5.372 Currency Swapsdocs.sungard.com/InvestOne/140Doc/System_Manual/... · Over-the-Counter...

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW

5.372 Currency Swaps: Asset Group CW 1 Overview: Currency Swaps – Asset Group CW ......................................................... 2 2 Glossary of Terms ................................................................................................ 3 3 Opening a Currency Swap ..................................................................................... 4 4 Currency Swap Open Transaction Entry .................................................................. 7 5 Security Definition Guidelines .............................................................................. 18

5.1 VALUING A CURRENCY SWAP ................................................................................ 19 5.2 ACCRUED INCOME ON CURRENCY SWAPS .................................................................. 19 5.3 PRICING A CURRENCY SWAP ................................................................................. 20 5.4 EXCHANGE GAIN/LOSS ON CURRENCY SWAPS ............................................................ 21 5.5 PAYMENTS/RECEIPTS FOR A CURRENCY SWAP............................................................. 21

6 Expiration of a Currency Swap ............................................................................. 22 7 Currency Swap Close Transaction Entry: DECSWC .................................................. 25 8 Holdings Definition: VSHO / Holdings View: VSVB .................................................. 28 9 Transaction Processing Codes For Currency Swaps ................................................. 29 10 General Ledger Entries for Currency Swaps: Asset Group CW ............................. 31 11 Reporting and Messaging ............................................................................... 37

11.1 BATCH REPORTING ......................................................................................... 37 11.2 MESSAGING ................................................................................................. 37 11.3 SPECTRA ..................................................................................................... 37

This document contains proprietary information of SunGard Asset Arena Investment Accounting. No copy or other reproduction shall be made without written permission of SunGard.

I

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW GLOSSARY OF TERMS

1 OVERVIEW: CURRENCY SWAPS – ASSET GROUP CW The term Currency Swaps is a generic name for a group of similar swaps which have different receivable and payable currencies. Currency swaps can be OTC (Over-the-Counter/Non-cleared) or Cleared (exchange traded). This document contains information on Over-the-Counter Currency swaps and information on Cleared Currency swaps can be found in Section 5.378. On Investment Accounting (InvestOne), all of these swaps are considered Currency Swaps. • A true Currency Swap is an exchange of two fixed rates of interest. • A Cross Currency Interest Rate Swap is an exchange of a fixed rate for a floating rate. • A Currency Basis Swap is an exchange of two floating rates. Currency Swaps are very similar to Interest Rate Swaps except: • The two legs are in different currencies. • Each leg has its own par value and its own income stream. • The par values may be exchanged at the open and/or the close of the contract. • Each leg of the swap may be priced in its own currency. • Currency swaps do not allow a fee or premium on the open. • Partial closes are allowed. These limitations apply: • No matrix valuation of swaps. • No withholding or reclaims on swap income. • Batch and Online Capture not supported for the new swaps transaction codes. • Global Client Reporting (GCR) is not impacted. Swaps are not allowed for • Japanese Institutional Funds. • Separate Accounts. • For accounts that are set up for Interim Earnings (Local Process flag on AASP), the field

Post income Payment to Income or Gain/Loss must be set to post to income with value of “I”.

Accounts are allowed to enter multiple open transactions against a single swap security. The following cost relief methods are valid for Currency Swaps through the Account Definition Screen (AAAD) or Account/Asset Group Override Screen (AAGO):

Cost Assignment

Code Description A Average Cost E LIFO (last in first out) F FIFO (first in first out) P Pro-Rata Relief


2

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW GLOSSARY OF TERMS

•

Currency Swaps that exist prior to the 07.210 Release continue to use Average Cost until expiration unless a cost assignment conversion is ran through the Account/Asset Group Override Screen (AAGO). If the account is defined as using a cost assignment invalid for swaps, an edit requires the users to enter a valid method on AAGO before entering a swap opens transaction (DECSWO).

2 GLOSSARY OF TERMS

Item Definition

Clean Price Price of the security that excludes the value of Accrued Income.

Dirty Price Price of the security including the value of Accrued Income.

Discounted Cash Flow Method used to determine the current value of cash to be received at a future date.

Currency Swap Swap which has different receivable and payable currencies.

LIBOR (London Interbank Offer Rate)

Rate of interest at which banks borrow funds from other banks, in marketable size, in the London interbank market. This is a widely used benchmark or reference rate for short term interest rates.

Present Value Current value of the swap agreement. Calculated using the discounted cash flows of each leg of the swap. In Investment Accounting (InvestOne) terms, this is the current market value. In this document, Present Value and Market Value has the same meaning.

Tenor The open time period (maturity) of a swap.


3

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW OPENING A CURRENCY SWAP

3 OPENING A CURRENCY SWAP

THE BASICS A swap agreement is opened using the OPCS and OPCSX transaction codes. These transaction codes are entered on the Currency SWAP Open Transaction Entry (DECSWO) screen or interfaced through Transaction Messaging. Other transaction screens and Batch/Online Capture do not support the opening of a Currency Swap. Opening a Currency Swap is very similar to the current process used to open an Interest Rate Swap. • The Security ID used to identify the swaps. The Security ID consists of a nine-character

security key and an optional security key date. Security Qualifier is not allowed. • The security need not exist prior to the first opening of the swap. • The same swap may be held by multiple accounts. Multiple opens are also valid for

Currency Swaps. • When the swap is opened, two securities are established under the key defined by the

user. o The first security uses the entered key and a key qualifier of zero. It represents

the receivable leg of the swap. o The second security uses the entered key and a qualifier of one. It represents the

payable leg of the swap.

OPENING TRANSACTION RECEIVABLE AND PAYABLE CHARACTERISTICS The opening transaction has the receivable par value in the carry value, and the payable par value and currency in the settlement fields. This is similar to the open of a Cross Currency Contract. The opening transaction is copied to the qualified security to establish the payable leg position. The copied transaction has the payable par value in the carry value and the receivable par value and currency in the settlement fields. The copied transaction has its own memo number and is flagged as a generated “second leg” transaction. The user is not able to directly access the generated transaction. Rather, any changes to the swap set up are made on the original transaction. All changes are applied to the generated transaction by the System.

ASSET GROUP CW, MODEL SECURITIES Both securities are created with the Asset Group “CW” (Currency Swap). As with Interest Rate Swaps, the security short name of the generated securities use the security description from the opening transaction, prefaced by RECV or PAYB for the receivable and payable securities respectively. If desired, a Model Security may be defined on the transaction. If used, the Model Security must also be Asset Group “CW”. The Model Security can be used to forward categorization data for the new securities. Any rate, payment, and currency data forwarded from the Model Security is overlaid by transaction data. Currencies, income accrual, and payment data are taken from the receivable leg and payable leg data on the transaction.

Like Interest Rate Swaps, Currency Swaps use different transaction codes for the open of the payable leg. These transaction codes are used on the generated payable leg transactions and cannot be entered. They are not readily apparent to the user and are created to support the accounting effects of the short positions.


4


INCOME ACCRUAL The swap open transaction determines whether the swap positions should accrue income. This information is added to the swap security. If the swap is priced with a clean price, the swap must be set up to accrue income. However, if dirty prices are used, it is assumed income accruals should not be posted. Dirty prices already include the value of accrued income in the price. To post the accrual as well would double count the income. Posting the accruals does not impact the generation of the income payments. The income payments are generated whether or not the accruals are posted to the positions. If the swap is opened without income accruals, the interest received from both legs of the swap can be posted to gain/loss rather than income. The option chosen is forwarded to the swap security for use when processing the interest transactions.

PAR VALUES – TO EXCHANGE OR NOT TO EXCHANGE When a Currency Swap is opened, the par values of the swap may be exchanged by the counter-parties. This is controlled by which transaction code is used to open the swap. • The Open Currency Swap (OPCS) transaction code does NOT exchange the par values. • The Open Currency Swap with Exchange (OPCSX) DOES exchange the par values.

