A.6 Event-wise Amount Tags
This topic describes the event-wise amount tags.
Given below is a list of event-wise Amount Tags which can be used for the OT module.
Entries in blue (Italics) are meant only for hedge deals. Entries in pink can be used for Hedge as well as Trade deals. Also note, for hedge deals, entries are relevant for only purchase options. Collars are not allowed for hedge deals.
Table A-37 Event - Amount Tag
| Event | Amount Tag | Value | Remarks |
|---|---|---|---|
|
BOOK |
PUR_OPTION_PREM WRI_OPTION_PREM |
User Input Option Premium at Inception |
Trade Deals |
|
BOOK |
PUR_INCEP_GAIN PUR_INCEP_GAIN_DEF WRI_INCEP_LOSS |
Inception Fair Value - Option Premium |
Trade Deals |
|
BOOK |
PUR_INCEP_LOSS WRI_INCEP_GAIN WRI_INCEP_GAIN_DEF |
Option Premium – Inception Fair Value |
Trade Deals |
|
BOOK |
PUR_INCEP_IV |
Intrinsic Value at Inception (System Calculated) |
Hedge Deals |
|
BOOK |
PUR_INCEP_TV PUR_INCEP_TV_DEF |
Time Value at Inception (System Calculated) |
Hedge Deals |
|
PRPT |
PUR_OPTION_PREM WRI_OPTION_PREM |
User Input Option Premium at Inception |
Hedge and Trade Deals |
|
AMND |
- |
- |
Only ICCF |
|
AMRT |
PUR_NET_INCEP_GAIN WRI_NET_INCEP_GAIN |
Inception Gain to Amortize till date – Gain already amortized |
Trade Deals |
|
REVL |
PUR_REVL_GAIN WRI_REVL_LOSS |
Contract Fair Value – Option Premium |
Trade Deals |
|
REVL |
WRI_REVL_GAIN PUR_REVL_LOSS |
Option Premium - Contract Fair Value |
Trade Deals |
|
REVL |
PUR_LAST_REVAL_GAIN WRI_LAST_REVAL_GAIN |
Last Revaluation Gain |
Trade Deals |
|
REVL |
PUR_LAST_REVAL_LOSS WRI_LAST_REVAL_LOSS |
Last Revaluation Loss |
Trade Deals |
|
REVL |
NET_AMORT_TV |
TV to Amort till date – TV already amortized |
Hedge Deals |
|
CANC |
- |
- |
Reversal of entries and processing Charges. Trade and hedge deals |
|
RTFX |
- |
- |
|
|
TERM |
PUR_TERM_FV WRI_TERM_FV |
Fair Value of the contract as input at the time of termination |
Hedge and Trade deals |
|
TERM |
PUR_TERM_GAIN WRI_TERM_LOSS |
Termination Value –FV at the time of termination |
Trade Deals |
|
TERM |
PUR_TERM_LOSS WRI_TERM_GAIN |
FV at the time of termination –Termination value |
Trade Deals |
|
TERM |
HED_TERM_GAIN HED_TERM_GAIN_DEF |
Termination Value – Inception IV |
Hedge Deals |
|
TERM |
HED_TERM_LOSS |
Inception IV –Termination value |
Hedge Deals |
|
TERM |
PUR_INCEP_IV |
Intrinsic Value at Inception |
Hedge Deals |
|
REVAL ON TERM |
PUR_REVL_GAIN WRI_REVL_LOSS |
Contract Fair Value at termination (User I/P) – Option Premium |
Trade Deals |
|
REVAL ON TERM |
WRI_REVL_GAIN PUR_REVL_LOSS |
Option Premium - Contract Fair Value at termination (User I/P) |
Trade Deals |
|
REVAL ON TERM |
PUR_LAST_REVAL_GAIN WRI_LAST_REVAL_GAIN |
Last Revaluation Gain |
Trade Deals |
|
REVAL ON TERM |
PUR_LAST_REVAL_LOSS WRI_LAST_REVAL_LOSS |
