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Banking Back-Office

Processing

Foreign Exchange andMoney MarketAdministrationGuide

Copyright 2001, Unisys Corporation.

All rights reserved

Unisys is a trademark of Unisys Corporation

Release 9.000 October 2003

Printed in the UK

3937 0135–930



The names, places, and/or events used in this publication are not intended to correspond to any individual,group, or association existing, living or otherwise. Any similarity or likeness of the names, places and/or events with the names of any individual, living or otherwise, or that of any group or association is purelycoincidental and unintentional.

NO WARRANTIES OF ANY NATURE ARE EXTENDED BY THIS DOCUMENT. Any product and related material disclosed herein are only furnished pursuant and subject to the terms andconditions of a duly executed Program Product License or Agreement to purchase or lease equipment. Theonly warranties made by Unisys, if any, with respect to the products described in this document are set forth insuch License or Agreement. Unisys cannot accept any financial or other responsibility that may be the result of your use of the information in this document or software material, including direct, indirect, special or consequential damages.

You should be very careful to ensure that the use of this information and/or software material complies withthe laws, rules, and regulations of the jurisdictions with respect to which it is used.

The information contained herein is subject to change without notice. Revisions may be issued to advise of such changes and/or additions.

Correspondence regarding this publication should be forwarded to Unisys Corporation, Bakers Court, BakersRoad, Uxbridge, Middlesex, UB8 1RG, United Kingdom.

All registered trademarks are acknowledged.



3937 0135-930 iii

About This Guide

Purpose

This guide describes the Foreign Exchange and Money Market functions offered by the Unisys

e-@ction Banking Back-Office Processing product.

The information contained in this guide is also available as online help.

ScopeThis guide describes the Foreign Exchange and Money Market modules and associated data entry

screens. Examples of the screens are shown and instructions on their use are given.

Audience

This guide is intended for personnel preparing information for Foreign Exchange and Money

Market data entry.

PrerequisitesAny person using this guide should be familiar with the user documentation and understand the

banking terminology associated with Foreign Exchange and Money Market. Users of this guide

should have read the Starter’s Guide that provides instruction in the use of the screens.

How To Use This Guide

This guide should be used as a reference tool when preparing information for data entry. Use the

guide in conjunction with a copy of your Guide to Setting Up and the Core Functions and

Inquiries Guide. Refer to the On-Demand Reports Guide for instructions on how to select and run

reports.



About This Guide

iv 3937 0135-930

About Urbis

The usage of the product name Urbis is due to be phased out as part of the Unisys re-branding

exercise. The replacement will be the generic term "Banking Back-Office Processing" solution or

"Banking Back-Office" for short. To provide continuity with existing product documentation, thename Urbis is used within this document, but is synonymous with Banking Back-Office

Processing.

Organisation

This guide consists of five sections and one appendix.

Section 1. Foreign Exchange Contracts

This section describes the contracts processed by the Foreign Exchange module, how Foreign

Exchange profit is handled and Nostro and Agent combinations for settlement of ForeignExchange deals.

Section 2. Foreign Exchange Screens

This section describes the screens associated with entering Foreign Exchange transactions. A

short description and an illustration of each of the associated data entry screens is provided.

Section 3. Money Market Contracts

This section describes the contracts processed by the Money Market module, automatic rollover

facility, penalty charges and composite rate tax. This section also describes Nostro and Agent

combinations for settlement of Money Market deals.

Section 4. Money Market Screens

This section describes the screens associated with entering Money Market transactions. A short

description and an illustration of each of the associated data entry screens is provided.

Section 5. Definition of Field Names

This section provides definitions of the field names on the Foreign Exchange and Money Market

data entry screens.

Appendix A. Calculations

This appendix provides the formulas used for calculations associated with the processing of

Foreign Exchange and Money Market transactions.



About This Guide

3937 0135-930 v

Related Product Information

Product Overview (3937 0234)

This document describes the capabilities and benefits of the modules of the Banking Back-Office

Processing system. It consists of an overview of the system, and a description of each of the

modules and interfaces available. It is intended for use by senior management.

Operations Reference Card (3937 0986)

This document is a single card that provides a list of screen names and their mnemonics. The list

is organised according to the menu structure of the Graphical User Interface. The card also

describes how to log on and off the system, enter data, make inquiries and print reports. These

instructions are relevant to the Graphical User Interface only.

Starter’s Guide (3937 0531)

This guide describes how to enter data and make online inquiries. It also includes a description

and example of commonly used data entry and inquiry screens. This guide is intended for all new

and inexperienced personnel who need to enter data and make inquiries.

Guide to Setting Up (3937 0945)

This guide describes how to set up parameters that govern the operating environment of the

system. It describes the procedures for setting up the business and operational tables, and setting

up usercodes and access security. The procedures for setting up blueprint parameters are provided

with a description of each parameter. It should be used by all persons involved in installation,

implementation and maintenance of these system parameters.

Core Functions and Inquiries Guide (3937 0952)

This guide describes the kernel functions that are used regularly for the maintenance of

information utilised by a number of modules. It describes the procedures for setting up and

maintaining data, such as market rates and dealers. It also describes inquiries that are common to

all contracts. This guide is relevant to all users.

Clients and Accounts Administration Guide (3937 0960)

This guide describes the data entry and inquiry screens associated with setting up and maintaining

client details. This guide also describes the set up and maintenance of client accounts, including

automatic payments (standing orders). An appendix covers the calculations used by clientaccounts. This should be used by personnel preparing information for data entry.



About This Guide

vi 3937 0135-930

Settlements Guide (3937 0366)

This guide describes the processes associated with settlements and customer transfers. It details

how to administer the settlement queues. This guide also describes how to use the Straight

Through Processing and Netting functions. It should be used by personnel managing the

settlements department.

General Ledger Administration Guide (3937 0457)

This guide describes the data entry screens associated with General Ledger transactions. This

should be used by personnel preparing information for data entry.

Risk Management Administration Guide (3937 0358)

This guide describes the data entry screens associated with setting up limits and exposures. The

guide also describes the screens associated with portfolios. The amounts that represent book and

market values are listed by module in an appendix. This guide is intended for personnel preparing

information for data entry and those concerned with controlling risk.

Commercial Loans Administration Guide (3937 0150)

This guide describes the data entry screens associated with Commercial Loan transactions. This

includes entry of commitments, various types of drawdown and contract schedules. An appendix

gives the calculations used in the processing of Commercial Loan transactions. This guide is

intended for personnel preparing information for data entry.

Forward Rate Agreements and Interest Rate Swaps Administration Guide (3937 0168)

This guide describes the data entry screens and some related inquiries associated with ForwardRate Agreement and Interest Rate Swaps transactions. An appendix gives the calculations used in

the processing of Forward Rate Agreement and Interest Rate Swap transactions. This guide is


Futures Administration Guide (3937 0176)

This guide describes the data entry screens associated with Futures transactions and some related

inquiries. An appendix gives the calculations used in the processing of Futures transactions. This

guide is intended for personnel preparing information for data entry.

Options Administration Guide (3937 0184)

This guide describes the data entry screens associated with Options transactions. An appendix

gives the calculations used in the processing of Options transactions. This guide is intended for

personnel preparing information for data entry.



About This Guide

3937 0135-930 vii

Securities Administration Guide (3937 0341)

This guide describes the data entry screens associated with Interest Bearing Securities,

Discounted Securities and Repurchase Agreements transactions and some related inquiries. An

appendix gives the calculations used in the processing of Securities transactions. This guide is


Trade Finance Administration Guide (3937 0119)

This guide describes the data entry screens used by the Trade Finance department. This guide is


Generalised Fees Administration Guide (3937 0374)

This guide describes the data entry screens associated with Fee transactions and supporting

business table. This guide is intended for personnel preparing information for data entry.

Core On-Demand Reports (3937 0853)

This guide describes how to run online reports that are provided in the core of the system and

which will be relevant to most implementations of the system. Any options available when

producing a report are detailed as well as any specific calculations.

On-Demand Reports Guide (3937 0937)

This guide describes on-demand reports in alphabetical order. Any options available when

producing a report are detailed as well as any specific calculations. Note: core reports are

described in the Core On-Demand Reports Guide; retail reports are described in the Retail On-

Demand Reports Guide.

Overnight Reports (3937 0861)

This guide describes how to run offline reports. This includes an overview of overnight

processing. Instructions on how to initiate reports are given. This guide should be used by all

personnel who need to understand the reports and the overnight process.

Data Dictionary (3937 0226)

This document provides details of data fields within every dataset on your banking systems

database. This document should be used by staff preparing the accounting models and writing

SQL reports to inquire on the database.

Guide to Interfaces with External Systems (3937 0911)

This guide describes the running of all the interfaces between your Banking Back-Office system

and external systems. This guide is intended for personnel involved in setting up and running

external interfaces.



About This Guide

viii 3937 0135-930

Order Transport Management System (3937 1018)

This guide describes how to enter stock exchange securities contracts using the Order Transport

and Management System. The screens in this guide allow users to add, maintain and inquire on

deals, convert deals into stock exchange securities contracts, and liaise with brokers to complete

settlement of a deal. This guide is intended for personnel preparing information for data entry.

Portfolio Management (3937 1026)

This guide describes how to create portfolios for the clients and agents who will be trading stock

exchange securities with your institution. A large array of inquiry screens for managing these

portfolios is also described. This guide is intended for personnel preparing information for data

entry.

Stock Exchange and Securities Management (3937 1000)

This guide describes how to set up and maintain the securities master file, allowing you to recorddetails of stock exchange securities. This guide also describes how to create, maintain and inquire

on contracts based on stock exchange securities, including the necessary static data.

Loan Administration System Guide (3937 0994)

This guide describes the data entry screens associated with Syndicated Loans. It includes entry of

facilities, and contracts such as drawdowns, guarantees and acceptances and their schedules. The

screens in this guide allow users to enter data using workflows. This guide is intended for

personnel preparing information for data entry.

Static Database Reports Guide (3937 0085)

This guide provides examples of the master data information used in the establishment and

production of the static database. It should be used by persons who are familiarising themselves

with the systems functionality.

Static Database Transaction Input Guide (3937 0093)

This guide, in conjunction with the static database, enables users to evaluate the functions and

features of many of the modules. It should be used by persons who are familiarising themselves

with the systems functionality.



3937 0135-930 ix

Contents

Section 1 Foreign Exchange Contracts

Contract Types ......................................................................... 1–1

Outline Deal Input ..................................................... 1–1

All Foreign Exchange Contracts ............................... 1–2

Foreign Exchange Outrights ..................................... 1–3

Market Foreign Exchange Commercial Deals .......... 1–3

Foreign Exchange Swaps ......................................... 1–4

Foreign Exchange Divided Swaps ........................... 1–4

Inter-Accounting Centre Loans and Deposits .......... 1–4Inter-Accounting Centre Deals through Foreign

Exchange Accounting Centre ............................... 1–5

Foreign Exchange Profits ....................................................... 1–6

Traditional Liquidation Method ................................. 1–6

Accrual Methods ....................................................... 1–6

Taking Profit into the Books ...................................... 1–10

Exchange Rates ....................................................................... 1–11

Exchange Rate Width Bands .................................... 1–11

Confirmation and Payment Advices ...................................... 1–12

Nostro and Agent Combinations for Foreign Exchange ..... 1–13

Foreign Exchange Positions ................................................... 1–17

Entering Opening Positions .................................................... 1–18

Setting Up Foreign Exchange Spot Positions .......... 1–19

Setting Up Foreign Exchange Profit Positions ......... 1–20Statistics ................................................................................... 1–21

Euro Related Information ........................................................ 1–21

Section 2 Foreign Exchange Screens

Introduction to Foreign Exchange ......................................... 2–1

Creating a Foreign Exchange Contract ................................. 2–2

Straight Through Processing (STP) ......................... 2–3

Foreign Exchange Default Maintenance (FXDFM) ................ 2–3

Foreign Exchange Outline Deal Input (FXDEA) .................... 2–5

Foreign Exchange Market Contract Screens ........................ 2–7

Foreign Exchange Market Add (FXMKA) ................. 2–8

Foreign Exchange Market Change (FXMKC) .......... 2–10Foreign Exchange Market Inquire/Delete (FXMKI) .. 2–11

Foreign Exchange Takeup Screens ....................................... 2–12

Foreign Exchange Takeup Add (FXTKA) ................. 2–13

Foreign Exchange Takeup Change (FXTKC) .......... 2–14

Foreign Exchange Takeup Inquire/Delete (FXTKI) .. 2–14



Contents

x 3937 0135-930

Foreign Exchange Swap Contract Screens .......................... 2–15

Foreign Exchange Swap Add (FXSWA) .................. 2–16

Foreign Exchange Swap Change (FXSWC) ............ 2–18

Foreign Exchange Swap Inquire/Delete (FXSWI) .... 2–19

Foreign Exchange Inter-Accounting Centre Loan/Deposit

Contract Screens ................................................................. 2–20Foreign Exchange Inter-Accounting Centre

Loan/Deposit Add (FXLDA) ................................. 2–21

Foreign Exchange Inter-Accounting Centre

Loan/Deposit Change (FXLDC) ........................... 2–23


Loan/Deposit Inquire/Delete (FXLDI) ................... 2–24

Foreign Exchange Inter-Accounting Centre Contract

Screens ................................................................................. 2–25

Foreign Exchange Inter-Accounting Centre Add

(FXIDA) ................................................................ 2–26

Foreign Exchange Inter-Accounting Centre Change

(FXIDC) ................................................................ 2–27


Inquire/Delete (FXIDI) .......................................... 2–27

Contract Diary Narratives ....................................................... 2–28

FX Positions Summary (FXPSI) .............................................. 2–29

Section 3 Money Market Contracts

Contract Types ......................................................................... 3–1

All Money Market Contracts ................................................... 3–2

Interest Accrual ........................................................................ 3–2

Automatic Rollover Facility .................................................... 3–3

Automatic Rollover of Money Market Fixed Rate

and Index Rate Loans and Deposits .................... 3–3

Automatic Rollover of Money Market Base RateDeposits ............................................................... 3–4

Payments .................................................................................. 3–5

Fixed Rate Loans and Deposits ............................................. 3–5

Index Rate Loans and Deposits ............................................. 3–5

Base Rate Loans and Deposits .............................................. 3–5

Discounted Loans .................................................................... 3–6

Fiduciary Contracts ................................................................. 3–6

Money Market Schedule Events ............................................. 3–7

Fixed Rate Loan or Deposit Schedule Events ......... 3–7

Index Rate Loan or Deposit Schedule Events ......... 3–7

Base Rate Loan or Deposit Schedule Events .......... 3–7

Mark to Market Valuation ........................................................ 3–8

Penalty Charges ....................................................................... 3–8

Withholding Tax ....................................................................... 3–9Interest Accrual After Due Date ............................................. 3–9

Cost of Funds ........................................................................... 3–10

Confirmation and Payment Advices ...................................... 3–10

Nostro and Agent Combinations for Money Market ............ 3–11



Contents

3937 0135-930 xi

Section 4 Money Market Screens

Introduction to Money Market Screens ................................. 4–1

Creating a Money Market Contract ........................................ 4–2

Creating a Fiduciary Contract ................................................. 4–3

Straight Through Processing (STP) ......................... 4–5Money Market Default Maintenance (MMDFM) ...................... 4–5

Money Market Outline Deal Input (MMDEA) .......................... 4–7

Money Market Fixed Rate Loan/Deposit Screens ................. 4–9

Money Market Loan/Deposit Add (MMLDA) ............. 4–9

Money Market Loan/Deposit Change (MMLDC) ...... 4–11

Money Market Loan/Deposit Inquire/Delete

(MMLDI) ............................................................... 4–12

Money Market Fixed Rate Loan/Deposit Schedule

Screens ................................................................................. 4–13

Money Market Loan/Deposit Schedule Add

(MMLSA) .............................................................. 4–13

Money Market Loan/Deposit Schedule Change

(MMLSC) .............................................................. 4–15Money Market Loan/Deposit Schedule

Inquire/Delete (MMLSI) ........................................ 4–16

Money Market Base Rate Loan/Deposit Screens ................. 4–17

Money Market Base Rate Loan/Deposit Add

(MMBRA) .............................................................. 4–17

Money Market Base Rate Loan/Deposit Change

(MMBRC) ............................................................. 4–19

Money Market Base Rate Loan/Deposit

Inquire/Delete (MMBRI) ....................................... 4–21

Money Market Base Rate Loan/Deposit Schedule

Screens ................................................................................. 4–22

Money Market Base Rate Schedule Add

(MMBSA) .............................................................. 4–22

Money Market Base Rate Schedule Change(MMBSC) .............................................................. 4–24

Money Market Base Rate Schedule Inquire/Delete

(MMBSI) ............................................................... 4–25

Money Market Index Rate Loan/Deposit Screens ................. 4–26

Money Market Index Rate Loan/Deposit Add

(MMIRA) ............................................................... 4–26

Money Market Index Rate Loan/Deposit Change

(MMIRC) ............................................................... 4–28

Money Market Index Rate Loan/Deposit

Inquire/Delete (MMIRI) ......................................... 4–30

Money Market Index Rate Loan/Deposit Schedule

Screens ................................................................................. 4–31

Money Market Index Rate Schedule Add (MMISA) . 4–31

Money Market Index Rate Schedule Change

(MMISC) ............................................................... 4–34

Money Market Index Rate Schedule Inquire/Delete

(MMISI) ................................................................. 4–35



Contents

xii 3937 0135-930

Money Market Discounted Loan Screens ............................. 4–36

Money Market Discounted Loan Add (MMDLA) ...... 4–36

Money Market Discounted Loan Change

(MMDLC) .............................................................. 4–38

Money Market Discounted Loan Inquire/Delete

(MMDLI) ............................................................... 4–40Fiduciary Contract Screens .................................................... 4–41

Fiduciary Loan/Deposit Maintenance (FILDM) ........ 4–41

Fiduciary Loan Inquiry (FILNI) .................................. 4–44

Contract Diary Narratives ....................................................... 4–46

Section 5 Definition of Field Names

Introduction .............................................................................. 5–1

Appendix A Calculations

Introduction .............................................................................. A–1Interest ...................................................................................... A–1

Foreign Exchange Calculations ............................................. A–1

Mark to Market Calculations ..................................... A–2

Profit Currency Determination .................................. A–3

Profit/Loss Determination ......................................... A–3

Total Profit on Foreign Exchange Deal .................... A–4

Position Rate Change by Currency .......................... A–5

Interpolation of Market Interest Rates ...................... A–6

Money Market Calculations .................................................... A–7

Brokerage ................................................................. A–7

Interest Paid ............................................................. A–7

Book Value ............................................................... A–7

Yield Rate ................................................................. A–7

Index ..................................................................................... Index–1



3937 0135-930 xiii

Figures

1–1 FX Position Installation Change screen .................................................. 1–19

1–2 FX Profit Installation Change screen ...................................................... 1–20

2–1 Flow of Foreign Exchange Contract Creation Screens .......................... 2–2

2–2 Foreign Exchange Default Maintenance screen ..................................... 2–4

2–3 Foreign Exchange Outline Deal Input screen for Foreign Exchange

Market Contracts ................................................................................ 2–6

2–4 Foreign Exchange Market Add screen ................................................... 2–9

2–5 Foreign Exchange Market Change screen ............................................. 2–10

2–6 Foreign Exchange Takeup Add screen .................................................. 2–13

2–7 Foreign Exchange Swap Add screen ..................................................... 2–172–8 Foreign Exchange Swap Change screen ............................................... 2–19

2–9 Inter-Accounting Centre Loan/Deposit Add screen ................................ 2–22

2–10 Foreign Exchange Inter-Accounting Centre Loan/Deposit Change

screen ........................................................................................ 2–23

2–11 Foreign Exchange Inter-Accounting Centre Add screen ........................ 2–26

2–12 Foreign Exchange Inter-Accounting Centre Change screen .................. 2–27

2–13 Foreign Exchange Positions Summary screen ....................................... 2–29

4–1 Flow of Money Market Contract Creation Screens ................................. 4–2

4–2 Flow of Fiduciary Contract Creation Screens ......................................... 4–4

4–3 Money Market Default Maintenance screen ........................................... 4–6

4–4 Money Market Outline Deal Input screen ............................................... 4–8

4–5 Money Market Loan/Deposit Add screen ................................................ 4–10

4–6 Money Market Loan/Deposit Change screen ......................................... 4–124–7 Money Market Loan/Deposit Schedule Add screen ............................... 4–14

4–8 Money Market Loan/Deposit Schedule Change screen ......................... 4–15

4–9 Money Market Loan/Deposit Schedule Inquire/Delete screen ............... 4–16

4–10 Money Market Base Rate Loan/Deposit Add screen .............................. 4–18

4–11 Money Market Base Rate Loan/Deposit Change screen ....................... 4–20

4–12 Money Market Base Rate Schedule Add screen .................................... 4–23

4–13 Money Market Base Rate Schedule Change screen .............................. 4–24

4–14 Money Market Base Rate Schedule Inquire/Delete screen .................... 4–25

4–15 Money Market Index Rate Loan/Deposit Add screen ............................. 4–27

4–16 Money Market Index Rate Loan/Deposit Change screen ....................... 4–29

4–17 Money Market Index Rate Schedule Add screen ................................... 4–33

4–18 Money Market Index Rate Schedule Change screen ............................. 4–34

4–19 Money Market Index Rate Schedule Inquire/Delete screen ................... 4–35

4–20 Money Market Discounted Loan Add screen .......................................... 4–37

4–21 Money Market Discounted Loan Change screen ................................... 4–39

4–22 Fiduciary Loan/Deposit Maintenance screen ......................................... 4–43

4–23 Fiduciary Loan Inquiry screen ................................................................. 4–45



Figures

xiv 3937 0135-930



3937 0135-930 xv

Tables

1–1 Entries in Nostro and Agent Fields - Foreign Exchange ......................... 1–14

3–1 Entries in Nostro and Agent Fields - Money Market ............................... 3–12

5–1 Definition of Field Names ........................................................................ 5–1



Tables

xvi 3937 0135-930



3937 0135-930 1–1

Section 1Foreign Exchange Contracts

Contract Types

The Foreign Exchange module processes the following types of contract:

• Foreign Exchange Outrights

• Market Foreign Exchange Commercial Deals

• Foreign Exchange Swaps

• Foreign Exchange Divided Swaps

• Inter-Accounting Centre Loans and Deposits

• Inter-Accounting Centre Deals through Foreign Exchange Accounting Centre

Outline Deal Input

The outline deal input facility, see 'Entering an Outline Deal' in the Starter's Guide for full details,

can be used to enter:

• Foreign Exchange Outrights

• Market Foreign Exchange Commercial Deals

• Foreign Exchange Swaps

• Foreign Exchange Divided Swaps

However, outline deals are not relevant to:

• Inter-Accounting Centre Loans and Deposits

• Inter-Accounting Centre Deals through Foreign Exchange Accounting Centre



Foreign Exchange Contracts

1–2 3937 0135-930

All Foreign Exchange Contracts

Each contract is linked to a General Ledger Master and an accounting centre. A default can be set

up for the General Ledger Master and Accounting Centre. The General Ledger Master determines

the ledger category for the contract, see the General Ledger Administration Guide for further information on General Ledger Masters.

