Future Deals

Instrument Details - CME-90 day US T-bill-Future

Table 9-14 Field Values

Field	Values
Instrument Product	BNDF
Instrument Type	Future
Underlying Asset Type	Bond
Nature of Underlying Asset	Real
Underlying Asset	90 Day US T-Bill
Underlying Asset Currency	USD
Instrument ID	CME-90 day US T-bill-Future
Pricing Currency	USD
Contract Size	100
Contract Size Unit	T-Bill
Pricing Precision	4 Decimals
Instrument Pricing Size	1
Instrument Pricing Size Unit	Unit
Instrument Pricing Size Multiple	1010
Underlying Pricing Size	1
Underlying Pricing Size Unit	T-bill
Underlying Price Code	CME
Min Price Movement	0.01
Max Price Movement in a Day	10%
Max Long Position Customer	10000
Max Short Position customer	10000
Max Long Position Self	100000
Max Short Position Self	10000
Default Broker ID	CITI
Issuer Exchange	CME
MSTL Days	1
Physical Settlement Days	2
Initial Margin per Open Long	10%
Initial Margin per Open Short	10%
Clearing House	NSCC
Margin CCY	USD

Table 9-15 Series I

Field	Values
Instrument Series	Nov-00
Instrument Description	Bonds future 90 Day T-Bill USCMEN on-00
Instrument Start Date	28-Aug-2000
Instrument Expiry Date	24-Nov-2000

As mentioned earlier in the manual, each time you process a deal with the following combination:

Basket = Portfolio ID + Instrument ID + Series ID + Broker + Broker Account

The system assigns a unique reference number known as the Basket Reference Number to this combination.

Table 9-16 Event Values

Field	Values
Basket Reference Number	BSK001
Portfolio ID	PF001
Instrument ID	CME-90 day US T-bill-Future
Series ID	Nov-00
Broker ID	CITI
Broker Account	CB001

Deal I – Reference Number D20101

Table 9-17 Nature of Contract - Open Long Position for Own Portfolio

Field	Values
Deal Number	D20101
Deal Type	LS
Deal Product	DP03
Instrument ID	CME-90 day US T-bill-Future
Series	Nov-00
Buy/Sell	B
Booking Date	21-Nov-2000
Value Date	21-Nov-2000
Trade Rate	97
No. of Contracts	200

The Basket BSK001 is updated with a balance of 200 Long contracts.

The event that needs to be processed in the Basket because of this Deal is EOLG. The accounting entries posted for this event are as follows:

Table 9-18 Accounting Entries

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset	Debit	USD	1940000	Bought Asset at Asset Currency
Contingent Asset offset	Credit	USD	1940000	Bought Asset at Pricing Currency

Realized Revaluation entries at EOD

Let us assume that the EOD price of the Instrument is 97.25 USD. At the End of Day, the event ERVL is triggered and the following entries will be passed:

Table 9-19 Accounting Entries

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset	Debit	USD	5000	Increase in Contingent asset on Revaluation in Pricing Currency
Contingent Asset offset	Credit	USD	5000
Customer	Debit	USD	5000	Revaluation Gain realized in pricing currency
Income	Credit	USD	5000

Deal II – Reference Number D20302

Table 9-20 Nature of Contract - Partial Liquidation of Long Position for your Own Portfolio.

Field	Values
Deal Number	D20302
Deal Type	LS
Deal Product	DP03
Instrument ID	CME-90 day US T-bill-Future
Series	Nov-00
Buy/Sell	S
Booking Date	21-Nov-2000
Value Date	21-Nov-2000
Expiry Date	21-Nov-2000
Trade Rate	97.75
No. of Contracts	100

In this case, since the Portfolio, Instrument, Series, Broker, and Broker Account combination is the same as the one that was used to process the earlier deal – D20101, the system uses the same basket BSK001.

The balance in the basket before processing this deal was 200 Long contracts. Since we are processing a short deal, the balance in the basket will come down to 100 long contracts.

The accounting entries posted for partial liquidation of long contracts will be as follows:

Table 9-21 Accounting Entries

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset	Debit	USD	3500	Increase in Contingent Asset
Contingent Asset offset	Credit	USD	3500
Contingent Asset offset	Debit	USD	977500	Eq. Amt in pricing currency
Contingent Asset	Credit	USD	977500	Sold Asset in Asset Currency
Settlement Bridge	Debit	USD	977500	Closing Price in Pricing Currency
Control	Credit	USD	977500
Control	Debit	USD	977500	Holding Cost in Pricing Currency
Settlement Bridge	Credit	USD	977500
Control	Debit	USD	3500	Gain on closure in Pricing Currency
Income	Credit	USD	3500

Deal III – Reference Number D20401

Table 9-22 Nature of Contract – Settlement by exchange of physicals on Contract Expiry (Own Long Position).

Field	Values
Deal Number	D20401
Deal Type	XPL
Deal Product	DP04
Instrument ID	CME-90 day US T-bill-Future
Instrument Series	Nov-00
Booking Date	21-Nov-2000
Value Date	21-Nov-2000
Expiry Date	21-Nov-2000
Trade Rate	97.80
No. of Contracts	100

The Current balance in the Basket is 100 long contracts. Since the instrument expires on 24-Nov-00, all 100 contracts within the basket will cease to exist on the Expiry Date.

The accounting entries that will be posted for the settlement of exchange of physicals on contract expiry will be as follows:

Table 9-23 Event Code - EEPL

Accounting Role	Dr/Cr Indicator	Currency	Amount	Description
Contingent Asset	Debit	USD	3500	Increase in Contingent Asset
Contingent Asset offset	Credit	USD	1500	Increase in contingent asset in pricing currency.
Contingent Asset offset	Debit	USD	977800	Reversal of contingents on EFPy
Contingent Asset	Credit	USD	977800
Real Asset	Debit	USD	977800	EFP value in Asset Currency
Settlement Bridge	Credit	USD	977800	EFP value in Pricing Currency
Settlement Bridge	Debit	USD	1500	Gains on EFP
Control	Credit	USD	1500