9 3 Foreign Exchange-Main

Banking Back-Office Processing
Foreign Exchange and Money Market Administration Guide
Copyright 2001, Unisys Corporation. All rights reserved Unisys is a trademark of Unisys Corporation Release 9.000 October 2003 Printed in the UK 3937 0135930
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 purely coincidental 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 and conditions of a duly executed Program Product License or Agreement to purchase or lease equipment. The only warranties made by Unisys, if any, with respect to the products described in this document are set forth in such 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 with the 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, Bakers Road, Uxbridge, Middlesex, UB8 1RG, United Kingdom. All registered trademarks are acknowledged.
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.
Scope
This 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.
Prerequisites
Any 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 Starters 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.
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About This Guide
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, the name 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 Foreign Exchange 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.
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About This Guide
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. Starters 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 client accounts. This should be used by personnel preparing information for data entry.
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About This Guide
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 Forward Rate 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 intended for personnel preparing information for data entry. 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.
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About This Guide
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 intended for personnel preparing information for data entry. Trade Finance Administration Guide (3937 0119) This guide describes the data entry screens used by the Trade Finance department. This guide is intended for personnel preparing information for data entry. 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 OnDemand 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.
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About This Guide
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 record details 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.
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Contents
Section 1 Foreign Exchange Contracts
Contract Types ......................................................................... Outline Deal Input ..................................................... All Foreign Exchange Contracts ............................... 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 ............................... Foreign Exchange Profits ....................................................... Traditional Liquidation Method ................................. Accrual Methods ....................................................... Taking Profit into the Books ...................................... Exchange Rates ....................................................................... Exchange Rate Width Bands .................................... Confirmation and Payment Advices ...................................... Nostro and Agent Combinations for Foreign Exchange ..... Foreign Exchange Positions ................................................... Entering Opening Positions .................................................... Setting Up Foreign Exchange Spot Positions .......... Setting Up Foreign Exchange Profit Positions ......... Statistics ................................................................................... Euro Related Information ........................................................ 11 11 12 13 13 14 14 14 15 16 16 16 110 111 111 112 113 117 118 119 120 121 121
Section 2
Foreign Exchange Screens

Introduction to Foreign Exchange ......................................... Creating a Foreign Exchange Contract ................................. Straight Through Processing (STP) ......................... Foreign Exchange Default Maintenance (FXDFM) ................ Foreign Exchange Outline Deal Input (FXDEA) .................... Foreign Exchange Market Contract Screens ........................ Foreign Exchange Market Add (FXMKA) ................. Foreign Exchange Market Change (FXMKC) .......... Foreign Exchange Market Inquire/Delete (FXMKI) .. Foreign Exchange Takeup Screens ....................................... Foreign Exchange Takeup Add (FXTKA) ................. Foreign Exchange Takeup Change (FXTKC) .......... Foreign Exchange Takeup Inquire/Delete (FXTKI) .. 21 22 23 23 25 27 28 210 211 212 213 214 214
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Foreign Exchange Swap Contract Screens .......................... Foreign Exchange Swap Add (FXSWA) .................. Foreign Exchange Swap Change (FXSWC) ............ Foreign Exchange Swap Inquire/Delete (FXSWI) .... Foreign Exchange Inter-Accounting Centre Loan/Deposit Contract Screens ................................................................. Foreign Exchange Inter-Accounting Centre Loan/Deposit Add (FXLDA) ................................. Foreign Exchange Inter-Accounting Centre Loan/Deposit Change (FXLDC) ........................... Foreign Exchange Inter-Accounting Centre Loan/Deposit Inquire/Delete (FXLDI) ................... Foreign Exchange Inter-Accounting Centre Contract Screens ................................................................................. Foreign Exchange Inter-Accounting Centre Add (FXIDA) ................................................................ Foreign Exchange Inter-Accounting Centre Change (FXIDC) ................................................................ Foreign Exchange Inter-Accounting Centre Inquire/Delete (FXIDI) .......................................... Contract Diary Narratives ....................................................... FX Positions Summary (FXPSI) ..............................................
215 216 218 219 220 221 223 224 225 226 227 227 228 229
Section 3
Money Market Contracts

Contract Types ......................................................................... All Money Market Contracts ................................................... Interest Accrual ........................................................................ Automatic Rollover Facility .................................................... Automatic Rollover of Money Market Fixed Rate and Index Rate Loans and Deposits .................... Automatic Rollover of Money Market Base Rate Deposits ............................................................... Payments .................................................................................. Fixed Rate Loans and Deposits ............................................. Index Rate Loans and Deposits ............................................. Base Rate Loans and Deposits .............................................. Discounted Loans .................................................................... Fiduciary Contracts ................................................................. Money Market Schedule Events ............................................. Fixed Rate Loan or Deposit Schedule Events ......... Index Rate Loan or Deposit Schedule Events ......... Base Rate Loan or Deposit Schedule Events .......... Mark to Market Valuation ........................................................ Penalty Charges ....................................................................... Withholding Tax ....................................................................... Interest Accrual After Due Date ............................................. Cost of Funds ........................................................................... Confirmation and Payment Advices ...................................... Nostro and Agent Combinations for Money Market ............ 31 32 32 33 33 34 35 35 35 35 36 36 37 37 37 37 38 38 39 39 310 310 311
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Section 4
Money Market Screens

Introduction to Money Market Screens ................................. Creating a Money Market Contract ........................................ Creating a Fiduciary Contract ................................................. Straight Through Processing (STP) ......................... Money Market Default Maintenance (MMDFM) ...................... Money Market Outline Deal Input (MMDEA) .......................... Money Market Fixed Rate Loan/Deposit Screens ................. Money Market Loan/Deposit Add (MMLDA) ............. Money Market Loan/Deposit Change (MMLDC) ...... Money Market Loan/Deposit Inquire/Delete (MMLDI) ............................................................... Money Market Fixed Rate Loan/Deposit Schedule Screens ................................................................................. Money Market Loan/Deposit Schedule Add (MMLSA) .............................................................. Money Market Loan/Deposit Schedule Change (MMLSC) .............................................................. Money Market Loan/Deposit Schedule Inquire/Delete (MMLSI) ........................................ Money Market Base Rate Loan/Deposit Screens ................. Money Market Base Rate Loan/Deposit Add (MMBRA) .............................................................. Money Market Base Rate Loan/Deposit Change (MMBRC) ............................................................. Money Market Base Rate Loan/Deposit Inquire/Delete (MMBRI) ....................................... Money Market Base Rate Loan/Deposit Schedule Screens ................................................................................. Money Market Base Rate Schedule Add (MMBSA) .............................................................. Money Market Base Rate Schedule Change (MMBSC) .............................................................. Money Market Base Rate Schedule Inquire/Delete (MMBSI) ............................................................... Money Market Index Rate Loan/Deposit Screens ................. Money Market Index Rate Loan/Deposit Add (MMIRA) ............................................................... Money Market Index Rate Loan/Deposit Change (MMIRC) ............................................................... Money Market Index Rate Loan/Deposit Inquire/Delete (MMIRI) ......................................... Money Market Index Rate Loan/Deposit Schedule Screens ................................................................................. Money Market Index Rate Schedule Add (MMISA) . Money Market Index Rate Schedule Change (MMISC) ............................................................... Money Market Index Rate Schedule Inquire/Delete (MMISI) ................................................................. 41 42 43 45 45 47 49 49 411 412 413 413 415 416 417 417 419 421 422 422 424 425 426 426 428 430 431 431 434 435
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Contents
Money Market Discounted Loan Screens ............................. Money Market Discounted Loan Add (MMDLA) ...... Money Market Discounted Loan Change (MMDLC) .............................................................. Money Market Discounted Loan Inquire/Delete (MMDLI) ............................................................... Fiduciary Contract Screens .................................................... Fiduciary Loan/Deposit Maintenance (FILDM) ........ Fiduciary Loan Inquiry (FILNI) .................................. Contract Diary Narratives .......................................................
436 436 438 440 441 441 444 446
Section 5
Definition of Field Names