EXCHANGING CURRENCY VALUES ON CLOSE In addition, the currency values may be exchanged at the close of the swap. This is possible whether or not the currencies were exchanged at the open. A flag on the swap open transaction indicates if the balances are to be exchanged on the close. This flag is stored on the swap security record. It does not affect how Investment Accounting (InvestOne) values the swap. The value of all forward exchange gains and losses is included in the swap's price. The flag is used when calculating future cash and currency movements and to issue warnings if the wrong swap close transaction code is used. The actual movement of the currency balances on the close are dependent upon the closing transaction code (CLCS or CLCSX) used.

SWAP ON OPEN When opened with exchange, the receivable par value is paid out in the receivable currency. A swap currency down transaction (CDNSW) is generated. It is linked to the original (qualifier zero) OPCSX transaction if it is not in the account's base currency. The payable par value is received in the payable currency. A new swap currency up transaction (CUPSW) is generated and linked to the generated (qualifier one) OPCSX transaction if it is not the account's base currency. These new swap currency up and down transactions have the same accounting effect as the current currency up and currency down transactions. However, where they get their numbers is a little different from the current currency transactions. When a swap is opened, the notional base cost of the swap positions must be determined. This is done whether or not currency is exchanged on the open. If either leg of the swap is in the base currency of the account, that value is used as the notional cost for both legs. If

Purchased/sold income can be calculated for currency swaps for the period beginning on accrual start date of the opens transaction. Purchased/sold income can also be manually entered. The income is received/delivered on the actual settle date of the opening transaction.


5


not, the Trade Date base currency of the receivable leg is used as the notional base cost of both legs. Note that this is not maintained as the real cost of the positions. It is only used to calculate the gain/loss of currency balances exchanged at the end of the swap. It is calculated and stored for all currency swaps, whether or not the swap is flagged to exchange currency on the close. If the swap is opened with an exchange of currency, the notional base cost is used as the value of both currencies exchanged. The OPCSX transaction posts that amount to a Swaps Suspense Account and Currency Allowance. The CDNSW and CUPSW transactions post to Currency Allowance and Currency at Value. The notional base cost is used as the principal value of both currency transactions. The swap opening transaction also defines two streams of interest. The data for the receivable leg is used to populate the security with qualifier zero. The data for the payable leg is used to populate the security with qualifier one. Transaction editing ensures that each leg has sufficient data to define an income stream. This is very similar to the editing used when setting up a bond on BOSB. The generated securities may be viewed and updated on BOSB. The opening transaction establishes a holding or taxlot under each of the two securities. The shares/par of each position is the appropriate par value from the opening transaction. The qualifier zero position carries the receivable par value as a positive value for a long position. The qualifier one position carries the payable par value as a negative value for a short position. The two holdings are used to maintain the two streams of income accruals. When there are multiple opens on a currency swap, the close exchange flag (CLS EXCH) can not be different.

CHANGING SWAP CHARACTERISTICS The user has the ability to associate other positions in the account with the swap open transaction. This has no accounting effect. It is only for reporting purposes. Other positions may be associated with the swap through the DESWAS screen or Messaging.


6

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW CURRENCY SWAP OPEN TRANSACTION ENTRY

4 CURRENCY SWAP OPEN TRANSACTION ENTRY The DECSWO Screen is used to open Currency Swap contracts. Valid transaction codes are: OPCS and OPCSX. Only Currency Swap Open (OPCS) and Currency Swap Open with Exchange (OPCSX) transactions are allowed on this screen. Change (DACSWO), View (VSCSWO) and Delete (DDCSWO) modes are also supported.

CONSTRAINTS 1. Generally in ADD mode the security is not present. If it is, the transaction is edited so

that the receivable and payable leg criteria on the transaction match the securities already defined.

2. If a Model Security is entered, it must be a security already defined to the System with Asset Group CW.

3. As with the definition of a bond, the benchmark spread may only be entered if a benchmark security is defined. However, benchmark rate change schedule fields may be entered without a benchmark security.

4. Due to space limitations, account base currency values of transactions do not appear on this screen. Only amounts denominated in the local currencies of the swap are shown. General Ledger impacts of the transactions may be viewed in the account base currency on the GLIN Screen.

5. Changes to transaction-only data (par values, brokers, etc.) are included in the Transaction Audit Trail. Changes to Swap Security Data (accrual method, interest rate, etc.) are included in the Security Data Audit Trail.

6. Active transactions cannot move to Pending file.


7


DECSWO Screen

Field descriptions follow.

Field Description. Fields Shaded Gray are Required.

ACCOUNT NUMBER Account number for the transaction. System displays the account short name.

SECURITY NUMBER Security number used to identify the swap. This is the security that is created for an engagement transaction (qualifier not allowed).

SECURITY DATE A date may be included as part of the security number to distinguish it from any security which many have the same security number; format: MM DD YYYY.

INTENT The IFRS Intent Code used for IFRS accounting. It applies to both legs of the swap. Valid Values: A or blank: Available For Sale.* F: Held for Trading. *If a swap security is not defined, the intent code can only be defined as Available For Sale (“A” or Blank). If the account is set up for IFRS accounting, this field defaults to the code


8



defined on the INTENT or MULTBK screens. If the intent code is defined on MULTBK or INTENT as “F” and the swap security is not defined, the user must change the intent to “A”. See System Manual Section 5.1201, IFRS Investment Intent on Transactions for information on IFRS Accounting.

DESC Security description - Used to populate the security short name of the generated swap securities. Prefaced by RECV and PAYB for the receivable and payable legs of the swap respectively.

EFFECTIVE DATE Effective Date. The date the accounting effects (if any) of the transaction begin. The swap position is established as of this date.

TRAN CODE Transaction code. Valid transaction codes for this screen: OPCS - Open Currency Swap. OPCSX - Open Currency Swap with exchange. RBOPCS - Rebook of Open Currency Swap. RBOCSX - Rebook of Open Currency Swap with exchange.

ACTION This flag determines to which file the transaction is applied: A - Apply to the active transaction (“TS”) file. H - Apply to the pending transaction (“T2”) file. NOTE: This field appears only on DACSWO.

SRCE Displays the file where the transaction was last updated: A - Transaction is on active (“TS”) file. H - Transaction is on pending (“T2”) file.* NOTE: This field only appears on DACSWO and VSCSWO. *When SRCE is “H” and the swap security already exists, an informational message displays and actual existing security data displays regardless of data included on the pended transaction.

EXT ID External ID. Used to cross reference the transaction with other systems.

MODEL SECURITY Security used as a model for securities generated for the swap.

The strategy/deal code and side pocket code apply to both legs of the swap. These values cannot be applied to swap legs separately.


9



SIDE POCKET Four-digit code which identifies Side Pocket for the transaction. Valid entries include any four-digit code which has been previously defined in the Side Pocket Definition (MDSP) screen. See Section 5.5000 Hedge Fund Processing for further information.

STRAT/DEAL STRAT is a six-character code which identifies the Strategy for this transaction. Valid entries include any six-character code which has been previously defined in the Strategy Code (MDSTC) screen. DEAL is any six alphanumeric character code which identifies the DEAL for this transaction. If DEAL is entered, STRAT is also required to be entered. See Section 5.5000 Hedge Fund Processing for further information.

TYP Swap Type - a one-character code which identifies the swap type for the security. Valid Values: N – Identifies the swap as Non-Cleared, or Over-the-Counter Y – Identifies the swap as Cleared, or exchange traded

MLAG Marked to Market Lag Days – this field can be used for all cleared swaps securities. This field determines the number of days between effective date and contractual/actual settlement date for Cleared Swap Marked to Market (SMTM+/-) and Cleared Swap Interest transactions (SINT+/-).

