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Derivatives User Guide Oracle Banking Treasury Management

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Derivatives User Guide Oracle Banking Treasury Management Derivatives User Guide Oracle Banking Treasury Management Release 14.5.0.0.0 Part No. F43223-01 May 2021 Copyright Copyright: 2007, 2021 Copyright Holder: Oracle Product Name: Oracle Financial Software Services, Oracle park, off western express highway, Goregaun (east) mumbai, Maharashtra 400 063, India, Phone Number - 91-22 6718 3000, 91-22 6718 3001. www.oracle.com/finan- cial services Oracle and Java are registered trademarks of Oracle and/or its affiliates. Other names may be trademarks of their respective owners. U.S. GOVERNMENT END USERS: Oracle programs, including any operating system, integrated software, any programs installed on the hardware, and/or documentation, delivered to U.S. Government end users are “commer- cial computer software” pursuant to the applicable Federal Acquisition Regulation and agency-specific supplemental regulations. As such, use, duplication, disclosure, modification, and adaptation of the programs, including any oper- ating system, integrated software, any programs installed on the hardware, and/or documentation, shall be subject to license terms and license restrictions applicable to the programs. No other rights are granted to the U.S. Govern- ment. This software or hardware is developed for general use in a variety of information management applications. It is not developed or intended for use in any inherently dangerous applications, including applications that may create a risk of personal injury. If you use this software or hardware in dangerous applications, then you shall be respon- sible to take all appropriate failsafe, backup, redundancy, and other measures to ensure its safe use. Oracle Corpo- ration and its affiliates disclaim any liability for any damages caused by use of this software or hardware in dangerous applications. This software and related documentation are provided under a license agreement containing restrictions on use and disclosure and are protected by intellectual property laws. Except as expressly permitted in your license agreement or allowed by law, you may not use, copy, reproduce, translate, broadcast, modify, license, transmit, distribute, exhibit, perform, publish or display any part, in any form, or by any means. Reverse engineering, disassembly, or de-compilation of this software, unless required by law for interoperability, is prohibited. The information contained herein is subject to change without notice and is not warranted to be error-free. If you find any errors, please report them to us in writing This software or hardware and documentation may provide access to or information on content, products and services from third parties. Oracle Corporation and its affiliates are not responsible for and expressly disclaim all warranties of any kind with respect to third-party content, products, and services. Oracle Corporation and its affiliates will not be responsible for any loss, costs, or damages incurred due to your access to or use of third-party content, products, or services. Copyright © 2007, 2021 All Rights Reserved Contents Preface . 1 Introduction . 1 Audience . 1 Documentation Accessibility. 1 Acronyms and Abbreviations . 1 Related Documents . 1 List of Topics. 2 Overview of Derivatives . 3 Introduction . 3 Types of Derivative . 3 Features of Derivatives . 4 Derivatives Workflow. 4 Maintain Mandatory Details . 5 Define Fair price Revaluation Methods . 5 Reports in derivative Module . 6 Generate Reports in Derivative Modules . 6 Derivative Modules - General Maintenance. 7 Introduction . 7 Derivative Type Maintenance . 7 Maintain Derivative Types . 7 Derivatives Branch Parameters Maintenance . 12 Maintain Branch Parameters. 12 i Revaluation Reversal Scenario I - Along with the next Revaluation . 15 Revaluation Reversal Scenario II - Next Day in BOD . 16 Counterparty Master Agreement Maintenance . 17 Maintain Counterparty Master Agreement Details. 17 Clearing House Maintenance. 22 Maintain Clearing Houses . 22 Messaging Parties Maintenance . 24 Maintain Message Parties Details. 24 List of Glossaries - Derivative Module - General maintenance . 26 Define Attributes Specific to Derivative Products . 34 Derivatives Product Definition . 34 Create Derivative Product. 34 Preference . 37 ISDA . 53 Interest Details . 54 Derivatives Revaluation Contract Fair Values . 58 Define the Fair Price Revaluation Methods . 59 Maintain Fair Values for Revaluing a Contract . 59 Interest Revision . 61 Net Fair Value. 61 Operations on the Contract Fair Price Maintenance record . 61 Derivatives Revaluation Branch Interest Rates . 61 Maintain Branch-wise Forward Interest Rates . 62 Branch wise Forward Interest Rate Maintenance record Operations . 63 Derivatives Revaluation Contract Interest Rates. 64 Maintain Contract specific Forward Interest Rates for Revaluation . 64 Operation of Contract Specific Forward Interest Rate Maintenance record . 65 List of Glossaries - Derivative Module - General Maintenance . 66 Batch Process. 67 Introduction . 67 Daily Events. 67 Process Daily Events . 67 ii Mandatory Batch Program Maintenance. 68 Process Automatic Daily Program . 68 Batch Process. 68 Upload DV Contracts . 69 External Revaluation . 71 External MTM upload through Webservice . 71 External MTM upload through GI . 72 External Revaluation Process . ..
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