Introduction .............................................................................. 51
Appendix A Calculations
Introduction .............................................................................. Interest ...................................................................................... Foreign Exchange Calculations ............................................. Mark to Market Calculations ..................................... Profit Currency Determination .................................. Profit/Loss Determination ......................................... Total Profit on Foreign Exchange Deal .................... Position Rate Change by Currency .......................... Interpolation of Market Interest Rates ...................... Money Market Calculations .................................................... Brokerage ................................................................. Interest Paid ............................................................. Book Value ............................................................... Yield Rate ................................................................. A1 A1 A1 A2 A3 A3 A4 A5 A6 A7 A7 A7 A7 A7
Index
..................................................................................... Index1
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Figures
11 12 21 22 23 24 25 26 27 28 29 210 211 212 213 41 42 43 44 45 46 47 48 49 410 411 412 413 414 415 416 417 418 419 420 421 422 423 FX Position Installation Change screen .................................................. FX Profit Installation Change screen ...................................................... Flow of Foreign Exchange Contract Creation Screens .......................... Foreign Exchange Default Maintenance screen ..................................... Foreign Exchange Outline Deal Input screen for Foreign Exchange Market Contracts ................................................................................ Foreign Exchange Market Add screen ................................................... Foreign Exchange Market Change screen ............................................. Foreign Exchange Takeup Add screen .................................................. Foreign Exchange Swap Add screen ..................................................... Foreign Exchange Swap Change screen ............................................... Inter-Accounting Centre Loan/Deposit Add screen ................................ Foreign Exchange Inter-Accounting Centre Loan/Deposit Change screen ........................................................................................ Foreign Exchange Inter-Accounting Centre Add screen ........................ Foreign Exchange Inter-Accounting Centre Change screen .................. Foreign Exchange Positions Summary screen ....................................... Flow of Money Market Contract Creation Screens ................................. Flow of Fiduciary Contract Creation Screens ......................................... Money Market Default Maintenance screen ........................................... Money Market Outline Deal Input screen ............................................... Money Market Loan/Deposit Add screen ................................................ Money Market Loan/Deposit Change screen ......................................... Money Market Loan/Deposit Schedule Add screen ............................... Money Market Loan/Deposit Schedule Change screen ......................... Money Market Loan/Deposit Schedule Inquire/Delete screen ............... Money Market Base Rate Loan/Deposit Add screen .............................. Money Market Base Rate Loan/Deposit Change screen ....................... Money Market Base Rate Schedule Add screen .................................... Money Market Base Rate Schedule Change screen .............................. Money Market Base Rate Schedule Inquire/Delete screen .................... Money Market Index Rate Loan/Deposit Add screen ............................. Money Market Index Rate Loan/Deposit Change screen ....................... Money Market Index Rate Schedule Add screen ................................... Money Market Index Rate Schedule Change screen ............................. Money Market Index Rate Schedule Inquire/Delete screen ................... Money Market Discounted Loan Add screen .......................................... Money Market Discounted Loan Change screen ................................... Fiduciary Loan/Deposit Maintenance screen ......................................... Fiduciary Loan Inquiry screen ................................................................. 119 120 22 24 26 29 210 213 217 219 222 223 226 227 229 42 44 46 48 410 412 414 415 416 418 420 423 424 425 427 429 433 434 435 437 439 443 445
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Figures
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Tables
11 31 51 Entries in Nostro and Agent Fields - Foreign Exchange ......................... Entries in Nostro and Agent Fields - Money Market ............................... Definition of Field Names ........................................................................ 114 312 51
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Tables
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Section 1 Foreign 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
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Foreign Exchange Contracts
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.
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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.
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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 both ends 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 both the principal and interest is included in the Foreign Exchange accounting centre's positions, ladder and profitability reporting.
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Inter-Accounting Centre Deals through Foreign Exchange Accounting 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.
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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 If you enter a deal with a backvalued near date, the system calculates accruals between input date and maturity date only.
Note:
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.
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Spot Revaluation is formed of four elements (all amounts are converted to base currency at midmarket 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.
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The following calculation is used for each foreign exchange contract that uses the "Undiscounted Special" accrual method: 1. Using today's spot conversion rates: 2. 3. 4. 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.
The "Deal Amount" is converted to the non deal currency using the currency forward rates calculated above. 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. 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 users 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: 2. 3. 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.
The non profit amount is converted to the profit currency using the mid market spot rates applicable to those currencies. 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.
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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 midmarket rate to establish the buy currency forward rate. Add or subtract the sell currency mid market forward points to the sell currency midmarket rate to establish the sell currency forward rate. 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.
2. Establish 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 base currency and then discounts this figure back to the current date using a named base currency zerocoupon 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:
Discount Rate 1 + 100

N =
Number of days to maturity Base currency interest basis
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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 todays 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.
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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 marketbuy 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. 2. 3. If the exchange rate is within the first band, it is accepted. If the exchange rate is outside the first band, but within the second band, a wide code must be entered to accept it. 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.
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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.
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Nostro and Agent Combinations for Foreign Exchange

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 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.
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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 11. Entries in Nostro and Agent Fields - Foreign Exchange
Nostro Number/Name
Agent Name
Description Your correspondent and the client's agent are different. The agent's nickname is entered in the Agent field. 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. If your correspondent and the client's agent are the same, the nostro number/name entered in the Nostro field can refer to the same nostro as that entered in the Agent field.
Number/Name
Number/Name
2.
Number/Name
Your correspondent and the client's agent are the same. (This is equivalent to 2. above). There is no agent. 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 generated instead. Posting is to be made using a vostro. The Agent field identifies the account to be used. 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. 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. 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.
Number/Name Number/Name
U T
V D
Vostro A/C No. Name
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Nostro T
Agent Name
Description 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. 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 messages will be generated instead. 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 combination will result in S.W.I.F.T. messages not being sent - printed messages will be generated instead. No payment is to be made, as the payment amount is to be compensated by a second contract. 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. The contract is to use the default agent defined using the Agent Settlement Defaults (AGDFM) screen. The contract is to use the default nostro defined using the Nostro Settlement Defaults (NSDFM) screen. 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.
SSI
SSI
Number/Name/ SSI/blank SSI
SSI
Number/Name/ SSI/Blank NSTD
Number/Name/ SSI
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.
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Only the following formats should be used: @BBBBCCLL @BBBBCCLLXXX
Where: BBBB = CC LL XXX = = = Four alphabetic characters representing the S.W.I.F.T. bank identifier Two alphabetic characters representing the S.W.I.F.T. country code S.W.I.F.T. location code Three alphabetic/numeric characters representing the S.W.I.F.T. branch code (if applicable)
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Foreign Exchange Positions

