Table of Contents

• Title and Copyright Information
• Preface
  • Audience
  • Acronyms and Abbreviations
  • Conventions
  • List of Topics
  • Related Resources
  • Symbols and Icons
• 1 Overview of Over the Counter Options
  • 1.1 OT Instruments and Transactions
  • 1.2 Interest Rate Options
  • 1.3 Swaptions
  • 1.4 Currency Options
  • 1.5 Dependencies
• 2 General Maintenance
  • 2.1 Branch Parameters
    • 2.1.1 Maintain Branch Parameters
    • 2.1.2 Maintain Contract Fair Values
    • 2.1.3 Maintain Limit Tracking (Other Exposure) Details
• 3 Define Attributes Specific to OT Products
  • 3.1 Maintain Products in Options Module
• 4 Process Over the Counter Option Instruments
  • 4.1 OT Contract
    • 4.1.1 Maintain Details of OT Contract
      • 4.1.1.1 Reporting Details Maintenance
    • 4.1.2 Holiday Validation Assumptions
    • 4.1.3 Settlement Method for Currency Options
    • 4.1.4 Settlement Method for IROs
  • 4.2 Display OT Contract Details
  • 4.3 Maintain Manual Knock-In Knock-Out
  • 4.4 Terminate Option Contracts
  • 4.5 Upload Options Contracts
    • 4.5.1 Upload Options Contract for Amendment
  • 4.6 Exercise Option
  • 4.7 ISDA Confirmation
    • 4.7.1 ISDA Confirm Summary
  • 4.8 Rate Fixing
    • 4.8.1 Treasury Branch Parameter Maintenance
    • 4.8.2 Treasury Rate Fixing Maintenance
    • 4.8.3 Product Definition
    • 4.8.4 Transaction Input
    • 4.8.5 Rate fixing process
  • 4.9 Defer the Contract Expiry
  • 4.10 SGEN Messages Generation
• 5 Automatic Daily Processing
  • 5.1 Automatic Events Executed during End of Day
    • 5.1.1 Auto Exercise and Rate Reset for Interest Rate Options
    • 5.1.2 Currency Options
• 6 Credit Default Swap
  • 6.1 Branch Parameters
  • 6.2 Deal Product Maintenance
  • 6.3 Credit Default Swap Contract Input
    • 6.3.1 Display Credit Default Swap Contract Summary Details
  • 6.4 Credit Default Swap Pre-Settlement Input
  • 6.5 Credit Default Swap Pre-Settlement Summary
• 7 Risk Free Rates
  • 7.1 Define Rate codes for Risk Free Rates
  • 7.2 Risk Free Rates
  • 7.3 Options Product
  • 7.4 Options Contract
  • 7.5 Lifecycle process Impact
    • 7.5.1 Swift Messaging
    • 7.5.2 Exercise Delay
• A Annexure – Event-wise Accounting Entries and Advices for OT
  • A.1 Accounting Entries
  • A.2 OT Events
  • A.3 Amount Tags
  • A.4 Accounting Roles
  • A.5 Event-Wise Accounting Entries
  • A.6 Event-wise Amount Tags
  • A.7 Future Dated Termination Settlement
  • A.8 Advices Generated
  • A.9 Multiple Media Support
• B Examples of Processing Interest Rate and Currency Options
  • B.1 Examples
    • B.1.1 Example I - Interest Rate Options
    • B.1.2 Example II - Currency Options
    • B.1.3 Example III – Contingent Entries and Delta Accounting
    • B.1.4 Example IV – Swaption with European Expiration
  • B.2 Examples of Different Types of Exotic Currency Options
    • B.2.1 Example 1
    • B.2.2 Example 2
    • B.2.3 Example 3
    • B.2.4 Example 4
    • B.2.5 Example 5
    • B.2.6 Example 6
    • B.2.7 Example 7
    • B.2.8 Example 8
    • B.2.9 Example 9
    • B.2.10 Example 10
    • B.2.11 Example 11
    • B.2.12 Example 12
  • B.3 Explanation of Terms Associated with IRO Markets/Transactions
• Index