If a contract is arranged through a broker, the brokerage payable can be either entered as an

amount or calculated from the Brokerage Tables. When brokerage is calculated the contract

exchange rate is used if the brokerage currency is one of the deal currencies; the mid market

exchange rate is used if the brokerage currency is neither of the deal currencies.

Back-valued Foreign Exchange contracts can be entered. They are matured as they are entered.

All necessary accounting entries are processed and the Foreign Exchange profits are adjusted as

required.

For each Foreign Exchange contract, you can enter narrative events that are used for reporting

purposes. Each contract can have any number of associated narrative events, provided that each

event has a different value date.




3937 0135-930 1–3

Foreign Exchange Outrights

Outrights are the single exchange of two currencies at a specified exchange rate and on a specified

date.

Split Value Date

Foreign Exchange contracts have a split value date where the purchase and sale events of the two

currencies involved are settled on two different maturity dates, the bought maturity date and the

sold maturity date. This functionality is available only for Foreign Exchange Outright deals.

Market Foreign Exchange Commercial Deals

Commercial Foreign Exchange deals are exchanges of currency on which commission can be

charged. Spot, forward and option deals can be entered.

Spot deals are those that mature on or before the spot date (normally two business days forward).

Commission and charges on the deal are entered when the contract is entered.

Forward deals are those that mature on a specific date beyond the spot date. Commission and

charges can be entered for the maturity of the contract at any time before the maturity date.

Option deals are those for which the initial rate and amount are set at the start date but which may

be settled at any time in the future between two specific dates agreed by the counterparties. The

client can exercise the option in a number of take-ups. Up to 999 take-ups can be made on a

commercial option deal, any number of which can be made on one day.

Take-ups can be made from the option date up to the day before the contract matures. Back or

forward valued take-ups can be entered in which case the accounting entries and profits will be

updated accordingly, on the value date of the forward take-up and on the input date for

backvalued entries.

The deal currency on a takeup is identified when the option deal is entered. All takeups are

calculated on the basis of the current exchange rate, as defined by the system, for that currency.

If the nostro or agent is not entered, the original (parent) contract details are used.

Commission and charges, which can be in any currency, are entered for each takeup. If the

currency is the same as the bought or sold currency, the commission and charges are added to or

subtracted from the exchange amount.




1–4 3937 0135-930

Foreign Exchange Swaps

A Foreign Exchange Swap involves the spot purchase, or sale, of one currency and the reverse

sale, or purchase, of the same amount of that currency against a second currency on a future date.

Foreign Exchange Swaps differ from Divided Swaps in that the counterparty is the same at bothends of the deal. The two ends of the Foreign Exchange Swap take place at specified near and far

dates.

The deal is treated as one contract. For accounting purposes, the Foreign Exchange Swap is

treated as an outright after the near end has been reached, but the contract is reported as a swap.

Foreign Exchange Divided Swaps

Divided Swaps are the near and forward exchange of a common amount in common currencies

where the counterparty differs at each end of the deal. Divided Swaps are entered using two

market Foreign Exchange contract screens, one for the near end of the deal and one for the far end

of the deal. An indicator field is used to identify the contract as a Divided Swap and the contract

to which it relates is identified by a unique reference number.

Inter-Accounting Centre Loans and Deposits

These are internal loans and deposits between two accounting centres in the same or different

sectors of your bank, made via the Foreign Exchange accounting centre.

The inter-accounting centre loan and deposit deal enables an accounting centre that is short of

funds in one currency to borrow from an accounting centre that is long on funds in a different (or

in the same) currency, at internal rates of interest.

Within the system an inter-accounting centre loan/deposit is divided into two separate deals:

• A deal between the lending accounting centre and the Foreign Exchange accounting centre

• A deal between the borrowing accounting centre and the Foreign Exchange accounting centre

The internal funding can either be in a single currency, or across currencies (interest arbitrage). In

the former case both sides of the deal must have the same interest rate and basis. In the latter case,

the inter-accounting centre loan and deposit deal consists of a deposit of one currency from the

lending accounting centre to the Foreign Exchange accounting centre, and a loan in another

currency to the borrowing accounting centre.

For interest arbitrage, the exchange rate and the two rates of interest charged for the deal are fixed

and determine the allocation of profit between the three accounting centres. The external cash

flows in each accounting centre are balanced by the internal transaction and the exchange risk on

any mismatched interest is identified in the forward currency positions. The exchange risk to boththe principal and interest is included in the Foreign Exchange accounting centre's positions, ladder

and profitability reporting.




3937 0135-930 1–5

Inter-Accounting Centre Deals through Foreign ExchangeAccounting Centre

These are outright Foreign Exchange deals, either spot or forward, between two accounting

centres (one of which must be the Foreign Exchange accounting centre) in the same or different

sectors of your bank.

The inter-accounting centre deal enables accounting centres to cover their customer generated

Foreign Exchange requirements internally. The Foreign Exchange positions of the accounting

centres involved are automatically updated when the transaction is entered and are included in the

maturity ladder. Any profit or loss obtained by the dealers is reported in the accounting centre

profitability figures.




1–6 3937 0135-930

Foreign Exchange Profits

Two methods of reporting Foreign Exchange profits on a daily basis are provided. These are:

• The traditional liquidation method, which uses the forward market rates

• The accruals method which uses the swap differential at the time of the deal

Traditional Liquidation Method

Traditional liquidation determines profits by valuing the forward Foreign Exchange book at its

current liquidation value.

This method of calculating profit is refined by enabling you to enter forward (anticipated) market

exchange rates which may then be applied on the maturity date of forward contracts. Such

forward rates cannot be set up for every contract maturity date so, where no rate is available, a

derived rate is applied. This is based on the interpolation between forward rates lying on either

side of the maturity date.

Accrual Methods

When you enter a Foreign Exchange Market deal, you indicate which accrual method you want

the system to use for that deal. When a new contract is set up based on a product, the product's

accrual method will be used by default. However, these defaults can be overwritten when entering

the contract on the add screens except in the cases where the default has been set to None. There

are currently six options available:

• Spot Revaluation

• Undiscounted Special

• Deferred Swap Profits

• Discounted Standard

• Undiscounted Standard

• None

Note: If you enter a deal with a backvalued near date, the system calculates accruals between

input date and maturity date only.

Spot Revaluation

This accrual method is sensitive to changes in the spot exchange rate over the life of a contract.

For Outright deals it is necessary to specify the deal rate and maturity date. Additionally, for

deals that use the spot revaluation method it is also a requirement to specify a near rate and a near

date. These represent the prevailing spot rate and spot date at the time of deal input.

For Swap deals the near rate (i.e. the rate on the near leg) and the near date are always defined.




3937 0135-930 1–7

Spot Revaluation is formed of four elements (all amounts are converted to base currency at mid-

market spot rates):

• Adjustment back to spot (ABTS).

For Outright deals, ABTS is the difference between the non-profit amount converted using

the near rate, and the deal amount.

For Swaps, ABTS is the difference between the far non-profit amount converted using the

near rate, and the far profit Amount.

For both Outright and Swap deals ABTS is calculated only once and is available for posting

on the first day of input.

• Amortised Adjustment (AMADJ)

AMADJ is the ABTS amount amortised between the near date and the day before the

maturity date. For example if the ABTS is 100 and there are 20 days between the near and

maturity dates then the daily AMADJ will be 5.

This amount is calculated on a daily basis and is available from the near date until the day

before maturity.

• Rate Change (RCH)

For Outright deals, RCH is the difference between the non-profit amount converted using the

deal mid market rate, and the profit amount.

For Swap deals, RCH is calculated as follows:

The near leg RCH is the difference between the near non deal amount (converted using the

deal mid market rate) and the deal amount. This ceases after the near leg has passed.

The far leg RCH is the difference between the far non deal amount (converted using the deal

mid market rate) and the deal amount.

The RCH for the Swap is the sum of the near and far leg RCH

This amount is calculated on a daily basis and is available from the second day after input

until maturity.

• Profit Element of Spot (PEL)

PEL is the Rate Change (RCH) amount on the day of input minus the Amortisation Back to

Spot amount (ABTS).

This amount is only available on the day of input.

The total daily profit for a deal is:

• On the day of deal input - PEL plus AMADJ

• On subsequent days after deal input - RCH plus AMADJ

Undiscounted Special

This accrual method is used with traded foreign exchange swap and market contracts that are

undertaken on a speculative basis.




1–8 3937 0135-930

The following calculation is used for each foreign exchange contract that uses the "Undiscounted

Special" accrual method:

1. Using today's spot conversion rates:

• Add or subtract the buy currency forward points to the buy currency market buy rate to

establish the buy currency forward rate.

• Add or subtract the sell currency forward points to the sell currency market sell rate to

establish the sell currency forward rate.

2. The "Deal Amount" is converted to the non deal currency using the currency forward rates

calculated above.

3. The difference between today's revaluation and yesterday's revaluation is taken as the profit

or loss. On the input date the non deal amount is used for comparison.

4. This profit or loss is converted to the base currency using the non deal and base currency mid

market (spot) rates and may be posted as required by the user’s accounting model.

For Foreign Exchange Swaps calculation is repeated for both the near and far legs. The profit and

loss from each leg is made available for posting separately.

Revaluation occurs each day from the input date to and including the exchange date.

Deferred Profits

This accrual method applies for foreign exchange swaps and foreign exchange markets used for

investment purposes.

1. Establish the profit currency:

• If one of the exchange currencies is the base currency, then this is the profit currency

• If neither of the exchange currencies is the base currency, then the deal currency is the

profit currency.

2. The non profit amount is converted to the profit currency using the mid market spot rates

applicable to those currencies.

3. The difference between today's revaluation and yesterday's revaluation is regarded as the

profit or loss. This amount is converted to the base currency using the mid market profit and

base currency rates and posted.

When dealing with foreign exchange swaps, the profit or loss for the near leg is revalued and

posted on a daily basis. Far leg revaluation is posted once at maturity. Revaluation occurs each

day from the input date to and including the exchange date.

When dealing with foreign exchange market, the 'Rolled up Profit and Loss’ that is the total

revaluation is made available on the single daily accrual event (DY) which is then posted on the

maturity date of the deal. It is calculated as follows:

• The non-profit amount is converted to the profit currency at the closing mid market rates on

the maturity date.

• This amount is then netted with the profit amount and the result is converted into the base

currency also at the closing mid market rate.




3937 0135-930 1–9

Undiscounted Standard

This method revalues the deal daily using the current mid market forward rate applicable to the

deal's maturity date.

1. Using today's spot conversion rates:

• Add or subtract the buy currency mid market forward points to the buy currency mid-

market rate to establish the buy currency forward rate.

• Add or subtract the sell currency mid market forward points to the sell currency mid-

market rate to establish the sell currency forward rate.

2. Establish the profit currency:

• If one of the currencies is the base currency, then this is the profit currency

• If neither of the currencies is the base currency, then the deal currency is the profit

currency.

3. The non profit amount is converted to the profit currency using the currency forward rates

calculated above.

4. The difference between the buy and sell amounts (both denominated in the profit currency) is

converted to the base currency using the profit and base currency mid-market rates.

5. This figure is compared with yesterday's net revaluation and the difference is posted.

For Foreign Exchange Swaps, this calculation is repeated for both the near and far legs. The profit

and loss from each leg is made available for posting separately.

Revaluation occurs each day from the input date to and including the exchange date.

Discounted Standard

This method uses market forward rates as defined in Undiscounted Standard to revalue into basecurrency and then discounts this figure back to the current date using a named base currency zero-

coupon rates table to give the present value.

All the first five points of the Undiscounted Standard method are appropriate when using

Discounted Standard. In addition, once the base currency is established, it is discounted before it

is compared with yesterday's net revaluation.

Present Value =Mark to Market

Discount Factor

Discount Factor Calculation:

1100

+

Discount Rate N

N = Number of days to maturity

Base currency interest basis




1–10 3937 0135-930

Discount Rate:

The discount rate table is defined in the blueprint parameter BP-ZRO-CPN-RTE-TBL. The

system accesses the rate applicable to the base currency. If the number of days to maturity is

between two rates as defined on the table, a rate will be interpolated.

Note: The blueprint parameter BP-DISC-ADV may hold a value which defines the number of

working days from the current system date to the “present date” to which the “present

value” relates. The default is zero days ahead that is discounting back to today’s date. If

set to 2, then discounting will be back to the spot date instead.

None

This method may be specified in order to prevent certain Foreign Exchange contracts from being

revalued. As there is no revaluation the positions do not get updated.

Taking Profit into the Books

Both the Traditional Liquidation and Accrual methods of calculating Foreign Exchange profit

produce the same valuation of total contract profit at maturity. The figures calculated from the

Accrual Method are those that are used for passing to the accounting models. The Traditional

Liquidation method is used for reporting purposes only. The passing of Foreign Exchange profit

into the books of your bank is optional.

The net postings are available at maturity so that the sums can be automatically transferred from

unrealised accounts into profit and loss accounts.




3937 0135-930 1–11

Exchange Rates

Exchange rates on Foreign Exchange contracts can be between 0 and 9999 with an accuracy of up

to eight decimal places. When you enter a contract, you need only enter the deal amount and the

exchange rate. It is also possible to enter the amount of the other currency involved in the deal; if the other amount is not entered it is calculated automatically.

Note: If the exchange rate entered is close to one, both the deal amount and the non-deal

amount must be entered. The margins allowed for the exchange rates are controlled by

the blueprint parameters (BP-HI-XRATE and BP-LO-XRATE) set up at installation.

Current spot rates are determined from the market-buy and market-sell rates, which are held on

the Exchange Rates Table.

In a multi-sector environment, exchange rates used for validation and profit calculation are

associated with the accounting centre from which the deal originates when it is entered.

For deals that involve an exchange of the base currency, the current spot rate is either the market-

buy or sell rate for the “other” currency, depending on whether it is being bought or sold.

For deals that do not involve the base currency, the current spot rate is calculated as a cross-rate

using the market-sell rate (for the sold currency) and the market-buy rate (for the bought

currency).

For certain Foreign Exchange deals the exchange rate field is invalid with the introduction of the

euro. (See Euro Related Information in the Core Functions and Inquiries Guide.)

Exchange Rate Width Bands

When you enter a Foreign Exchange contract, the exchange rate is checked to see whether it falls

within width bands when compared with the current spot rate for the bought and sold currencies.The width bands for each currency are held on the Currencies (CCYS) table.

These bands work as follows:

1. If the exchange rate is within the first band, it is accepted.

2. If the exchange rate is outside the first band, but within the second band, a wide code must be

entered to accept it.

3. If the exchange rate is outside the second band, a management code must be entered to accept

it.

For deals that involve an exchange of the base currency, the width bands held for the “other”

currency in the deal are used.

For deals that do not involve the base currency, the width bands are calculated by multiplying the

percentages held for each currency.




1–12 3937 0135-930

Confirmation and Payment Advices

Input confirmations are printed (or S.W.I.F.T. messages are generated) when a contract is entered.

Confirmations for subsequent events are produced a number of days in advance of the event (as

set up at installation). These subsequent confirmations are produced during the end-of-day

processing.

Payment advices are printed (or S.W.I.F.T. messages are generated) whenever a movement of

currency is recorded. For inter-accounting centre contracts, no payment advices are printed (nor

S.W.I.F.T. messages generated) since there is no external cash flow. When Foreign Exchange

Swaps are entered, payment advices are produced for both ends of the swap.

For each contract entered, you can specify the priority of the S.W.I.F.T. messages generated for

that contract by making an entry in the 'Message Priority' field. If you do not specify the message

priority, the default value is used.




3937 0135-930 1–13

Nostro and Agent Combinations for ForeignExchange

The accounts between which payments are made are automatically identified, on the basis of thenostros and agents that have been set up for each particular contract giving rise to the notice or

payment. Default nostro and agents may be allocated according to rules set up on the Nostro

Settlement Defaults (NSDFM) and the Agent Settlement Defaults (AGDFM) tables. If

compensating payments are being made through a Nostro, the payments can be netted so that no

actual payment is made.

A nostro account is defined as “our account with another bank” (the correspondent). In order to

correctly reflect any money held with another bank, a copy of the nostro account is maintained in

its own books.

Nostro accounts are set up using the Nostro Details (NSTRO) table. They are identified by a

nostro number and currency or a nostro name and currency.

An agent is defined as a “third party responsible for paying or receiving funds on a contract”.

Agents are set up using the Agent Details (AGNTM) table. They are identified by an agent

nickname.

For details of how to set up nostros and agents, see the Settlements Guide.

Nostros and Agents are specified when entering certain contracts under the Foreign Exchange

module. In order that instructions for the transfer of funds are correctly generated (using either the

S.W.I.F.T. network, if applicable, or printed messages), the system ensures that only valid

combinations of nostros and agents can be specified for each contract.

Table 1-1 lists and describes valid combinations of entries in the nostro and agent fields. Note the

following:

• A nostro can be identified by either its name or number.

• The use of an Agent does not necessarily indicate that an account relationship exists between

the bank and the agent. For example settlement messages may be sent by the bank to its pay

nostro, with information for onward transmission to the client's agent. Similarly, settlement

messages may be received from the client's agent by the bank's receive nostro, with

information for onward transmission to the bank.

• Standard settlement instructions can be entered to use the default settings for the nostro and

agent for the contract. These instructions can be applied to the contract by entering ‘SSI’ in

the required Receive/Pay Nostro/Agent fields. Following acceptance of the contract,

whenever it is displayed whether for maintenance or inquiry, the entered field will display

‘SSI’ not the agent name/number or nostro/number. ‘SSI’ cannot be entered for an agent or

nostro if the default has not been defined.

When SSI has been entered for an agent or nostro, the default agent and nostro details can be

displayed by double clicking on the ‘SSI’ entry. This facility is only available when you are

using the Graphic User Interface (GUI). For fuller details, see the Core Functions and

Inquiries Guide.




1–14 3937 0135-930

Note: The default settings for both the agent and the nostro can be entered using other

methods. Entering the number or name for the default agent or nostro will display the

entered detail for the agent or nostro. Leaving the agent or nostro blank will result in the

system applying the default, if available, or ‘T’ (To be advised).

Table 1–1. Entries in Nostro and Agent Fields - Foreign Exchange

Nostro Agent Description

Number/Name Name Your correspondent and the client's agent

are different. The agent's nickname is

entered in the Agent field.

Number/Name Number/Name The client's agent is one of your

correspondents:

1. The nostro number/name in the Nostro

field can be different from the nostro

number/name in the Agent field.

2. If your correspondent and the client'sagent are the same, the nostro

number/name entered in the Nostro field

can refer to the same nostro as that


Number/Name S Your correspondent and the client's agent

are the same. (This is equivalent to 2.

above).

Number/Name U There is no agent.

Number/Name T Your correspondent is known; the client's

agent is to be advised. If a S.W.I.F.T.

message would normally have been sent,

this combination will result in it not being

sent - printed messages will be generatedinstead.

V Vostro A/C No. Posting is to be made using a vostro. The

Agent field identifies the account to be used.

D Name Posting is to be made directly from/to your

bank to/from the client's agent. You can

enter either an agent's nickname or a nostro

number/name in the agent field.

D U There is no agent. Posting is to be made

directly from your bank to the error suspense

account. When the receive account is

known, use the batch postings facility to

effect the transfer.