The following Foreign Exchange positions are maintained for each currency in which you deal: Spot Position Open Position Forwards Bought (External) Forwards Sold (External) Net of Forwards Bought and Sold (External) Forwards Bought (Internal) Forwards Bought (Internal) Net of Forwards Bought and Sold (Internal) Inter-Accounting Centre Loan/Deposit Principal Position Inter-Accounting Centre Loan/Deposit Forward Interest Bought Inter-Accounting Centre Loan/Deposit Forward Interest Sold Net of Inter-Accounting Centre Loan/Deposit Forward Interest Net Position
These positions are maintained during Overnight processing by the FXBOD - Foreign Exchange Beginning-of-Day Update report, see the Overnight Reports Guide for details.
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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 is complete, 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
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.
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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
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 press Transmit 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 11. FX Position Installation Change screen
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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
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 12. FX Profit Installation Change screen
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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 more information).
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Section 2 Foreign 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".
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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.
Initiate outline deal entry
Outline Deal Add (DEAL)
Enter details of the foreign exchange outline deal
Foreign Exchange Outline Deal Input (FXDEA)
Set up the defaults for all foreign exchange contracts
Initiate direct contract entry
Select the foreign exchange outline deal for verification and contract entry
Outline Deal Queue (DEALQ)
Foreign Exchange Defaults Maint (FXDFM)
Contract Input (LEAD1)
Define foreign exchange contracts
Foreign Exchange Market - Add (FXMKA)
Foreign Exchange Swap - Add (FXSWA)
Foreign Exchange Inter-Accounting Centre - Add (FXIDA)
Foreign Exchange Inter-Accounting Centre Loan/Deposit - Add (FXLDA)
If the foreign exchange market contract is an option deal, enter the takeup deal when it is needed
Foreign Exchange Takeup - Add (FXTKA)
Contract Diary Narrative - Add (CNARA)
If required, enter diary events for any individual foreign exchange contract
Figure 21. 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.
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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 on Contracts' 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 InterAccounting 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
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.
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The following figure shows an example of the Foreign Exchange Default Maintenance screen.
Figure 22. Foreign Exchange Default Maintenance screen
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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.
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The following figure shows an example of the Foreign Exchange Outline Deal Input screen.
Figure 23. Foreign Exchange Outline Deal Input screen for Foreign Exchange Market Contracts
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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)
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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.) The Charge Amount, Charge/Commission Currency and Commission Amount fields are only relevant to commercial deals.
Note:
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 as the 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.
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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.
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 24. Foreign Exchange Market Add screen
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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 25. Foreign Exchange Market Change screen
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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.
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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.
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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 26. Foreign Exchange Takeup Add screen
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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.
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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.
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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 to the 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 field and Click Settlement Instructions.
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 Swap Add screen.
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Figure 27. Foreign Exchange Swap Add screen
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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.
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Figure 28. Foreign Exchange Swap Change screen
Foreign Exchange Swap Inquire/Delete (FXSWI)

The Foreign Exchange Swap Inquire/Delete (FXSWI) screen can be used to perform an inquiry on any foreign exchange swap contract. After performing an inquiry on a contract you can: Copy it Delete or replace it. If the contract far 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.
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 Swap Inquire/Delete (FXSWI) screen displays a warning before deleting the contract. The Foreign Exchange Swap Inquire/Delete (FXSWI) screen has the same layout as the Foreign Exchange Swap Change (FXSWC) screen.
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Foreign Exchange Inter-Accounting Centre Loan/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.
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Foreign Exchange Inter-Accounting Centre Loan/Deposit Add (FXLDA)

When you are entering an inter-accounting centre loan/deposit, there are three main areas to be considered: The upper half of the screen is used to define the basic details of the contract. In particular, the Accounting Centre field is used for the third party accounting centre (normally the Foreign Exchange department) The Used Currency Details part of the screen is used to define the lending part of the deal. Therefore the Accounting Centre field in this area is used for the lending accounting centre The Produced Currency Details part of the screen is used to define the deposit part of the deal. Therefore the Accounting Centre field in this area is used for the borrowing accounting centre
The contractual dates of Inter-accounting centre deals are checked to see if they are holidays against the country attached to the contracts location. If the Foreign Exchange Inter Accounting Centre Loan/Deposit Add (FXLDA) 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.
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The following figure shows an example of the Inter-Accounting Centre Loan/Deposit Add screen.
Figure 29. Inter-Accounting Centre Loan/Deposit Add screen
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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 210. Foreign Exchange Inter-Accounting Centre Loan/Deposit Change screen
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Foreign Exchange Inter-Accounting Centre Loan/Deposit Inquire/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. 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. 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.
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Foreign Exchange Inter-Accounting Centre Contract 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.
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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 contracts 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 Add screen.
Figure 211. Foreign Exchange Inter-Accounting Centre Add screen
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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 212. 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. 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. The Foreign Exchange Inter-Accounting Centre Inquire/Delete (FXIDI) screen has the same layout as the Foreign Exchange Inter-Accounting Centre Change (FXIDC) screen.
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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 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.
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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 213. Foreign Exchange Positions Summary screen
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Section 3 Money 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.
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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)
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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, 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 interest amount from the old maturity diary.
Automatic Rollover of Money Market Fixed Rate and Index Rate Loans 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.
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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 subsequent overnight 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.
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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 is used 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.
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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 and can 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.
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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 the contract 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: Enter an interest settlement Change the principal, rate variation, minimum or maximum rate, and add-on rate Enter a rollover Enter interest and add-on adjustments Enter a penalty amount
Base Rate Loan or Deposit Schedule Events