S EXCH Swap Security Exchange – a two-character code which identifies the Security Exchange for this security. Valid entries include any two-character code which has been previously defined on the (MDEXMF) screen.

T EXCH Transaction Exchange – a two-character code which identifies the Transaction Exchange for this security. Valid entries include any two-character code which has been previously defined on the (MDEXMF) screen.

Legal Entity ID Legal Entity Identifier. Up to twenty alphanumeric characters may be defined.

The Trade Date must be earlier or equal to the Effective Date. The Contractual and Actual Settlement Dates must be equal to or later than the Effective Date.

TRADE DATE Date that the swap agreement was reached. Default: Effective Date.

PURCH INT Purchase Interest. Valid Values: N – No purchased and/or sold interest is entered or system calculated for open transaction codes. Y – Purchased and/or sold interest can be entered or system calculated for open transaction codes. See PURCH INT and INCOME Fields.

CONTRACTUAL SETTLEMENT DATE

Must be equal to or greater than Effective Date. Default: Effective Date.

ADVISOR Advisor Code. Code of the fund manager responsible for the trade as defined on MDADV.

BROKER Trade Broker. Broker number defined for the broker/dealer through whom the transaction took place as defined on MDBR.

CLR Clearing Broker. Broker number defined for the broker/dealer through whom the transaction was cleared defined on MDBR.

ACTUAL SETTLEMENT DATE

Must be equal to or greater than Effective Date. Default: Effective Date.

ACCR START Starting date of the accrual calculation for the income streams. Accrual Start


10



Date (ACCR START) is required on open transaction. The Start Date can be earlier than, equal to, or after Trade Date. The Start Date cannot be greater than the Maturity Date.

POST ACCR Post accruals on the swap positions. Valid Values: Y - Post accruals (used with clean pricing).* N - Do not post accruals (used with dirty pricing). *This flag must be “Y” to set PURCH INT to “Y”.

I/GL Post income payments to income or gain/loss. Valid Values: I - Post to income. Default. G - Post to gain/loss. N – SINT+/- transactions will not generate or be entered manually. This is valid with cleared swaps. Note: ”G” and “N” can only be used when POST ACCR is “N”.

EXPIRATION DATE End date of the swap agreement.

CLS EXCH Closing exchange of currency. Indicates if currency balances are to be exchanged on the close of the swap. Valid Values: Y - Exchange currencies on close. N - Do not exchange currencies on close.

RECEIVABLE LEG Par value used to calculate the receivable income stream.

CURR Local currency of the par value of the receivable income stream. This is the trade, issue, and income currency of the generated receivable swap security. • Must be a valid currency defined on MDCU. • The receivable and payable currencies must be different.

CNTRY-R Country of Risk associated with the generated receivable currency.

1ST PAY The date of the first income receipt for the receivable income stream. 1st Pay Date must be greater than the Effective Date of the open transaction and greater than the Accrual Start Date.

FREQ Frequency of the payments for the receivable income stream.

MM/DD Month and Day of the recurring payments for the receivable income stream. DD of 99 indicates last day of the month.

COMP OPT Determines whether interest is compounded for accrual methods 5 and 6. Valid Values: Blank – Interest is not compounded. Default. Y – Interest is compounded per rate change schedule. P – Interest is compounded daily to meet a periodic yield. (Valid only for Accrual Method 5 periodic coupon) D - Interest compounded on a pure daily on business days basis. (Valid only for Accrual Method 5 periodic coupon)

INT PUR Used in conjuction with accrual methods E, F, 4, 5 and 6 to determine whether interest is purchased or sold. For these accrual methods, the value must be “Y” or “N”. Valid Values: Blank – The interest accrual and payment assumptions are based strictly on the accrual method alone, such that a value in this field is not required or applicable. Default. Y – The interest accrual and payment assumptions are such that yes,


11



interest is expected to be purchased or sold on trades having contractual settle dates between payment dates. N – The interest accrual and payment assumptions are such that no, interest is not expected to be purchased or sold on trades having contractual settle dates between payment dates.

MOD PMT Dertermines whether payments/actual settle dates of payments falling on non-business days are modified to a business day or not. Valid Values: Blank – Payment Date Unmodified. For accrual method 4, an initially computed contractual interest payment date falling on a non-business day is left unmodified. For accrual method 6 and select other accrual methods, the actual settle date of an interest payment or maturity transaction either forecasted or to be generated having its contractual settle date fall on a non-business day is left unmodified. F – Payment Date Modified Following. For accrual method 4, an initially computed contractual interest payment date falling on a non-business day is modified to the nearest business day immediately following the non-business day. P – Payment Date Modified Preceding. For accrual method 4, an initially computed contractual interest payment date falling on a non-business day is modified to the nearest business day immediately preceding the non-business day. A – Payment Actual Settle Date Modified Following. For accrual method 6 and select other accrual methods, the actual settle date of an interest payment or maturity transaction either forecasted or to be generated having its contractual settle date fall on a non-business day is modified to the nearest business day immediately following the non-business day.

INTEREST RATE Interest rate for the receivable income stream. Used for fixed rate legs only.

ACCRUAL METHOD Accrual method used in the calculation of the receivable income stream. See Bond Income Stream.

DAY COUNT Day Count is for additional flexibility and in order to handle different day conventions. Blank – Valid for existing accrual methods. A – For accrual method 7, the interest accrual is calculated based on ACT/ACT. D – For accrual method 7, the interest accrual is calculated based on 30/360.

ACCR INCM OPT Accrued income payment option. Determines if income earned on payment date is included in the payment. Valid Values: 0 - Do not include income earned on payment date. 1 - Include income earned on payment date.

OFFSET Used in conjunction with Benchmark Rates Processing. A value in this field overrides the DECAL screen value. Valid Values: Blank – Do not override the calendar set Fixing Date Offset. Default. 00-99 – Override the calendar Fixing Date Offset with this value. For variable/floating rate swaps using a calendar set per their security definitions and relying on benchmark rates processing, the benchmark rate used to derive the swap rate at a given reset date is the rate in effect at the date found by adding this number of business days to the effective date of


12



the benchmark rate entered on the DEBE screen.

BENCHMARK If the receivable interest stream is a variable interest tied to a benchmark, the benchmark security is entered here. Must be a valid benchmark security.

SPREAD If a benchmark is used, the number of basis points to add to the benchmark rate to determine the rate of receivable income stream. May be positive or negative. Spread is also extended to accrual methods E, F, V and W that do not use benchmark processing.

See Bond Income Stream section below for information on the following fields.

C/C FREQ Rate change cycle for applying new benchmark rates.

INCR Rate change increment for benchmark rates.

MN END Determines if benchmark rate changes occur on month-end.

1ST CHANGE Date of first rate change of benchmark rates.

ANN RATE TYPE Annual rate type for the receivable income stream.

CN Security level calendar used with Fixing Date Offset, Modified Payment Processing, and to determine accrual dates for accrual method 5. Valid Values: Blank – A calendar set is not used. Default. Non-Blank – The specified calendar set, which must correspond with a valid calendar set per the Calendar Definition (DECAL) screen, is used in conjunction with Fixing Date Offset, and/or with accrual methods 4 and 5 as well as accrual methods that use Mod Pmt A.

INCOME The amount of purchased interest. See PURCH INT and INCOME Fields.

PAYABLE LEG Par value used to calculate the payable income stream.


CURR Local currency of the par value of the payable income stream. This is the trade, issue, and income currency of the generated payable swap security. • Must be a valid currency defined on MDCU. • The receivable and payable currencies must be different.

CNTRY-R Country of Risk associated with the generated payable currency.

1ST PAY The date of the first income receipt for the receivable income stream. 1st Pay Date must be greater than the Effective Date of the open transaction and greater than the Accrual Start Date.

FREQ Frequency of the payments for the receivable income stream.

MM/DD Month and Day of the recurring payments for the payable income stream. DD of 99 indicates last day of the month.

