29 Credit Default Index

Credit Derivative related features in Oracle Banking Treasury Management supports the complete life cycle processing of Credit derivative Swap Index (CDI) instrument. You can maintain below the category of CD Instruments:

• Standalone
• Index

The Credit Derivative instrument processing complements the instrument definition with flexible back-office deal processing and instrument life-cycle processing system. The system supports trading CDI on various parameters such as:

• Trading price
• Spread
• %Price
• %Spread

The module automates the entire processing-cycle of holdings in a portfolio (asset, liability, profit and loss bookings, accrual for premium processing, and revaluation), and the processing of corporate actions (coupons, redemptions and credit event processing) defined for an instrument.

It helps you automatically track your positions and holdings across various internal safekeeping locations, and automatically track, online, your exposure to a customer at the deal level for total or pre-settlement risks. By the end of the day, you can track your exposure to selected issuers and internal safekeeping locations.

Defining ‘Products’, in Oracle Banking Treasury Management., helps you streamline your operations based on the various types or categories of business segments you operate.

The module gives you the flexibility to define, upfront, components (such as interest, charge, and tax), restrictions (such as branch, currency, customer, instrument, and portfolio), preferences, and events and accounting entries into Classes. When defining a product, you merely need to associate it with the different classes that you have built. You can change the attributes of classes, on association with a product, to suit specific instrument, portfolio, or deal.

On these instruments, you can automatically track coupon events, accruals, and redemption until maturity. You can define your trading and investment portfolios, and choose the costing method (LIFO, FIFO, WAC, etc.), the premium and upfront fees accrual frequencies, and the revaluation method that you would like to adopt. You can levy charges on a variety of bases, at deal or portfolio level, for your services.

This topic contains the following subtopics:

• Market Definition
  This topic describes the systematic instruction for market definition.
• CD credit event maintenance
  This topic describes the maintenance of CD credit event.
• Credit Derivative Instrument Product Definition
  This topic describes the systematic instruction to define credit derivative instrument product.
• Credit Derivative Deal Product Definition
  This topic describes the credit derivative deal product definition, accounting roles, events, preferences, charges, tax definition, MIS, and market details.
• Credit Derivative Processing Branch Parameter
  This topic describes processing of credit derivative branch parameter.
• Credit Derivative Portfolio Product Definition
  This topic describes the systematic instruction to define credit derivative portfolio product.
• CD Portfolio Definition
  This topic describes the systematic instructions for CD portfolio definition.
• CD External Revaluation Changes
  This topic describes the external revaluation changes for CD product and eternal MTM example.
• CDI Derivative Deal Input
  This topic describes the systematic instructions for CDI derivative deal input.
• Credit Derivative Corporate Action
  This topic describes the systematic instructions to process credit derivative corporate action.
• CDI Redemption Product Maintenance
  This topic describes the CDI Redemption product maintenance.