For base rate loans and deposits you can: Enter an interest settlement Change the principal, rate variation, minimum or maximum rate, and add-on rate Enter a rollover Enter interest and add-on adjustments Enter a penalty amount
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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
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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 Money Market 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
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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 accounting centre 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.
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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 Nostro Settlement 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.
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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 31. Entries in Nostro and Agent Fields - Money Market
Nostro Number/Name
Agent Name
Description Your correspondent and the client's agent are different. The agent's nickname is entered in the Agent field. 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. If your correspondent and the client's agent are the same, the nostro number/name entered in the Nostro field can refer to the same nostro as that entered in the Agent field.
Number/Name
Number/Name
2.
Number/Name
Your correspondent and the client's agent are the same. (This is equivalent to 2. above). There is no agent. 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 generated instead. Posting is to be made using a vostro. The Agent field identifies the account to be used. 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. 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. 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.
Number/Name Number/Name
U T
V D
Vostro A/C No. Name
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Nostro T
Agent Name
Description 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. 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 messages will be generated instead. 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 combination will result in S.W.I.F.T. messages not being sent - printed messages will be generated instead. No payment is to be made, as the payment amount is to be compensated by a second contract. 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. The contract is to use the default agent defined using the Agent Settlement Defaults (AGDFM) screen. The contract is to use the default nostro defined using the Nostro Settlement Defaults (NSDFM) screen. 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.
SSI
SSI
Number/Name/ SSI/blank SSI
SSI
Number/Name/ SSI/Blank NSTD
Number/Name/ SSI
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
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Where: BBBB = CC LL XXX = = = Four alphabetic characters representing the S.W.I.F.T. bank identifier Two alphabetic characters representing the S.W.I.F.T. country code S.W.I.F.T. location code Three alphabetic/numeric characters representing the S.W.I.F.T. branch code (if applicable)
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Section 4 Money 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.
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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.
Initiate outline deal entry
Set up the defaults for all money market contracts
Initiate direct contract entry
Money Market Outline Deal Input (MMDEA)
Enter details of the money market outline deal
Money Market Default Maint (MMDFM)
Select the money market outline deal for verification and contract entry
Define money market contract
Money Market Loan/Deposit Add (MMLDA)
Money Market Base Rate Loan/Deposit - Add (MMBRA)
Money Market Index Rate Loan/Deposit - Add (MMIRA)
Money Market Discounted Loan - Add (MMDLA)
If required, enter the schedule events for the money market contracts
Money Market Loan/Deposit Schedule - Add (MMLSA)
Money Market Base Rate Schedule - Add (MMBSA)
Money Market Index Rate Schedule - Add (MMISA)
If required, enter diary events for any individual contract
Contract Diary Narrative - Add (CNARA)
Figure 41. 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.
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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 deposit contract 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.
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Initiate Outline Deal Entry
Set-up Default for all Fiduciary Contracts Money Market Default Maintenance (MMDFM)
Initiate Direct Contract Entry
Enter Details of the Fiduciary Outline Deal
Select Fiduciary Outline Deal for Verification and Contract Entry
Define Fiduciary Loan Contract
Money Market Loan/Deposit Add (MMLDA) -Loan
Money Market Base Rate Loan/Deposit Add (MMBRA) - Loan
Define Fiduciary Deposit Contract(s)
Money Market Loan/Deposit Add (MMLDA) - Deposit
Money Market Base Rate Loan/Deposit Add (MMBRA) - Deposit
Confirm Details of Specific Fiduciary Contract
Fiduciary Loan/Deposit Maintenance (FILDM)
If Required, Enter Schedule Events for Fiduciary Contracts
Money Market Loan/Deposit Schedule Add (MMLSA)
Money Market Base Rate Schedule Add (MMBSA) (MMBSA
If Required, Enter Diary Events for Individual Contract
Contract Diary Narrative Add (CNARA)
Figure 42. Flow of Fiduciary Contract Creation Screens
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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
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 a contract 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.
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The following figure shows an example of the Money Market Default Maintenance screen.
Figure 43. Money Market Default Maintenance screen
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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 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. 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.
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Figure 44. 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 clients limits and exposures. This includes: All the clients 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.
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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)
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The following figure shows an example of the Money Market Loan/Deposit Add screen.
Figure 45. Money Market Loan/Deposit Add screen
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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 scheduling an 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.
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Figure 46. 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.
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. The Money Market Loan/Deposit Inquire/Delete (MMLDI) screen has the same layout as the Money Market Loan/Deposit Change (MMLDC) screen.
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Money Market Fixed Rate Loan/Deposit Schedule Screens

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
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:
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Select Rolled or Normal
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 to an 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 47. Money Market Loan/Deposit Schedule Add screen
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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 48. Money Market Loan/Deposit Schedule Change screen
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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 unless blueprint parameter BP-BACK-VAL-DT (see the Guide to Setting Up) has been 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 49. Money Market Loan/Deposit Schedule Inquire/Delete screen
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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 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)
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The following figure shows an example of the Money Market Base Rate Loan/Deposit Add screen.
Figure 410. Money Market Base Rate Loan/Deposit Add screen
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Money Market Base Rate Loan/Deposit Change (MMBRC)

The Money Market Base Rate Loan/Deposit Change (MMBRC) screen can be used to change nonfinancial 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 by scheduling 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. 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 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 maturity date. 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.)
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The following figure shows an example of the Money Market Base Rate Loan/Deposit Change screen.
Figure 411. Money Market Base Rate Loan/Deposit Change screen
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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 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.
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. 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.
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Money Market Base Rate Loan/Deposit Schedule Screens

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 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 An add-on adjustment A penalty 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 base rate variation A new add-on rate A principal change A new minimum or maximum rate A specific nostro/agent combination for the settlement of an event
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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 to an 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 Base Rate Loan/Deposit Add (MMBRA) 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 Base Rate Schedule Add screen.
Figure 412. Money Market Base Rate Schedule Add screen
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Money Market Base Rate Schedule Change (MMBSC)

The Money Market Base Rate Schedule Change (MMBSC) screen is used to change the details of base rate loan/deposit schedule events that have already been added using the Money Market Base Rate Schedule Add (MMBSA) 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 Base Rate Schedule Change screen.
Figure 413. Money Market Base Rate Schedule Change screen
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Money Market Base Rate Schedule Inquire/Delete (MMBSI)

The Money Market Base Rate Schedule Inquire/Delete (MMBSI) screen is used to inquire on the details of base rate loan/deposit schedule events that have already been added using the Money Market Base Rate Schedule Add (MMBSA) 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 unless blueprint parameter BP-BACK-VAL-DT (see the Guide to Setting Up) has been 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 Base Rate Schedule Inquire/Delete screen.
Figure 414. Money Market Base Rate Schedule Inquire/Delete screen
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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 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)
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The following figure shows an example of the Money Market Index Rate Loan/Deposit Add screen.
Figure 415. Money Market Index Rate Loan/Deposit Add screen
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Money Market Index Rate Loan/Deposit Change (MMIRC)

The Money Market Index Rate Loan/Deposit Change (MMIRC) screen can be used to change nonfinancial 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 by scheduling 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. 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 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 maturity date. 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.)
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The following figure shows an example of the Money Market Index Rate Loan/Deposit Change screen.
Figure 416. Money Market Index Rate Loan/Deposit Change screen
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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 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.
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. 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.
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Money Market Index Rate Loan/Deposit Schedule Screens

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 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 An add-on adjustment A penalty 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 variation A new add-on rate A principal change A new minimum or maximum rate A specific nostro/agent combination for the settlement of an event
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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 to an 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 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. 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 Index Rate Schedule Add screen.
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Figure 417. Money Market Index Rate Schedule Add screen
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Money Market Index Rate Schedule Change (MMISC)

The Money Market Index Rate Schedule Change (MMISC) screen is used to change the details of index rate loan/deposit schedule events that have already been added using the Money Market Index Rate Schedule Add (MMISA) 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 Index Rate Schedule Change screen.
Figure 418. Money Market Index Rate Schedule Change screen
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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 unless blueprint parameter BP-BACK-VAL-DT (see the Guide to Setting Up) has been 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 419. Money Market Index Rate Schedule Inquire/Delete screen
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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 The accrual type can be either First or Last (see Interest Accrual 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 screen (see 'Non Standard Settlement Instructions for Pay Agents' in the Settlements Guide). To do this: Enter NSTD in the Their Receive Agent field Select the Settlement Instructions button.
Enter NSTD in the Their Receive Agent field 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.
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The following figure shows an example of the Money Market Discounted Loan Add screen.
Figure 420. Money Market Discounted Loan Add screen
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Money Market Discounted Loan Change (MMDLC)