COMP OPT Determines whether interest is compounded for accrual methods 5 and 6. Valid Values: Blank – Interest is not compounded. Default. Y – Interest is compounded per rate change schedule. P – Interest is compounded daily to meet a periodic yield. (Valid only for


13



Accrual Method 5 periodic coupon) D - Interest compounded on a pure daily on business days basis. (Valid only for Accrual Method 5 periodic coupon)

INT PUR Used in conjuction with accrual methods E, F, 4, 5 and 6 to determine whether interest is purchased or sold. For these accrual methods, the value must be Y or N. Valid Values: Blank – The interest accrual and payment assumptions are based strictly on the accrual method alone, such that a value in this field is not required or applicable. Default. Y – The interest accrual and payment assumptions are such that yes, interest is expected to be purchased or sold on trades having contractual settle dates between payment dates. N – The interest accrual and payment assumptions are such that no, interest is not expected to be purchased or sold on trades having contractual settle dates between payment dates.

MOD PMT Dertermines whether payments/actual settle dates of payments falling on non-business days are modified to a business day or not. Valid Values: Blank – Payment Date Unmodified. For accrual method 4, an initially computed contractual interest payment date falling on a non-business day is left unmodified. For accrual method 6 and select other accrual methods, the actual settle date of an interest payment or maturity transaction either forecasted or to be generated having its contractual settle date fall on a non-business day is left unmodified. F – Payment Date Modified Following. For accrual method 4, an initially computed contractual interest payment date falling on a non-business day is modified to the nearest business day immediately following the non-business day. P – Payment Date Modified Preceding. For accrual method 4, an initially computed contractual interest payment date falling on a non-business day is modified to the nearest business day immediately preceding the non-business day. A – Payment Actual Settle Date Modified Following. For accrual method 6 and select other accrual methods, the actual settle date of an interest payment or maturity transaction either forecasted or to be generated having its contractual settle date fall on a non-business day is modified to the nearest business day immediately following the non-business day.

INTEREST RATE Interest rate for the payable income stream. Used for fixed rate legs only.

ACCRUAL METHOD Accrual method used in the calculation of the payable income stream. See Bond Income Stream.

DAY COUNT Day Count is for additional flexibility and in order to handle different day conventions. Blank – Valid for existing accrual methods. A – For accrual method 7, the interest accrual is calculated based on ACT/ACT. D – For accrual method 7, the interest accrual is calculated based on 30/360.


14



ACCR INCM OPT Accrued income payment option. Determines if income earned on payment date is included in the payment. Valid Values: 0 - Do not include income earned on payment date. 1 - Include income earned on payment date.

OFFSET Used in conjunction with Benchmark Rates Processing. A value in this field overrides the DECAL screen value. Valid Values: Blank – Do not override the calendar set Fixing Date Offset. Default. 00-99 – Override the calendar Fixing Date Offset with this value. For variable/floating rate swaps using a calendar set per their security definitions and relying on benchmark rates processing, the benchmark rate used to derive the swap rate at a given reset date is the rate in effect at the date found by adding this number of business days to the effective date of the benchmark rate entered on the DEBE screen.

BENCHMARK If the payable interest stream is a variable interest tied to a benchmark, the benchmark security is entered here. Must be a valid benchmark security.

SPREAD If a benchmark is used, the number of basis points to add to the benchmark rate to determine the rate of payable income stream. May be positive or negative. Spread is also extended to accrual methods E, F, V and W that do not use benchmark processing.

See Bond Income Stream section below for information on the following fields.

C/C FREQ Rate change cycle for applying new benchmark rates.

INCR Rate change increment for benchmark rates.

MN END Determines if benchmark rate changes occur on month-end. MN END may be flagged to indicate rate changes occur on month ends. A value of “Y” indicates changes occur on month-end.

1ST CHANGE Date of first rate change of benchmark rates.

ANN RATE TYPE Annual rate type for the payable income stream.

CN Security level calendar used with Fixing Date Offset, Modified Payment Processing, and to determine accrual dates for accrual method 5. Valid Values: Blank – A calendar set is not used. Default. Non-Blank – The specified calendar set, which must correspond with a valid calendar set per the Calendar Definition (DECAL) screen, is used in conjunction with Fixing Date Offset, and/or with accrual methods 4 and 5 as well as accrual methods that use Mod Pmt A.

INCOME The amount of sold interest. See PURCH INT and INCOME Fields.

CONFIRM Confirm Flag. Allows a transaction to be flagged as Confirmed or Unconfirmed.

BOND INCOME STREAM – ACCRUAL METHODS, PAYMENT FREQUENCIES, RATE CHANGE FREQUENCIES The definition of the receivable and payable legs correspond to the definition of a bond income stream on BOSB with the limitations specified herein:

Accrual Methods A CPN BOND (ACT/ACT) D CPN BOND (30/360)

Payment Frequencies D DAILY W WEEKLY


15


E FLOATING RATE (30/360) F FLOATING RATE (ACT/ACT) H CPN BOND (ACT/365) Q CPN BOND (30/360 EURO) R CPN BOND (ACT/360) T DISC NOTE (30/360) V VARIABLE RATE (CLOS POS) W VARIABLE RATE (OPEN POS) 4 VAR/FLT/FXD 28 DAYS PMT

CYCLE (based on 360R rate type)

5 VAR/FLT/FXD with optional compounding and annual rate type 252R (252 business day)

6 VAR/FLT/FXD with optional compounding (ACT/360)

7 FIXED ACT/ACT 30/360 8 Actual/365L

M MONTHLY B EVERY TWO MONTHS Q QUARTERLY S TWICE A YEAR A ANNUAL N Non-Regular

Valid (Rate) Change Frequencies

MO A GIVEN MON. OF EACH MONTH D DAILY OR MULTIPLES THEREOF TU A GIVEN TUE. OF EACH MONTH W WEEKLY OR MULTIPLES THEREOF WE A GIVEN WED. OF EACH MONTH M MONTHLY OR MULTIPLES THEREOF TH A GIVEN THU. OF EACH MONTH B BI - MONTHLY OR MULTIPLES THEREOF FR A GIVEN FRI. OF EACH MONTH Q QUARTERLY OR MULTIPLES THEREOF SA A GIVEN SAT. OF EACH MONTH S SEMI - ANNUALLY OR MULT THEREOF SU A GIVEN SUN. OF EACH MONTH A ANNUALLY OR MULTIPLES THEREOF

• Rate change increments (INCR) is a multiple of the defined rate change frequency. Valid

values are 01 – 99. • MN END may be flagged to indicate rate changes occur on month ends. A value of “Y”

indicates changes occur on month-end. • Accrual Methods “E” and “F” do not allow payment date and frequency data. Consistent

with Interest Rate Swaps if these methods are used, the swap securities net populate this data. All payments are triggered by entries added to DECR for these securities.

• Annual rate type is optional for variable accrual rate types, but required for benchmark rates. Valid Values:

360 ANNUAL INT % (360-DAY YR)

365 ANNUAL INT % (365-DAY YR)

360R REAL INT % (360-DAY YR)

365R REAL INT % (365-DAY YR)

360F ALLOCATE 360R METHOD OVER ACTUAL

252r REAL INT % (252 BUSINESS DAY YR)

365L ACTUAL/365L(Floating)

• The spread field will be available for accrual methods (E, F, V and W) that will not have

to utilize benchmark processing.


16


PURCH INT AND INCOME FIELDS • If the PURCH INT field is “N”, the INCOME field must be zero or blank. There will be no

purchased or sold income. • If the PURCH INT flag is “Y” and INCOME fields are left blank, the system calculates the

interest purchased and/or sold upon initial entry of the transaction. The income amount can also be manually entered, overriding the calculated amount. If zero is entered, there is no purchased/sold interest and no cash or currency is received/paid on actual settle date.