D T Posting is to be made directly from your bank to a client's agent who is to be advised.

If a S.W.I.F.T. message would normally have

been sent, this combination will result in it

not being sent - printed messages will be

generated instead.




3937 0135-930 1–15


T Name Your correspondent is to be advised; the

client's agent is known. You can enter a

nostro number/name in the Agent field. This

combination will result in S.W.I.F.T.messages not being sent - printed

messages will be generated instead.

T U Your correspondent is to be advised and the

client doesn't have an agent. This

combination will result in S.W.I.F.T.

messages not being sent - printed


T T Both your correspondent and the client's

agent are to be advised. The settlement

message will be sent directly to the nostro,

when entered. This nostro/agent

combination should be used with care when

payment takes place at the start event. This




C T No payment is to be made, as the payment

amount is to be compensated by a second

contract.

SSI SSI The contract is to use the default nostro and

agent defined using the Agent Settlement

Defaults (AGDFM) screen and the Nostro

Settlement Defaults (NSDFM) screen.

Number/Name/

SSI/blank

SSI The contract is to use the default agent

defined using the Agent Settlement Defaults

(AGDFM) screen.

SSI Number/Name/

SSI/Blank

The contract is to use the default nostro

defined using the Nostro Settlement Defaults

(NSDFM) screen.

Number/Name/

SSI

NSTD Settlement instructions specific to the

contract are to be used for the agent. Enter

‘NSTD’ in the “Their Receive Agent” field and

clicking “Settlement Instructions” will link to

the Non Standard Settlement Instructions

(NSTDM) screen.

Any of the Agent identifiers shown in Table 1-1 can be replaced by the exact S.W.I.F.T. address

of the agent. Only do so if you are certain of the address, which must be entered using an '@'

symbol followed by the appropriate 8 or 11 character S.W.I.F.T. address.




1–16 3937 0135-930

Only the following formats should be used:

• @BBBBCCLL

• @BBBBCCLLXXX

Where:

BBBB = Four alphabetic characters representing the S.W.I.F.T. bank identifier

CC = Two alphabetic characters representing the S.W.I.F.T. country code

LL = S.W.I.F.T. location code

XXX = Three alphabetic/numeric characters representing the S.W.I.F.T. branch code (if

applicable)




1–18 3937 0135-930

Entering Opening Positions

Before the system was installed at your bank, you may have been involved in foreign exchange

trading. Foreign exchange positions may therefore already exist. Furthermore, during migration of

data, new contracts will have been entered into. It is therefore important that, before installation iscomplete, you are able to verify that the foreign exchange positions with which this system starts

are correct.

The following screens are used to set up your opening foreign exchange positions, to reflect the

correct starting point for the system:

• Foreign Exchange Position Installation Change (FXPSC)

• Foreign Exchange Profit Installation Change (FXPFC)

These screens can be set up in any order. They can only be used before installation is complete:

The “Installation Complete” indicator on the System Parameters (SPMTR) table must be switched

off

T The “Installation Complete” indicator on the System Parameters (SPMTR) table must be set to

“N”

Once the installation process is completed, these screens cannot be used.

The definitions of the fields appearing on these screens are shown in “Definition of Field Names”.




3937 0135-930 1–19

Setting Up Foreign Exchange Spot Positions

Foreign exchange spot positions are set up on the FX Position Installation Change screen

(FXPSC).

FX Position Installation Change (FXPSC)

This screen is used to set up the foreign exchange spot position for each accounting centre and

currency combination. For each combination, complete the following:

Enter the accounting centre and currency mnemonics and click Inquire

When all the information is displayed, change the spot position to the required amount and click

Change

T Enter the accounting centre and currency mnemonics and press Transmit

When all the information is displayed, change the spot position to the required amount and pressTransmit

The system calculates the new net spot and open positions and displays the new positions.

The following figure shows an example of the FX Position Installation Change screen.

Figure 1–1. FX Position Installation Change screen




1–20 3937 0135-930

Setting Up Foreign Exchange Profit Positions

The foreign exchange untransferred profit to date is set up on the FX Profit Installation Change

screen (FXPFC).

FX Profit Installation Change (FXPFC)

This screen is used to set up the untransferred profit to date for each accounting centre. For each

accounting centre, complete the following steps:

Enter the accounting centre mnemonic and click Inquire

When the information is displayed, enter the untransferred profit to date and click Change

T Enter the accounting centre mnemonic and press Transmit

When the information is displayed, enter the untransferred profit to date and press Transmit

The following figure shows an example of the FX Profit Installation Change screen.

Figure 1–2. FX Profit Installation Change screen




3937 0135-930 1–21

Statistics

Statistical information is maintained for each contract for the current period and since the contract

was entered.

For outrights, swaps, commercial Foreign Exchange deals and inter-accounting centre deals, the

following statistics are maintained:

• Total profit on spot element profit accrued

• Total rate change profit accrued

• Total amortised adjustment back to spot accrued

For inter-accounting centre loans and deposits, the following statistics are maintained:

• Total interest revenue accrued

• Total interest expense accrued

These statistics are maintained during Overnight processing by the FXEOD - Foreign Exchange

End-of-Day Update report, see the Overnight Reports Guide for details.

Euro Related Information

Economic and Monetary Union (EMU) is a process by which certain countries in the European

Union are converting their national currencies (also called “in” currencies) into a single European

currency called the Euro.

The system supports this conversion process fully for all currencies and all phases of the

conversion (see "Euro Related Information" in the Core Functions and Inquiries Guide for moreinformation).




1–22 3937 0135-930



3937 0135-930 2–1

Section 2Foreign Exchange Screens

Introduction to Foreign Exchange

This section provides a description of each Foreign Exchange screen:

• Foreign Exchange Default Maintenance (FXDFM)

• Foreign Exchange Outline Deal Input (FXDEA)

• FX Market Contract (FXMKA/C/I)

• FX Takeup (FXTKA/C/I)

• FX Swap (FXSWA/C/I)

• FX Inter-Accounting Centre Loan/Deposit (FXLDA/C/I)

• FX Inter-Accounting Centre Deals (FXIDA/C/I)

• Contract Diary Narratives (CNARA/M)

• FX Positions Summary (FXPSI)

Refer to the Starter's Guide for a description of how to access and use screens.

For each screen the following is provided:

• A description of its use

• An example of the screen

A full description of the fields on the screens is given in Section 5, "Definition of Field Names".



Foreign Exchange Screens

2–2 3937 0135-930

Creating a Foreign Exchange Contract

A foreign exchange contract is created by completing the appropriate screen. The foreign

exchange contract creation process is illustrated in the following flow.

Figure 2–1. Flow of Foreign Exchange Contract Creation Screens

Note: The outline deal screens are only relevant to Foreign Exchange Market and Foreign

Exchange Swap contracts.

In addition to the above screens, there are screens to:

- change, copy, delete, replace and inquire on individual contracts

- show the foreign exchange positions for a particular accounting centre

- perform a debit adjustment on the profit position by crediting a specified general

ledger account.

Set up the defaults for all

foreign exchange contracts

(FXDFM)

Foreign Exchange

Defaults Maint

Define foreign

exchange contracts

If the foreign exchange

market contract is an option

deal, enter the takeup deal

when it is needed

Foreign

Exchange

Swap - Add

(FXSWA)

Foreign Exchange

Inter-Accounting Centre

Loan/Deposit - Add

(FXLDA)

Foreign Exchange

Inter-Accounting

Centre - Add

(FXIDA)

Foreign

Exchange

Takeup - Add

(FXTKA)

Foreign

Exchange

Market - Add

(FXMKA)

(CNARA)

Contract Diary

Narrative - Add

If required, enter diary events

for any individual

foreign exchange contract

(FXDEA)

Foreign Exchange

Outline Deal Input

(DEALQ)

Outline Deal

Queue

(DEAL)

Outline Deal

Add

Enter details of the foreign

exchange outline deal

Initiate outline deal entry

Select the foreign exchange

outline deal for verification

and contract entry (LEAD1)

Contract

Initiate direct

contract entry

Input




3937 0135-930 2–3

Straight Through Processing (STP)

If your organisation is using Straight Through Processing (STP) method for entering Foreign

Exchange contracts, enter the contract details as an outline deal as described in the Starter's

Guide. STP applies defaults, performs the Add validation, allocates a contract number and adds

the contract to the system without any manual intervention. See 'Entering and Inquiring onContracts' in the Starter's Guide for further details.

If STP fails, the outline deal details can be found on the Outline Deal Queue (DEALQ) screen.

The reason for the failure can be viewed using the Deal Inquiry (DEALI) screen.

Note : Straight Through Processing cannot be carried out for Foreign Exchange Inter-

Accounting Centre Loan/Deposit and Foreign Exchange Inter-Accounting Centre deals.

Foreign Exchange Default Maintenance (FXDFM)

Use this screen to set up default details for a foreign exchange product type. The defaults that you

enter here are used when a contract is entered by any of the following methods:

• If you have completed the Contract Input (LEAD1) screen, the product defaults are

automatically displayed on the appropriate contract deal entry screen

• If you are entering a contract via the Outline Deal Queue (DEALQ) screen, the product

defaults are automatically displayed on the appropriate contract deal entry screen

• If you have displayed a blank contract deal entry screen, then the defaults can be recalled by

entering:

“Product Type” on the blank contract deal entry screen and clicking Add

T “Product Type” on the blank contract deal entry screen and pressing Transmit

The availability of defaults for a product saves key strokes when entering a deal and helps to

standardise details across deals involving the same product.

Default details include currencies, settlement details and brokerage details. Any of the defaults

recalled onto a contract entry screen may be overwritten.

The defaults that you set up on the Foreign Exchange Default Maintenance (FXDFM) screen are

associated with a “Product Type”. Product Types are defined on the Product Types Maintenance

(PRTPM) screen, see the Core Functions and Inquiries Guide for more information.




2–4 3937 0135-930

The following figure shows an example of the Foreign Exchange Default Maintenance screen.

Figure 2–2. Foreign Exchange Default Maintenance screen




3937 0135-930 2–5

Foreign Exchange Outline Deal Input (FXDEA)

You will be routed to this screen if you enter a foreign exchange market or foreign exchange

swap product on the Outline Line Deal Add (DEAL) screen, see the Starter's Guide for details.

Use the Foreign Exchange Outline Deal Input (FXDEA) screen to view your exposure to a client

and to submit an outline deal to the Outline Deal Queue (DEALQ) from which it can be verified

and the contract added to the system. See 'Entering an Outline Deal' in the Starter's Guide for full

details of outline deals.

When adding Broker details, you can override the existing default Broker details if required and

enter a new brokerage amount.

When you enter an exchange rate, the rate width checking will derive a rate from the exchange

rate group.

If the Foreign Exchange Outline Deal Input (FXDEA) screen does not allow you to enter an

exchange rate. (See Euro Related Information in the Core Functions and Inquiries Guide.)

If the 'Split Maturity Indicator' is set to “Yes”, you complete the bought and sold maturity dates

and leave the 'Maturity Date' field blank. If the contract is not for Split Value Date then enter the

maturity date in the 'Maturity Date' field and ignore the bought and sold maturity dates (see

'Definition of Field Names' in Section 5).

Note: When you are completing the Foreign Exchange Outline Deal Input (FXDEA) screen,

the dates entered are not checked to determine whether they fall on a holiday. Holiday

checking occurs when the contract is added onto the system using either the Foreign

Exchange Market Add (FXMKA) or the Foreign Exchange Swap Add (FXSWA) screen.




2–6 3937 0135-930

The following figure shows an example of the Foreign Exchange Outline Deal Input screen.

Figure 2–3. Foreign Exchange Outline Deal Input screen for Foreign Exchange

Market Contracts




3937 0135-930 2–7

Foreign Exchange Market Contract Screens

The following screens are used to define and maintain foreign exchange market contracts. For

general information on foreign exchange contracts see ‘All Foreign Exchange Contracts’ in

Section 1.

• FX Market - Add (FXMKA)

• FX Market - Changed (FXMKC)

• FX Market - Inquire or Delete (FXMKI)

These screens can be used to enter:

• Foreign exchange outrights (see ‘Foreign Exchange Outrights’ in Section 1)

• Divided Swaps (see ‘Foreign Exchange Divided Swaps’ in Section 1)

• Commercial deals (see ‘Market Foreign Exchange Commercial Deals’ in Section 1)




2–8 3937 0135-930

Foreign Exchange Market Add (FXMKA)

The fields that you complete when you are setting up a contract for a foreign exchange market

deal will be dependent on the type of deal.

Foreign Exchange Outrights:

These contracts do not require the use of specialised fields. The basic terms of the contract are

defined using the ‘Exchange Rate’, ‘Bought Currency’, ‘Sold Currency’ and ‘Maturity Date’

fields.

If the Split Maturity indicator is set, you must complete the bought and sold maturity date fields.

The latest of these two dates will be treated as the contract maturity date. Each of these dates will

have a standard holiday validation for the country, derived from the currency to which it relates

(bought/sold).

If you enter a client account hold number in the ‘Remove Hold Number’ field, the previously

held funds will be made available to the client.

Divided Swaps:

For a divided swap, you set up separate contracts for each part of the swap. For each contract the

‘Divided Swap Indicator’ must be set either to Near End or Far End, depending on which part of

the swap you are defining. You treat each part of the swap as if it were a separate foreign

exchange outright deal. For documentary purposes, you complete the ‘Related Contract’ field so

that you know which contract forms the other part of the swap.

Commercial Deals:

For commercial deals the ‘Commercial Indicator’ field must be set on. The type of commercial

deal is defined as follows:

• For spot deals, the ‘Maturity Date’ and ‘Near Date’ fields must be the same

• For forward deals, the ‘Maturity Date’ must be after the ‘Near Date’

• For option deals, the ‘Option Date’ must be set. (This field must not be set for other deals.)

Note: The ‘Charge Amount’, ‘Charge/Commission Currency’ and ‘Commission Amount’ fields

are only relevant to commercial deals.

For any foreign exchange market contract, if the exchange rate is close to one, the ‘Non Deal

Amount’ must be entered. If the Foreign Exchange Market Add (FXMKA) screen does not allow

you to enter an exchange rate. (See Euro Related Information in the Core Functions and Inquiries

Guide.)

Either the Bought Currency or the Sold Currency must be entered. If only one is entered, the

other defaults to the same currency as the Deal Currency, unless the Deal Currency is the same asthe entered (Bought or Sold) Currency in which case different currencies must be entered in both

the Bought and Sold Currency fields.

If the default Accrual Method for the product is 'None', you will not be able to overwrite and

change the accrual method on the Foreign Exchange Market Add (FXMKA) screen.




3937 0135-930 2–9

Non standard settlement instructions for the payment agent may be created by linking through to

the Non Standard Settlement Instructions (NSTDM) screen (see the Settlements Guide). To do

this:

Enter “NSTD” in the “Their Receive Agent” field and

Click Settlement Instructions.

T Enter “NSTD” in the “Their Receive Agent” field

Enter “Y” in the “Link to NSTD” field and

Press Transmit

The following figure shows an example of the Foreign Exchange Market Add screen.

Figure 2–4. Foreign Exchange Market Add screen




2–10 3937 0135-930

Foreign Exchange Market Change (FXMKC)

The Foreign Exchange Market Change (FXMKC) screen can be used to change non-financial

details of a foreign exchange market contract at any point before the contract matures. However,

it cannot be used to perform a direct change to the financial details of the contract, such as the

deal amount, the exchange rate or the bought currency.

If the contract is part of an Investment Swap, the Foreign Exchange Market Change (FXMKC)

screen displays a warning before changing any details of the contract.

The following figure shows an example of the Foreign Exchange Market Change screen.

Figure 2–5. Foreign Exchange Market Change screen




3937 0135-930 2–11

Foreign Exchange Market Inquire/Delete (FXMKI)

The Foreign Exchange Market Inquire/Delete (FXMKI) screen can be used to perform an inquiry

on any foreign exchange market contract. After performing an inquiry on a contract you can:

• Copy it

• Delete or replace it if:

- The contract has not matured. If the contract has matured, then it cannot be deleted

unless the blueprint parameter BP-CNT-MATDEL-DYS (see the Guide to Setting Up)

has been used to specify that matured contracts can be deleted. Using the blueprint

parameter you specify the period after maturity during which a contract may be deleted.

- There are no outstanding takeups against it

- No takeups have been made against it

If a contract is deleted then all accruals and settlements are backed out. Daily accruals are backed

out during overnight processing on the day of deletion. Monthly accruals are backed out during

overnight processing at the next month-end.

If the contract is part of an Investment Swap, the Foreign Exchange Market Inquire/Delete

(FXMKI) screen displays a warning before deleting the contract.

The Foreign Exchange Market Inquire/Delete (FXMKI) screen has the same layout as the Foreign

Exchange Market Change (FXMKC) screen.




2–12 3937 0135-930

Foreign Exchange Takeup Screens

When a commercial option deal has been defined, using the Foreign Exchange Market Add

(FXMKA) screen, the client may make takeups, up to the deal amount, from the option date until

the maturity date. The following screens are used to schedule the takeup deals:

• FX Takeup - Add (FXTKA)

• FX Takeup - Change (FXTKC)

• FX Takeup - Inquire or Delete (FXTKI)

See ‘Market Foreign Exchange Commercial Deals’ in Section 1 for further information on

takeups.




3937 0135-930 2–13

Foreign Exchange Takeup Add (FXTKA)

When you enter a foreign exchange takeup, you must enter the contract number of the foreign

exchange market deal to which it relates. For each contract takeup, a reference number must be

entered; it is recommended that this is done sequentially for each contract so that each takeup can

be easily identified.

For a takeup, if the exchange rate is close to one, the ‘Non Deal Amount’ must be entered. If the

Foreign Exchange Takeup Add (FXTKA) screen does not allow you to enter an exchange rate.

(See Euro Related Information in the Core Functions and Inquiries Guide.)

If you do not enter the nostro and agent details, these are taken from the original (parent) contract

(see also ‘Nostro and Agent Combinations for Foreign Exchange’ in Section 1).

The following figure shows an example of the Foreign Exchange Takeup Add screen.

Figure 2–6. Foreign Exchange Takeup Add screen




2–14 3937 0135-930

Foreign Exchange Takeup Change (FXTKC)

The Foreign Exchange Takeup Change (FXTKC) screen can be used to change non-financial

details of a foreign exchange takeup at any point before the value date. However, it cannot be

used to perform a direct change to the financial details of the takeup, such as the deal amount, the

value date or the bought currency.

To recall a takeup, you must enter the contract number of the related foreign exchange market

contract and the reference number of the takeup.

The financial details of a takeup cannot be changed. However, if a takeup has not reached its

value date, the takeup can be deleted using the Foreign Exchange Takeup Inquire/Delete

(FXTKI) screen. A replacement takeup can then be added, using the Foreign Exchange Takeup

Add (FXTKA) screen.

The Foreign Exchange Market Takeup Change (FXMKC) screen has the same layout as the

Foreign Exchange Market Add (FXMKA) screen.

Foreign Exchange Takeup Inquire/Delete (FXTKI)

The Foreign Exchange Market Inquire/Delete (FXMKI) screen can be used to perform an inquiry

on any foreign exchange takeup. To recall a takeup, you must enter the contract number of the

related foreign exchange market contract and the reference number of the takeup. After

performing an inquiry on a takeup you can delete it if its value date has not been reached.

The Foreign Exchange Market Takeup Inquire/Delete (FXMKI) screen has the same layout as the

Foreign Exchange Market Add (FXMKA) screen.




3937 0135-930 2–15

Foreign Exchange Swap Contract Screens

The following screens are used to define and maintain foreign exchange swap contracts.

• FX Swap - Add (FXSWA)

• FX Swap - Change (FXSWC)

• FX Swap - Inquire or Delete (FXSWI)

For further information on foreign exchange swap contracts see ‘All Foreign Exchange

Contracts’ and ‘Foreign Exchange Swaps’ in Section 1.

Note: Divided swaps in which the counterparties differ at each end of the deal, are entered

using the Foreign Exchange Market Contract Screens.




2–16 3937 0135-930

Foreign Exchange Swap Add (FXSWA)

A Foreign Exchange Swap involves the spot purchase, or sale, of one currency and the reverse

sale, or purchase, of the same amount of that currency against a second currency on a future date.

The counterparty is the same at both ends of the deal. The two ends of the Foreign Exchange

Swap take place at specified near and far dates.

The Near Date and Near Details fields are used to define the spot deal. The Far Date and Far

Details are used to define the Forward deal.

For either end of a foreign exchange swap contract, if the exchange rate is close to one, the ‘Non

Deal Amount’ must be entered. If the Foreign Exchange Swap Add (FXSWA) screen does not

allow you to enter an exchange rate. (See Euro Related Information in the Core Functions and

Inquiries Guide.)

If the default Accrual Method for the product is 'None', you will not be able to overwrite and

change the accrual method on the Foreign Exchange Swap Add (FXSWA) screen.

Non standard settlement instructions for the payment agent may be created by linking through tothe Non Standard settlement Instructions screen (see 'Non Standard Settlement Instructions for

Pay Agents' in the Settlements Guide). To do this:





Press Transmit

The following figure shows an example of the Foreign Exchange Swap Add screen.