The Money Market Discounted Loan Change (MMDLC) screen can be used to change non-financial details of a money market discounted loan 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 principal amount, the discount rate or the add-on rate. The nature of a discounted loan means that these financial details are fixed on entry and cannot be changed. Changes to settlement details using the Money Market Discounted Loan Change (MMDLC) screen can only be made on the day the contract is input, or against unstarted (future dated) contracts. You can also use the Money Market Discounted Loan Change (MMDLC) screen to initiate conversion of an in (national) currency to euro. (See Euro Related Information in the Core Functions and Inquiries Guide.)
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The following figure shows an example of the Money Market Discounted Loan Change screen.
Figure 421. Money Market Discounted Loan Change screen
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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 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.
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. The Money Market Discounted Loan Inquire/Delete (MMDLI) screen has the same layout as the Money Market Discounted Loan Change (MMDLC) screen.
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Fiduciary Contract Screens

Fiduciary Loan/Deposit Maintenance (FILDM)
Use the Fiduciary Loan/Deposit Maintenance (FILDM) screen to inquire on and confirm the details of 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
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 fiduciary loan, from where specific loan contracts can be viewed or copied. To do this: Click on Loan Inquiry
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
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
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 442 3937 0135-930
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
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
Change the Maintenance field to DEL and Press Transmit
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The following figure shows an example of the Fiduciary Loan/Deposit Maintenance screen.
Figure 422. Fiduciary Loan/Deposit Maintenance screen
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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; deposit details 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
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
Enter I in the Loan Link field and Press Transmit
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The following figure shows an example of the Fiduciary Loan Inquiry screen.
Figure 423. Fiduciary Loan Inquiry screen
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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.
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Section 5 Definition 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 51. Definition of Field Names
Field ABTS Outstanding Accounting Centre
Definition The total of all outstanding adjustments back to spot at the end of day. This is shown for today and yesterday. 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.
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Field Accrual Method
Definition This indicates the way that you want profit to be accrued: Spot Revaluation Undiscounted Special Deferred Profits Discounted Standard Undiscounted Standard None
0 1 2 3 4 9
Spot Revaluation Undiscounted Special Deferred Profits Discounted Standard Undiscounted Standard 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 endof-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-ofday after that including the last day (Maturity Date) First Last
T
Action Add-On Adjustment Add-On Rate Allow Reversal
F L
First Last
This field is not used for foreign exchange or money market deals. The amount by which add-on is to be adjusted for the contract. The percentage rate of add-on to be included in the gross interest rate for Money Market loans and deposits. 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. 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.
AMADJ Adjustments
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Field Apply Nostro/Agent to Forward Schedule
Definition 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
Available Amount
Y N
Applied to all diaries Applied to entered diary only
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 Banks principal positions. This field shows the identifier of the Bank Portfolio to which this deal belongs. 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. The number of the base rate used for the contract. These are set up on the Base Rates (BASE) screen. This indicates the percentage variation from the rate identified by the "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.
Base Rate Number Base Rate Variation
BMA 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 the rFRAME reporting utility only, not affecting any contract using this default. This field shows whether contracts of this type are allowed to be netted. For more information, see The rFRAME Interface in the Guide to 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.
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Field Bought/Used Currency Broker or Via
Definition The mnemonic of the bought currency. Currency mnemonics are set up on the Currencies (CCYS) screen. This field shows either the broker that arranged the contract, or the method 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 field is used for documentary purposes. See Brokerage Method. Brokerage Amount Brokerage Currency The amount of brokerage to be paid on the contract. See Brokerage Method. 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. 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:
Brokerage Method
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 Charge Amount Charge/ Commission Currency Client City The current Foreign Exchange cash position of the currency shown. The amount of the charge for the commercial market Foreign Exchange deal. The currency in which charges and commission are paid. Currencies are set up on the Currencies (CCYS) screen. The client's city of residence. These cities are set up on the General Purpose Narratives Table, type CI.
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Field Client Portfolio
Definition The Client Portfolio is used to hold a clients 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. The shortname of the client. 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 deal are displayed on the Outline Deal Inquiry (DEALI) screen.
Client Shortname Comments
Commercial Indicator
This indicates whether this is a commercial Foreign Exchange contract: On Off Commercial contract Non-commercial contract (default) Commercial contract Non-commercial contract (default)
T
Commission Amount
Y N
The amount of commission charged on the contract.
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Field Confirm
Definition 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 Yes Override Do not add the deal Add the deal if no limits are exceeded Add the deal even if limits are exceeded Do not add the deal Add the deal if no limits are exceeded Add the deal even if limits are exceeded
N Y O
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 Unconfirm Confirm the Fiduciary contract Unlock the Fiduciary contract
T
Confirmation
X U
Confirm the Fiduciary contract Unlock the Fiduciary contract
Indicates whether a confirmation has been received by the counterparty: On Off Confirmation received Confirmation not received Confirmation received Confirmation not received
T
Consolidated Euro
Y N
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 Off Combine in currency positions into euro position. Display positions in in currencies Combine in currency positions into euro position. Display positions in in currencies
Y N
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Field Contract Indicator
Definition This indicates whether the contract is a loan or a deposit: Loan Deposit
T
Contract Number 1.
L D
Loan Deposit
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. For Foreign Exchange Take-ups, the number of the option contract against which the take-up is being made. For Diary Narrative and Schedule Events, the number of the contract for which the events are being entered.
2. 3.
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 setting a number of Settlement Days. The total of all contract rate changes calculated today for this foreign exchange accounting centre on the FX Profit Installation Change (FXPFC) screen. For a Fiduciary Loan contract, this shows the type of Money Market contract used for the Fiduciary Loan. 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.
Contract Rate Change Contract Type
Currency
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 Off Conversion required Conversion not required Conversion required Conversion not required
Y N
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Field Current Exposure
Definition 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. The principal amount of the loan or deposit as it is today.
Current Principal
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. 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. The amount of the deal. The mnemonic of the currency of the deal. Currency mnemonics are set up on the Currencies (CCYS) screen. This is a documentary field that is used to record the date on which the deal was made. When you enter details of a new money market or interest bearing securities outline deal, but do not complete the "Confirm" field, then this field displays the exposure to the deal in the currency of the client limit. The identifier of the dealer responsible for the contract. These identifiers are set up on the Dealers and Officers (DEALR) screen. For Fiduciary contracts, this shows the principal amount of each of the deposit contracts associated with the Fiduciary contract. For Fiduciary contracts, this shows the combined total amount of the deposit contracts associated with the Fiduciary contract.
Days Notice
Deal Amount Deal Currency Deal Date Deal Equivalent
Dealer Identifier Deposit Amount
Deposits Total
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Field Diary Type
Definition 1. The type of diary for Money Market Schedule Events: Rate or principal change Rollover Interest settlement
T
2.
RP RL IS
Rate or principal change Rollover Interest settlement
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 Divided Swap Indicator
For discounted loans, this is the rate by which the principal is discounted at the start of the contract. This indicates whether the Foreign Exchange market contract is part of a Divided Swap: Near end Far end Not Divided
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. For Foreign Exchange Swaps, this is the exchange rate between the bought and sold currencies for the near and far end of the deal. 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.)
2.
3.
Far Date Far Exchange Rate
The date on which the far exchange takes place. For Foreign Exchange Swaps, the exchange rate between the bought and sold currencies for the far end of the deal.
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Field Fiduciary Deposit Product
Definition This field indicates products that will be used for fiduciary loan contracts. The field specifies the product type of any associated fiduciary deposit. This field is mandatory if the product is a loan, and Fiduciary Product field shows that this is a Fiduciary product. The Fiduciary Deposit product must already exist on the system. This indicates whether the Money Market product in question is a Fiduciary product. If this field is set on, then the Contract indicator field must be set to Loan or Deposit.
Fiduciary Product
Fixing Days
This indicates the number of days prior to maturity that the contract should be automatically rolled over. This field is only relevant if the "Roll Maturity Frequency" field indicates that automatic rollover is to be effected (see "Roll Maturity Frequency"). The rollover maturity frequency can be set using either the Money Market Index Rate Loan/Deposit - Add or Change screen.
Forwards (External): Bought Forwards (External): Net Forwards (External): Sold Forwards (InterAccounting Centre): Bought Forwards (InterAccounting Centre): Net Forwards (InterAccounting Centre): Sold GL Master Number