• In CHANGE mode when the PURCH INT flag is “Y”, the INCOME amount may be re-calculated by blanking out the field or may be manually changed.

• Only local amounts can be entered. The trade base and settle base amounts are calculated and can be viewed on GLIN.

• The POST ACCR flag must be “Y” for the PURCH INT flag to be “Y”.


17

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW SECURITY DEFINITION GUIDELINES

5 SECURITY DEFINITION GUIDELINES A swap security can be set up on both DECSWO and BOBD/BOSB. Following are guidelines to help add and change the security definition for a swap: • Updates to a swap held in only one account are made to the receivable and payable legs

using OPCS/OPCSX transaction on BOSB and DACSWO. For the receivable and payable legs, fields that effect the security definition are: 1ST Pay, Freq, MM/DD, Int Rate, Accrual Method, etc. Accrual Start Date, Expiration Date, Currency and Country of Risk are also changed on DATRSC and BOBD/BOSB if held by one account.

• For swaps held in multiple accounts, changes are made to the receivable and payable

legs on BOSB but NOT on DECSWO/DACSWO. The receivable or payable leg definitions cannot be changed on DECSWO/DACSWO. Expiration Date, Accrual Start Date, and Country of Risk are changed in BOSB but both legs need to be consistent. These fields cannot be changed on DECSWO/DACSWO if held by multiple accounts.

• Changes to the receivable and payable legs when closing a swap (CLCS/CLCSX) cannot

be made. • If the swap security definition is first set up on BOBD/BOSB and then a transaction is

added to DECSWO, the receivable and payable legs cannot be changed on DECSWO. If held in one account, the user must either enter through to DACSWO and makes changes to the receivable/payable legs or the appropriate changes are made to BOSB.

• A change to any data on DECSWO or DACSWO is invalid in Add or Change mode when:

o Transaction code is open (OPCS/OPCSX). o Transaction code is an open and security is held in multiple accounts.


18


5.1 VALUING A CURRENCY SWAP There are three potential components to a swap's value in a portfolio: • Net value of the accrued income receivable and payable. • Amortized amount of the fee or premium swap is opened with a fee or premium. • Value based on the expected income streams of the swap. The swap nominal par value

is “priced” to represent this value. Note that the swap's value may be positive or negative based on the relative strengths of the receivable vs. payable income streams.

5.2 ACCRUED INCOME ON CURRENCY SWAPS Once a Currency Swap Contract has been opened, the two legs of the contract may start accruing income on the accrual start date. This is only the case if the swap was opened with post accruals option (“Y” in the POST ACCR flag). If the user entered “N” in POST ACCR (do not post accruals), it is assumed that the value of the accrued income is included in the price. All reporting of accrued income for the swap securities shows zero. If the swap does post accruals, the receivable income is accrued in the receivable currency on the qualifier zero (long) position. Payable income is accrued in the payable currency on the qualifier one (short) position. Swap income accruals use existing Investment Accounting (InvestOne) income accrual functionality. The full details of the accrual on each leg is available. Unlike Interest Rate Swaps, there is no view of the net (combined) accrued position. Since the legs of the swap are in different currencies, a net number is meaningless. The separate accrual information for each leg is available using existing online and SPECTRA outputs. Receivable leg accrual data is reported under qualifier zero while payable leg accrual data is reported under qualifier one. Online, the Holdings Definition (VSHO) and Holdings View Local/Base (VSHB) screens show either the receivable or payable leg data based on the qualifier entered. The LONG/SHORT flag is not used for Currency Swaps. As with other securities, the user is allowed to plug the income accrual data on the Holdings Definition (DAHO) screen for either leg of the swap. The user is not allowed to plug an accrued income value if the swap is flagged to not post the accruals. The income accrued is included with income accrued on bond positions for all account level reporting. No separate account level totals are maintained for swap income. It is expected that swap securities are set up with specific segment/categories to identify them as swap positions for reporting; however, this is entirely up to the user. The currency swap using accrual method V and W can use payment frequency of Semi-annual and Annual.


19


5.3 PRICING A CURRENCY SWAP Depending upon the movement in the interest rates used for the legs of the swap, the swap itself may have a value of its own. This value may be either positive or negative. To value the swap position, a price is entered against either the:

• Receivable leg (long position). • Payable leg (short position). • Both legs of the swap.

Note that the price must be expressed in the currency of the leg. The price for the leg is applied to the par value of that leg to determine the present or market value of the leg. Prices for either leg of the currency swap can be entered as a negative or positive value on price entry screens such as DEPR.

Market Value by Swap Leg as a Result of Price Entry

If a: On the Receivable Leg On the Payable Leg Negative Price is Entered Negative Market Value Positive Market Value Positive Price is Entered Positive Market Value Negative Market Value

It is the user's responsibility to enter the price in the correct currency against either the long or short positions to reflect either a positive or negative value for the swap.

PRICING BOTH LEGS If each leg of the swap is priced, prices entered are applied to the par values of the legs giving the present value of the leg in that leg's currency. To determine the value of the swap to the fund, these local values must be converted to the fund's base currency and the two base currency values netted together.

PRICING ONE LEG To support Pricing of only one leg, Pricing allows a price of zero to be entered and stored for an Interest Rate Swap security. This is required to avoid accidentally rolling forward an obsolete price during Stale Pricing (this would only be a problem if the swap is “flipping” between positive and negative market values). Currency Swaps utilize this same functionality. It should be noted that a swap may have no market value. In that case, the price for both securities is zero. Pricing Exception Reporting only returns missing price exceptions for swap securities when both legs have a zero price. If either leg of the swap is priced, no exception occurs. Overall, the pricing exception criteria match the criteria used for Interest Rate Swaps. In most cases, Bond Pricing (Price Code B, price per 100 par value) is used. However, Price Codes “S” (stock-like) and “U” (price per 1000 par value) is also allowed for Currency Swaps. In addition, the user has the ability to plug the market value of either the receivable position or payable position on DAHO. As stated in the Accrued Income section of this document, the user can define the swap to post or not post accruals. It is the user's responsibility to ensure the correct type of price is used. • When accruals are posted, the values of the receivable and payable income accruals are

included in the valuation of the account. In this case, the price(s) used to value the account does not include the value of the accrual and a “clean” price is used.


20


• When the accruals are not posted, the value of the accrued income is included in the price(s) used to value the swap and a “dirty” price is used.

As stated earlier, the ability to value both legs of the security is supported. This is accomplished by either applying a price or plugging a market value for both of the securities. The user can price both, plug both, or price one and plug the other. The market value of the swap is the net of the market values of the two securities. However, the “net” value for the swap is not reported, since the securities are valued in different currencies.

5.4 EXCHANGE GAIN/LOSS ON CURRENCY SWAPS At the close of a swap agreement, the currency balances may be exchanged. Generally, the currency balances at the open of the agreement are of equal value. During the term of the agreement, it is likely the relative values of the currencies change. Investment Accounting (InvestOne) does not attempt to calculate the value of the forward currency balances. The value of the gain or loss on the currency balances to be exchanged at the close is included in the prices used to value the swap. No additional unrealized exchange gain/loss is calculated.

5.5 PAYMENTS/RECEIPTS FOR A CURRENCY SWAP Specific transaction codes support the payment and receipt of interest from the legs of the swap. In addition, adjustment transaction codes allow manual adjustments to the generated swap income transactions. The same transaction codes used for Interest Rate Swaps are used for Currency Swaps. Transaction editing allows these codes on both “IW” and “CW” Asset Groups. The Transaction/GNMA Generator generates these transactions for Currency Swaps. The generation of these income payments and receipts are identical to the processing performed for Interest Rate Swaps. Pending Trade (Repair Station) processing does not support these transaction codes. It should be noted that whether or not the swap posts accruals, there is no impact on the calculation or generation of the income transactions. The transactions are generated on the appropriate payment dates. If dirty pricing is used, the price should drop on the payment date since the value of the accrued income is no longer included. It is the user's responsibility to ensure the accrual is no longer included in the price. The System does not attempt to validate the Pricing of the swap. The swaps can be flagged to update gain/loss rather than income when the interest payments are made. When this option, the interest payments update realized gain/loss on securities in place of income. This option can be chosen only if the swap does not post accruals. The existing swap interest transactions support applying the payments to realized gain/loss or income. If the swap is flagged to apply the payments to gain/loss rather than income, the principal fields of the transactions are used. The income fields on the transactions are zero. Values in the principal fields are applied to realized gain/loss. If the swap is flagged to apply the payments to income, the income fields on the transactions are used and the principal fields are zero. Withholding and reclaim transactions are not generated for income from a swap.