3937 0135-930 2–17

Figure 2–7. Foreign Exchange Swap Add screen




2–18 3937 0135-930

Foreign Exchange Swap Change (FXSWC)

The Foreign Exchange Swap Change (FXSWC) screen can be used to change non-financial

details of a foreign exchange swap contract at any point before the Near Date of the contract has

been reached. However, it cannot be used to perform a direct change to the financial details of the

contract, such as the deal amount, the exchange rate or the bought currency.

If the contract is part of an Investment Swap, the Foreign Exchange Swap Change (FXSWC)

screen displays a warning before changing any details of the contract.

The following figure shows an example of the Foreign Exchange Swap Change screen.




2–20 3937 0135-930

Foreign Exchange Inter-Accounting CentreLoan/Deposit Contract Screens

Loans and deposits can be made in either the same or different currencies between different

accounting centres (through a third party, normally the Foreign Exchange department, identified by the “Accounting Centre”). The following screens are used for defining and maintaining

foreign exchange inter-accounting centre loans and deposits:

• FX Inter-Accounting Centre Loan / Deposit - Add (FXLDA)

• FX Inter-Accounting Centre Loan / Deposit - Change (FXLDC)

• FX Inter-Accounting Centre Loan / Deposit - Inquire or Delete (FXLDI)

For further information on foreign exchange inter-accounting centre loan and deposit contracts

see ‘All Foreign Exchange Contracts’ and ‘Inter-Accounting Centre Loans and Deposits’ in

Section 1.




2–22 3937 0135-930

The following figure shows an example of the Inter-Accounting Centre Loan/Deposit Add screen.

Figure 2–9. Inter-Accounting Centre Loan/Deposit Add screen




3937 0135-930 2–23

Foreign Exchange Inter-Accounting Centre Loan/Deposit Change(FXLDC)

The Foreign Exchange Inter-Accounting Centre Loan/Deposit Change (FXLDC) screen can be

used to change the portfolio and dealer information at any point before the contract matures.

However, it cannot be used to perform a direct change to the financial details of the contract, such

as the deal amount, the exchange rate or the currency.

The following figure shows an example of the Foreign Exchange Inter-Accounting Centre

Loan/Deposit Change screen.

Figure 2–10. Foreign Exchange Inter-Accounting Centre Loan/Deposit Change

screen




2–24 3937 0135-930

Foreign Exchange Inter-Accounting Centre Loan/DepositInquire/Delete (FXLDI)

The Foreign Exchange Inter-Accounting Centre Loan/Deposit Inquire/Delete (FXLDI) screen can

be used to perform an inquiry on any foreign exchange inter-accounting centre loan/deposit

contract. After performing an inquiry on a contract you can delete it. If the contract maturity date

has been reached, then it cannot be deleted unless the blueprint parameter

BP-CNT-MATDEL-DYS (see the Guide to Setting Up) has been used to specify that matured

contracts can be deleted. Using the blueprint parameter you specify the period after maturity

during which a contract may be deleted.




The Foreign Exchange Inter-Accounting Centre Loan/Deposit Inquire/Delete (FXLDI) screen has

the same layout as the Foreign Exchange Inter-Accounting Centre Loan/Deposit Change

(FXLDC) screen.




3937 0135-930 2–25

Foreign Exchange Inter-Accounting CentreContract Screens

The following screens are used for Foreign Exchange Inter-Accounting Centre deals:

• FX Inter-Accounting Centre - Add (FXIDA)

• FX Inter-Accounting Centre - Change (FXIDC)

• FX Inter-Accounting Centre - Inquire or Delete (FXIDI)

Foreign exchange inter-accounting centre deals are outright foreign exchange deals, either spot or

forward, between two accounting centres (one of which must be the foreign exchange accounting

centre) in the same or different sectors of your bank.

For further information on foreign exchange inter-accounting centre contracts see ‘All Foreign

Exchange Contracts’ and ‘Inter-Accounting Centre Deals through Foreign Exchange Accounting

Centre’ in Section 1.




2–26 3937 0135-930

Foreign Exchange Inter-Accounting Centre Add (FXIDA)

When you are entering an outright foreign exchange deal between two accounting centres, you

can enter spot or forward deals as follows:

• For spot deals, the ‘Maturity Date’ and ‘Near Date’ fields must be the same

• For forward deals, the ‘Maturity Date’ must be after the ‘Near Date’

The contractual dates of Inter-accounting centre deals are checked to see if they are holidays

against the country attached to the contract’s location.

If the Foreign Exchange Inter Accounting Center Add (FXIDA) screen does not allow you to

enter an exchange rate. (See Euro Related Information in the Core Functions and Inquiries

Guide.)

Note: If the exchange rate is close to one, the ‘Non Deal Amount’ must be entered.

The following figure shows an example of the Foreign Exchange Inter-Accounting Centre Addscreen.

Figure 2–11. Foreign Exchange Inter-Accounting Centre Add screen




3937 0135-930 2–27

Foreign Exchange Inter-Accounting Centre Change (FXIDC)

The Foreign Exchange Inter-Accounting Centre Change (FXIDC) screen can be used to change

the portfolio and dealer information at any point before the Near Date is reached. However, it

cannot be used to perform a direct change to the financial details of the contract, such as the deal

amount, the exchange rate or the currency.

The following figure shows an example of the Foreign Exchange Inter-Accounting Centre

Change screen.

Figure 2–12. Foreign Exchange Inter-Accounting Centre Change screen

Foreign Exchange Inter-Accounting Centre Inquire/Delete (FXIDI)

The Foreign Exchange Inter-Accounting Centre Inquire/Delete (FXIDI) screen can be used to

perform an inquiry on any foreign exchange inter-accounting centre contract. After performing an

inquiry on a contract you can delete it. If the contract maturity date has been reached, then it

cannot be deleted unless the blueprint parameter BP-CNT-MATDEL-DYS (see the Guide to

Setting Up) has been used to specify that matured contracts can be deleted. Using the blueprint

parameter you specify the period after maturity during which a contract may be deleted.




The Foreign Exchange Inter-Accounting Centre Inquire/Delete (FXIDI) screen has the same

layout as the Foreign Exchange Inter-Accounting Centre Change (FXIDC) screen.




2–28 3937 0135-930

Contract Diary Narratives

Each diary event associated with a foreign exchange contract is processed automatically, on the

basis of the details entered in the contract and takeup screens. However, it may be necessary to

enter additional diary narratives, for example you may wish the system to provide a message

prompting you to take action the day before a takeup event.

These contract diary narratives can be set up and maintained using the standard contract screens

(see the Core Functions and Inquiries Guide for full details):

• Contract Diary Narrative Add (CNARA)

• Contract Diary Narrative Maintain (CNARM)

These diary narratives can be seen on the inquiry screens Diary Narratives By Accounting Centre

(DNBIQ) and Diary Narratives By Contract (DNCIQ) (see the Core Functions and Inquiries

Guide for full details).

Each contract can have any number of associated narrative events. Each narrative event is

identified by its value date and sequence number. This means that more than one narrative eventcan take place on the same value date.

Using the Contract Diary Narrative Add (CNARA) screen you can add a number of narrative

events for a contract. Individual narrative events can then be updated or deleted using the

Contract Diary Narrative Maintain (CNARM) screen.




3937 0135-930 2–29

FX Positions Summary (FXPSI)

This inquiry shows Foreign Exchange positions for a specified Accounting Centre, from a start

currency. You can use this inquiry to check the foreign exchange positions of an Accounting

Centre in each currency or as a combined euro position (See Euro Related Information in the

Core Functions and Inquiries Guide.) or as a base currency equivalent. If the Base Currency

Equivalent is selected, the positions for each foreign currency are displayed as amounts in the

base currency for the accounting centre, rather than the foreign currency. You can leave the

“Accounting Centre” field blank to view positions at system level. For more information on base

currencies, see the Guide to Setting Up.

An example of this inquiry screen is given in the following figure:

Figure 2–13. Foreign Exchange Positions Summary screen




2–30 3937 0135-930



3937 0135-930 3–1

Section 3Money Market Contracts

Contract Types

The Money Market Module processes the following types of contract:

• Loans and Deposits

• Base Rate Loans and Deposits

• Index Rate Loans and Deposits

• Discounted Loans

All types of Money Market Contracts can be entered as outline deals using the Money Market

Outline Deal Input (MMDEA) screen.



Money Market Contracts

3–2 3937 0135-930

All Money Market Contracts

Each contract is linked to a General Ledger Master, accounting centre and portfolio. Defaults can

be set up for all three. The General Ledger Master determines the ledger category for the contract,

see the General Ledger Administration Guide for further information on General Ledger Masters.Portfolios are used to group contracts for risk management purposes.

Back-valued contracts can be entered. These contracts can be back-valued to the earliest history

retention date, as set up at installation, except that a base rate loan cannot be back-valued to a date

before the effective date of the base rate to which it is linked.

For each Money Market contract, you can enter narrative events, which are used for reporting

purposes. Each contract can have any number of associated narrative events, provided that each

event has a different value date.

For contracts arranged through a broker, the brokerage fee can be either entered or calculated

from the Brokerage tables.

An add-on rate can be applied to all loan and deposit contracts. See Cost of Funds in Section 3.

Maturity on loan and deposit contracts, base rate loans and deposits, and fixed rate loans and

deposits, can be fixed at a number of days notice, or at call. Maturity on discounted loans is

always fixed.

On loans and deposits, base rate loans and deposits, and fixed rate loans and deposits, interest can

be settled either in full at maturity, or at regular intervals during the life of the contract. In the case

of call/notice contracts, maturity interest is not calculated until the call or notice is given and the

maturity fixed.

Interest Accrual

For index rate loans and deposits and fixed rate loans and deposits, two interest accrual methods

are available:

• Interest is accrued at the end of the first online day during end-of-day processing and during

every end-of-day until maturity; no interest is accrued for the Maturity Date itself

• Interest is accrued during the first beginning-of-day processing (at the start of the second day)

and during every beginning-of-day after that including the last day (Maturity Date)




3937 0135-930 3–3

Automatic Rollover Facility

The system enables you to rollover contracts automatically. Different facilities are available for

fixed rate, index rate and base rate loans and deposits.

If automatic rollover is used, there are four possible ways of handling the principal and interest:

• Extend maturity date. The maturity date is extended and new interest settlement (IS) events

are created.

• Rollover and settle interest. The principal only is rolled over. When the rollover date is

reached, a new maturity diary is created based on the roll frequency. On the rollover date, a

rollover (RL) event is created.

• Rollover including interest. The principal and interest are both rolled over. When the rollover

date is reached, a new maturity diary is created based on the roll frequency. On the rollover

date, a rollover (RL) event is created. The new principal equals the current principal plus any

interest from the old diary.

• Rollover interest only. The interest only is rolled over. When the rollover date is reached, anew maturity diary is created based on the roll frequency. On the rollover date, a rollover

(RL) event is created. The new principal equals the interest amount from the old maturity

diary.

Automatic Rollover of Money Market Fixed Rate and Index RateLoans and Deposits

For Fixed Rate Loans and Deposits, you can set a frequency at which rollover will be effected

automatically. For example, a three month loan could be rolled over monthly. In this case, when

the present maturity date is reached, the system changes the maturity event to a rollover event and

sets a new maturity date one month hence. The same process will be applied each month until the

facility is de-activated for the contract.

You can set a new rate to be applied after the contract is rolled over using the Money Market

Loan/Deposit Schedule Add (MMLSA) screen.

For Index Rate Loans and Deposits, you can set a fixing period in addition to an automatic

rollover frequency. For example, a one month deposit could be rolled over weekly with a fixing

period of two days. In this case, two days prior to maturity, the system will automatically change

the maturity event to a rollover event and set a new maturity date of one week hence. During

overnight processing on the date of the rollover event, the system re-fixes the rate by referencing

the Rate Table associated with the contract.

During the period in which the rollover facility is active, diary events will be created, and interest

at maturity will be recalculated, as required. No payments or confirmations will be produced for

the maturity diary until the facility has been de-activated for the contract; then overnight

processing will produce payment and confirmation messages and make the necessary postings.




3–4 3937 0135-930

Automatic Rollover of Money Market Base Rate Deposits

The Maturity Date for each Money Market Base Rate Deposit contract can be automatically rolled

forward, if required. If this rollover facility is activated for a contract, overnight processing will

automatically effect the rollover for the contract on the last working day prior to its maturity date.

The maturity date will continue to be rolled forward, one day at a time, at each subsequentovernight processing until the facility is de-activated for the contract by setting the Roll Maturity

to No Rollover.

During the period in which the rollover facility is activated, diary events will be created, and

interest at maturity will be recalculated, as required. No payments or confirmations will be

produced for the maturity diary until the facility has been de-activated for the contract; then

overnight processing will produce payment and confirmation messages and make the necessary

postings.

The automatic roll forward facility can be set on and off as many times as may be required during

the life of the contract, up to the maturity date.




3937 0135-930 3–5

Payments

Payments made as a result of Money Market contracts will automatically be made through either a

Nostro or a Settlement account. However, where the payment would have been effected through a

nostro that is used to compensate for another contract, no payment will be made as the amount isused as an offset to the other contract. Where a settlement account is used, payments will always

be made.

Fixed Rate Loans and Deposits

Loan and deposit contracts have an interest rate that is not linked to a floating rate. The interest

rate can be changed at any time during the life of the contract. Zero rate contracts can be entered.

Index Rate Loans and Deposits

Index rate loans and deposits are contracts in which the interest rate is linked to an index rate, for example LIBOR. A rate variation is added to or subtracted from the index rate to give the gross

rate for the contract. The rate variation can be changed at any time, but not the rate type (addition

or subtraction).

You can also enter minimum and maximum rates for index rate loans and deposits. These rates,

which can be positive or negative, apply if the gross interest rate falls outside the limits.

If the rate changes, the interest rate for the loan or deposit automatically changes.

Base Rate Loans and Deposits

Base rate loans and deposits are contracts in which the interest rate is linked to a base (prime) rate.

A rate variation is added to or subtracted from the base rate to give the gross rate for the contract.The rate variation can be changed at any time, but not the rate type (addition or subtraction).

You can also enter minimum and maximum rates for base rate loans and deposits. These rates,

which can be positive or negative, apply if the gross interest rate falls outside the limits.

If the base rate changes, the interest rate for the loan or deposit automatically changes.

When a base rate is changed, the BASEUPD - Base Rate Update report, see the On-Demand

Reports Guide, updates the schedules. Base rate changes appear in the schedule as base rate

change diaries. If interest is settled on the same day as a change in the base rate, the event appears

in the schedule as a rollover.

Back-valued base rate changes can also be entered. Interest amounts are automatically adjusted, payments are reversed and reissued, and confirmations are revised. All accounting entries are

reprocessed.

You can change a base rate contract to a fixed rate contract by setting the maximum and minimum

rates to the fixed rate required.

Interest is accrued daily and is calculated using the current base rate.




3–6 3937 0135-930

Discounted Loans

Discounted loans are loans in which the interest is discounted (subtracted) from the principal at

the start of the loan. The client repays the full principal at maturity.

The discount rate you enter is the rate of interest discounted from the principal at the start of the

contract.

The book value is the amount of funds available to the client (principal amount minus interest

amount).

The yield rate is the effective rate of interest charged to the client.

Fiduciary Contracts

A Fiduciary contract consists of a loan and one or more deposits that add up to the same amount

as the loan. The loan is placed with a foreign bank and backed by local depositors. The benefit of

a fiduciary contract is that there is no risk to the bank, and the local depositors are not taxed andcan therefore remain anonymous. The loan and deposits must be perfectly matched, with the same

principal and interest rates. The bank takes no margin on the interest rate, but makes its profit by

charging commission. A single fiduciary loan can be backed by single or multiple deposits. If

there is more than one deposit, the deposits must have matching principal and interest rate details.

The loans and deposits used in Fiduciary contracts can be either fixed or base rate. See ‘Creating a

Fiduciary Contract’ in Section 4 for more information on fiduciary contracts.




3937 0135-930 3–7

Money Market Schedule Events

When a contract is entered, diary events for input, start and maturity of the contract are generated.

Interest settlement events are also scheduled if the settlement frequency is specified for the

contract. The chronological ordering of these events constitutes the contract schedule. If thecontract is amended or deleted, associated diary events are also amended or deleted. You can also

enter other schedule events depending on the type of contract.

See Euro Related Information in the Core Functions and Inquiries Guide, for events generated

due to contract conversion.

Fixed Rate Loan or Deposit Schedule Events

For fixed rate loans and deposits you can:

• Enter an interest settlement

•

Change the principal, interest rate and add-on rate• Enter a rollover

• Enter interest and add-on adjustments

• Enter a penalty amount

Index Rate Loan or Deposit Schedule Events

For index rate loans and deposits you can:


• Change the principal, rate variation, minimum or maximum rate, and add-on rate

• Enter a rollover



Base Rate Loan or Deposit Schedule Events

For base rate loans and deposits you can:


• Change the principal, rate variation, minimum or maximum rate, and add-on rate

• Enter a rollover






3–8 3937 0135-930

Mark to Market Valuation

The system enables Money Market contracts to be revalued on the basis of the mark to market

process, using current market interest rates, provided that a valid rate table has been set up on the

Rate Table Definition (RTDEF) table and rates have been entered for it on the Market Rates(RATEA) table.

Valuation takes place during overnight processing using the applicable rates, as they become

effective, for each contract. Existing contracts are revalued, and new contracts are valued, each

night and the amounts are made available for posting to unrealised profit/loss accounts. Where a

rate has not been set up for a specific day, the system automatically interpolates the rate, using

rates that have been entered for other days.

On maturity or deletion of a contract, mark to market revaluation ceases and an adjustment is

made to the unrealised profit/loss accounts.

Note: The method of applying mark to market may be changed during the installation

procedure to suit your own specific needs.

Penalty Charges

Early repayment of fixed term loans, or insufficient notice for withdrawal on a notice contract,

often incur penalties. These penalties can be made in the following ways:

• Adjusting the interest amount due

• Rolling the interest into the principal

• Entering a penalty amount as a flat fee




3937 0135-930 3–9

Withholding Tax

On Money Market contracts, interest can be withheld by the bank on deposits and on base rate

deposit contracts to particular customers.

This withholding tax is payable on contracts when:

• The principal amount is less than a predefined maximum amount (in sterling)

• The deposit is to be repaid within a specified number of calendar days from the start date

• The contract matures at call or at short notice

• The client is liable to withholding tax (set up on the Client Master)

The amount of tax payable at settlement is always calculated on the basis of the client's

withholding tax liability at settlement date.

For non-sterling deposits, liability for withholding tax is assessed using the mid-market exchange

rate at contract start. This is only changed if a rollover occurs including a principal change. This

situation is treated as a new contract start for withholding tax purposes. Back valued entries use

the exchange rate on the date the contract was entered.

Withholding tax is deducted from the interest on the settlement date and is maintained for future

payment.

Interest rates and amounts are entered and reported gross of withholding tax.

Interest Accrual After Due Date

This functionality is available if blueprint parameter BP-ACCRINT-BYDD has been set to "Y"

(see "Blueprint Parameters" in the Guide to Setting Up). On the business day before a MoneyMarket loan is due to mature, the system determines whether funds are available to pay the loan.

If the funds are not available, then the contract will be rolled forward by one day if either the

nostro account is a client account or a valid agent has been entered.

The contract will be rolled forward on subsequent days until the funds are available.

Interest accrual will continue on the loan until it is paid.

Note: The following entries must be present on the General Purpose Narratives (GNARR)

table, type LT:

MMLN Money Market Fixed Rate Loan

MMBL Money Market Base Rate Loan

MMIL Money Market Index Rate Loan




3–10 3937 0135-930

Cost of Funds

Cost of Funds is a facility that allows you to calculate and report on the profit and loss arising due

to all business activities carried out and all costs arising due to the funding of assets and liabilities.

See "Cost of Funds" in the Guide to Setting Up. This calculation is reported on an accountingcentre basis and reconciles with the monthly profit and loss statement of the institution. The

INCOMESTMT - Income Statement report, see the Core On-Demand Reports Guide, groups

accounting centres by area of business.

Cost of Funds can be accrued using either one of the following two methods:

Add-on Margin: This method is applicable for Money Market Fixed Loans and Deposits and

allows you to enter an add-on rate for both loan contracts and deposit contracts. It is included in

the gross interest rate, but is accrued and reported separately. The add-on rate can be changed at

any time after the start date and before the maturity date of the contract.

Funding Account: Funding accounts are defined for each product type so that the various product

types can be funded under different conditions. The fundable balances derived from all

transactions are taken to funding accounts from where the cost of funds is accrued. The profit or

loss associated with a particular product will be ascertained by the relevant funding account set up

for the product. See "Cost of Funds" in the Guide to Setting Up for details on setting up of

funding accounts.

Confirmation and Payment Advices

Input confirmations are printed (or S.W.I.F.T. messages are generated) when a contract is entered.

Confirmations and payment advices for subsequent events are produced a number of days in

advance of the event (for each country). These subsequent confirmations are produced during the

overnight processing.

For each contract entered, you can specify the priority of the S.W.I.F.T. messages generated for that contract by making an entry in the 'Message Priority' field. If you leave this field blank, the

default value selected at installation is used.