The sum of all foreign exchange amounts, in this currency, contracted to be bought but which have not yet come to value. The net of the external forwards bought and sold. The sum of all foreign exchange amounts, in this currency, contracted to be sold but which have not yet come to value. The sum of all foreign exchange amounts, in this currency, agreed to be bought from other accounting centres but which have not yet come to value. The net of the inter-accounting centre forwards bought and sold positions. The sum of all foreign exchange amounts, in this currency, agreed to be sold to other accounting centres but which have not yet come to value. The number of the General Ledger Master to which the contract is linked. This identifies the General Ledger category. For all contracts, this is defaulted from the Default General Ledger Masters (GLDFM) screen.
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Field Holiday Method
Definition 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 first 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
F M P N
Following Modified Previous 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 on the contract can occur on a holiday: On Off Yes, events can occur on holidays No, events can not occur on holidays Yes, events can occur on holidays No, events can not occur on holidays
Y N
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 ID Interest Revenue ID Principal The total amount paid by the borrowing accounting centre in Foreign Exchange Inter Accounting Centre deals. The total amount received by the lending accounting centre in Foreign Exchange Inter Accounting Centre deals. The total amount of principal in Foreign Exchange Inter Accounting Centre deals for the currency shown.
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511
Field Instrument / Product
Definition 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 Inter-Accounting Centre Loan / Deposits: Forward Interest Net Inter-Accounting Centre Loan / Deposits: Forward Interest Sold Inter-Accounting Centre Loan / Deposits: Principal Interest Adjustment
The amount of outstanding bought interest on inter-accounting centre loan and deposit deals for this accounting centre in the currency shown.
The net of the interest bought and interest sold positions for interaccounting centre loans and deposits.
The amount of outstanding sold interest on inter-accounting centre loan and deposit deals for this accounting centre in the currency shown.
The net of the principal amounts on all outstanding inter-accounting centre loan and deposit contracts for this accounting centre.
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 the principal 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 field 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 31 366 360 365 30/360 30E/360 Actual/Actual Actual/360 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.
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Field Interest Expense Interest Payment Type
Definition The interest paid by the borrowing accounting centre. Indicates whether interest is paid as normal or rolled into (added to) the principal: Normal (this is the default) Rolled
T
Interest Rate 1. 2.
N R
Normal (default) Rolled into the principal
The rate of interest charged or to be paid on the contract. 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 Investment Swap The interest received by the lending accounting centre. The interest revenue is calculated automatically if this field is left blank. This indicates whether the contract is part of an investment swap contract: On Off Investment swap Not an investment swap Investment swap Not an investment swap
Y N
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 Linked Contract The client for which the limit and exposure details are being displayed. 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 field 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.
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513
Field Market Rate
Definition 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, the Foreign Exchange End-of-Day Update (FXEOD) report uses the Exchange Rate and the current values on the Exchange Rates (EXCHM) screen. (See the Core Functions 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. 2.
The date on which the contract matures. For Money Market Contracts, it is the date of the final repayment. You cannot enter both a Maturity Date and Days Notice. For Foreign Exchange deals, the date on which the exchange takes place.
3.
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 Message Priority The maximum interest rate that can be charged or paid on the contract. 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.
514
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Field Near Date
Definition 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 Near Rate For Foreign Exchange Swaps, the exchange rate between the bought and sold currencies for the near end of the deal. 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 Net Spot The current Foreign Exchange net position of the currency shown. 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. 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 are allowed to be netted. For more information, see The rFRAME Interface in the Guide to Interfaces with External Systems. 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). The number of the next contract you wish to call up in the back office. 1. 2. The amount of the other currency involved in the deal. 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.
Netting Flag
Next Contract Number Non Deal Amount
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515
Field Open
Definition 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 Option Date
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. 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 Our Pay Nostro
The mnemonic of the other accounting centre involved in an InterAccounting Centre deal. The number or name of the pay nostro, set up on the Nostro Details (NSTRO) screen, for the contract: 1. 2. 3. For Foreign Exchange take-ups, this defaults to the Pay Nostro of the underlying commercial contract. For Money Market loan and deposit schedules, this defaults to the Pay Nostro on the maturity diary. For a Foreign Exchange Swap, enter the number of the nostro for paying the sold currency (near and far end details). Vostro Direct payment To be advised Compensating Contract
You can also enter one of the following codes: V D T C
Nostros can be defaulted onto contract entry screens according to rules 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.
516
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Field Our Receive Nostro
Definition The number or name of the receive nostro, set up on the Nostro Details (NSTRO) screen, for the contract: 1. 2. 3. For Foreign Exchange take-ups, this defaults to the Receive Nostro of the underlying commercial contract. For Money Market loan and deposit schedules, this defaults to the Receive Nostro on the maturity diary. 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 Outstanding Sold PEL Penalty Position Rate Change Principal Amount Principal Change The total amount of the currency bought in Foreign Exchange forward deals. This shows the total amount of the currency sold in Foreign Exchange forward deals. The total profit on spot element figure for this accounting centre. This is shown for today and this period. The amount to be charged as a penalty. The total of all calculations today of rate changes on positions held by this accounting centre. The principal amount of the drawdown, loan or deposit. 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. The mnemonic of the currency of the contract. Currency mnemonics are set up on the Currencies (CCYS) screen. 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 Rate The total profit transferred. This is shown for today and this period. 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.
Principal Currency Product Type
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517
Field Rate Variation
Definition 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 Refix Index Rate
A reference number for the Foreign Exchange take-up. 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. The client account hold number you wish to remove so that the held funds are made available to the client. This is a documentary field indicating the contract that replaced this contract. 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.
Remove Hold Number Replaced By Replaces
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. When you enter details of a new money market or interest bearing securities outline deal, but do not complete the "Confirm" field, then the reserved amount is updated to include any additional exposure that would be caused by the deal.
Result of Change
This indicates whether the principal change is decreasing or increasing the principal amount. Repayment Extension Decrease in principal amount (this is the default) Increase in principal amount
R E
Repayment - Decrease in principal amount (this is the default) Extension - Increase in principal amount
518
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Field Roll Maturity
Definition 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 Off Yes No (default value) Yes No
T
Roll Maturity Frequency
Y N
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 Date Rollover and Settle Interest Rollover Including Interest Rollover Interest Only No Rollover (default value)
Y P R I N
Extend Maturity Date Rollover and Settle Interest Rollover Including Interest Rollover Interest Only 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 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 are secured. For more information, see The rFRAME Interface in the Guide to Interfaces with External Systems. 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.
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519
Field Settlement Days
Definition 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 you want 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 Settlement Method
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. The method by which interest is to be paid: Nostro account Settlement account Error suspense account
0 2 3
Nostro account Settlement account 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 Sold Maturity Date Select this field to include deleted fiduciary loan contracts in the displayed details. 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. The mnemonic of the sold currency. Currency mnemonics are set up on the Currencies (CCYS) screen. 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. The mnemonic of the currency from which you want the inquiry to start. This is set up on the Currencies (CCYS) screen. 1. 2. The date on which the contract starts. For Money Market contracts, the date of initial funds transfer.
Sold/Produced Currency Split Maturity Indicator
Start Currency Start Date
520
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Field Status
Definition This indicates the status of the contract: Active Deleted Matured Unstarted
A D M U
Active Deleted Matured 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 U S To be advised No agent is involved on this side of the deal 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".
3937 0135-930
521
Field Total Exposure
Definition 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 When you enter details of a new money market or interest bearing securities outline deal, but do not complete the "Confirm" field, then the total exposure is updated to include any additional exposure that would be caused by the deal. Total Rate Change Trading Type The total of all rate change calculations this period for this foreign exchange accounting centre. 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. For more information, see The rFRAME Interface in the Guide to Interfaces with External Systems. 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 Value Date Variation Type The total untransferred profit to date for this foreign exchange accounting centre. The date on which the transaction or event comes to value. 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.
522
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Appendix A Calculations
Introduction
This appendix gives the calculations used by the system.
Interest
Interest = Principal x Rate per annum x Fraction of year
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:
AMOUNT
CURRENCY
RATE
In this example, the notation means that AMOUNT is converted to its equivalent in CURRENCY at RATE.
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A1
Calculations
Mark to Market Calculations