21

SYSTEM MANUAL - SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW EXPIRATION OF A CURRENCY SWAP

6 EXPIRATION OF A CURRENCY SWAP When a swap agreement is defined, the term of the swap (also known as tenor) is also defined. On Investment Accounting (InvestOne), the user defines the term of the swap by entering the swap's maturity date. A swap may stay open until expiration (maturity date) or may be closed early. When the swap stays open until expiration, the final interest payment for each leg is made on the maturity date. Based on the closing transaction code, the par values of each leg may be exchanged. The swap has no value and does not accrue income past the maturity date. Because Partial Closes of swaps are allowed the user may close a swap prior to the scheduled expiration date. The user defines the par value to be closed for each leg. Based on the closing transaction code used, these par currency values may be exchanged. When a swap is closed early, there is often a fee or premium (although not required) associated with the close. To close a Currency Swap before expiration, the DECSWC/DACSWC screens are used. The Account Number, Security Number, the CLCS or CLCSX transaction code, Effective Date and both the receivable and payable par values to be closed are entered. The amounts of the currencies closed cannot exceed the notional principal balances of the positions. That is, the par receivable and payable par values on the close transaction cannot be greater than the par values of the receivable and payable holdings for the swap. In addition, although the currencies do not need to be taken down proportionally with their opening values, neither leg can be taken down to zero if a balance still exists for the other leg. A warning is issued if the closing transaction does not match the closing exchange option specified when the swap was opened. Like the opening transactions, closing transactions are copied to the qualified security to close the payable position. The copied transaction receives its own memo number. The transaction is flagged as a generated “second leg” transaction. The generated transaction cannot be accessed directly. Rather, any change to the swap close is made on the original transaction. All changes are applied to the generated transaction by the System. As with Interest Rate Swaps, Currency Swaps use different transaction codes for the close of the payable leg. These transaction codes are used on the generated payable leg transactions and cannot be entered. These transaction codes are not readily apparent to the user and are created to support the accounting effects of the short positions. The user is allowed to add an amount in the FEE/PREMIUM fields. The fee or premium may be entered against either leg of the swap. Only one fee or premium is allowed on the transaction. The value of any fee or premium is applied to the account as realized gain/loss. Swap closing transactions pay the value of any interest due on the closed portion of the positions. These interest amounts are calculated and added to the transactions whether or not the swap posts accruals. Investment Accounting (InvestOne) calculates the interest payment for each leg of the swap. Much like a SELL on a bond position, the respective CLCS / CLCSX transactions are updated with the interest amounts. The two interest amounts are displayed on the DACSWC/VSCSWC screen. Note however, that each transaction stores the interest for its leg of the swap. These amounts are updateable by manually entering a value in one or both legs to override the calculated value. User override can also be entered as zero. This amount is re-calculated by blanking out the value in one or both legs.


22


Additionally, if an adjustment needs to be made to the amount of interest when a swap is closed, the user can enter interest adjustment (SWIN+ or SWIN-) transactions. If the swap posts interest to gain/loss rather than income, the values are still calculated by the System. However, the values are applied to realized gain/loss not income. Like Swap Interest transactions, the Currency Swap close transactions support applying the final interest payment to either income or gain/loss, depending upon the swap security definition. If the swap applies to income, the income field of the transaction is used. If the swap applies payments to gain/loss, the principal field of the transaction is used. The value of the final payment is maintained separate from any fee or premium included on the closing transaction. If the swap has not been closed early, at expiration the Transaction/GNMA Generator generates a closing transaction (CLCS/CLCSX) much the way it generates a maturity transaction for a bond. It generates either a CLCS or CLCSX transaction based on the closing exchange flag on the swap position. It generates a closing transaction for each leg of the swap. The closing transaction for the receivable leg is flagged as a normal generated (“G”) transaction. A memo number is created for the transaction. For the payable leg, the transaction is flagged as a generated second leg (“W”) transaction. As is the case with the Currency Swap Open transactions, if close transactions are closed with exchange, they generate swap currency up and down transactions to move the par values. The movement of the currencies are “washed” through the Swap Suspense Account. If either of the currencies exchanged are the base currency of the account, that value is used as the swap suspense value for both legs of the close. If not, the notional base cost of the receivable leg is relieved proportional to the local currency relieved and that value is used for the suspense movement. The difference between that value and the current value of the currency is applied to realized exchange gain/loss. Additional currency transactions are generated for any fee/premium and the interest paid/received. These are the typical CUP and CDN transaction codes. The Swap Currency up and Swap Currency down transactions only include the par values exchanged. As is the case when a bond is sold, for UK Unit Trusts and OEICs if the interest is applied as income, the income is on a separate currency transaction generated to update income currency. For all other types of accounts, the income is included on the same currency transaction as the par value.

Where Advisor Accounting and/or Relief by Strategy Taxlot processing applies, only those swap taxlots which are assigned to the advisor or strategy code specified on the close transaction are considered for relief. Where Relief by Strategy Taxlot processing applies, if the wildcard strategy code (ZZZZ) is specified on the closing transaction, all taxlots for the specified swap are considered eligible for relief. When processing closing transactions for the swap, each leg is treated independently. The system displays short of available message in case one or both of the legs have insufficient shares and closing entry is processed against the swap.

On expiration of a swap contract, Investment Accounting (InvestOne) automatically generates an appropriate close transaction (or transactions). In a case where there are multiple taxlots held at the time the expiration transaction(s) is generated, one swap close transaction is generated for each leg, equal to the sum of the taxlots. Where Advisor Accounting is in use, there is a single close transaction for each leg and the close transactions includes the wildcard Advisor code (“**”).


23


An exception to the above statement exists where the account uses the Relief by Strategy option. In this case, there is one close transaction for each strategy on each leg, equal to the sum of the taxlots assigned to the strategy. The close transaction for each strategy includes the strategy code.


24

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW CURRENCY SWAP CLOSE TRANSACTION ENTRY: DECSWC

7 CURRENCY SWAP CLOSE TRANSACTION ENTRY: DECSWC The DECSWS Screen allows the entry of Currency Swap closing transactions. Change (DACSWC), View (VSCSWC), and Delete (DDCSWC) modes are supported. Valid transaction codes for this screen are CLCS, RBCLCS, CLCSX and RBCLCX.

CONSTRAINTS 1. Only Currency Swap Close (CLCS) and Currency Swap Close with Exchange (CLCSX)

transactions are allowed. 2. The par values entered must be equal to or less than the outstanding balances of the

swap. If one leg of the swap is completely closed, the other leg must be closed as well. 3. Only one FEE/PREMIUM may be entered on a close transaction. It can be entered for

either the receivable or payable currency. 4. A warning is issued if Close with exchange (CLCSX) is used for a swap opened with

closing exchange “N”, or if Close without exchange (CLCS) is used for a swap opened with closing exchange “Y”.

5. Earnings are calculated through the Contractual Settlement Date. They are posted to the account using the Effective Date exchange rate. This is consistent with the current functionality for bonds, as is the case for both earnings posted to income and earnings posted to realized gain/loss.

