Defining Instrument Details

Page Name	Definition Name	Usage
Instrument Detail Page	INSTR_DETAIL_TR	Enter the specifics for an instrument. This page differs for each instrument base type.
Instrument Extra Attributes Page	INSTR_ADHOC_ATR	Assign extra notational attributes to your instrument.
Notes	INSTR_NOTES_PNL	Enter detailed notes to describe the function of the instrument being created. See the Instrument Detail Page for more information.
Delivery Schedule Page	INSTR_FUTURE_SP	Capture data that is specific to a particular futures contract.
Help page for IAS Accounting	INSTR_ACCTG_SP	Determine the accounting treatment for the instrument based on factors related to hedging, the length of time benefits that will be acquired, its inclusion in a portfolio, and so forth. See the Instrument Detail Page for more information.

Field or Control	Description
Accounting Treatment	Select a default accounting treatment for deals created from this instrument. You can modify this setting at the deal level. Values are: Available for Sale: Select if the deal can be sold before its maturity date. Held to Maturity: Select if the deal is held until its maturity date. Loans and Receivables: Select if the instrument is a loan granted by the enterprise's treasury. Other: Select if the deal requires an alternative accounting treatment, such as IAS 39 or FAS 133 hedge accounting or other nonstandard accounting. Trading: Select if the deal is actively trading and is likely to be sold before its maturity date. This field is primarily for audit purposes—the specified value does not affect the processing. The system processes accounting for an accounting treatment using templates assigned to events on the Accounting Templates page. This means that if you assign the same templates to accounting events on different accounting treatments, the system processes the treatments exactly alike. See Accounting Treatments for Complying with IAS 39.
Copy from existing instrument	Click to copy details and accounting templates from another instrument to the current instrument viewable in the Details region. If a base type has already been chosen for the existing detail line, then the instrument that you choose here is added in additional lines on the detail of the new instrument. If you have not chosen a base type for the existing line on the main page, then the instrument that is copied from is updated on the existing line. This feature is particularly useful for creating complex instruments (for example, adding a option to a bond instrument).
Allow Deal Roll or Swap	Select to indicate that deals that you create using this instrument can be rolled forward or used in a swap.
Allow Fixed Rate Change	If selected, fixed rate deals that you create using this instrument can have the rate modified. In addition, if you create an interest rate swap instrument and leave this check box deselected, the Reset Rate Set check box on the Reset Rates page is disabled for any deals created from this instrument. You cannot change the established fixed rate for these swap deals. See Processing Reset Rates.
Amort Method (amortization method)	Select the method for amortizing the principal to zero or an end principal: Constant Payment: Mortgage-style amortization, where the periodic payments are the same: part principal and part interest. If the principal is paid down early, then the payment still stays the same, however the term is shortened. Constant Term: Mortgage-style amortization, where the periodic payments are the same: part principal and part interest. If the principal is paid down early, then the term still stays the same, however, the payment amount each period is lessened for the rest of the term. Factored: Amortization and accretion factors are applied to the principal, and the principal is adjusted by that percentage. Non Amortizing: The principal is not amortized throughout the life of the deal. Fixed Paydown: The principal changes for the term at a fixed percentage every period or by a fixed amount. The fixed paydown option is available only for IR Swap deals.
Approval Required	Select if this instrument requires management approval before contract closure with the counterparty.
Business Day Convention	For the purposes of calculating interest, a business day convention is used for establishing the beginning and end of interest periods. The options are: Following: If the date of interest period begins or ends on a weekend day or a holiday, then the first business day following the date is used. Modified Following: The same as Following, with the exception that if the date falls on the end of the month, then the last business day of the month is used. For example, if the end of the period falls on a Saturday and it is the end of the month, then the previous Friday is used. Previous: If the date of interest period begins or ends on a weekend day or a holiday, then the last business day before the date is used. Modified Previous: The same as Previous, with the exception that if the previous day falls on the end of the previous calendar month, then the first business day of the current month is used.
Commercial Paper Issue	Select when creating IRP (Interest Rate Physical) instruments that will use a commercial paper issue facility. See Understanding Commercial Paper and Line of Credit Facilities. Important! If you select both the Drawn Line of Credit check box and the Commercial Paper Issue check box in the Other Instrument Attributes on the Define Instrument, Instrument Detail page and the Define Instrument Templates page when you save the page an error message will appear stating that an instrument cannot be defined for both Line of Credit and Commercial Paper. You can select only one of these check boxes when defining an instrument.
Confirm Field Validation ID	If you intend to use automated inbound confirmations, enter the confirmation field validation.
Currency	You can create instruments with predefined currency values. This is useful if you enter into many similar foreign exchange deals—for example, if you buy Japanese Yen and sell United States dollars—you can create an instrument with predefined values to reduce data entry. Any currency values that you specify at the instrument level can be overwritten at the deal level.