The following notation is used, in the formulae below, for calculating adjusted and unadjusted profit and forward exchange rates: UAP OPEN MMR BC AP NET FM FR MR FP AFP BFP AFD BFD MAD Unadjusted profit Open position for the currency Mid-market rate Base currency Adjusted profit Net position Forward movement Forward rate Market buy or sell spot rate Forward point used in calculating adjusted profit Forward point for date immediately after maturity date Forward point for date immediately before maturity date Forward date immediately after maturity date Forward date immediately before maturity date Maturity date being processed (no specified forward point)
Unadjusted Profit
UAP (Ccy) = OPEN (Ccy)
BC
MMR
Adjusted Profit
AP (Ccy) = NET (Ccy)
BC
MMR (Ccy)
+ FM (Ccy, date) FR (Ccy,date)

Date
BC
FR is calculated below
A2
3937 0135-930
Calculations
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 ) + BFP ( AFD - BFD)
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. 2. 3. 4. If the amount is positive and you are selling the profit currency, then it is an expense If the amount is positive and you are buying the profit currency, then it is a revenue If the amount is negative and you are selling the profit currency, then it is a revenue If the amount is negative and you are buying the profit currency, then it is an expense
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A3
Calculations
Total Profit on Foreign Exchange Deal

The following abbreviations are used, in the formulae below, to calculate foreign exchange profits: PEL ABTS RCH BC PC PA NPA NR CR LCR TCR Profit element Adjustment back to spot Rate change Base currency Profit currency Profit amount Non profit amount Near rate Closing rate Last night's closing rate 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:

CR NR ((NPA PC) + PA) BC
PEL is defined as:

CR CR {((NPA PC) + PA) BC} - ABTS
RCH is defined as:

TCR TCR LCR LCR {((NPA PC) + PA) BC} - {((NPA PC) + PA) BC}
A4
3937 0135-930
Calculations
Position Rate Change by Currency

This is calculated for each foreign exchange currency position. The following abbreviations are used in the formula below: LNSP TCR BC LCR Last night's spot position Tonight's closing rate Base currency Last night's closing rate
TCR LCR (LNSP BC) - (LNSP BC)
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A5
Calculations
Interpolation of Market Interest Rates

For Discounted Standard FX Revaluation on a Foreign Exchange Market contract, the discount rate is obtained by selecting a forward market rate appropriate to the maturity date of the contract. For example, for a forward Foreign Exchange Market contract maturing in seven days, a seven day (or alternatively one week) market rate might be selected (See the Core Functions and Inquiries Guide for information on entering market rates). All forward time periods for the selection of market rates are translated to days, so that a mix of days, weeks, months and years can be used. However, because some months have 30 days, and others 31 days, with February having 28 or 29, the system standardises on 30 days as the forward period for one month; three months becomes 90 days, etc. Similarly, 365 days is always used for years. One week is of course seven days. So a Foreign Exchange contract maturing in 90 days would be discounted at the market rate for either 90 days or three months. However, the number of days to the maturity of a contract will only occasionally coincide with an entered rate. Interpolation is used to calculate the rate to apply between two entered forward periods. Whilst the prior and later rates are selected on the 30 day month etc. basis, the linear interpolation is calculated using the actual number of days forward from the input date of the market rate. For example, the actual number of days forward for a three month rate entered on 15 February 2000 (a leap year) is 29 + 31 + 30 = 90 days. For a three month rate entered on 15 June it is 30 + 31 + 31 = 92 days. Hence it is important that market rates are updated daily, even if the rate is unchanged. Consider the discount rate for an FXMK contract maturing on 7 April 2001, being revalued on 8 June 2000 (303 days ahead) with prior and later market rates entered on that day for six months (5.75% rate with 180 day selection and 183 actual days) and 12 months (6% rate with 360 day selection and 365 actual days). The discount rate interpolation calculation is:
5.75% + ((6 5.75) * (303 183) / (365 183))% =
5.75% + (0.25 *120 / 182)% =
5.75% + 0.16483516% = 5.91483516%.
A6
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Calculations
Money Market Calculations