Last Revaluation Loss |
Trade Deals |
|
REVAL ON TERM |
NET_AMORT_TV |
Inception TV – TV amortized till date (Remaining Time Value) |
Hedge Deals |
|
AFTER REVAL ON TERM |
PUR_REVL_GAIN WRI_REVL_GAIN (Recognition of total revaluation Income) |
Current Revaluation Gain After triggering revaluation process at termination |
Trade Deals |
|
AFTER REVAL ON TERM |
PUR_REVL_LOSS WRI_REVL_LOSS (Recognition of total revaluation Expense) |
Current Revaluation Loss After triggering revaluation process at termination |
Trade Deals |
|
AFTER REVAL ON TERM |
PUR_INCEP_TV |
Time Value at Inception |
Hedge Deals |
|
AMORT ON TERM |
PUR_NET_INCEP_GAIN WRI_NET_INCEP_GAIN |
Total Amt to Amort (Inception gain)– Amt amortized till date. This is the remaining inception gain |
Trade Deals |
|
AFTER AMORT ON TERM |
PUR_INCEP_GAIN WRI_INCEP_LOSS (Recognition of Inception Gain/Loss) |
Inception Fair Value- Inception Fair Value |
Trade Deals |
|
AFTER AMORT ON TERM |
PUR_INCEP_LOSS WRI_INCEP_GAIN (Recognition of Loss/Gain) |
Option Premium - Inception Fair Value |
Trade Deals |
|
AMDG |
NET_GAIN_DEF (Amortization of Deferred termination Gains) |
Amt to Amort –Amt Amortized till Date |
Hedge deals |
|
EXER |
PUR_INTR_SETL_AMT |
Calculated SettlementAmt |
Intermediate Exercise except Collars. Trade and Hedge deals. |
|
EXER |
WRI_INTR_SETL_AMT |
Calculated Settlement Amt |
Intermediate Exercise except Collars. Trade and Hedge deals |
|
EXER |
PUR_SETL_AMT |
Calculated Settlement Amt |
Final Exercise except Collars. Trade deals. |
|
EXER |
WRI_SETL_AMT |
Calculated Settlement Amt |
Final Exercise except Collars. Trade deals |
|
EXER |
PUR_INTR_FLR_AMT WRI_INTR_FLR_AMT |
Calculated Settlement Amt for Collars if Floor is in-the-money |
Intermediate Exercise for Collars. Trade deals |
|
EXER |
PUR_INTR_CAP_AMT WRI_INTR_CAP_AMT |
Calculated Settlement Amt for Collars if Cap is in-the-money |
Intermediate Exercise for Collars. Trade deals. |
|
EXER |
PUR_FLOOR_AMT WRI_FLOOR_AMT |
Calculated Settlement Amt for Collars if Floor is in-the-money for final exercise |
Final Exercise for Collars. Trade deals. |
|
EXER |
PUR_CAP_AMT WRI_CAP_AMT |
Calculated Settlement Amt for Collars if Cap is in-the-money for final exercise |
Final Exercise for Collars. Trade deals. |
|
EXER |
PUR_SWAP_AMT |
PUR_SWAP_AMT Swap Value (User I/P). This is the settlement Amount for cash settled swaptions |
On initiation of underlying swap or cash settlement. Swaptions. |
|
EXER |
PUR_INCEP_IV |
Intrinsic Value at Inception |
Hedge Deals Only except collars |
|
EXER |
HED_EXER_GAIN |
Payoff (System Calculated) – Inception IV |
Hedge Deals Only except collars |
|
EXER |
HED_EXER_LOSS |
Inception IV - Payoff (System Calculated) |
Hedge Deals Only except collars |
|
EXER |
PUR_INCEP_IV_SWAP |
Inception IV |
