Table of Contents

• Title and Copyright Information
• Preface
  • Audience
  • Acronyms and Abbreviations
  • Conventions
  • List of Topics
  • Related Resources
  • Symbols and Icons
• 1 Overview of Derivatives
  • 1.1 Types of Derivative
  • 1.2 Features of Derivatives
    • 1.2.1 Derivatives Workflow
    • 1.2.2 Maintain Mandatory Details
• 2 Derivative Modules - General Maintenance
  • 2.1 Prerequisites for the Application Login
  • 2.2 Define a New Product and Static Data
  • 2.3 Maintain an Existing Product and Static Data
  • 2.4 Maintain Derivative Types
  • 2.5 Maintain Branch Parameters
    • 2.5.1 Revaluation Reversal Scenario I - Along with the next Revaluation
  • 2.6 Maintain Counterparty Master Agreement Details
  • 2.7 Maintain Message Parties Details
• 3 Define Attributes Specific to Derivative Products
  • 3.1 Derivative Product Definition
    • 3.1.1 Create Derivative Product
    • 3.1.2 Preference
  • 3.2 ISDA
  • 3.3 Interest Details
  • 3.4 Derivatives Revaluation Contract Fair Values
    • 3.4.1 Define the Fair Price Revaluation Methods
    • 3.4.2 Maintain Fair Values for Revaluing a Contract
    • 3.4.3 Interest Revision
    • 3.4.4 Operations on the Contract Fair Price Maintenance record
  • 3.5 Derivatives Revaluation Branch Interest Rates
    • 3.5.1 Maintain Branch-wise Forward Interest Rates
    • 3.5.2 Branch wise Forward Interest Rate Maintenance record Operations
  • 3.6 Derivatives Revaluation Contract Interest Rates
    • 3.6.1 Maintain Contract specific Forward Interest Rates for Revaluation
    • 3.6.2 Operation of Contract Specific Forward Interest Rate Maintenance record
• 4 Batch Process
  • 4.1 Daily Events
    • 4.1.1 Process Automatic Daily Program
    • 4.1.2 Batch Process
      • 4.1.2.1 Upload DV Contracts
    • 4.1.3 External Revaluation
• 5 Process a Derivatives Contract
  • 5.1 Maintain the Derivative Contract Input Screen
    • 5.1.1 Holiday Validation Assumptions
    • 5.1.2 Split Settlements
    • 5.1.3 ESMA Details Maintenance
  • 5.2 Saving the Details of a Contract
  • 5.3 Inflation Swap Processing
    • 5.3.1 Zero-coupon Swap (ZCIS)
    • 5.3.2 Inflation Revenue Swap
    • 5.3.3 Interpolation and Lag
  • 5.4 Processing Amendment on Derivatives Contract Details Screen
  • 5.5 View Derivative Contract Details
  • 5.6 Contract Upload
    • 5.6.1 Upload Contracts for Amendment
    • 5.6.2 Note on DV Contract Amendment Upload
    • 5.6.3 Processing Amendment fee from Contract input screen
    • 5.6.4 Upload Derivative Rates
    • 5.6.5 Validations
  • 5.7 Schedule Confirmation
    • 5.7.1 Confirm Interest and Principal Schedules
    • 5.7.2 Confirm a schedule
  • 5.8 Reassign contract to another user
  • 5.9 ISDA Confirmation
    • 5.9.1 ISDA Confirm Summary
  • 5.10 Rate Fixing
    • 5.10.1 Treasury Branch Parameter Maintenance
    • 5.10.2 Treasury Rate Fixing Maintenance
    • 5.10.3 Derivative Product Definition
    • 5.10.4 Transaction Input
    • 5.10.5 Rate fixing process
    • 5.10.6 Manual principal reset processing on CCS deals
    • 5.10.7 Manual Principal Reset Summary
    • 5.10.8 Manual Principal Reset Processing from UI
    • 5.10.9 Manual Principal Reset Processing on CCS deals
    • 5.10.10 CCS Principal Reset EOD Processing
  • 5.11 Manual Liquidation
  • 5.12 Processing Manual Liquidation
  • 5.13 Input of Manual Liquidation
    • 5.13.1 View Manual Liquidation Summary
  • 5.14 SGEN Messages Generation
• 6 Risk Free Rates
  • 6.1 Define Rate codes for Risk Free Rates
  • 6.2 Risk Free Rates
  • 6.3 RFR Enabling for SGEN
  • 6.4 Treasury Interest Maintenance
  • 6.5 Derivative Product
  • 6.6 Derivative Contract
  • 6.7 Derivative Manual Liquidation
  • 6.8 Life Cycle Process Impact
• A Error Message for Derivative
• B Accounting Entries and Advices
  • B.1 DV Events
  • B.2 Derivatives Amount Tags
  • B.3 Accounting Roles
  • B.4 Event-wise Accounting Entries and Advices
    • B.4.1 DBOK: Contract Booking
    • B.4.2 DINT: Contract Initiation
    • B.4.3 DILQ: Contract Interest Liquidation
    • B.4.4 DPLQ: Contract Principal Liquidation
    • B.4.5 DRVL: Contract Revaluation
    • B.4.6 DIAM: Contract Inception Amortization
    • B.4.7 DTER: Contract Termination
    • B.4.8 DAMN: Contract Amendment
    • B.4.9 DIAC: Contract Interest Accrual
    • B.4.10 DTAM: Contract Termination Amortization
    • B.4.11 DRRL: Contract Revaluation Reversal
• Index