6.4 Credit Default Swap Pre-Settlement Input

This topic describes the systematic instruction for CDs contract termination and contract exercise.

The CDS contract details for contract termination and contract exercise are captured in the Credit Default Swap Pre-Settlement Input screen.

Note:

All fields marked with an asterisk (*) are mandatory.

1. On the Home page, enter DCDCNTRM in the text box, and then click next arrow.

   Credit Default Swap Pre-Settlement Input screen is displayed.

   Figure 6-7 Credit Default Swap Pre-Settlement Input

   
   Description of "Figure 6-7 Credit Default Swap Pre-Settlement Input"
2. On the Credit Default Swap Contract Input screen, click Enter Query, and specify the contract details as required.

   For more information on the fields, refer to the below table.

   Table 6-13 Credit Default Swap Contract Input - Field Description

   Field	Description
   Contract Reference	Click the search icon and select the unique code from the list for identifying the contract for termination.
   Counterparty	The system displays the counterparty of the selected contract.
   Description	The system displays the brief description of the counterparty for the selected contract reference.
   Contract Currency	Indicates the currency of the nominal amount.
   Buy/Sell	Indicates whether the bank is buying the contract or selling the contract.
   Option	Select either Terminate Option to terminate the contract or Exercise Option to exercise the contract.

   Click Execute Query to execute the selected option.

3. On the Credit Default Swap Pre-Settlement Input screen, click Termination Details.

   The Termination Details page is displayed

   
   Description of the illustration ot_termination.jpg
4. On the Credit Default Swap Contract Input screen, under Termination Details, specify the fields.

   For more information on the fields, refer to the below table.

   Table 6-14 Credit Default Swaps Contract Input- Termination Details Field Description

   Field	Description
   Termination Value	Specify the Termination Value. Note: Positive value denotes income and Negative value denotes expense.
   Premium to be Settled	Indicates the premium for settlement as per the PUR_CDS_PREM_PACD amount tag for buying CDS and WRI_CDS_PREM_PACD for selling CDS. This field is mandatory, if the user selected the Settlement Includes Premium.
   Termination Date	Indicates the effective date of contract termination. Note: If the Termination Date is less than or equal to Value Date or if the Termination Date is greater than or equal to Maturity Date, an error message is displayed.
   Termination Settlement Date	Indicates the settlement date on which the termination begins. Note: If the Termination Settlement Date is less than or equal to the Termination Date, then an error message is displayed.
   Settlement Includes Premium	Indicates whether settlement for credit event exercise must include premium or the premium is suppressed with accrual reversed.
   Settlement Currency	Indicates the currency of the contract termination settlement.

5. On the Credit Default Swap Pre-Settlement Input screen, click the Credit Event Exercise Details tab.

   The Credit Event Exercise Details page is displayed

   
   Description of the illustration ot_exercise.jpg
6. On the Credit Default Swap Contract Input screen, under Credit Event Exercise Details, specify the fields as required.

   For more information on the fields, refer to the below table.

   .

   Table 6-15 Credit Default Swap contract Input - Credit Event Exercise Details Field Description

   Field	Description
   Instrument ID	Indicates the instrument used as the underlying for the contract.
   Basket%	Indicates the percentage portion of the basket constituted by the underlying instrument.
   Maturity Date	Indicates the date on which the CDS contract expires. If the Maturity Date is less than or equal to Value Date, an error message is displayed.
   Market Price	Indicates the market price of the underlying instrument
   PAR Value	Indicates the current face value of the instrument.
   Quantity	Indicates the number of units of the instrument.
   Default Instrument	Click the search icon and select the unique code from the displayed list for identifying the defaulted Instrument.
   Credit Event Code	Click the search icon and select the unique code from the displayed list for identifying the event code causing the exercise.
   Credit Event Description	The system displays the brief description of the selected credit event.
   Exercise Value	Indicates whether the settlement must include accrued premium.
   Exercise Date	Specify the effective of contract Exercise Date. Note: If the Exercise Date is less than or equal to the Value Date and greater than the Maturity Date, an error message is displayed.
   Exercise Settlement Date	Indicates the Settlement Date of the exercised contract.