Hedge Deals (Swaptions) Only |
|
REVALONEXER |
PUR_REVL_GAIN WRI_REVL_LOSS |
Settlement Amt (Calculated)– Option Premium |
Final Exercise except Collars with Floor in the money. Trade deals Only |
|
REVALONEXER |
WRI_REVL_GAIN PUR_REVL_LOSS |
Option Premium - Settlement Amt (Calculated) |
Final Exercise except Collars with Floor in the money. Trade deals Only |
|
REVALONEXER |
PUR_REVL_GAIN WRI_REVL_LOSS |
0 |
Final Exercise for Collars with Floor in the money. Trade deals only. |
|
REVALONEXER |
WRI_REVL_GAIN PUR_REVL_LOSS |
Option Premium-0 |
Final Exercise for Collars with Floor in the money. Trade deals only. |
|
REVALONEXER |
PUR_LAST_REVAL_GAIN WRI_LAST_REVAL_GAIN |
Last Revaluation Gain |
Final Exercise. Trade deals only. |
|
REVALONEXER |
PUR_LAST_REVAL_LOSS WRI_LAST_REVAL_LOSS |
Last Revaluation Loss. |
Final Exercise. Trade dealsonly. |
|
REVALONEXER |
NET_AMORT_TV (Hedge Deals) |
Inception TV – TV amortized till date |
Remaining Time Value. |
|
AFTER REVAL ON EXER |
PUR_REVL_GAIN WRI_REVL_GAIN |
Current Revaluation Gain After triggering revaluation process at Exercise |
Final Exercise. Trade deals only. |
|
AFTER REVAL ON EXER |
PUR_REVL_LOSS WRI_REVL_LOSS (Recognition of total revaluation Expense) |
Current Revaluation Loss After triggering revaluation process at Exercise |
Final Exercise Only. Trade deals only |
|
AFTER REVAL ON EXER |
PUR_INCEP_TV |
Time Value at Inception |
Hedge Deals. Only except collars. |
|
AFTER AMORT ON EXER |
PUR_INCEP_GAIN WRI_INCEP_LOSS (Recognition of Inception Gain/Loss) |
Option Premium – Inception Fair Value |
Trade deals Only |
|
AFTER REVAL ON EXER |
PUR_INCEP_LOSS WRI_INCEP_GAIN (Recognition of Loss/Gain) |
Inception Fair Value - Option Premium |
Trade deals Only |
|
EXST |
PUR_SETL_AMT |
Settlement amount Calculated at EXER event for purchased options |
Both Hedge and Trade deals |
|
EXST |
WRI_SETL_AMT |
Settlement amount Calculated at EXER event for Written Options |
Trade deals only |
|
EXST |
PUR_FLOOR_AMT |
Settlement amount Calculated at EXER event for Collars if Floor is in the money |
Trade deals only |
|
EXST |
PUR_CAP_AMT |
Settlement amount Calculated at EXER event for Collars if Cap is in the money |
Trade deals only |
|
KNIN |
- |
- |
Will be followed by KIST if Rebate is to be paid on Maturity. Both for trade and Hedge. |
|
KIST |
PUR_REBATE_AMT WRI_REBATE_AMT |
Rebate amount (User I/ P at Inception) |
Both for trade and Hedge. This event will be triggered along with EXPR (Expiry) |
|
KNOT |
PUR_REBATE_AMT WRI_REBATE_AMT |
Rebate amount (User I/ P at Inception) |
Will be followed by KNST if Rebate is to be paid on Hit or Maturity. Both for trade and Hedge |
|
KNOT |
PUR_INCEP_IV |
Inception Intrinsic Value |
Hedge deals only |
|
REVALONKNOT |
PUR_REVL_GAIN WRI_REVL_LOSS |
0 |
Since the option gets Knocked Out |