Day Count Basis	Select a day count basis. Values are: 30/360: Assumes that a year consists of 12 months with an equal length of 30 days. A special rule applies when dealing with the end of a month. 30E/360: Assumes that a year consists of 12 months with an equal length of 30 days. Also known as Euro 30/360. Note: The difference between the 30/360 calculation and the 30E/360 calculation occurs when a period ends on the 31st but did not start on the 30th or 31st. In this case, the 30/360 calculation uses the 31st day as equal to 31, while the 30E/360 calculation uses the 31st day as equal to 30. For example, using the 30/360 calculation, the period starting December 1 and ending December 31 contains 30 days. Using the 30E/360 calculation, however, the same December time period contains only 29 days. Actual/360: Assumes that a year consists of 360 days, but the months are counted as actual calendar days. Actual/365: Assumes that a year consists of 365 days, but the months are counted as actual calendar days. Actual/Actual: Assumes that the number of days between two dates is the actual number of calendar days.
Day Counted Interest	Select to have the system use the actual number of days between interest dates to calculate interest payments.
Drawn on Line of Credit	Select when creating IRP (Interest Rate Physical) instruments that will draw on a line of credit facility. Important! If you select both the Drawn Line of Credit check box and the Commercial Paper Issue check box in the Other Instrument Attributes on the Define Instrument, Instrument Detail page and Define Instrument Templates page, when you save the page an error message will appear stating that an instrument cannot be defined for both Line of Credit and Commercial Paper. You can select only one of these check boxes when defining an instrument. See Establishing Line of Credit and Commercial Paper Facilities.
Ex-Interest Rule	Defines how the instrument is traded with or without interest and how interest is calculated for the instrument. Applies to commodities or equities traded in the middle of the period. The options are: 1 Calendar Month Before 10 Business Days Before 10 Calendar Days Before 30 Calendar Days Before 5 Business Days Before 7 Business Days Before 7 Calendar Days Before Does Not Trade Ex-Interest Does Trade Ex-Interest
Extra Attributes	Click to access the Extra Attributes page used to define additional instrument features.
First Coupon Period	You must select a value for this field if you selected the Same Interest for each Period option. Define the term for the first interest payment. The options are: Long First Coupon Period: If, based on the payment scheduling, the first coupon due date arrives before a full payment period has elapsed, the payment is held until the next coupon due date and combined with the payment due for that full period. For example, if the payments are scheduled for the end of each month, and the deal is executed in the middle of the month, the first coupon is due at the end of the following month. Thus creating a long first coupon period of 1 1/2 months. Normal First Coupon Period: The coupon period commences on the day that the deal is executed, and the first payment is due at the end of one full period. Short First Coupon Period: If, based on the payment scheduling, the first coupon due date arrives before a full payment period has elapsed, the initial payment is made regardless. For example, if the payments are scheduled for the end of each month, and the deal is executed in the middle of the month, the first coupon is paid after only a half of a normal coupon period has elapsed.
Rate Type	Indicate whether the interest rate for this instrument is fixed or floating. If the rate is fixed, enter a value in the Rate field. If it's floating, enter a value in the Reset Index field.
Hedging Information	Select from the options listed below if you use your instrument in a hedge accounting relationship: Can be a Hedged item Contains Embedded Derivative Is a Derivative Nonderivative Foreign Currency
Index Margin	For interest calculations, the index margin is the value added to the reset index, or the value by which the reset index is multiplied. Use the Margin Operator field to specify whether the interest calculation involves adding or multiplication of the index margin value.
Interest Calculation	Select an interest calculation from the Interest Date and Calculations region: Same Interest each Period: The system uses a fixed amount to calculate interest payments, regardless of the number of days between interest dates. Select options from the First Coupon and Last Coupon fields. Day Counted Interest: The system uses the actual number of days between interest dates to calculate interest payments. Select an option from the Interest Dates field.
Interest Calculation	Select the method in the IRP or IR Swap Details region to use to calculate interest: Discount to Yield: Refers to discount securities that are quoted using a money market yield. This method uses the rate to derive the settlement amount. The difference between the settlement amount and the par amount is the interest. Interest Bearing: Refers to interest-bearing instruments. This method calculates interest for each period and pays interest on each period end date. Straight Discount: Refers to money market instruments that are quoted on a straight discount or discount rate basis. This method uses the rate to calculate a discount amount, and then subtracts this amount from the par amount to obtain the purchase price or settlement amount.
Interest Date Rule	Select an interest date rule used to define how interest is calculated and when payments will be paid. Depending on the values that you select in this list, complete the related fields. Values are: No Interest Date Rule: No predefined calculation for determining interest. Backwards from Maturity Date: Interest is calculated starting from the maturity date backwards toward the issue date. Used for instruments such as treasury bonds that have a final maturity date after which no further interest is accrued. End of Month: Select to indicate that interest payments will be paid at the end of each month. Enter a numeric equivalent in the Coupon Month field for the first month that interest will be paid. Forwards from Issue Date: Interest is calculated beginning from the issue date and going forward to the maturity date. Nth Weekday: Enter a week and day for which the interest period will end. For example, select Nth Weekday, Third in the Nth Week field, and Friday in the Weekday field to designate that the end of the interest period will always fall on the third Friday of every month. Override Month and Day: Select this value and enter a month and day to designate when the interest period ends. For example, enter 10 in the Coupon Month field and 23 in the Coupon Day field to indicate that the interest period ends on the 23rd day of every month beginning with the month of October.