6. Earnings may be manually entered in one or both legs in EARNINGS field to override the calculated amount. A value of zero may be entered. This amount may be re-calculated by blanking out the field.

7. Active transactions cannot move to Pending file.

DECSWC Screen NEXT DECSWC MODE ADD FDMP464 * * CURRENCY SWAP CLOSE ENTRY * * ACCOUNT NUMBER.... SECURITY NUMBER... DESC..... EFFECTIVE DATE.... TRAN CODE.............. EXT ID. SIDE POCKET….. STRATEGY/DEAL. TRADE DATE........ CONTRACTUAL SETTLE DATE..... ADVISOR BROKER CLR ACTUAL SETTLE DATE.......... RECEIVABLE LEG.... CURR.. FEE/PREMIUM... EARNINGS........ PAYABLE LEG....... CURR.. FEE/PREMIUM... EARNINGS........ CONFIRM..... SWP=>


25


Field Description. Fields Shaded Gray are Required. ACCOUNT NUMBER Account number for the transaction. System displays the

account short name. SECURITY NUMBER Security number used to identify the swap. Must be a valid

Currency Swap security. SECURITY DATE A date may be included as part of the security number to

distinguish it from any security which many have the same security number; format: MM DD YYYY.

INTENT The IFRS Intent Code used for IFRS accounting. It applies to both legs of the swap. Valid Values: A or blank: Available For Sale F: Held for Trading See Section 5.1201 of the System Manual, IFRS Investment Intent on Transactions, for further information on IFRS accounting.

EFFECTIVE DATE Effective Date. The date the accounting effects of the transaction begin.

TRAN CODE Transaction code. Valid transaction codes: CLCS Close Currency Swap RBCLCS Rebook of Close Currency Swap CLCSX Close Currency Swap with Exchange RBCLCX Rebook of Close Currency Swap with Exchange

ACTION This flag determines to which file the transaction is applied: A - Apply to the active transaction (“TS”) file. H - Apply to the pending transaction (“T2”) file. NOTE: This field appears only on DACSWC.

SRCE Displays the file where the transaction was last updated: A - Transaction is on active (“TS”) file. H - Transaction is on pending (“T2”) file. NOTE: This fields appears only on DACSWC and VSCSWC.

EXT ID External ID. Used to cross reference the transaction with other systems.

SIDE POCKET Four digit code which identifies Side Pocket for the transaction. Valid entries include any four digit code which has been previously defined in the Side Pocket Definition (MDSP) screen. See Section 5.5000 Hedge Fund

STRATEGY/DEAL STRAT is a six-character code which identifies the Strategy for this transaction. Valid entries include any six-character code which has been previously defined in the Strategy Code (MDSTC) screen. DEAL is any six alphanumeric character code which identifies the DEAL for this transaction. If DEAL is entered, STRAT is also required to be entered. See Section 5.5000 Hedge Fund Processing for further information.

The Trade Date must be earlier or equal to the Effective Date. The Contractual and Actual Settlement Dates must be equal to or later than the Effective Date. TRADE DATE Date that the swap agreement close was reached.

Default: Effective Date. CONTRACTUAL SETTLEMENT DATE

Must be equal or greater than the Effective Date. Default: Effective Date.


26


Field Description. Fields Shaded Gray are Required. ADVISOR Advisor Code. Code of the fund manager responsible for the

trade as defined on MDADV. BROKER Trade Broker. Broker number defined for the broker/dealer

through whom the transaction took place as defined on MDBR. CLR Clearing Broker. Broker number defined for the broker/dealer

through whom the transaction was cleared as defined on MDBR ACTUAL SETTLEMENT DATE

Must be equal or greater than the Effective Date. Default: Effective Date.

RECEIVABLE LEG Receivable par value to be closed by this transaction. Currency of the receivable leg is displayed.

FEE/PREMIUM Flag used to indicate if amount entered is a fee or premium. Required only if an amount is entered. FEE/PREMIUM can be “F”, “P”, or Blank. If it is “F” or “P”, AMOUNT is required. If it is Blank, the amount must be zero. Valid Values: F - Fee P - Premium

AMOUNT Amount of fee or premium in the receivable currency (optional). EARNINGS Value of the receivable income included on the transaction.

Value is System calculated and/or enteredby the user. PAYABLE LEG Payable par value to be closed by this transaction. Currency of

the payable leg is displayed. FEE/PREMIUM Flag used to indicate if amount entered is a fee or premium.

Required only if an amount is entered. FEE/PREMIUM can be “F”, “P”, or blank. If it is “F” or “P”, AMOUNT is required. If it is blank, the amount must be zero. Valid Values: F - Fee P - Premium

AMOUNT Amount of fee or premium in the payable currency (optional). EARNINGS Value of the payable income included on the transaction. Value

is System calculated and/or enteredby the user. CONFIRM Confirm flag. Allows a transaction to be flagged as Confirmed or

unconfirmed.


27

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW HOLDINGS DEFINITION: VSHO/HOLDINGS VIEW: VSVB

8 HOLDINGS DEFINITION: VSHO / HOLDINGS VIEW: VSVB There is no consolidated reporting of Currency Swaps on VSHO and VSVB. The long (receivable) position is shown under qualifier zero. The short (payable) position is shown under qualifier one. If the Swap Suspense Account is not zero for the period, a warning is issued on GLSTAS, GLEQ, and OEEQ.


28

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW TRANSACTION PROCESSING CODES

9 TRANSACTION PROCESSING CODES FOR CURRENCY SWAPS Currency Swaps (Asset Group CW): Accounting Effects Tran Code Description Inc Prin Share Cost Class CUPSW Increase Currency Position Swaps N N + + MAU CDNSW Decrease Currency Position Swaps N N - - MAD CLCS Close Currency Swap without exchange – Long Position + + - - CLCR CLCSP Close Currency Swap without exchange – Short Position - - + + CLCP CLCSX Close Currency Swap with exchange – Long Position + + - - CCSR CLCSXP Close Currency Swap with exchange – Short Position - - + + CCSP MISCDI Miscellaneous Disbursement (Decrease Income) - N N N MISD MISCDS Miscellaneous Disbursement (Increase Expense) - N N N MIS- MISCRE Miscellaneous Receipt (Increase Income) + N N N MIS+ OPCS Open Currency Swap without exchange – Long Position - - + + OPCR OPCSP Open Currency Swap without exchange – Short Position + + - - OPCP OPCSX Open Currency Swap with exchange – Long Position - - + + OCSR OPCSXP Open Currency Swap with exchange – Short Position + + - - OCSP RBCLCS Rebook of Close Currency Swap without exchange – Long Position + + - - CLCR RBCLCP Rebook of Close Currency Swap without exchange – Short Position - - + + CLCP RBCLCX Rebook of Close Currency Swap with exchange – Long Position + + - - CCSR RBCLXP Rebook of Close Currency Swap with exchange – Short Position - - + + CCSP RBOPCS Rebook of Open Currency Swap without exchange – Long Position - - + + OPCR RBOCSP Rebook of Open Currency Swap without exchange – Short Position + + - - OPCP RBOCSX Rebook of Open Currency Swap with exchange – Long Position - - + + OCSR RBOCXP Rebook of Open Currency Swap with exchange – Short Position + + - - OCSP RBRGAN Rebook of Realized Gain N + N N RGAN RBRLOS Rebook of Realized Loss N - N N RLOS RBSWNR Rebook of Swap Interest Collected – Long Position + N N N SWIN RBSWR+ Rebook of Swap Interest Collected Adjustment Up – Long Position + N N N SWIN RBSWR- Rebook of Swap Interest Collected Adjustment Down – Long Position - N N N SWIN RCLCS Reversal of Close Currency Swap without exchange – Long Position - - + + CLCR RCLCSP Reversal of Close Currency Swap without exchange – Short Position + + - - CLCP RCLCSX Reversal of Close Currency Swap with exchange – Long Position - - + + CCSR RCLCXP Reversal of Close Currency Swap with exchange – Short Position + + - - CCSP RGAIN Realized Gain N + N N RGAN RGAIN- Realized Gain Adjustment N - N N RGAN RLOSS Realized Loss N - N N RLOS RLOSS- Realized Loss Adjustment N + N N RLOS ROPCS Reversal of Open Currency Swap without exchange – Long Position + + - - OPCR ROPCSP Reversal of Open Currency Swap without exchange – Short Position - - + + OPCP ROPCSX Reversal of Open Currency Swap with exchange – Long Position + + - - OC ROCSXP Reversal of Open Currency Swap with exchange – Short Position - - + + OCSP RRGAIN Reversal of Realized Gain N - N N RGAN RRLOSS Reversal of Realized Loss N + N N RLOS RSWNRC Reversal of Swap Interest Collected – Long Position - N N N SWIN RSWNR+ Reversal of Swap Interest Collected Adjustment Up – Long Position - N N N SWIN RSWNR- Reversal of Swap Interest Collected Adjustment Down – Long Position + N N N SWIN SWINRC Swap Interest Collected – Long Position + N N N SWIN SWINR+ Swap Interest Collected Adjustment Up – Long Position + N N N SWIN SWINR- Swap Interest Collected Adjustment Down – Long Position - N N N SWIN SWINPD Swap Interest Paid - Short Position - N N N SWIO