|
REVALONKNOT |
WRI_REVL_GAIN PUR_REVL_LOSS |
Option Premium – 0 |
Option premium is the revaluation gain for written options |
|
REVALONKNOT |
PUR_LAST_REVAL_GAIN WRI_LAST_REVAL_GAIN |
Last Revaluation gain |
NA |
|
REVALONKNOT |
PUR_LAST_REVAL_LOSS WRI_LAST_REVAL_LOSS |
Last revaluation Loss |
NA |
|
REVALONKNOT |
NET_AMORT_TV (Hedge Deals) |
Inception TV – TV amortized till date |
Remaining Time Value. |
|
AFTERREVALON KNOT |
PUR_REVL_GAIN WRI_REVL_GAIN (Recognition of reval Income) |
Current Revaluation Gain After triggering revaluation process at Knock Out |
This will be 0 on Knock Out |
|
AFTERREVALON KNOT |
PUR_REVL_LOSS WRI_REVL_LOSS (Recognition of reval Expense) |
Current Revaluation Loss After triggering revaluation process at Knock Out |
This will be option premium on knock Out |
|
AMRT ON KNOT |
PUR_NET_INCEP_GAIN WRI_NET_INCEP_GAIN |
Inception gain – Amt amortized till date |
Remaining Inception Gain |
|
AFTER AMRT ONKNOT |
PUR_INCEP_GAIN WRI_INCEP_LOSS (Recognition of Inception Gain/Loss) |
Option Premium – Inceptinon Fair Value |
NA |
|
AFTER AMRT ONKNOT |
PUR_INCEP_LOSS WRI_INCEP_GAIN (Recognition of Loss/Gain) |
Inception Fair Value - Option Premium |
NA |
|
EXPR |
PUR_INCEP_IV |
Inception Intrinsic Value |
Hedge deals only |
|
REVAL ON EXPR |
PUR_REVL_GAIN WRI_REVL_LOSS |
0 |
Since the option expires worthless |
|
REVAL ON EXPR |
WRI_REVL_GAIN PUR_REVL_LOSS |
Option Premium – 0 |
Option premium is the revaluation gain for written options |
|
REVAL ON EXPR |
PUR_LAST_REVAL_GAIN WRI_LAST_REVAL_GAIN |
Last Revaluation gain |
NA |
|
REVAL ON EXPR |
PUR_LAST_REVAL_LOSS WRI_LAST_REVAL_LOSS |
Last revaluation Loss |
NA |
|
REVAL ON EXPR |
NET_AMORT_TV (Hedge Deals) |
Inception TV – TV amortized till date |
Remaining Time Value. |
|
AFTER REVAL ON EXPR |
PUR_REVL_GAIN WRI_REVL_GAIN (Recognition of reval Income) |
Current Revaluation Gain After triggering revaluation process at Expiry |
This will be 0 on expiry |
|
AFTER REVAL ON EXPR |
PUR_REVL_LOSS WRI_REVL_LOSS (Recognition of reval Expense) |
Current Revaluation Loss After triggering revaluation process at Expiry |
This will be option premium on expiry |
|
AMRT ONEXPR |
PUR_NET_INCEP_GAIN WRI_NET_INCEP_GAIN |
Inception gain – Amt amortized till date |
Remaining Inception Gain |
|
AFTER AMRT ON EXPR |
PUR_INCEP_GAIN WRI_INCEP_LOSS (Recognition of Inception Gain/Loss) |
Option Premium – Inception Fair Value |
NA |
|
AFTER AMRT ON EXPR |
PUR_INCEP_LOSS WRI_INCEP_GAIN (Recognition of Loss/Gain) |
Inception Fair Value - Option Premium |
NA |
|
AMDG ON Expiry |
NET_GAIN_DEF (Amortization of Deferred termination Gains) |
Total Amt to Amort – Amt Amortized till Date |
Remaining termination gains Hedge deals Only. This is separate from EXPR. Either EXPR or AMDG will trigger on maturity. |