Interest Dates	Select from these values: Use Actual Interest Dates: The actual interest dates (the interest dates after adjusting for nonbusiness days and weekends) determine the amount of the interest payment. Use Nominal Dates: The nominal interest dates (the interest dates before adjusting for nonbusiness days and weekends) determine the amount of the interest payment.
Interest Frequency	Select an interval that reflects the cash flow frequency for the deal. Values are Annual, At Maturity, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, and Weekly. In the Compounds field, define how frequently this interest interval compounds. Values are Annual, At Maturity, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, and Weekly.
Is a Commercial Paper Issue	Select if the instrument is a commercial paper facility. See Establishing a Commercial Paper Facility.
Is a Repo (repurchase)	Select to indicate that deals created using this instrument are available for use in a repurchase agreement.
Issuer and Guarantor	Enter the issuer of the security and the entity that backs up the issued security. These fields are required only if the following conditions are met: The selected instrument base type is Interest Rate Physical. The value in the Debt/Investment field on the Instrument Detail page is Investment.
Last Coupon Period	You must select a value for this field if you selected the Same Interest for each Period option. Define the term for the last interest payment. The options are: Long Last Coupon Period: If, based on the payment scheduling, the maturity date arrives before a full payment period has elapsed, the final full coupon period is combined with the remaining partial period. For example, if the payments are scheduled for the end of each month, and the deal matures in the middle of a month, a long last coupon period of 1 1/2 months is created. Normal Last Coupon Period: The coupon period commences on the day the deal is executed, and the first payment is due at the end of one full period. Short Last Coupon Period: If, based on the payment scheduling, the deal maturity date arrives before a full payment period has elapsed, the final payment is made based on the length of the partial period. For example, if the payments are scheduled for the end of each month, and the deal matures in the middle of the month, the last coupon is paid after only a half of a normal coupon period has elapsed.
Margin Operator	Select the operation—add or multiply—by which the reset index is acted upon by the index margin to calculate the adjusted rate.
Market/Exchange	Enter the exchange where the commodity or equity is traded.
Minimum Bids	Enter the number of minimum bids required for this instrument.
Net Deal Settlement Cash Flows	Select this check box if your instrument has more than one instrument base type or contains an interest rate swap, and you require that cash flow from one instrument base type or swap leg net with cash flow from another instrument base type or swap leg.
Nth Week	Specify the monthly coupon period end date. Select from these four values: First, Fourth, Second, or Third. Also select a specific weekday. See Common Elements Used to Capture Deals.
Outbound Confirmations	Select to designate that these instrument deals be selected in the automated outbound confirmations procedure and forwarded to the counterparty for review.
Payment Date	Select from the following options and enter a value in the +/- Payment Days field. Business Days - Paid in Advance: The system calculates a payment a specified number of days before the interest period start date, excluding days specified as nonbusiness days on the PeopleSoft calendar functionality. For example, suppose that you specify Saturday and Sunday as nonbusiness days, the system ignores these days, and uses only a normal business week (Monday through Friday) to calculate the payment date. Business Days - Paid in Arrears: This field value's functionality is similar to Business Days - Paid in Advance, but it calculates the opposite result. If selected, the system calculates a payment a specified number of days after the interest period end date, excluding days specified as nonbusiness days on the PeopleSoft calendar functionality. Calendar Days - Paid in Advance: The system calculates a payment a specified number of days before the interest period start date and includes all days—both business and nonbusiness days. For example, if you specify Saturday and Sunday as nonbusiness days, the system includes these days in calculating the payment date. Calendar Days - Paid in Arrears: This field value's functionality is similar to Calendar Days - Paid in Advance, but it calculates the opposite result. If selected, the system calculates a payment a specified number of days after the interest period end date. It includes all days—both business and nonbusiness days.
Portfolio	Enter the collection of securities to which the instrument deals belongs.
Rate	Enter the interest rate for this instrument.
Rate Type	Select whether the interest rate for this instrument is fixed or floating. If you select Fixed, enter the rate. If you select Floating, enter the reset index for the floating rate.
Reset Date	Select from these options and enter a value in the +/- Reset Days field. Set in Arrears: Indicates that the reset date is equal to the interest date that marks the end of the interest period. Set in Advance: Indicates that the reset date is equal to the interest date that marks the beginning of the interest period.
Reset Frequency	Specify the reset parameter for the interest calculation. Field values ending in the suffix -comp indicates the interest compounds (per the field value time period). Values are Annual, At Maturity, Daily, Every 28 Days, Every 35 Days, Every 49 Days, Monthly, Quarterly, Semi-Annual, Weekly, and the appropriate -comp value.
Reset Index	Enter a reset index for this instrument, for example, LIBOR (London Interbank Offer Rate).
Review At Confirmation	Select if you want to require your confirmation staff to review these instrument deals.
Same Interest each Period	Select to have the system use a fixed amount to calculate interest payments, regardless of the number of days between interest dates.

