1.2.1 Derivatives Workflow

The various operations and events in the life cycle of a derivatives contract are summarized below:

• Booking, amendment, termination and settlements
• Accounting treatment for life cycle events
• Initial and final exchange of principal (if applicable) and interest schedules
• Assumptions/purchase and assignments/sale of running contracts (trade deals)
• Brokerage Processing
• Revision of floating interest indices and interest accruals
• Revaluation of contracts
• Amortizations – Inception and Termination gains/losses
• Counterparty limit tracking under credit lines
• Exposure tracking under ISDA and other Master agreements
• SWIFT Messaging including multi-party messaging