Brokerage
Brokerage = Rate per annum x Loan principal x Duration in days Interest Basis x 100
Interest Paid
Interest Paid = Principal x Discount Rate No . Of Days Between Start And Maturity x 100 Interest Basis
Book Value
Book Value = Principal - Interest Paid
Yield Rate
Yield Rate = Interest Basis Interest Paid x x 100 Book Value No . Of Days Between Start And Maturity
3937 0135-930
A7
Calculations
A8
3937 0135-930
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
E
Exchange Rates, 1-11 width bands, 1-11 Euro Related Information, 1-21
F
Fiduciary Loan Contract Creation, 4-3 Fiduciary Loan Inquiry screen Description of, 4-44 Example of, 4-45 Fiduciary Loan/Deposit Maintenance screen Description of, 4-41 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, 2-1 Foreign 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, 1-6 Foreign 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
B
Base Rate Loans Automatic rollover, 3-4 Base Rate Loans and Deposits overview of, 3-5
C
Calculations Foreign Exchange, A-1 Money 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
3937 0135-930
Index-1
Index
Foreign Exchange Inter-Accounting Centre Add screen Description of, 2-26 Example of, 2-26 Foreign Exchange Inter-Accounting Centre Change screen Description of, 2-27 Example of, 2-23, 2-27 Foreign Exchange Inter-Accounting Centre Inquire/Delete screen Description of, 2-27 Foreign Exchange Inter-Accounting Centre 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 Description of, 2-10 Example of, 2-10 Foreign Exchange Market Inquire/Delete screen Description of, 2-11 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 Description of, 2-16 Example of, 2-16 Foreign Exchange Swap Change screen Description of, 2-18 Example of, 2-18 Foreign Exchange Swap Inquire/Delete screen Description of, 2-19 Foreign Exchange Swaps definition of, 1-4 Foreign Exchange Takeup, 2-13, 2-14 Foreign Exchange Takeup Add screen Description of, 2-13 Example of, 2-13 Foreign Exchange Takeup Change screen Description of, 2-14 Foreign Exchange Takeup Inquire/Delete screen Description of, 2-14 FX Inter-Accounting Centre Loan/Deposit Add screen Description of, 2-21 Example of, 2-22 FX Inter-Accounting Centre Loan/Deposit Change screen Description of, 2-23
FX Inter-Accounting Centre Loan/Deposit Inquire/Delete screen Description of, 2-24 FX Position Installation Change screen, 1-19 Example screen, 1-19 FX Positions Summary screen description of, 2-29 example of, 2-29 FX Profit Installation Change screen Description of, 1-20 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, 2-82-9 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-2
3937 0135-930
Index
M
Mark to Market Valuation, 3-8 MMBRA screen, 4-17 to 4-19 MMBRC screen, 4-19 MMBRI screen, 4-21 MMBSA screen, 4-22 to 4-23 MMBSC screen, 4-24 MMBSI screen, 4-25 MMDEA screen, 4-7 to 4-8 MMDFM screen, 4-5 to 4-6 MMDLA screen, 4-36 to 4-37 MMDLC screen, 4-38 MMDLI screen, 4-40 MMIRA screen, 4-26 to 4-27 MMIRC screen, 4-28 MMIRI screen, 4-30 MMISA screen, 4-31 to 4-33 MMISC screen, 4-34 MMISI screen, 4-35 MMLDA screen, 4-9 to 4-10 MMLDC screen, 4-11 MMLDI screen, 4-12 MMLSA screen, 4-13 to 4-14 MMLSC screen, 4-15 MMLSI screen, 4-16 Money Market Base Rate Loans and Deposits, 3-5 Contract Types, 3-1 Cost of Funds, 3-10 Definition of Field Names, 5-1 to 5-22 Discounted Loans, 3-6 Payments made as a result of, 3-5 Money Market Base Rate Loan/Deposit Add screen Description of, 4-17 Example of, 4-18 Money Market Base Rate Loan/Deposit Change screen Description of, 4-19 Example of, 4-20 Money Market Base Rate Loan/Deposit Inquire/Delete screen Description of, 4-21 Money Market Base Rate Schedule Add screen Description of, 4-22 Money Market Base Rate Schedule Change screen Description of, 4-24 Example of, 4-23 to 4-24 Money Market Base Rate Schedule Inquire/Delete screen Description of, 4-25
Money Market Contract Creation, 4-2 Money Market Default Maintenance screen Description of, 4-5 Example of, 4-6 Money Market Discounted Loan Add screen Description of, 4-36 Example of, 4-37 Money Market Discounted Loan Change screen Description of, 4-38 Example of, 4-39 Money Market Discounted Loan Inquire/Delete screen Description of, 4-40 Money Market Fixed Rate Loans and Deposits, 3-5 Money Market Index Rate Loan/Deposit Add screen Description of, 4-26 Example of, 4-27 Money Market Index Rate Loan/Deposit Change screen Description of, 4-28 Example of, 4-29 Money Market Index Rate Loan/Deposit Inquire/Delete screen Description of, 4-30 Money Market Index Rate Loans and Deposits, 3-5 Money Market Index Rate Schedule Add screen Description of, 4-31 Example of, 4-32 Money Market Index Rate Schedule Change screen Description of, 4-34 Example of, 4-34 Money Market Index Rate Schedule Inquire/Delete screen Description of, 4-35 Money Market Loan/Deposit Add screen Description of, 4-9 Example of, 4-10 Money Market Loan/Deposit Change screen Description of, 4-11 Example of, 4-11 Money Market Loan/Deposit Inquire/Delete screen Description of, 4-12 Money Market Loan/Deposit Schedule Add screen Description of, 4-13 Example of, 4-14
3937 0135-930
Index-3
Index
Money Market Loan/Deposit Schedule Change screen Description of, 4-15 Example of, 4-15 Money Market Loan/Deposit Schedule Inquire/Delete screen Description of, 4-16 Money Market Outline Deal Add screen Description of, 4-7 Example of, 4-7
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
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
T O
Opening Foreign Exchange Positions Entering, 1-18 Outline Deal Input Introduction to, 1-1 Outright definition of, 1-3 Traditional Liquidation Method, 1-6
W
Width bands definition of, 1-11 Withholding Tax, 3-9
P
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9 3 Foreign Exchange-Main

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9 3 Foreign Exchange-Main

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Banking Back-Office Processing

Foreign Exchange and Money Market Administration Guide

About This Guide

How To Use This Guide

About This Guide

About This Guide

Related Product Information

About This Guide

About This Guide

About This Guide

Foreign Exchange Screens

Money Market Contracts

Money Market Screens

436 436 438 440 441 441 444 446

Definition of Field Names

Section 1 Foreign Exchange Contracts

Outline Deal Input

Foreign Exchange Contracts

All Foreign Exchange Contracts

Foreign Exchange Contracts

Foreign Exchange Outrights

Split Value Date

Market Foreign Exchange Commercial Deals

Foreign Exchange Contracts

Foreign Exchange Swaps

Foreign Exchange Divided Swaps

Inter-Accounting Centre Loans and Deposits

Foreign Exchange Contracts

Inter-Accounting Centre Deals through Foreign Exchange Accounting Centre

Foreign Exchange Contracts

Foreign Exchange Profits

Traditional Liquidation Method

Foreign Exchange Contracts

Foreign Exchange Contracts

Foreign Exchange Contracts

2. Establish the profit currency:

Discount Factor Calculation:

Discount Rate 1 + 100

Number of days to maturity Base currency interest basis

Foreign Exchange Contracts

Taking Profit into the Books

Foreign Exchange Contracts

Exchange Rate Width Bands

Foreign Exchange Contracts

Confirmation and Payment Advices

Foreign Exchange Contracts

Nostro and Agent Combinations for Foreign Exchange

Foreign Exchange Contracts

Table 11. Entries in Nostro and Agent Fields - Foreign Exchange

Vostro A/C No. Name

Foreign Exchange Contracts

Number/Name/ SSI/blank SSI

Number/Name/ SSI/Blank NSTD

Foreign Exchange Contracts

Only the following formats should be used: @BBBBCCLL @BBBBCCLLXXX

Foreign Exchange Contracts

Foreign Exchange Positions

Foreign Exchange Contracts

Entering Opening Positions

Foreign Exchange Contracts

Setting Up Foreign Exchange Spot Positions

FX Position Installation Change (FXPSC)