3937 0135-930 3–11

Nostro and Agent Combinations for Money Market

The accounts between which payments are made are automatically identified, on the basis of the

nostros and agents that have been set up for each particular contract giving rise to the notice or

payment. Default nostro and agents may be allocated according to rules set up on the NostroSettlement Defaults (NSDFM) and the Agent Settlement Defaults (AGDFM) tables.

A nostro account is defined as “our account with another bank”. In order to correctly reflect any

money held with another bank, a copy of the nostro account in its own books is maintained.

Nostro accounts are set up using the Nostro Details (NSTRO) table. They are identified by a

nostro number and currency or a nostro name and currency.

An agent is defined as a “third party responsible for paying or receiving funds on a contract”.

Agents are set up using the Agents Details (AGNTM) table. They are identified by an agent

nickname. The Agents Details (AGNTM) table can also be populated from the BIC+ directory,

provided by SWIFT. In this case, the “Nickname” field is set as the SWIFT address.

The entry of settlement instructions also supports the use of non-standard settlement details.

These are defined at contract level by entering the code NSTD in the “Their Receive Agent” field,

and linking to the Non Standard Settlement Instructions (NSDTM) screen.

For details of how to set up nostros and agents see the Settlements Guide.

Nostros and Agents are specified when entering certain contracts under the Money Market

module. In order that instructions for the transfer of funds are correctly generated (using either the

S.W.I.F.T. network, if applicable, or printed messages), the system ensures that only valid

combinations of nostros and agents can be specified for each contract.

The following table lists and describes valid combinations of entries in the nostro and agent fields.

Note the following:

• A nostro can be identified by either its name or number.

• The use of an Agent does not necessarily indicate that an account relationship exists between

the bank and the agent. For example settlement messages may be sent by the bank to its pay

nostro, with information for onward transmission to the client's agent. Similarly, settlement

messages may be received from the client's agent by the bank's receive nostro, with

information for onward transmission to the bank.

• Standard settlement instructions can be entered to use the default settings for the nostro and

agent for the contract. These instructions can be applied to the contract by entering ‘SSI’ in

the required Receive/Pay Nostro/Agent fields. Following acceptance of the contract,

whenever it is displayed whether for maintenance or inquiry, the entered field will display

‘SSI’ not the agent name/number or nostro/number. ‘SSI’ cannot be entered for an agent or

nostro if the default has not been defined.

When SSI has been entered for an agent or nostro, the default agent and nostro details can be

displayed by double clicking on the ‘SSI’ entry. This facility is only available when you are

using the Graphic User Interface (GUI). For fuller details, see the Core Functions and

Inquiries Guide.




3–12 3937 0135-930

Note: The default settings for both the agent and the nostro can be entered using other

methods. Entering the number or name for the default agent or nostro will display the

entered detail for the agent or nostro. Leaving the agent or nostro blank will result in the

system applying the default, if available, or ‘T’ (To be advised).

Table 3–1. Entries in Nostro and Agent Fields - Money Market


Number/Name Name Your correspondent and the client's agent

are different. The agent's nickname is


Number/Name Number/Name The client's agent is one of your

correspondents:

1. The nostro number/name in the Nostro

field can be different from the nostro

number/name in the Agent field.

2. If your correspondent and the client'sagent are the same, the nostro

number/name entered in the Nostro field

can refer to the same nostro as that


Number/Name S Your correspondent and the client's agent

are the same. (This is equivalent to 2.

above).

Number/Name U There is no agent.

Number/Name T Your correspondent is known; the client's

agent is to be advised. If a S.W.I.F.T.

message would normally have been sent,

this combination will result in it not being

sent - printed messages will be generatedinstead.

V Vostro A/C No. Posting is to be made using a vostro. The

Agent field identifies the account to be used.

D Name Posting is to be made directly from/to your

bank to/from the client's agent. You can

enter either an agent's nickname or a nostro

number/name in the agent field.

D U There is no agent. Posting is to be made

directly from your bank to the error suspense

account. When the receive account is

known, use the batch postings facility to

effect the transfer.

D T Posting is to be made directly from your bank to a client's agent who is to be advised.

If a S.W.I.F.T. message would normally have

been sent, this combination will result in it

not being sent - printed messages will be

generated instead.




3937 0135-930 3–13


T Name Your correspondent is to be advised; the

client's agent is known. You can enter a

nostro number/name in the Agent field. This

combination will result in S.W.I.F.T.messages not being sent - printed


T U Your correspondent is to be advised and the

client doesn't have an agent. This




T T Both your correspondent and the client's

agent are to be advised. The settlement

message will be sent directly to the nostro,

when entered. This nostro/agent

combination should be used with care when

payment takes place at the start event. This




C T No payment is to be made, as the payment

amount is to be compensated by a second

contract.

SSI SSI The contract is to use the default nostro and

agent defined using the Agent Settlement

Defaults (AGDFM) screen and the Nostro

Settlement Defaults (NSDFM) screen.

Number/Name/

SSI/blank

SSI The contract is to use the default agent

defined using the Agent Settlement Defaults

(AGDFM) screen.

SSI Number/Name/

SSI/Blank

The contract is to use the default nostro

defined using the Nostro Settlement Defaults

(NSDFM) screen.

Number/Name/

SSI

NSTD Settlement instructions specific to the

contract are to be used for the agent. Enter

‘NSTD’ in the “Their Receive Agent” field and

clicking “Settlement Instructions” will link to

the Non Standard Settlement Instructions

(NSTDM) screen.

Any of the Agent identifiers shown in the above table can be replaced by the exact S.W.I.F.T.

address of the agent. Only do so if you are certain of the address, which must be entered using an

'@' symbol followed by the appropriate 8 or 11 character S.W.I.F.T. address.

Only the following formats should be used:

• @BBBBCCLL

• @BBBBCCLLXXX




3–14 3937 0135-930

Where:

BBBB = Four alphabetic characters representing the S.W.I.F.T. bank identifier

CC = Two alphabetic characters representing the S.W.I.F.T. country code

LL = S.W.I.F.T. location code

XXX = Three alphabetic/numeric characters representing the S.W.I.F.T.

branch code (if applicable)



3937 0135-930 4–1

Section 4Money Market Screens

Introduction to Money Market Screens

Use the following screens to enter Money Market contracts are maintain contract schedules:

• Money Market Default Maintenance (MMDFM)

• Money Market Outline Deal Input (MMDEA)

• Money Market Loan/Deposit (MMLDA/C/I)

• Money Market Loan/Deposit Schedule (MMLSA/C/I)

• Money Market Base Rate Loan/Deposit (MMBRA/C/I)

• Money Market Base Rate Schedule (MMBSA/C/I)

• Money Market Index Rate Loan/Deposit (MMIRA/C/I)

• Money Market Index Rate Schedule (MMISA/C/I)

• Money Market Discounted Loan (MMDLA/C/I)

• Fiduciary Loan/Deposit Maintenance (FILDM)

• Fiduciary Loan Inquiry (FILNI)

• Contract Diary Narratives (CNARA/M)

For each screen the following is provided:

• A description of its use

• An example of the screen

A description of the fields on the screens, and valid entries, is given in Section 5, “Definition of

Field Names for Foreign Exchange and Money Market”.

Refer to the Starter's Guide for a description of how to access and use screens.



Money Market Screens

4–2 3937 0135-930

Creating a Money Market Contract

A money market loan or deposit is set up by completing the appropriate money market loan/deposit

screen. In addition to the contract creation screens, you can optionally schedule events and set up

memorandum details for each contract. The money market contract creation process is illustrated in

the following flow.

Figure 4–1. Flow of Money Market Contract Creation Screens

Note: Screens are available that allow you to change, copy, delete, replace and inquire on money

market contracts. There are also screens that allow you to change, delete and inquire on

the schedules of money market contracts.

Define money

market contract

If required, enter the

schedule events for the

money market contracts

Money Market

Base Rate

Schedule - Add

(MMBSA)

Money Market

Base Rate

Loan/Deposit - Add

(MMBRA)

Money Market

Discounted

Loan - Add

(MMDLA)

Money Market

Loan/Deposit -

Add

(MMLDA)

(CNARA)

Contract Diary

Narrative - Add

If required, enter diary

events for any

individual contract

Money Market

Index Rate

Schedule - Add

(MMISA)

Money Market

Index Rate

Loan/Deposit - Add

(MMIRA)

Money Market

Loan/Deposit

Schedule - Add

(MMLSA)

Set up the defaults for all

money market contracts

(MMDFM)

Money Market

Default Maint

(LEAD1)

Contract

Initiate direct

contract entry

Input

Enter details of the money

market outline deal

Initiate outline deal entry

(MMDEA)

Money Market

Outline Deal Input

(DEALQ)

Outline Deal

Queue

(DEAL)

Outline Deal

Add

Select the money market

outline deal for verification

and contract entry




3937 0135-930 4–3

Creating a Fiduciary Contract

A fiduciary contract is set up by using either the money market loan/deposit add screen or the

money market base rate loan/deposit add screen. Only products that have been defined as fiduciary

products on the Money Market Default Maintenance (MMDFM) screen may be used for fiduciary

contracts. The loan side of the fiduciary contract must be created first; then the associated depositcontract or contracts may be created.

The loan details are completed on the money market loan/deposit add screen or the money market

base rate loan/deposit add screen in the same way as entering a money market contract. However,

on completion, the money market loan/deposit add screen or the money market base rate

loan/deposit add screen is refreshed ready for inputting the associated deposits. The deposit

principal amount must be less than or equal to the starting loan principal amount. If the deposit

principal amount is less than the starting principal amount, the screen is refreshed ready for the

entry of further deposits.

Fiduciary contracts are confirmed using the Fiduciary Loan Deposit Maintenance screen (FILDM).

The fiduciary contract creation process is illustrated in the following flow.




4–4 3937 0135-930

Figure 4–2. Flow of Fiduciary Contract Creation Screens

Outline Deal

Add

(DEAL)

Money Market

Outline Deal

Input (MMDEA)

Outline Deal

Queue

(DEALQ)

Contract Input

(LEAD1)

Money Market

Default Maintenance

(MMDFM)

Money Market

Loan/Deposit Add

(MMLDA)-Loan

Money Market Base

Rate Loan/Deposit

Add (MMBRA)- Loan

Money Market Base

Rate Loan/Deposit

Add (MMBRA)

- Deposit

Money Market

Loan/Deposit Add

(MMLDA)

- Deposit

Fiduciary

Loan/Deposit

Maintenance

(FILDM)

Money Market

Base Rate

Schedule Add

(MMBSA

Money Market

Loan/Deposit

Schedule Add

(MMLSA)

Contract Diary

Narrative – Add

(CNARA)

Initiate Outline Deal Entry

Enter Details of the

Fiduciary Outline Deal

Select Fiduciary Outline

Deal for Verification

and Contract Entry

Set-up Default for all

Fiduciary Contracts

Initiate Direct

Contract Entry

Define Fiduciary

Loan Contract

Define Fiduciary

Deposit Contract(s)

Confirm Details

of Specific Fiduciary

Contract

If Required, Enter

Schedule Events

or Fiduciary

Contracts

If Required, Enter

Diary Events for

Individual Contract

Outline Deal

Add

(DEAL)

Money Market

Outline Deal

Input (MMDEA)

Outline Deal

Queue

(DEALQ)

Contract Input

(LEAD1)

Money Market

Default Maintenance

(MMDFM)

Money Market

Loan/Deposit Add

(MMLDA)-Loan

Money Market Base

Rate Loan/Deposit

Add (MMBRA)- Loan

Money Market Base

Rate Loan/Deposit

Add (MMBRA)

- Deposit

Money Market

Loan/Deposit Add

(MMLDA)

- Deposit

Fiduciary

Loan/Deposit

Maintenance

(FILDM)

Money Market

Base Rate

Schedule Add

(MMBSA)

Money Market

Loan/Deposit

Schedule Add

(MMLSA)

Contract Diary

Narrative – Add

(CNARA)

Initiate Outline Deal Entry

Enter Details of the

Fiduciary Outline Deal

Select Fiduciary Outline

Deal for Verification

and Contract Entry

Set-up Default for all

Fiduciary Contracts

Initiate Direct

Contract Entry

Define Fiduciary

Loan Contract

Define Fiduciary

Deposit Contract(s)

Confirm Details

of Specific Fiduciary

Contract

If Required, Enter

Schedule Events

or Fiduciary

Contracts

If Required, Enter

Diary Events for

Individual Contract




3937 0135-930 4–5




4–6 3937 0135-930

Straight Through Processing (STP)

If your organisation is using Straight Through Processing (STP) method for entering Money Market

contracts, enter the contract details as an outline deal as described in the Starter's Guide. STP

applies defaults, performs the Add validation, allocates a contract number and adds the contract to

the system without any manual intervention.

If STP fails, the outline deal details can be found on the Outline Deal Queue (DEALQ) screen. The

reason for the failure can be viewed using the Deal Inquiry (DEALI) screen.

Money Market Default Maintenance (MMDFM)

Use this screen to set up default details for a Money Market product type. The defaults that you

enter here are used when a contract is entered by any of the following methods:

• If you have completed the Contract Input (LEAD1) screen, the product defaults are

automatically displayed on the appropriate contract deal entry screen

• If you are entering a contract via the Outline Deal Queue (DEALQ) screen, the product defaults

are automatically displayed on the appropriate contract deal entry screen

• If you have displayed a blank contract deal entry screen, then the defaults can be recalled by

entering:

“Product Type” on the blank contract deal entry screen and clicking Add

T “Product Type” on the blank contract deal entry screen and pressing Transmit

The availability of defaults for a product saves key strokes when entering a deal and helps to

standardise details across deals involving the same product.

Default details include currency, periods and brokerage details. Any of the defaults recalled onto acontract entry screen may be overwritten.

The defaults that you set up on the Money Market Default Maintenance (MMDFM) screen are

associated with a “Product Type”. Product Types are defined on the Product Types Maintenance

(PRTPM) screen, see the Core Functions and Inquiries Guide for more information.

Note: If the product will be used for fiduciary loans, you must complete the “Fiduciary Product”

and “Fiduciary Deposit Product” fields.




3937 0135-930 4–7

The following figure shows an example of the Money Market Default Maintenance screen.

Figure 4–3. Money Market Default Maintenance screen




4–8 3937 0135-930

Money Market Outline Deal Input (MMDEA)

You will be routed to this screen if you enter a money market product on the Outline Deal Input

(DEAL) screen, see the Starter's Guide for details.

Use the Money Market Outline Deal Input (MMDEA) screen to view your exposure to a client andto submit an outline deal to the Outline Deal Queue (DEALQ) from which it can be verified and the

contract added to the system.

When adding Broker details, you can override the existing default Broker details if required and

enter a brokerage amount.

The following figure shows an example of the Money Market Outline Deal Input screen.




3937 0135-930 4–9

Figure 4–4. Money Market Outline Deal Input screen

On the Money Market Outline Deal Input (MMDEA) screen, you can review the current exposure

to the client. The screen displays detailed information concerning the client’s limits and exposures.

This includes:

• All the client’s active contracts

• Money market and interest bearing securities outline deals that are currently on the outline

deals queue

• The amount available before the client limit is exceeded

• The exposure limit set up for the specified client

• Any additional exposure that would be caused by your money market deal

• The default broker details. However, you can override this and enter a brokerage amount if

required.

See 'Entering an Outline Deal' in the Starter's Guide for full details of outline deals.




4–10 3937 0135-930

Money Market Fixed Rate Loan/Deposit Screens

The following screens are used to define and maintain fixed rate money market contracts. For

general information on money market contracts see ‘All Money Market Contracts’ in Section 3.

• Money Market Loan / Deposit - Add (MMLDA)

• Money Market Loan / Deposit - Change (MMLDC)

• Money Market Loan / Deposit - Inquire or Delete (MMLDI)

Money Market Loan/Deposit Add (MMLDA)

The Money Market Loan/Deposit Add (MMLDA) screen is used to define money market loan and

deposit contracts with an interest rate that is not linked to a floating rate.

When entering a fixed rate loan or deposit contract the following rules apply:

• The accrual type can be either First or Last (see ‘Interest Accrual’ in Section 3)

• A contract can be rolled over automatically using the Roll Maturity Frequency fields (see

‘Automatic Rollover Facility’ in Section 3)

• Only valid combinations of nostros and agents can be entered in the “Our Pay Nostro”, “Their

Rcv Agent”, “Our Rcv Nostro” and “Their Pay Agent” fields (see ‘Nostro and Agent

Combinations for Money Market’ in Section 3)

Non standard settlement instructions for the payment agent may be created by linking through to the

Non Standard Settlement Instructions (NSTDM) screen (see the Settlements Guide). To do this:





Press Transmit




3937 0135-930 4–11

The following figure shows an example of the Money Market Loan/Deposit Add screen.

Figure 4–5. Money Market Loan/Deposit Add screen




4–12 3937 0135-930

Money Market Loan/Deposit Change (MMLDC)

The Money Market Loan/Deposit Change (MMLDC) screen can be used to change non-financial

details of a money market fixed rate loan/deposit contract at any point before the contract matures.

It cannot be used to perform a direct change to the financial details of the contract, such as the

principal amount and the interest rate. Changes to these details can only be effected by schedulingan event using the Money Market Loan/Deposit Schedule Add (MMLSA) screen.

Changes to settlement details using the Money Market Loan/Deposit Change (MMLDC) screen can

only be made on the day the contract is input, or against unstarted (future dated) contracts. Any

other changes can be made using the Money Market Loan/Deposit Schedule Change (MMLSC)

screen.

However, you are allowed to change the add-on rate for the contract. This change is allowed

because the add-on rate includes the cost of funds for the product that varies with the cost incurred

to carry out the business.

You can use the Money Market Loan/Deposit Change (MMLDC) screen to change the maturity

date of the contract. This causes a change in the interest settlement because the interest is calculated

on a simple interest basis and the final settlement can be either on or after the maturity date. If required, the settlement method and settlement account can be changed using this screen.

You can also use the Money Market Loan/Deposit Change (MMLDC) screen to initiate conversion

of an “in” (national) currency to euro. (See Euro Related Information in the Core Functions and

Inquiries Guide.)

The following figure shows an example of the Money Market Loan/Deposit Change screen.




3937 0135-930 4–13

Figure 4–6. Money Market Loan/Deposit Change screen

Money Market Loan/Deposit Inquire/Delete (MMLDI)

The Money Market Loan/Deposit Inquire/Delete (MMLDI) screen can be used to perform an

inquiry on any money market fixed rate loan/deposit contract. After performing an inquiry on a

contract you can:

• Copy it

• Delete or replace it. If the contract maturity date has been reached, then it cannot be deleted

unless the blueprint parameter BP-CNT-MATDEL-DYS (see the Guide to Setting Up) has been

used to specify that matured contracts can be deleted. Using the blueprint parameter you

specify the period after maturity during which a contract may be deleted.




The Money Market Loan/Deposit Inquire/Delete (MMLDI) screen has the same layout as the

Money Market Loan/Deposit Change (MMLDC) screen.




4–14 3937 0135-930

Money Market Fixed Rate Loan/Deposit ScheduleScreens

Once a money market fixed rate loan/deposit has been defined, using the Money Market

Loan/Deposit Add (MMLDA) screen, the basis of the original contract cannot be changed.However, it may become necessary to make changes to the schedule associated with the contract.

The following screens are used for this purpose.

• Money Market Loan / Deposit Schedule - Add (MMLSA)

• Money Market Loan / Deposit Schedule - Change (MMLSC)

• Money Market Loan / Deposit Schedule - Inquire or Delete (MMLSI)

See ‘Money Market Schedule Events’ in Section 3 for an introduction to fixed rate loan/deposit

schedules.

Money Market Loan/Deposit Schedule Add (MMLSA)

The Money Market Loan/Deposit Schedule Add (MMLSA) screen is used to schedule events that

change a money market fixed rate loan/deposit contract schedule, between its start and maturity

dates. The information that can be entered for a loan or deposit schedule is dependent on the diary

type selected in the “Diary Type” field.

The diary type Interest Settlement (IS) is used to enter the following information:

• An interest settlement event

• An interest adjustment

• A penalty

• An add-on adjustment

•

A specific nostro/agent combination for the settlement of an event

The diary type Rate or Principal Change (RP) is used to enter the following information:

• A new interest rate

• A new add-on rate

• A principal change

• A specific nostro/agent combination for the settlement of an event

For principal changes, you must indicate whether the change is a Repayment or an Extension in the

'Result of Change' field:

Select Repayment or Extension

T Enter “R” for Repayment or “E” for Extension

The diary type Rollover (RL) is used to enter the combination of an Interest Settlement and a Rate

or Principal change on the same day. For this event, the Interest Payment Type indicates whether

the interest is rolled into the principal or is paid as normal:




3937 0135-930 4–15

Select Rolled or Normal

T Enter “R” for Rolled or “N” for Normal

If you wish to roll over the maturity date of the contract, use the “New Maturity Date” field to enter

the new date. If you do so, you must enter the original maturity date in the “Value Date” field. This

enables you to update the details of the original schedule by changing the original maturity event toan interest settlement, principal change or rollover event.

If you use this screen to change a rate, the new rate will apply thereafter, until any subsequent

change in principal is recorded, in which case the rate will revert to that which was entered on the

Money Market Loan/Deposit Add (MMLDA) screen.