29

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW TRANSACTION PROCESSING CODES

Currency Swaps (Asset Group CW): Accounting Effects Tran Code Description Inc Prin Share Cost Class SWINP+ Swap Interest Paid Adjustment Up – Short Position - N N N SWIO SWINP- Swap Interest Paid Adjustment Down – Short Position + N N N SWIO TXLSTC Taxlot Strategy Adjustment N TXST

* RGAIN and RLOSS transactions are allowed to be posted against Currency Swaps. The transaction code posts to a specified leg, as both receivable and payable legs are valid options. There is no difference in the transaction effects generated as a result of entering these transaction codes against one leg or the other. TXLSTC has no accounting effects. This code allows the user to change strategy codes on a taxlot as of a specific point in time (effective date). The only field available to this code is STRATEGY and is entered on DEXA.


30

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW GENERAL LEDGER ENTRIES

10 GENERAL LEDGER ENTRIES FOR CURRENCY SWAPS: ASSET GROUP CW

*Transaction codes generated by the system.

On Effective Date On Actual Settle Date

Tran Code Description Debit Entry Credit Entry Debit Entry Credit Entry

CLCS Close Currency Swap without exchange (Long Position)

Securities Sold Receivable Other Receivables

Other Payables Realized Gain/Loss

Currency Allowance Other Payables

Income Securities Sold Receivable Other Receivables

*CLCSP Close Currency Swap without exchange (Short Position)


Realized Gain/Loss Other Payables

Income Other Payables

Currency Allowance Securities Sold Receivable Other Receivables Realized Exchange Gain/Loss

CLCSX Close Currency Swap with exchange (Long Position)


Other Payables Swap Suspense Realized Gain/Loss

Other Payables Currency Allowance

Income Securities Sold Receivable Other Receivable Realized Gain/Loss

*CLCSXP Close Currency Swap with exchange (Short Position)

Securities Sold Receivable Swap Suspense Other Receivables


Income Other Payables Realized Exchange Gain/Loss

Securities Sold Receivables Other Receivables Currency Allowance

MISCD Miscellaneous Disbursement (Decrease Income)

Income/Expense Classification

Other Payables

Other Payables

Cash


31





MISCDS Miscellaneous Disbursement (Decrease Income)


Other Payables

Other Payables Cash

MISCRE Miscellaneous Disbursement (Decrease Income)

Other Receivables


Cash Other Receivables

OPCS Open Currency Swap without exchange (Long Position)

Income Currency Allowance

*OPCSP Open Currency Swap without exchange (Short Position)

Currency Allowance Income

OPCSX Open Currency Swap with exchange (Long Position)

Swap Suspense Other Receivable

Other Payables

Other Payables Income

Swap Suspense Other Receivables Currency Allowance

*OPCSXP Open Currency Swap with exchange (Short Position)

Other Payables Swap Suspense Other Receivables

Swap Suspense Currency Allowance Other Receivables

Other Payables Income

*RBCLCP Close Currency Swap without exchange (Short Position)




Currency Allowance Securities Sold Receivable Other Receivables Realized Exchange Gain/Loss


32





RBCLCS Close Currency Swap without exchange (Long Position)





RBCLCX Close Currency Swap with exchange (Long Position)





*RBCLXP Close Currency Swap with exchange (Short Position)





RBOPCS Open Currency Swap without exchange (Long Position) * This open has no General Ledger effects.

*RBOCSP Open Currency Swap without exchange (Short Position) *This open has no General Ledger effects.

RBOCSX Open Currency Swap with exchange (Long Position)

Swap Suspense Other Payables

Other Payables Swap Suspense

*RBOCXP Open Currency Swap with exchange (Short Position)

Other Receivables Swap Suspense

Swap Suspense Other Receivables


33





RCLCS Close Currency Swap without exchange (Long Position)





*RCLCSP Close Currency Swap without exchange (Short Position)



Currency Allowance Securities Sold Receivable Other Receivables Realized Exchange Gain/ Loss


RCLCSX Close Currency Swap with exchange (Long Position)





*RCLCXP Close Currency Swap with exchange (Short Position)





ROPCS Open Currency Swap without exchange (Long Position) * This open has no General Ledger effects.


34





*ROPCSP Open Currency Swap without exchange (Short Position) *This open has no General Ledger effects.

ROPCSX Open Currency Swap with exchange (Long Position)

Other Payables

Swap Suspense

Swap Suspense

Other Payables

*ROCSXP

Open Currency Swap with exchange (Short Position)

Swap Suspense

Other Receivables

Other Receivables

Swap Suspense

CUPSW Swap Currency Up Currency At Value Currency Allowance

CDNSW Swap Currency Down Currency Allowance Currency At Value

• The Close General Ledger Effects reflect a close with a premium. A fee debits Realized Gain/Loss and credits Securities

Purchased Payable. • The securities are posting earnings to income rather than gain/loss. General Ledger effects are different when this option is

chosen. • Use the GLINL Screen to view Interest Rate Swap General Ledger effects (only if there is an “R” (Receivable) or “P”

(Payable) in the OPTIONS field).


35

SYSTEM MANUAL – SECTION 5.372 – CURRENCY SWAPS: ASSET GROUP CW REPORTING AND MESSAGING

11 REPORTING AND MESSAGING

11.1 BATCH REPORTING Currency Swap activity is reflected in various transactions and security related reports, plus the following swap reports:

UNREALIZED GAIN/LOSS (R148) A batch report that shows the unrealized gain/loss of all the swaps

outstanding for an account as of a specific valuation date.

CLOSED SWAPS (R149) A batch report that shows all swaps closed within the reporting period.

CURRENCY SWAP A batch report that shows the value of all the Currency

OUTSTANDING (R121) Swaps outstanding for an account as of a specific date.

These reports and their request options are described in detail in Section 3. A warning message is issued on R121 if the number of taxlots between the receivable and payable legs do not match on a Currency Swap.

11.2 MESSAGING Swaps can be messaged in through Transaction Messaging. See Software Developer’s Kit for further information including information specific to swaps in general and Currency Swaps in particular.

11.3 SPECTRA Fund Trend Analysis and Security Distribution include data items specific to swaps. See Spectra Data Items for further information.


37

5.372 Currency Swapsdocs.sungard.com/InvestOne/140Doc/System_Manual/... · Over-the-Counter...

Documents

Transcript of 5.372 Currency Swapsdocs.sungard.com/InvestOne/140Doc/System_Manual/... · Over-the-Counter...