29.10 Credit Derivative Corporate Action

This topic describes the systematic instructions to process credit derivative corporate action.

• The DSDCDCAP is automatically populated as per coupon and redemption schedule of security definition in DSDTRONL. A new corporate action can also be processed from this screen; any such changes will amend the redemption schedule of the instrument.
• A new corporate action processed would be for credit event processing. It would be at instrument ID level altering redemption schedule of the instrument in DSDTRONL and the positions held in instrument across portfolios.
• If security is marked with the end of trading status, security status is changed to close in DSDTRONL, and all the defaulted corporate actions after the end of trading status dates would be marked as closed. This action would be a part of the BOD activity at the end of the trading status date.
• Below would be the sections in the screen used:
• Main section - Common to all corporate action type
• Credit - To be used when corporate action type is Redemption
• Redeem - To be used when corporate action type is Redemption
• Initiate - To be used when corporate action type is coupon
• Collect - To be used when corporate action type is coupon
• Liquidate - To be used when corporate action type is coupon
• Main section fields would be enabled for all types of corporate action. Redeem section fields would be enabled when corporate action type is redemption or credit event. Fields in other section would be disabled if the corporate action type is chosen/defaulted with a value not relevant to the section.
• The subsystem in the screen would be as below:
• Events
• Charges
• Coupon
• Settlement
• Tax
• The subsystem reference might be taken from existing screen SEDXCAMN with the below changes:
• Coupon- Portfolio ID, Safe keeping location and safekeeping account fields to be removed from the filter section but to be present in results section.
• Tax- Issuer tax tab to be removed.
• Internal security ID to be replaced with CD Instrument label
• Events recorded under the event subsystem is (no setup required):
• CDET - Credit event determination
• AUCT - Credit event auction
• EOTR - End of trading
• Each event can trigger multiple times so event date would also be triggered against each event with ESN (Event sequence number).

1. On the Homepage, type DSDCDCAP in the text box, and click the next arrow.

   Credit Derivative Corporate Action screen is displayed.

   Figure 29-32 Credit Derivative Corporate Action

   
   Description of "Figure 29-32 Credit Derivative Corporate Action"
2. On the Credit Derivative Corporate Action screen, specify the details as required.

   For field description, see the below table

   Table 29-18 Credit Derivative Corporate Action - Field Description

   Field	Description
   Record reference	Generated by system on a successful save of record
   User Reference	Enter the number to be used in addition to record reference to identify the saved corporate action.
   External Reference	Reference from External System.
   CD Instrument	CD Instrument on which credit event is getting processed (same as internal security ID in SEDXCAMN)
   Series	Series of the index
   Version	Version of the index
   Corporate Action Type	Type of corporate action
   Credit Event	Credit event ID
   Credit event description	Specify the Credit event description
   Event determination date	Credit event determination date
   Credit event auction date	Date on which credit event auction for settlement price will happen
   Redemption type	This field specifies the Redemption type
   Redemption Quotation	This field specifies the Quotation type of redemption
   Redemption Quantity	This field specifies the Quantity to be redeemed
   Redemption Price	This field specifies the Price of redemption
   Redemption Units	This field specifies the total units of the CD Instrument getting redeemed.
   Currency	Currency of redemption
   Event determination date	Determination date of credit event
   Auction date	Date of auction
   Settlement date	Settlement date of the redemption
   End of trading date	Date from which the instrument will not be available for trading
   Exchange rate fixing date	Date for which the rate is to be considered
   Exchange rate	FX Rate to be considered for FCY payments
   Confirmed date	Date of confirmation of the event
   Confirmed	Checkbox for confirmation of Corp action
   Auto processing	To indicate if the record would be auto processed
   Processing date	Date when the processing will happen
   Transaction date	Date when the settlement will happen
   Dispose fractions	Disposition method for fractional units to be mentioned.
   Auction price	Price at which auction is concluded for redemption
   Manual Auction	Select this checkbox to suppress the automated auction processing.