Only valid combinations of nostros and agents can be entered in the “Our Pay Nostro”, “Their Rcv

Agent”, “Our Rcv Nostro” and “Their Pay Agent” fields (see ‘Nostro and Agent Combinations for

Money Market’ in Section 3).

When “Apply Nostro/Agent to Forward Schedule” is not selected, the settlement details will only be

applied to the entered diary. When it is selected, settlement details will be applied to the entered

diary and to all subsequent diaries including the maturity (MA) diary. Where applicable within the

forward dated schedule postings, confirmations and payment advices will be reversed and re-issued.

The following figure shows an example of the Money Market Loan/Deposit Schedule Add screen.

Figure 4–7. Money Market Loan/Deposit Schedule Add screen




4–16 3937 0135-930

Money Market Loan/Deposit Schedule Change (MMLSC)

The Money Market Loan/Deposit Schedule Change (MMLSC) screen is used to change the details

of fixed rate loan/deposit schedule events that have already been added using the Money Market

Loan/Deposit Schedule Add (MMLSA) screen. A scheduled event can be changed if its value date

has not been reached.

Note: If the value date of a contract diary event has been reached, then it cannot be updated

unless blueprint parameter BP-BACK-VAL-DT (see the Guide to Setting Up ) has been

used to specify that actioned events can be updated. Using this parameter you specify the

period after the value date during which an event may be updated.

The following figure shows an example of the Money Market Loan/Deposit Schedule Change

screen.

Figure 4–8. Money Market Loan/Deposit Schedule Change screen




3937 0135-930 4–17

Money Market Loan/Deposit Schedule Inquire/Delete (MMLSI)

The Money Market Loan/Deposit Schedule Inquire/Delete (MMLSI) screen is used to inquire on

the details of fixed rate loan/deposit schedule events that have already been added using the Money

Market Loan/Deposit Schedule Add (MMLSA) screen. Once an inquiry has been performed the

scheduled event can be deleted if its value date has not been reached.

Note: If the value date of a contract diary event has been reached, then it cannot be deleted


used to specify that actioned events can be deleted. Using this parameter you specify the

period after the value date during which an event may be deleted.

The following figure shows an example of the Money Market Loan/Deposit Schedule

Inquire/Delete screen.

Figure 4–9. Money Market Loan/Deposit Schedule Inquire/Delete screen




4–18 3937 0135-930

Money Market Base Rate Loan/Deposit Screens

The following screens are used to define and maintain base rate money market contracts.

The following screens are used for base rate loans and deposits.

• Money Market Base Rate Loan / Deposit - Add (MMBRA)

• Money Market Base Rate Loan / Deposit - Change (MMBRC)

• Money Market Base Rate Loan / Deposit - Inquire or Delete (MMBRI)

For further information on money market base rate contracts see ‘All Money Market Contracts’ and

‘Base Rate Loans and Deposits’ in Section 3.

Money Market Base Rate Loan/Deposit Add (MMBRA)

The Money Market Base Rate Loan/Deposit Add (MMBRA) screen is used to define money market

loan and deposit contracts with an interest rate that is linked to a base rate.

When entering a base rate loan or deposit contract the following rules apply:

• The base rate must have been set up on the Base Rates (BASE) table, see the Core Functions

and Inquiries Guide for more information







Non standard settlement instructions for the payment agent may be created by linking through to the Non Standard Settlement Instructions (NSTDM) screen (see the Settlements Guide). To do this:





Press Transmit




3937 0135-930 4–19

The following figure shows an example of the Money Market Base Rate Loan/Deposit Add screen.

Figure 4–10. Money Market Base Rate Loan/Deposit Add screen




4–20 3937 0135-930

Money Market Base Rate Loan/Deposit Change (MMBRC)

The Money Market Base Rate Loan/Deposit Change (MMBRC) screen can be used to change non-

financial details of a money market base rate loan/deposit contract at any point before the contract

matures. It cannot be used to perform a direct change to the financial details of the contract, such as

the principal amount and the rate variation. Changes to these details can only be effected byscheduling an event using the Money Market Base Rate Schedule Add (MMBSA) screen.

Changes to settlement details using the Money Market Base Rate Loan/Deposit Change (MMBRC)

screen can only be made on the day the contract is input, or against unstarted (future dated)

contracts. Any other changes can be made using the Money Market Base Rate Schedule Change

(MMBSC) screen.




You can use the Money Market Base Rate Loan/Deposit Change (MMBRC) screen to change the

maturity date of the contract. This causes a change in the interest settlement because the interest is

calculated on a simple interest basis and the final settlement can be either on or after the maturitydate. If required, the settlement method and settlement account can be changed using this screen.

You can also use the Money Market Base Rate Loan/Deposit Change (MMBRC) screen to initiate

conversion of an “in” (national) currency to euro. (See Euro Related Information in the Core

Functions and Inquiries Guide.)




3937 0135-930 4–21

The following figure shows an example of the Money Market Base Rate Loan/Deposit Change

screen.

Figure 4–11. Money Market Base Rate Loan/Deposit Change screen




4–22 3937 0135-930

Money Market Base Rate Loan/Deposit Inquire/Delete (MMBRI)

The Money Market Base Rate Loan/Deposit Inquire/Delete (MMBRI) screen can be used to

perform an inquiry on any money market base rate loan/deposit contract. After performing an

inquiry on a contract you can:

• Copy it








The Money Market Base Rate Loan/Deposit Inquire/Delete (MMBRI) screen has the same layout as

the Money Market Base Rate Loan/Deposit Change (MMBRC) screen.




3937 0135-930 4–23

Money Market Base Rate Loan/Deposit ScheduleScreens

Once a money market base rate loan/deposit has been defined, using the Money Market Base Rate

Loan/Deposit Add (MMBRA) screen, the basis of the original contract cannot be changed.However, it may become necessary to make changes to the schedule associated with the contract.

The following screens are used for this purpose.

• Money Market Base Rate Schedule - Add (MMBSA)

• Money Market Base Rate Schedule - Change (MMBSC)

• Money Market Base Rate Schedule - Inquire or Delete (MMBSI)

See ‘Money Market Schedule Events’ in Section 3 for an introduction to base rate loan/deposit

schedules.

Money Market Base Rate Schedule Add (MMBSA)

The Money Market Base Rate Schedule Add (MMBSA) screen is used to schedule events that

change a money market base rate loan/deposit contract schedule, between its start and maturity







• A penalty

•



• A new base rate variation



• A new minimum or maximum rate












4–24 3937 0135-930








Money Market Base Rate Loan/Deposit Add (MMBRA) screen.





applied to the entered diary. When it is selected, settlement details will be applied to the entered

diary and to all subsequent diaries including the maturity (MA) diary. Where applicable within the


The following figure shows an example of the Money Market Base Rate Schedule Add screen.

Figure 4–12. Money Market Base Rate Schedule Add screen




3937 0135-930 4–27

Money Market Index Rate Loan/Deposit Screens

The following screens are used to define and maintain index rate money market contracts.

• Money Market Index Rate Loan/Deposit - Add (MMIRA)

• Money Market Index Rate Loan/Deposit - Change (MMIRC)

• Money Market Index Rate Loan/Deposit - Inquire or Delete (MMIRI)

For further information on money market index rate contracts see ‘All Money Market Contracts’

and ‘Index Rate Loans and Deposits’ in Section 3.

Money Market Index Rate Loan/Deposit Add (MMIRA)

The Money Market Index Rate Loan/Deposit Add (MMIRA) screen is used to define money market

loan and deposit contracts with an interest rate that is linked to an index rate.

When entering an index rate loan or deposit contract the following rules apply:

• The Rate Identifier, such as 3MGBLIBOR, must have been set up using the Rate Definition

Maintenance (RTDEF) screen, see the Core Functions and Inquires Guide for more

information








Non Standard Settlement Instructions (NSTDM) screen (see the Settlements Guide). To do this:





Press Transmit




4–28 3937 0135-930

The following figure shows an example of the Money Market Index Rate Loan/Deposit Add screen.

Figure 4–15. Money Market Index Rate Loan/Deposit Add screen




3937 0135-930 4–29

Money Market Index Rate Loan/Deposit Change (MMIRC)

The Money Market Index Rate Loan/Deposit Change (MMIRC) screen can be used to change non-

financial details of a money market base rate loan/deposit contract at any point before the contract

matures. It cannot be used to perform a direct change to the financial details of the contract, such as

the principal amount and the rate variation. Changes to these details can only be effected byscheduling an event using the Money Market Index Rate Schedule Add (MMISA) screen.

Changes to settlement details using the Money Market Index Rate Loan/Deposit Change (MMIRC)

screen can only be made on the day the contract is input, or against unstarted (future dated)

contracts. Any other changes can be made using the Money Market Index Rate Schedule Change

(MMISC) screen.




You can use the Money Market Index Rate Loan/Deposit Change (MMIRC) screen to change the

maturity date of the contract. This causes a change in the interest settlement because the interest is

calculated on a simple interest basis and the final settlement can be either on or after the maturitydate. If required, the settlement method and settlement account can be changed using this screen.

You can also use the Money Market Index Rate Loan/Deposit Change (MMIRC) screen to initiate

conversion of an “in” (national) currency to euro. (See Euro Related Information in the Core

Functions and Inquiries Guide.)




4–30 3937 0135-930

The following figure shows an example of the Money Market Index Rate Loan/Deposit Change

screen.

Figure 4–16. Money Market Index Rate Loan/Deposit Change screen




3937 0135-930 4–31

Money Market Index Rate Loan/Deposit Inquire/Delete (MMIRI)

The Money Market Index Rate Loan/Deposit Inquire/Delete (MMIRI) screen can be used to

perform an inquiry on any money market index rate loan/deposit contract. After performing an

inquiry on a contract you can:

• Copy it








The Money Market Index Rate Loan/Deposit Inquire/Delete (MMIRI) screen has the same layout as

the Money Market Index Rate Loan/Deposit Change (MMIRC) screen.




4–32 3937 0135-930

Money Market Index Rate Loan/Deposit ScheduleScreens

Once a money market index rate loan/deposit has been defined, using the Money Market Index Rate

Loan/Deposit Add (MMIRA) screen, the basis of the original contract cannot be changed. However,it may become necessary to make changes to the schedule associated with the contract. The

following screens are used for this purpose.

• Money Market Index Rate Schedule - Add (MMISA)

• Money Market Index Rate Schedule - Change (MMISC)

• Money Market Index Rate Schedule - Inquire or Delete (MMISI)

See ‘Money Market Schedule Events’ in Section 3 for an introduction to index rate loan/deposit

schedules.

Money Market Index Rate Schedule Add (MMISA)

The Money Market Index Rate Schedule Add (MMISA) screen is used to schedule events that

change a money market index rate loan/deposit contract schedule, between its start and maturity







• A penalty

•



• A new interest rate variation



• A new minimum or maximum rate












3937 0135-930 4–33








Money Market Index Rate Loan/Deposit Add (MMIRA) screen.

If you set the Refix Index Rate field to ‘Yes’, then the index rate in force at the fixing date for the

event is applied, and the fixing status is set. If this field is not set to ‘Yes’, then the index rate in

force from the previous event is applied and the fixing status is not set.

When an event is added on the Money Market Index Rate Schedule Add (MMISA) screen, the

index rates on subsequent events are not affected immediately. It is expected that index rates are

entered into the system daily, so that subsequent diaries from a newly added event are updated by

the End of Day Rate Fixing (FIXRATE) report. For more information on this report, see Overnight

Reports – Banking in the Overnight Reports Guide.

An event with the rate fixing indicator of Estimated, Firm, or Prior will have the index rate fixed by

the FIXRATE report. Where the rate fixing indicator is not set, then the index rate in force from the

previous event is applied. For more information on the rate fixing indicator, see the Diary by

Contract Number (DICNI)screen in the Core Functions and Inquiries Guide.





applied to the entered diary. When it is selected, settlement details will be applied to the entereddiary and to all subsequent diaries including the maturity (MA) diary. Where applicable within the


The following figure shows an example of the Money Market Index Rate Schedule Add screen.




4–34 3937 0135-930

Figure 4–17. Money Market Index Rate Schedule Add screen




4–36 3937 0135-930

Money Market Index Rate Schedule Inquire/Delete (MMISI)

The Money Market Index Rate Schedule Inquire/Delete (MMISI) screen is used to inquire on the

details of index rate loan/deposit schedule events that have already been added using the Money

Market Index Rate Schedule Add (MMISA) screen. Once an inquiry has been performed the

scheduled event can be deleted if its value date has not been reached.

Note: If the value date of a contract diary event has been reached, then it cannot be deleted


used to specify that actioned events can be deleted. Using this parameter you specify the

period after the value date during which an event may be deleted.

The following figure shows an example of the Money Market Index Rate Schedule Inquire/Delete

screen.

Figure 4–19. Money Market Index Rate Schedule Inquire/Delete screen




3937 0135-930 4–37

Money Market Discounted Loan Screens

The following screens are used to define and maintain money market discounted loan contracts.

• Money Market Discounted Loan - Add (MMDLA)

• Money Market Discounted Loan - Change (MMDLC)

• Money Market Discounted Loan - Inquire or Delete (MMDLI)

For further information on money market discounted loan contracts see ‘All Money Market

Contracts’ and ‘Discounted Loans’ in Section 3.

Money Market Discounted Loan Add (MMDLA)

Money Market Discounted Loan Add (MMDLA) screen is used to enter money market discounted

loans for which the interest is subtracted from the principal at the start of the loan. The full principal

is repayable at maturity.

When entering a discounted loan contract the following rules apply:

• The amount of the discount is defined by completing the “Discount Rate” field






Non Standard Settlement Instructions screen (see 'Non Standard Settlement Instructions for Pay

Agents' in the Settlements Guide). To do this:

Enter “NSTD” in the “Their Receive Agent” fieldSelect the “Settlement Instructions” button.


Enter “Y” in the “Link to NSTD” field

Note: When a discounted loan has been entered, you cannot change the book value, principal

amount, interest amount, discount rate or maturity date.




4–38 3937 0135-930

The following figure shows an example of the Money Market Discounted Loan Add screen.

Figure 4–20. Money Market Discounted Loan Add screen




4–40 3937 0135-930

The following figure shows an example of the Money Market Discounted Loan Change screen.

Figure 4–21. Money Market Discounted Loan Change screen




3937 0135-930 4–41

Money Market Discounted Loan Inquire/Delete (MMDLI)

The Money Market Discounted Loan Inquire/Delete (MMDLI) screen can be used to perform an

inquiry on any money market discounted loan contract. When you inquire on a discounted loan, the

system displays the “Book Value”, that is the amount of funds available to the client.

After performing an inquiry on a contract you can:

• Copy it








The Money Market Discounted Loan Inquire/Delete (MMDLI) screen has the same layout as the

Money Market Discounted Loan Change (MMDLC) screen.




4–42 3937 0135-930

Fiduciary Contract Screens

Fiduciary Loan/Deposit Maintenance (FILDM)

Use the Fiduciary Loan/Deposit Maintenance (FILDM) screen to inquire on and confirm the detailsof a specific Fiduciary contract. After entering the loan contract number the basic loan details are

displayed along with associated deposits. The deposit contracts can be selected and viewed.

You can link through to the appropriate money market contract change screen for the fiduciary loan.

To do this:

Click Loan Change

T Enter “C” in the “Loan Link” field and

Press Transmit

You can also link through to the appropriate money market contract inquiry screen for the fiduciaryloan, from where specific loan contracts can be viewed or copied. To do this:

Click on Loan Inquiry

T Enter “I” in the “Loan Link” field and

Press Transmit

To link through to the appropriate money market contract change screen for a fiduciary deposit

associated with the loan:

Highlight the required deposit, and click on Deposit Change

T Enter “C” in the “Deposit Link” field adjacent to the deposit you require and

Press Transmit

You can also link through to the appropriate money market contract inquiry screen for a fiduciary

deposit associated with the loan, from where specific deposit contracts can be viewed or deleted. To

do this:

Highlight the required deposit, and click on Deposit Inquiry

T Enter “I” in the “Deposit Link” field adjacent to the deposit you require and Press Transmit

The Confirmation field is used to confirm the Fiduciary contract as a whole. Confirmation has the

effect of “locking” the Fiduciary contract, and thus preventing certain changes to the contract. For

Fiduciary loans and deposits, and Fiduciary base rate loans and deposits, changes may not be made




3937 0135-930 4–43

to the fields “Days Notice”, “Maturity Date”, or “Roll Maturity Frequency” for confirmed contracts.

For Fiduciary schedules, changes may not be made to the fields “Principal Change”, “Interest Rate”,

“Rate Variation”, “Minimum Rate”, or “Maximum Rate”. If you need to make changes to any of

these fields, the contract as a whole can be “unlocked” using the Unconfirm facility.

When a Fiduciary contract is confirmed, the system will check to ensure that the loan/deposit

difference is zero, and that the terms of all the associated loan and deposit contracts match. If the

contracts do not net to zero, the appropriate contract add screen is displayed so that further deposits

can be entered and the contract completed. To confirm or unconfirm the contract:

Select Confirm from the “Confirm” drop down list and click OK

T Enter “X” in the “Confirm” field and

Press Transmit

In addition to the above functionality this screen is also the only way it is possible to delete a

Fiduciary contract. The entire set of contracts is deleted, with an Inquiry being forced if the

contract details are not already on display. To delete the entire set of contracts:

Click on Delete

T Change the “Maintenance” field to DEL and

Press Transmit




3937 0135-930 4–45

Fiduciary Loan Inquiry (FILNI)

The Fiduciary Loan Inquiry (FILNI) screen can be used to perform an inquiry on any fiduciary loan

contract. It is possible to start the search from a particular contract number by entering the number

in the “Contract Number” field. Alternatively, a complete list of fiduciary loan contracts can be

displayed by starting the search from zero. The search returns fiduciary loan details only; depositdetails are not listed.

It is possible to link through to the Fiduciary Loan/Deposit Maintenance (FILDM) screen for the

fiduciary loan, from where full details of the loan contract and associated deposit contracts can be

accessed. To do this:

Highlight the required contract in the list, and click on Maintenance

T Enter “X” in the “Link” field and

Press Transmit

It is also possible to link through to the appropriate money market contract inquiry screen for the

fiduciary loan, from where specific loan contracts can be viewed or copied. To do this:

Highlight the required contract in the list, and click on Contract Inquiry

T Enter “I” in the “Loan Link” field and

Press Transmit




4–46 3937 0135-930

The following figure shows an example of the Fiduciary Loan Inquiry screen.

Figure 4–23. Fiduciary Loan Inquiry screen




3937 0135-930 4–47

Contract Diary Narratives

Each diary event associated with a money market contract is processed automatically, on the basis

of the details entered in the contract screens. However, it may be necessary to enter additional diary

narratives, for example you may wish the system to provide a message prompting you to take action

the day before an interest settlement event.

These contract diary narratives can be set up and maintained using the standard contract screens

(see the Core Functions and Inquiries Guide for full details):

• Contract Diary Narrative Add (CNARA)

• Contract Diary Narrative Maintain (CNARM)

These diary narratives can be seen on the inquiry screens Diary Narratives By Accounting Centre

(DNBIQ) and Diary Narratives By Contract (DNCIQ) (see the Core Functions and Inquires Guide

for full details).

Each contract can have any number of associated narrative events. Each narrative event is identified

by its value date and sequence number. This means that more than one narrative event can take

place on the same value date.

Using the Contract Diary Narrative Add (CNARA) screen you can add a number of narrative events

for a contract. Individual narrative events can then be updated or deleted using the Contract Diary

Narrative Maintain (CNARM) screen.




4–48 3937 0135-930



3937 0135-930 5–1

Section 5Definition of Field Names

Introduction

This section provides a definition of all the field names on Foreign Exchange and Money Market

screens. The fields are listed alphabetically and details of valid entries are given.

If the field is pre-filled with a value on the screen, or defaults to a value if left blank, these values

are also given.

Many of the codes and mnemonics given may change when the system is installed at your bank.

Table 5–1. Definition of Field Names

Field Definition

ABTS Outstanding The total of all outstanding adjustments back to spot at the end of

day. This is shown for today and yesterday.

Accounting Centre This is the identifier of the Accounting Centre associated with the

contract. It is set up on the Accounting Centres Maintenance

(ACNTM) screen. All Accounting Centres are linked to a location

maintained in the Location Maintenance (LOCTM) screen.

On contract add screens, this field is pre-filled with the Accounting

Centre associated with your usercode on the Users Maintenance(USERS) screen.

For Foreign Exchange Inter-Accounting Centre Loan/Deposits, this

identifies the accounting centre borrowing the funds (Produced

Currency details) or lending the funds (Used Currency details). The

'Accounting Centre' field near the top of the screen identifies the

third party (normally the FX accounting centre) that makes

arrangements for the provision of the lent and deposited Foreign

Exchange.

On the FX Position Installation Change (FXPSC) and the FX Profit

Installation Change (FXPFC) screens, this is the mnemonic of the

accounting centre whose opening foreign exchange positions are

being set up.



Definition of Field Names

5–2 3937 0135-930

Field Definition

Accrual Method This indicates the way that you want profit to be accrued:

Spot Revaluation

Undiscounted SpecialDeferred Profits

Discounted Standard

Undiscounted Standard

None

T 0 Spot Revaluation

1 Undiscounted Special

2 Deferred Profits

3 Discounted Standard

4 Undiscounted Standard

9 None

You can override the default accrual method when entering a new

contract, unless the method is None.

