Download Foreign Exchange User Manual

Foreign Exchange
Table of Contents
1.
ABOUT THIS MANUAL................................................................................................................................ 1-1
1.1
INTRODUCTION ........................................................................................................................................... 1-1
1.1.1
Audience ............................................................................................................................................ 1-1
1.1.2
Organization ...................................................................................................................................... 1-1
1.1.3
Related documents ............................................................................................................................. 1-2
1.1.4
Glossary of Icons ............................................................................................................................... 1-2
2.
AN OVERVIEW OF THE FOREIGN EXCHANGE MODULE................................................................ 2-1
2.1
INTRODUCTION ........................................................................................................................................... 2-1
2.1.1
Setting up the System ......................................................................................................................... 2-1
2.1.2
Organizing Foreign Exchange Deals ................................................................................................ 2-2
2.1.3
Specifying the Brokerage ................................................................................................................... 2-2
2.1.4
Defining Tax ...................................................................................................................................... 2-3
2.1.5
Tracking Limits.................................................................................................................................. 2-3
2.1.6
Settling FX Contracts......................................................................................................................... 2-3
2.1.7
Retrieving Information Relating to FX deals ..................................................................................... 2-4
3.
MAINTAINING DATA SPECIFIC TO THE FX MODULE...................................................................... 3-1
3.1
INTRODUCTION ........................................................................................................................................... 3-1
3.1.1
Static Data ......................................................................................................................................... 3-1
3.2
MAINTAINING BRANCH PARAMETERS ........................................................................................................ 3-2
3.2.2
Maintaining CLS preferences for the branch .................................................................................... 3-4
3.2.3
Specifying UDF Values...................................................................................................................... 3-5
3.3
MAINTAINING FORWARD RATES ................................................................................................................ 3-5
3.3.1
Maintaining forward rates for currency pairs ................................................................................... 3-5
3.4
MAINTAINING DISCOUNTING RATES .......................................................................................................... 3-8
3.4.1
Specifying UDF Values.................................................................................................................... 3-10
3.4.2
Querying Discount Rates ................................................................................................................. 3-11
3.4.3
Querying Based on Tenor ................................................................................................................ 3-11
3.5
NETTING DETAILS .................................................................................................................................... 3-12
3.5.1
Maintaining Netting Details ............................................................................................................ 3-13
3.5.2
Specifying UDF Values.................................................................................................................... 3-18
3.5.3
Maintaining FX Risk Netting Details............................................................................................... 3-18
3.5.4
Specifying UDF Values.................................................................................................................... 3-21
4.
DEFINING ATTRIBUTES SPECIFIC TO FX PRODUCTS ..................................................................... 4-1
4.1
INTRODUCTION ........................................................................................................................................... 4-1
4.2
INDICATING PREFERENCES FOR A PRODUCT................................................................................................ 4-3
4.2.1
Specifying Preferences for Forward Contracts ................................................................................. 4-4
4.3
PRODUCT COMBINATIONS ........................................................................................................................ 4-22
4.3.1
Maintaining Product Combinations ................................................................................................ 4-22
4.3.2
Creating a Product Combination..................................................................................................... 4-22
4.3.3
Maintaining Product Category Details for Internal Swap Transactions......................................... 4-24
5.
BEGINNING OF DAY OPERATIONS......................................................................................................... 5-1
5.1
INTRODUCTION ........................................................................................................................................... 5-1
5.1.1
Forward Rates ................................................................................................................................... 5-1
5.1.2
Discounting Rates .............................................................................................................................. 5-1
5.2
AUTOMATIC LIQUIDATION OF A CONTRACT ............................................................................................... 5-2
5.2.1
A description of the function .............................................................................................................. 5-3