Product Code- CSG1

Business Scenario

The financial product CSG1 that is, OT Currency Options Trade Cash Settled helps corporates/banks to provide the buyer with speculation or protection of underlying assets against an adverse movement in currency exchange rates while providing the potential for profit in case of favorable movement of rates.

Targeted Customer Segment: Corporates/Banks who seek speculation/protection against adverse currency exchange rate movement.

Introduction

Product CSG1 covers the currency exchange rate options of cash settled trade type deals. Product CSG1 holds good for all the currency rate option types of both buy and sell with European, American, and Bermudan expiry style.

Synopsis (ex. High level features etc.)

Covers all the CO types of Yield-Based
Payment\Settlement is done on schedule basis based on the advance method of payment type.
Amortization and Revaluation setup is done with daily frequency.
This instrument product supports risk free rates and supports all arrear Methods.
Issued by large banks and corporations
CSG1 product is configured with Alternate Risk-Free Rate preference as Plain Method but it can be changed to any of the arrear method and also the below combination methods:
- Lookback and Lockout
- Lookback, Lockout, and Payment Delay

Detailed Coverage

Product CSG1 is meant for cash settled currency options. Product CSG1 covers the following features:

Table 8-49 Detailed Coverage

Features	Type
Types of the Deal Covered	Buy Deal Sell Deal
Types of the Contract Covered	Trade Deal
Delivery Type	Cash
Interest Rate Option Types Covered	Caps Floors Collars Corridors and Swaptions
Expiry Style’s Covered	European for Caps, Floors, Collars, Corridors European\American\Bermudan for Swaptions
Payment Method Covered	Actual/365 – Per Annum Basis Arrears Rate Fixing is setup on the each Schedule End Date and Reset Days is 0

Events Covered (including brief information on accounting)

Product CSG1 has the Life Cycle as listed below:

Table 8-50 Events Covered

Events Covered	Terminology
AMDG	Amortization of Deferred Gains-Hedge
AMND	Amendment Option Deal Contract
AMRT	Amortization Of Deferred Inception Gain
BOOK	Booking of the deal Contract
EXER	Exercise Of Option
EXPR	Expiry Of Option
EXST	Exercise Settlement Of Option
PRPT	Premium Payment\Premium Collection
KNIN	Knock In of Currency Options
KIST	Knock In Settlement
KNOT	Knock Out of Currency Options
KNST	Knock Out Settlement
REVL	Revaluation Of Option
REVR	Reversal Of Deal
TERM	Termination of Option Contract

Advices Supported

Following Advices setup done in the CSG1 Product as part of Product Life Cycle:

Table 8-51 Advices Supported

Advices	Description
OT_CO_AMND	Currency Options Amendment Advice
OT_CO_CANC	Currency Options Cancellation
OT_CO_CONF	Currency Options Confirmation
OT_CO_DEAL_TKT	Currency Options Deal Ticket
OT_CO_TERM	Currency Options Termination Advice
OT_CO_TRIG	Currency Options Barrier Event
CUST_PMT_ADV	Credit Debit Message Generation
PAYMENT_MESSAGE	Payment Message
REVSWIFT	Cancellation of Contract

Messages

Following SWIFT Messages setup done in the IRFR product as part of product life cycle.

Table 8-52 SWIFT Messages

SWIFT Messages	Contact Field
MT 360	Confirmation Message
MT 360	Amendment Message
MT 364	Termination Message
MT 360	Cancellation Advice
MT 362	Rate Reset Message
MT 202	Bank Transfer
MT 205	Bank Institutional Transfer
MT 210	Receive Notice
MT 900	Debit Message
MT 910	Credit Message

Premium/Charges/Brokerage

Premium

Product IRFR enables the Premium Collection or Premium Payment through:

Option Premium is expressed as a percentage of the notional principal / contract amount.
Option Premium can be a flat amount as well.

OT Options Module Maintenance

OT Options module has to be setup with the following furnished maintenance,

Option Branch Parameter Maintenance
Role To Head mapping Class Maintenance
Accounting Event Class Maintenance
OT Product Maintenance
Floating Rate Source Maintenance
DV Rate Type Maintenance
DV Float Rate Code Maintenance
Floating Rate Maintenance
Advice Format Maintenance

General Maintenance Needed For Branch

The following the following furnished maintenance are required for Branch maintenance:

Branch Parameters Maintenance
Contract Fair Values Maintenance
Limit Tracking (other) Details Maintenance