Accrual Type This indicates which accrual type you wish to apply to the

contract:

• Interest is accrued at the end of the first online day during end-

of-day processing and during every end-of-day until maturity; no

interest is accrued for the Maturity Date itself

• Interest is accrued during the first beginning-of-day processing

(at the start of the second day) and during every beginning-of-

day after that including the last day (Maturity Date)

First

Last

T F First

L Last

Action This field is not used for foreign exchange or money market deals.

Add-On Adjustment The amount by which add-on is to be adjusted for the contract.

Add-On Rate The percentage rate of add-on to be included in the gross interest

rate for Money Market loans and deposits.

Allow Reversal This field contains information that will be sent to the rFrame

interface for inclusion in a statutory report, and is for the use of the

rFRAME reporting utility only, not affecting any contract using this

default. This field shows whether contracts of this type can be

reversed.

For more information, see The rFRAME Interface in the Guide to

Interfaces with External Systems. AMADJ The sum of all amortised adjustment back to spot figures accrued

for this accounting centre. This is shown for today and this period

and is used on the FX Profit Installation Change (FXPFC) screen.

AMADJ Adjustments The total adjustments to the amortised adjustments back to spot for

this accounting centre. This is shown for today and this period and

is used on the FX Profit Installation Change (FXPFC) screen.




3937 0135-930 5–3

Field Definition

Apply Nostro/Agent

to Forward Schedule

Determines whether settlement details are applied to all subsequent

diaries, as well as the entered diary.

On Applied to all diaries

Off Applied to entered diary only

T Y Applied to all diaries

N Applied to entered diary only

Available Amount When the screen is initially displayed, this field displays the amount

available before the client limit is exceeded. This amount is the

"Current Limit" minus the "Current Exposure".

When you enter details of a new money market or interest bearing

securities outline deal, but do not complete the "Confirm" field, then

the available amount is updated to reflect any additional exposure

that would be caused by the deal.

Bank Portfolio The Bank Portfolio is used to hold the Bank’s principal positions.

This field shows the identifier of the Bank Portfolio to which this dealbelongs. The identifier is defined on the Portfolio Definition

(PFDFM) screen.

On contract add screens, this field is pre-filled with the Portfolio

associated with your usercode on the Users Maintenance (USERS)

screen.

Base Currency

Equivalent

This allows the display of the base currency equivalent for Foreign

Exchange Positions. If the Base Currency Equivalent is selected,

the positions for each foreign currency are displayed as amounts in

the base currency, rather than the foreign currency.

Base Rate Number The number of the base rate used for the contract. These are set

up on the Base Rates (BASE) screen.

Base Rate Variation This indicates the percentage variation from the rate identified bythe "Base Rate Number" and whether the rate variation is added or

subtracted. This field comprises two parts:

The first indicates whether the variation is to be added to (+) or

subtracted from (-) the rate used for the contract. The second

indicates the amount of the variation.

BMA Netting Flag This field contains information that will be sent to the rFrame



default. This field shows whether contracts of this type are allowed

to be netted.


Interfaces with External Systems.

Book Value The principal amount less interest.

For discounted loans, the book value is calculated automatically if

this field is left blank.

Bought Maturity

Date

The maturity date entered if the Split Maturity Indicator is set to

Yes. The Bought Maturity Date must not be the same as Sold

Maturity Date and must fall on a business day in the country of the

currency it relates to.




5–4 3937 0135-930

Field Definition

Bought/Used

Currency

The mnemonic of the bought currency. Currency mnemonics are

set up on the Currencies (CCYS) screen.

Broker or Via This field shows either the broker that arranged the contract, or themethod by which the contract was arranged. The field can contain

one of the following

• The nickname of the broker through which the contract was

arranged. These are set up on the Broker Maintenance

(BRKRM) screen.

• ELEC

• PHON

• REUTERS

• SWIFT

• TELEX

If you are not entering a brokerage amount, the entry in this f ield is

used for documentary purposes.

See Brokerage Method.

Brokerage Amount The amount of brokerage to be paid on the contract. See Brokerage

Method.

Brokerage Currency The mnemonic of the currency in which the brokerage amount is

entered. Currency mnemonics are set up on the Currencies (CCYS)

screen. See Brokerage Method.

Brokerage Method A code identifying the method used to calculate brokerage rates.

This is defined by the user on the FX and NON-FX Brokerage

Tables (FXBR and NONFX). In conjunction with the contract type

and broker number it constitutes the key to the method by which

brokerage is calculated.

The brokerage fields are entered in the following combinations:

• Complete the Broker or Via and Brokerage Method fields if you

want the brokerage to be calculated automatically.

• Complete the Broker or Via, Brokerage Currency and Brokerage

Amount fields if you want to enter the brokerage amount.

• If you do not want to enter a brokerage amount, only complete

the Broker or Via field.

If you are not entering any brokerage details, leave all the

brokerage fields blank.

Cash The current Foreign Exchange cash position of the currency shown.

Charge Amount The amount of the charge for the commercial market Foreign

Exchange deal.

Charge/ Commission

Currency

The currency in which charges and commission are paid.

Currencies are set up on the Currencies (CCYS) screen.

Client City The client's city of residence. These cities are set up on the General

Purpose Narratives Table, type “CI”.




3937 0135-930 5–5

Field Definition

Client Portfolio The Client Portfolio is used to hold a client’s positions. This field

shows the identifier of the Client Portfolio to which this deal

belongs. The identifier is defined on the Portfolio Definition

(PFDFM) screen.

Client Shortname The shortname of the client.

Comments This is a free format field used to make a positive statement as part

of the dealing conversation as per customer instructions.

The following rules are applicable while entering data in this field:

1. The contract will not be processed if anything at all is entered

into this field.

2. The contract will be processed if this is left blank

3. The contract will be processed if the first three characters

entered are "STD" followed by a blank space and then the

comment.

Any comments entered here are displayed when details of the dealare displayed on the Outline Deal Inquiry (DEALI) screen.

Commercial

Indicator

This indicates whether this is a commercial Foreign Exchange

contract:

On Commercial contract

Off Non-commercial contract (default)

T Y Commercial contract

N Non-commercial contract (default)

Commission Amount The amount of commission charged on the contract.




5–6 3937 0135-930

Field Definition

Confirm For Foreign Exchange or Money Market Outline Deals, use this field

to indicate whether a deal is to be added to the outline deal queue.

No Do not add the dealYes Add the deal if no limits are exceeded

Override Add the deal even if limits are exceeded

T N Do not add the deal

Y Add the deal if no limits are exceeded

O Add the deal even if limits are exceeded

For Fiduciary contracts, use this field to confirm the Fiduciary

contract as a whole (i.e. including the Fiduciary Loan contract,

and all associated Deposit contracts). A check is made to

ensure that the difference between the Fiduciary Loan contract

and the associated Deposit contracts is zero; and that the

contracts all have matching terms. If these conditions have

been met, the Fiduciary contract is confirmed. This “locks” the

complete set of loan and deposit contracts that make up the

Fiduciary contract as a whole, and prevents certain changes

being made. The deal can be “unlocked” to allow changes to be

made, using the Unconfirm facility.

Confirm Confirm the Fiduciary contract

Unconfirm Unlock the Fiduciary contract

T X Confirm the Fiduciary contract

U Unlock the Fiduciary contract

Confirmation Indicates whether a confirmation has been received by the

counterparty:

On Confirmation received

Off Confirmation not received

T Y Confirmation received

N Confirmation not received

Consolidated Euro Use this field to indicate whether the foreign exchange positions of

“in” currencies are to be displayed in their national currencies or to

be combined into the euro position.

On Combine “in” currency positions into euro

position.

Off Display positions in “in” currencies

T Y Combine “in” currency positions into euro

position.

N Display positions in “in” currencies




3937 0135-930 5–7

Field Definition

Contract Indicator This indicates whether the contract is a loan or a deposit:

Loan

Deposit

T L Loan

D Deposit

Contract Number 1. The unique reference number that identifies the contract. This

is automatically allocated when you add a new contract, but

must be input for all other actions.

2. For Foreign Exchange Take-ups, the number of the option

contract against which the take-up is being made.

3. For Diary Narrative and Schedule Events, the number of the

contract for which the events are being entered.

Contract Period This is the number of days after a contract start date that you want

maturity to be set. The start date can be set automatically by settinga number of “Settlement Days”.

Contract Rate

Change

The total of all contract rate changes calculated today for this

foreign exchange accounting centre on the FX Profit Installation

Change (FXPFC) screen.

Contract Type For a Fiduciary Loan contract, this shows the type of Money Market

contract used for the Fiduciary Loan.

Currency The mnemonic of the currency, as set up on the Currencies (CCYS)

screen.

For Foreign Exchange Inter-Accounting Centre Loan/Deposits, the

mnemonic of the produced (borrowed) currency or the used (lent)

currency.

The currency defaults to the deal currency if this field is left blank.

On the FX Position Installation Change screen, this is the

mnemonic of the currency in which opening foreign exchange

positions are being set up.

On the Money Market Outline Deal Input (MMDEA) and Foreign

Exchange Outline Deal Input (FXDEA) screens, this is the currency

in which the limit and exposure details are displayed.

Currency

Conversion Indicator

Use this field to indicate whether a contract in an “in” currency

should be converted to euro during the next overnight process. If

the contract is already in euro, then use this field to indicate that the

contract is to be reconverted from euro to its original currency.

On Conversion required

Off Conversion not required

T Y Conversion required

N Conversion not required




5–8 3937 0135-930

Field Definition

Current Exposure This is your current exposure to the client specified in the "Limit and

Exposure for" field. The exposure includes:

• All the client's active contracts

• Money market and interest bearing securities outline deals

currently on the outline deals queue

Current Limit This is the exposure limit that is set up for the client specified in the

"Limit and Exposure for" field. The exposure limit is the sum of the

short and long term exposures set up for the client on the Limit

Maintenance (EXCLM) screen, see the Risk Management

Administration Guide.

Current Principal The principal amount of the loan or deposit as it is today.

Day Type Select either Calendar or Working days to calculate the start and

maturity dates on Money Market Contracts. They are calculated

using a combination of the ”Contract Period”, “Days Notice” and

“Settlement Days” fields.

Days Notice The number of days notice to be given to mature the contract. Enter

0 for contracts that are at call. Complete this field or enter the

Maturity Date, not both.

Deal Amount The amount of the deal.

Deal Currency The mnemonic of the currency of the deal. Currency mnemonics

are set up on the Currencies (CCYS) screen.

Deal Date This is a documentary field that is used to record the date on which

the deal was made.

Deal Equivalent When you enter details of a new money market or interest bearing


this field displays the exposure to the deal in the currency of theclient limit.

Dealer Identifier The identifier of the dealer responsible for the contract. These

identifiers are set up on the Dealers and Officers (DEALR) screen.

Deposit Amount For Fiduciary contracts, this shows the principal amount of each

of the deposit contracts associated with the Fiduciary contract.

Deposits Total For Fiduciary contracts, this shows the combined total amount

of the deposit contracts associated with the Fiduciary contract.




3937 0135-930 5–9

Field Definition

Diary Type 1. The type of diary for Money Market Schedule Events:

Rate or principal change

Rollover

Interest settlement

T RP Rate or principal change

RL Rollover

IS Interest settlement

2. For base rate contracts, you cannot add base rate (BR) events

and index rate contracts you cannot add index rate events.

This is used to change existing event details.

Discount Rate For discounted loans, this is the rate by which the principal is

discounted at the start of the contract.

Divided Swap

Indicator

This indicates whether the Foreign Exchange market contract is

part of a Divided Swap:

Near end

Far end

Not Divided

T N Near end

F Far end

Blank

This field should be used in conjunction with the "Related Contract"

field to link the two contracts that comprise the Divided Swap.

A selection is only relevant if the contract is a divided swap.

Exchange Rate 1. For Foreign Exchange deals, it is the exchange rate for the

deal. If the exchange rate exceeds one of the width bands set

up for the currency, you must enter a Wide Code (W) or

Management Code (M) in the Width Override field to accept

the deal.

2. For Foreign Exchange Swaps, this is the exchange rate

between the bought and sold currencies for the near and far

end of the deal.

3. For Foreign Exchange deals, the exchange rate cannot be

entered if the deal is between two “in” currencies or between

an “in” currency and the euro. In this case the system gets the

exchange rate from the default EMU exchange group. (See

Euro Related Information in the Core Functions and Inquiries

Guide.)

Far Date The date on which the far exchange takes place.

Far Exchange Rate For Foreign Exchange Swaps, the exchange rate between the

bought and sold currencies for the far end of the deal.




3937 0135-930 5–11

Field Definition

Holiday Method This comprises two fields. The first identifies the method that

the system uses to determine the settlement event date, if the

system generated event date falls on a holiday in the countries

indicated by the value in the second field.

The first field indicates one of the following:

Following

The system settles the amount on the next available day.

Modified

The system settles the amount on the next available day. If this falls

in the following month, the system will search for the f irst available

day prior to the end of the month.

Previous

The system settles the amount on the first available previous day.

None

The system will settle on the event day, even if it is a holiday.

Following

Modified

Previous

None

T F Following

M Modified

P Previous

N None

The second field contains a value defined on the Country Check

Codes (CNCHK) screen representing the currencies to be checked

for holidays for each contract event.

Holiday Override This comprises two fields. The first indicates whether an event onthe contract can occur on a holiday:

On Yes, events can occur on holidays

Off No, events can not occur on holidays

T Y Yes, events can occur on holidays

N No, events can not occur on holidays

The second field contains a value defined on the Country Check

Codes (CNCHK) screen representing the currencies to be checked

for holidays for each contract event.

ID Interest Expense The total amount paid by the borrowing accounting centre in

Foreign Exchange Inter Accounting Centre deals.

ID Interest Revenue The total amount received by the lending accounting centre in

Foreign Exchange Inter Accounting Centre deals.

ID Principal The total amount of principal in Foreign Exchange Inter Accounting

Centre deals for the currency shown.




5–12 3937 0135-930

Field Definition

Instrument / Product This identifies the product being traded for this contract. For

example, Treasury Bonds, Gilts, Foreign Exchange Spot Deal.

Product definitions are held on the Product Types Maintenance

(PRTPM) screen.

Inter-Accounting

Centre Loan /

Deposits:

Forward Interest

Bought

The amount of outstanding bought interest on inter-accounting

centre loan and deposit deals for this accounting centre in the

currency shown.

Inter-Accounting

Centre Loan /

Deposits:

Forward Interest Net

The net of the interest bought and interest sold positions for inter-

accounting centre loans and deposits.

Inter-Accounting

Centre Loan /

Deposits:Forward Interest

Sold

The amount of outstanding sold interest on inter-accounting centre

loan and deposit deals for this accounting centre in the currency

shown.

Inter-Accounting

Centre Loan /

Deposits:

Principal

The net of the principal amounts on all outstanding inter-accounting

centre loan and deposit contracts for this accounting centre.

Interest Adjustment The amount by which interest is to be adjusted by this event and

whether the amount is to be paid or received, for example +25 or

-15.50.

Interest adjustment may only be entered for IS, RLR or RLN Diary

Types.

Interest Amount For Discounted Loans, the amount of interest discounted from theprincipal at the start of the contract. The interest amount is

calculated automatically if this field is left blank.

For Money Market Loan/Deposits, the total interest to be paid at

maturity of the contract. This can only be entered or inquired on for

contracts with a fixed maturity date. This f ield is blank for a

call/notice contract.

Interest Basis This is the method of calculating the effective period over which

interest will be accrued. See ’Contract-Related Calculations’ in the

Core Functions and Inquires Guide for details. Values are:

30 30/360

31 30E/360

366 Actual/Actual

360 Actual/360

365 Actual/365

For the Foreign Exchange inter-Accounting Centre loans and

deposits, this field defaults to the interest basis of the currency.

For Money Market loans and deposits, this field defaults to the

interest basis of the principal currency.




3937 0135-930 5–13

Field Definition

Interest Expense The interest paid by the borrowing accounting centre.

Interest Payment

Type

Indicates whether interest is paid as normal or rolled into (added to)

the principal:

Normal (this is the default)

Rolled

T N Normal (default)

R Rolled into the principal

Interest Rate 1. The rate of interest charged or to be paid on the contract.

2. For schedule events involving a rate change, it is the new rate

of interest.

3. For Foreign Exchange Inter-Accounting Centre Loan/Deposits,

the rate of interest on the lent amount (used currency details) or

the borrowed amount (produced currency details).

Interest Revenue The interest received by the lending accounting centre. The interest

revenue is calculated automatically if this field is left blank.

Investment Swap This indicates whether the contract is part of an investment swap

contract:

On Investment swap

Off Not an investment swap

T Y Investment swap

N Not an investment swap

For details on how to enter Investment Swap contracts, see

External Deal Id Entry (EXDLM) in the Core Functions and Inquiries

Guide.Limit and Exposure

for

The client for which the limit and exposure details are being

displayed.

Linked Contract This is a documentary field indicating the contract from which

details of the current contract were copied.

If you are in the process of copying a contract, this field contains

the number of the contract being copied. This f ield can be

overwritten if required.

Loan/Deposit

Difference

For a Fiduciary contract, this displays the amount of any difference

between the Loan contract and its associated deposit contracts.




5–14 3937 0135-930

Field Definition

Market Rate This field is used for documentary purposes only. You can use it to

record the foreign exchange rate that you would currently expect for

a deal of this type. The actual exchange rate for the deal is

recorded in the ‘Exchange Rate’ field.

Note: When calculating the rate change profit or loss, theForeign Exchange End-of-Day Update (FXEOD) report uses the ‘Exchange Rate’ and the current values on theExchange Rates (EXCHM) screen. ( See the CoreFunctions and Inquiries for details of this screen.)

Market Rate Table This identifies the rate that is used for Mark to Market revaluation.

The identifier is set up on the Rate Definition (RTDEF) screen and

the rates represented by the identifier are set up on the Market

Interest Rates (RATEA) screen.

Maturity Date 1. The date on which the contract matures.

2. For Money Market Contracts, it is the date of the final

repayment. You cannot enter both a Maturity Date and Days

Notice.

3. For Foreign Exchange deals, the date on which the exchange

takes place.

4. For Commercial Foreign Exchange deals, the last date on which

the exchange can take place.

5. For Foreign Exchange Outright deals, use of this field is not

allowed if the Split Maturity Indicator is selected.

Maximum Rate The maximum interest rate that can be charged or paid on the

contract.

Message Priority Unless your version of the system is set up to support S.W.I.F.T.

payment / confirmation messages, this is a documentary field only.

Otherwise, it identifies the system code associated with a standard

S.W.I.F.T. message priority code:

01 - Urgent U1003

Equivalent to S.W.I.F.T. message U1003 (Urgent);

a Non-Delivery Warning is reported if the message has not

been received within 15 minutes.

02- Normal N2020

Equivalent to S.W.I.F.T. message N2020 (Normal);

Delivery Notification is reported if the message has been

received within 100 minutes.

11 - Urgent U3003

Equivalent to S.W.I.F.T. message U3003 (Urgent);

a Non-Delivery Warning is reported if the message has not

been received within 15 minutes and Delivery Notification is

reported if the message has been received within 15 minutes.99 - None

Indicates that, even if the client has a S.W.I.F.T. address,

settlement instructions must be suppressed. This facility can be

used for internal deals that do not require settlement

instructions.

Minimum Rate The minimum interest rate that can be charged or paid on the

contract.




3937 0135-930 5–15

Field Definition

Near Date The date of the near exchange.

On the Foreign Exchange Outline Deal Input (FXDEA) and the

Foreign Exchange contract add screens, this field displays a default

date, which can be overwritten.

• For Foreign Exchange Market contracts this is the date from

which profit on the contract will be amortised. If no entry is

made, the Near Date defaults to the Spot Date or the Option

Date (whichever comes first) unless the Option Date has not

been entered in which case it defaults to the Spot Date or the

Maturity Date (whichever comes first). The Maturity Date cannot

be earlier than the Near Date.

• For a Foreign Exchange Swap the Near Date is the date of

maturity of the near side.

Near Exchange Rate For Foreign Exchange Swaps, the exchange rate between the

bought and sold currencies for the near end of the deal.

Near Rate The spot rate at the time the deal was agreed. This is calculated

automatically if this field is left blank, on the following basis:

It defaults to the spot rate (held on the Exchange Rates Screen) if

the Spot Date is earlier than the Maturity Date.

It defaults to the exchange rate if the Spot Date is the same as, or

later than, the Maturity Date.

Net The current Foreign Exchange net position of the currency shown.

Net Spot The net of the spot and inter-accounting centre loan and deposit

positions for this currency. It shows the true long or short position

for the currency.

Netting Flag This field contains information that will be sent to the rFrame

interface for inclusion in a statutory report, and is for the use of therFRAME reporting utility only, not affecting any contract using this

default. This field shows whether contracts of this type are allowed

to be netted.



New Maturity Date For Money Market Base Rate and Money Market Loan/Deposit

contracts, this represents the new maturity date of the contract,

following a rollover, entered on either of the contract schedule

screens: MM Loan/Deposit Schedule and MM Base Rate Schedule

(MMLSA or MMBSA).

Next Contract

Number

The number of the next contract you wish to call up in the back

office.

