Save from the Actions menu in the Application toolbar or click save icon to save the specifications you have made. Click Exit or Cancel, if you do not want to save the details that you entered.

DAMN   

Contract Amendment

DBOK

   Contract Booking

DTER

   Contract Termination

Contract reference

This is the number assigned in the contract online screen of the respective instrument. This field as non-amendable for a record and mandatory for any query

Event

This displays the list of events allowed for ISDA confirmation for the product code used in the contract which is non amendable for a record and mandatory for a query.

Event Sequence

This displays the event seq no. as generated in contract online screen. To be useful for cases where an event is triggered more than once which is non amendable for a record and mandatory for a query.

Event Description

This displays the description of the non amendable event.

ISDA Confirmation Date

This field allows you to select the date of the event.

note: By default this is same as system date. This date cannot be more than system date and can be back dated till the Booking date of the contract.

ISDA confirmation Status

This field allows you to allow the user to select:

•Confirmed

•Unconfirmed

note: Note: By default all the records created in this screen are unautho­rized and require manual action to confirm the same.

Contract Reference Number

Select the reference number from the list displayed.

Counter Party

Counter Party Details from the selected deal is populated.

Description

Details from the selected deal is populated.

Transaction Date

Default date is the current date, you are allowed to change the date to a backdate.

Product

Details from the selected deal is populated.

Product Description

Details from the selected deal is populated.

Source System

Details from the selected deal is populated.

Type

Details from the selected deal is populated.

Type Description

Details from the selected deal is populated.

Contract Details

Contract Reference

Enter the Contract Reference Number or Select the Contract Reference number form the displayed list of values.

The system displays the below contract details based on the selected contract:

•Counterparty number

•Product Code

•Counterparty Name

•Product Description

Transaction Reference

The System generates a unique reference number on save of manual liquidation.

Dates and Amounts

Value Date

Enter the Value Date that is the schedule due date and click Default.

Transaction Date

The system displays the default branch date.

Amount Settled

The system displays the out leg settled amount.

Payment Remarks

Enter Payment Remarks if any in this field.

Payment Breakup

In the Payment Breakup section, the system displays the default values for the below fields:

•Component

•Currency

•Pay/Receive

•Due Amount

•Amount Overdue

•Total Due