Non Deal Amount 1. The amount of the other currency involved in the deal.

2. For a Foreign Exchange Swap, the value of the other currency

involved in the deal at the far end of the deal (far end details)

or the near end of the deal (near end details).

The Non-deal Amount is calculated automatically if this field is

left blank, unless the Exchange Rate is close to one (1) in

which case it must be entered.




5–16 3937 0135-930

Field Definition

Open The current Foreign Exchange open position of the currency shown.

On the FX Position Installation Change (FXPSC) screen, this is the

amount at risk to foreign exchange rate movements. It is the total of

net and forward positions for this accounting centre in the currency

shown.

Open Position in

Base

The total of all open positions (at end of day) for this foreign

exchange accounting centre converted to base currency. This is

shown for today and yesterday.

Option Date For Foreign Exchange option deals, the date from which the option

applies. Take-ups can be made on or after the option date and

before the maturity date.

For commercial deals, the Option Date must be entered.

Other Accounting

Centre

The mnemonic of the other accounting centre involved in an Inter-

Accounting Centre deal.

Our Pay Nostro The number or name of the pay nostro, set up on the Nostro Details(NSTRO) screen, for the contract:

1. For Foreign Exchange take-ups, this defaults to the Pay Nostro

of the underlying commercial contract.

2. For Money Market loan and deposit schedules, this defaults to

the Pay Nostro on the maturity diary.

3. For a Foreign Exchange Swap, enter the number of the nostro

for paying the sold currency (near and far end details).

You can also enter one of the following codes:

V Vostro

D Direct payment

T To be advised

C Compensating Contract

Nostros can be defaulted onto contract entry screens according torules set up on the Nostro Settlement Defaults (NSDFM) screen.

For a list of valid combinations of entries in the Nostro and Agent

fields, see "Nostro and Agent Combinations" in Sections 1 and 3 of

this guide.

See also "Their Receive Agent". Unless otherwise specified, all

nostro and agent fields default to T. This nostro/agent combination

(T/T) should be used with care when payment takes place at the

start event.




3937 0135-930 5–17

Field Definition

Our Receive Nostro The number or name of the receive nostro, set up on the Nostro

Details (NSTRO) screen, for the contract:

1. For Foreign Exchange take-ups, this defaults to the Receive

Nostro of the underlying commercial contract.

2. For Money Market loan and deposit schedules, this defaults to

the Receive Nostro on the maturity diary.

3. For Foreign Exchange Swaps, enter the number of the nostro

for receiving the bought currency (near and far end details).

You can also enter a code (see Our Pay Nostro).

Nostros can be defaulted onto contract entry screens according to

rules set up on the Nostro Settlement Defaults (NSDFM) screen.

See also "Their Pay Agent".

Outstanding Bought The total amount of the currency bought in Foreign Exchange

forward deals.

Outstanding Sold This shows the total amount of the currency sold in ForeignExchange forward deals.

PEL The total profit on spot element figure for this accounting centre.

This is shown for today and this period.

Penalty The amount to be charged as a penalty.

Position Rate

Change

The total of all calculations today of rate changes on positions held

by this accounting centre.

Principal Amount The principal amount of the drawdown, loan or deposit.

Principal Change The amount by which the principal of the loan or deposit is to

change. This is an unsigned amount. You must also complete the

'Result of Change' field.

Principal Currency The mnemonic of the currency of the contract. Currency

mnemonics are set up on the Currencies (CCYS) screen.

Product Type This identifies the product being traded for this contract. For

example, Treasury Bonds, Gilts, Foreign Exchange Spot Deal.

Product definitions are held on the Product Types Maintenance

(PRTPM) screen.

Profit Transferred The total profit transferred. This is shown for today and this period.

Rate For a fixed rate loan/deposit, this is the rate of interest charged or to

be paid on the contract.

For a discounted loan, this is the rate by which the principal is

discounted at the start of the contract.

Rate Identifier This identifies the Index rate that is used for the contract, for

example 3MGBLIBOR.

The identifier is set up on the Rate Table Definition (RTDEF) screen

and the rates represented by the identifier are set up on the Market

Rates (RATEA) screen.




5–18 3937 0135-930

Field Definition

Rate Variation This indicates the percentage variation from the rate for the contract

and whether the rate variation is added or subtracted. This field

comprises two parts:

The first indicates whether the variation is to be added to (+) or

subtracted from (-) the rate used for the contract. The second

indicates the amount of the variation.

For Index Rate loans and deposits the rate is indicated by the "Rate

Identifier".

Reference Number A reference number for the Foreign Exchange take-up.

Refix Index Rate If you set the Refix Index Rate field to ‘Yes’, then the index rate

in force at the fixing date for the event is applied, and the fixing

status is set. If this field is not set to ‘Yes’, then the index rate in

force from the previous event is applied and the fixing status is

not set.

This field is only relevant to Money Market Index Loan/Deposits.

Related Contract This is the contract number of the contract at the other side of a

divided swap deal. This field is used in conjunction with the Divided

Swap Indicator.

Remove Hold

Number

The client account hold number you wish to remove so that the held

funds are made available to the client.

Replaced By This is a documentary field indicating the contract that replaced this

contract.

Replaces This is a documentary field indicating the contract being replaced by

this contract.

If you are in the process of replacing a contract, this field contains

the number of the contract being replaced. This field can be

overwritten if required.

Reserved Amount When the screen is initially displayed, this is your current exposure

to the client in respect of the money market and interest bearing

securities outline deals currently on the outline deals queue.



the reserved amount is updated to include any additional exposure


Result of Change This indicates whether the principal change is decreasing or

increasing the principal amount.

Repayment Decrease in principal amount

(this is the default)

Extension Increase in principal amount

T R Repayment - Decrease in principal amount

(this is the default)

E Extension - Increase in principal amount




3937 0135-930 5–19

Field Definition

Roll Maturity For Money Market Base Rate Deposits, this indicates whether or

not the maturity date is to be automatically rolled forward one

working day prior to the maturity date specified on the contract:

On Yes

Off No (default value)

T Y Yes

N No

Roll Maturity

Frequency

This indicates whether the maturity date for the Money Market

Fixed Rate or Index Rate Loan or Deposit is to be automatically

rolled forward at the frequency indicated (see "Automatic Rollover

Facility" in Section 3 for more details). This comprises two fields:

The first field indicates whether or not the automatic rollover facility

is to be applied; and if so, on what basis:

Extend Maturity DateRollover and Settle Interest

Rollover Including Interest

Rollover Interest Only

No Rollover (default value)

T Y Extend Maturity Date

P Rollover and Settle Interest

R Rollover Including Interest

I Rollover Interest Only

N No Rollover (default value)

If automatic rollover is to be effected, the second field indicates the

frequency at which the contract is rolled over, for example DAILY,

WEEKLY or MONTHLY. Frequency codes are set up on the

General Purpose Narratives table (GNARR), table type FR.

Secured Lending

Flag

This field contains information that will be sent to the rFrame



default. This field shows whether contracts of this type are secured.



Settlement Account If the principal and/or the interest is to be posted to a settlement

account (see Settlement Method), enter the number of the account.

Otherwise leave the field blank.




5–20 3937 0135-930

Field Definition

Settlement Days On the Foreign Exchange Defaults Maintenance (FXDFM) screen,

this is the number of settlement days that are to be applied to deals

trading the product with the defaults you have set. For FX Market

deals, this is the number of days after a deal is entered that youwant it to mature. For FX Swap deals, this is the number of days

after a deal is entered that you wish the Start Date to be set.

On the Money Market Defaults Maintenance (MMDFM) screen, this

is the number of days after a deal is entered that you want it to

start. If set, this can be used on all Money Market deal entry

screens. The maturity date can be determined automatically by

setting the “Contract Period”.

Settlement

Frequency

The mnemonic indicating how often and when interest is to be

settled on the contract. These are set up on the General Purpose

Narratives (GNARR) table, type FR.

Settlement Method The method by which interest is to be paid:

Nostro account

Settlement account

Error suspense account

T 0 Nostro account

2 Settlement account

3 Error suspense account

To post interest to the settlement account, enter the account

number in the Settlement Account field.

The error suspense account used is set up on the General Ledger

Master (GLMAM) screen. If one is not found, the error suspense

account set up on the System Parameters (SPMTR) screen is

used.

Show Deleted Select this field to include deleted fiduciary loan contracts in thedisplayed details.

Sold Maturity Date The maturity date entered if the Split Maturity Indicator is set to

“Yes”. The Sold Maturity Date should not be the same as Bought

Maturity Date and should fall on a business day in the country of the

currency it relates to.

Sold/Produced

Currency

The mnemonic of the sold currency. Currency mnemonics are set

up on the Currencies (CCYS) screen.

Split Maturity

Indicator

This indicates whether or not the maturity dates of a Foreign

Exchange outright deal are on different dates. If "Yes", then enter

the Bought and Sold maturity dates and ignore the Maturity Date

field. If "No", then enter only the maturity date in the Maturity Date

field.

Start Currency The mnemonic of the currency from which you want the inquiry to

start. This is set up on the Currencies (CCYS) screen.

Start Date 1. The date on which the contract starts.

2. For Money Market contracts, the date of initial funds transfer.




3937 0135-930 5–21

Field Definition

Status This indicates the status of the contract:

Active

DeletedMatured

Unstarted

T A Active

D Deleted

M Matured

U Unstarted

Their Pay Agent The name of the client's agent who pays the funds on the contract.

This is set up on the Agent Details (AGNTM) screen.

You can also enter one of the following codes:

T To be advised

U No agent is involved on this side of the dealS Agent is the same as the nostro

@ This must be followed by the exact S.W.I.F.T. address of the

agent

SSI The defined default agent is to be used.

For Money Market loan and deposit schedules, "Their Pay Agent"

defaults to the Pay Agent on the maturity diary.

Agents can be defaulted onto contract entry screens according to

rules set up on the Agent Settlement Defaults (AGDFM) screen.

See also "Our Receive Nostro". Unless otherwise specified, all

nostro and agent fields default to T. This nostro/agent combination

(T/T) should be used with care when payment takes place at the

start event.

For a list of valid combinations of entries in the Nostro and Agent

fields see "Nostro and Agent Combinations" in Sections 1 and 3 of

this guide.

Their Receive Agent The name of the client's agent who is to receive funds from the pay

nostro. These are set up on the Agent Details (AGNTM) screen.

You can also enter a code (see "Their Pay Agent").

For Money Market loan and deposit schedules, "Their Receive

Agent" defaults to the Receive Agent on the maturity diary.

Agents can be defaulted onto contract entry screens according to

rules set up on the Agent Settlement Defaults (AGDFM) screen.

See also "Our Pay Nostro".




5–22 3937 0135-930

Field Definition

Total Exposure When the screen is initially displayed, this is your current exposure

to the client specified in the "Limit and Exposure for" field. The

exposure includes:

• All the client's active contracts

• Money market and interest bearing securities outline deals

currently on the outline deals queue



the total exposure is updated to include any additional exposure


Total Rate Change The total of all rate change calculations this period for this foreign

exchange accounting centre.

Trading Type This field contains information that will be sent to the rFrame



default.



Truncation For Foreign Exchange Positions inquiries (FXPSI), the units in

which the amounts of the currency are reported:

THOUSANDS

MILLIONS

BILLIONS

Untransferred Profit

to Date

The total untransferred profit to date for this foreign exchange

accounting centre.

Value Date The date on which the transaction or event comes to value.

Variation Type The variation defines how the "Margin" will be applied to the Interest

Rate. The variation is:“+” if the margin is to be added to the Interest Rate

“-” if the margin is to be subtracted from the Interest Rate.

Width Override A code used to accept an exchange rate that exceeds one of the

two exchange rate width bands set up for the currency at

installation.

Enter the Wide Code (W) if the exchange rate exceeds the first

width band.

Enter the Management Code (M) if the exchange rate exceeds the

second width band.

Yield Rate The effective rate of interest on the discounted loan. If you do not

enter the yield rate, it is calculated automatically.



3937 0135-930 A–1

Appendix ACalculations

Introduction

This appendix gives the calculations used by the system.

Interest

Interest x Rate per annum x Fraction of year = Principal

This simple interest calculation applies to client accounts, money market loans and deposits,

commercial loans, commercial loan commitment fees, certificates of deposit and foreign

exchange inter-accounting centre deals.

Foreign Exchange Calculations

In order to simplify the formulae for foreign exchange, the following notation has been used:

AMOUNTRATE

CURRENCY→

In this example, the notation means that AMOUNT is converted to its equivalent in CURRENCY

at RATE.



Calculations

3937 0135-930 A–3

Forward Rate

The following formula is used to calculate the exchange rate to convert a forward position:

MR + FP = FR

For contracts that mature on a date that do not have a specifically entered forward point, an

estimated forward point is calculated using straight line interpolation.

Calculated Forward Point is defined as:

FP AFP BFP x MAD BFD

AFD BFD BFP =

( - ) ( - )

( - )+

Profit Currency Determination

Three currencies are specified on each contract: bought, sold and deal currency. The following

rules determine which currency will be used as the profit currency for the contract:

• If one of the bought or sold currencies involved in the deal is the base currency, then this is

taken as the profit currency and the other currency is taken as the non profit currency

• If neither the bought or sold currency equals the base currency, whichever currency is the

same as the deal currency is taken as the profit currency, and the other currency is taken as

the non profit currency

Profit/Loss Determination

The amount of profit or loss produced by a foreign exchange deal is calculated by subtracting the

amount calculated using prevailing rates on the deal date from the contracted amount. The

following rules determine whether this amount is a revenue or an expense:

1. If the amount is positive and you are selling the profit currency, then it is an expense

2. If the amount is positive and you are buying the profit currency, then it is a revenue

3. If the amount is negative and you are selling the profit currency, then it is a revenue

4. If the amount is negative and you are buying the profit currency, then it is an expense



Calculations

A–4 3937 0135-930

Total Profit on Foreign Exchange Deal

The following abbreviations are used, in the formulae below, to calculate foreign exchange

profits:

PEL Profit element

ABTS Adjustment back to spot

RCH Rate change

BC Base currency

PC Profit currency

PA Profit amount

NPA Non profit amount

NR Near rate

CR Closing rate

LCR Last night's closing rate

TCR Tonight's closing rate

The total profit on a foreign exchange deal is calculated using the following formula:

PEL + ABTS + RCH

ABTS is defined as:

((NPA NR PC) + PA) CR BC → →

PEL is defined as:

{((NPACR

PC) + PA)CR

BC} - ABTS → →

RCH is defined as:

{((NPATCR

PC) + PA)TCR

BC} - {((NPALCR

PC) + PA)LCR

BC} → → → →



Calculations

3937 0135-930 A–5

Position Rate Change by Currency

This is calculated for each foreign exchange currency position. The following abbreviations are

used in the formula below:

LNSP Last night's spot position

TCR Tonight's closing rate

BC Base currency

LCR Last night's closing rate

(LNSPTCR

BC) - ( LNSPLCR

BC) → →



Calculations

3937 0135-930 A–7

Money Market Calculations

Brokerage

Bro ageRate per annum x Loan principal x Duration in days

InterestBasis xker =

100

Interest Paid

InterestPaid incipal xDiscount Rate

xNo Of Days Between Start And Maturity

InterestBasis=

. Pr

100

Book Value

Book Value incipal Interest Paid = - Pr

Yield Rate

Yield RateInterestPaid

Book Value x

InterestBasis

No Of Days Between Start And Maturity x=

.100



Calculations

A–8 3937 0135-930



3937 0135-930 Index-1

Index

A

Accrual

Interest, 3-2

Accrual Method

Deferred Swap Profits, 1-8

Discounted Standard, 1-9

Undiscounted Special, 1-7

Undiscounted Standard, 1-9

Automatic Rollover, 3-3

Base Rate Deposits, 3-4

B

Base Rate Loans

Automatic rollover, 3-4

Base Rate Loans and Deposits

overview of, 3-5

C

Calculations

Foreign Exchange, A-1Money Market, A-7

CNARA screen, 2-28, 4-40 to 4-46

Commercial Deals

definition of, 1-3

Confirmations and Payments, 1-11, 3-10

Contract Diary Narratives, 2-28, 4-46

Cost of Funds, 3-10

D

Definition of Field Names, 5-1 to 5-22

Discounted Loans

overview of, 3-6

Divided Swap

definition of, 1-4

E

Exchange Rates, 1-11

width bands, 1-11

Euro Related Information, 1-21

F

Fiduciary Loan Contract

Creation, 4-3Fiduciary Loan Inquiry screen

Description of, 4-44

Example of, 4-45

Fiduciary Loan/Deposit Maintenance screen


Example of, 4-43

Fiduciary Loans, 3-6

overview of, 3-6

FILDM screen, 4-41

FILNI screen, 4-44

Fixed Rate Loans and Deposits

overview of, 3-5

Foreign Exchange

Introduction, 2-1Foreign Exchange

Accrual Methods, 1-6

Commercial Deals, 1-3

Contract types, 1-1

Definition of Field Names, 5-1 to 5-22

Divided Swaps, 1-4

Exchange Rates, 1-11

Inter-Accounting Centre Deals, 1-5

Inter-Accounting Centre Loan/Deposits, 1-4

Positions, 1-17

Profits, 1-6

Swaps, 1-4

Traditional Liquidation, 1-6Foreign Exchange Contract

Creation, 2-2

Foreign Exchange Default Maintenance screen

Description of, 2-3

Example of, 2-4

Foreign Exchange Inter-Accounting Centre, 2-26,

2-27



Index

Index-2 3937 0135-930

Foreign Exchange Inter-Accounting Centre Add

screen


Example of, 2-26


Change screenDescription of, 2-27

Example of, 2-23, 2-27


Inquire/Delete screen



Loan/Deposit, 2-21, 2-23, 2-24

Foreign Exchange Market Add screen

Description of, 2-8

Example of, 2-9

Foreign Exchange Market Change screen


Example of, 2-10

Foreign Exchange Market Inquire/Delete screen


Foreign Exchange Opening Positions

Entering, 1-18

Foreign Exchange Outline Deal Add screen

Description of, 2-5

Example of, 2-6

Foreign Exchange Swap, 2-16, 2-18, 2-19

Foreign Exchange Swap Add screen


Example of, 2-16

Foreign Exchange Swap Change screen


Example of, 2-18Foreign Exchange Swap Inquire/Delete screen


Foreign Exchange Swaps

definition of, 1-4

Foreign Exchange Takeup, 2-13, 2-14

Foreign Exchange Takeup Add screen


Example of, 2-13

Foreign Exchange Takeup Change screen


Foreign Exchange Takeup Inquire/Delete screen


FX Inter-Accounting Centre Loan/Deposit Add

screen


Example of, 2-22

FX Inter-Accounting Centre Loan/Deposit

Change screen


FX Inter-Accounting Centre Loan/Deposit

Inquire/Delete screen


FX Position Installation Change screen, 1-19

Example screen, 1-19

FX Positions Summary screendescription of, 2-29

example of, 2-29

FX Profit Installation Change screen


Example screen, 1-20

FXDEA screen, 2-5 to 2-6

FXDFM screen, 2-3 to 2-4

FXIDA screen, 2-26

FXIDC screen, 2-27

FXIDI screen, 2-27

FXLDA screen, 2-21 to 2-22

FXLDC screen, 2-23

FXLDI screen, 2-24

FXMKA screen, 2-8–2-9

FXMKC screen, 2-10

FXMKI screen, 2-11

FXPFC screen, 1-20

FXPSC screen, 1-19 to 1-20

FXPSI screen, 2-29

FXSWA screen, 2-16 to 2-17

FXSWC screen, 2-18

FXSWI screen, 2-19

FXTKA screen, 2-13

FXTKC screen, 2-14

FXTKI screen, 2-14

I

Index Rate Loans and Deposits

overview of, 3-5

Inter-Accounting Centre Deals

through Foreign Exchange Accounting Centre,

1-5

Inter-Accounting Centre Loans and Deposits

definition of, 1-4

Interest, 3-2

Interest accrual, after due date, 3-9



Index

Money Market Loan/Deposit Schedule Change

screen


Example of, 4-15

Money Market Loan/Deposit Schedule

Inquire/Delete screenDescription of, 4-16

Money Market Outline Deal Add screen

Description of, 4-7

Example of, 4-7

N

Nostro/Agent

Displaying the Standard Settlement

Instructions, 1-13, 3-11

Standard Settlement Instructions, 1-13, 3-11

Nostro/Agent Combinations, 1-13, 1-14, 3-11,3-12

O

Opening Foreign Exchange Positions

Entering, 1-18

S

S.W.I.F.T. Address format, 1-15, 3-13

Schedule Events

base rate loan/deposit, 4-22 to 4-25

fixed rate loan/deposit, 4-13 to 4-16

index rate loan/deposit, 4-34

Index rate loan/deposit, 4-31 to 4-35

Schedules

Fixed Rate Loans and Deposits, 3-7

Index Rate Loans an d Deposits, 3-7

Money Market, 3-7

Split Value Date FX, 1-3

SSI, 1-13, 3-11

Standard Settlement Instructions, 1-13, 3-11

Straight Through Processing

Foreign Exchange Contracts, 2-3

Money Market Contracts, 4-5

T

Traditional Liquidation Method, 1-6

W

9 3 foreign exchange-main

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