The fields on the Instrument Detail page change depending on instrument base type.

Use the Instrument Detail page to define instrument details for these instrument types:

Commodities
Equities
FX deal physicals
Futures contracts
Generic deals
Interest rate physicals (IRP)
Interest rate swaps (IR Swap)
Options

There are two ways to define an instrument:

Define the instrument based on an existing instrument type.
Create a new one founded on a base instrument type and using a unique name.

Which ever way you chose to start, you must define the details of the instrument.

Using an Existing Instrument Type

To define an instrument using an existing instrument type:

On the Define Instruments search page, click Find an Existing Value.
Select an existing instrument type from the Instrument Type drop-down menu.
Once you specify the instrument type, the Instrument Detail page displays the appropriate detail attributes.

Creating a Unique Instrument Type

To create a new instrument type:

On the Define Instruments search page, click Add a New Value.
In the Instrument Type field, enter a name value, and click Add.
On the Instrument Detail page, select Instrument Base Type.
Once you specify the instrument base type, the Instrument Detail page displays the appropriate detail attributes.

Defining the Instrument Details

Whether defining an instrument based on an existing instrument type or creating a new one, once you are on the Instrument Detail page, you must:

Complete the page fields for that specific instrument type.
(Optional) Click the Extra Attributes link to add extra attribute information for the deal.
For a futures contract, click the Delivery Dates link to add a schedule of delivery and trade dates.

Use the Instrument Detail page (INSTR_DETAIL_TR) to enter the specifics for an instrument.

This page differs for each instrument base type.

Navigation:

Deal Management > Administer Deals > Define Instruments

Field or Control	Description
Notes	Click the Notes link to access the Notes page (INSTR_NOTES_PNL), where you can enter detailed notes to describe the function of the instrument being created. For example, when creating an instrument with an accounting treatment of Other, you can enter detailed information about that unique accounting treatment on the Notes page.
Rules for Accounting Treatment	Click the Rules for Accounting Treatment link on an Instrument Detail page to access the Help page for IAS Accounting (INSTR_ACCTG_SP), where you can determine the accounting treatment for the instrument based on factors related to hedging, the length of time benefits that will be acquired, its inclusion in a portfolio, and so forth.

Use the Instrument Detail page (INSTR_DETAIL_TR) to enter the specifics for commodities deals.

This page differs for each instrument base type.

Navigation:

Deal Management > Administer Deals > Define Instruments

Instrument Detail page for a Commodity (1 of 2)

Instrument Detail page for a Commodity (2 of 2)

Field or Control	Description
Instrument Base Type	Select Commodity.

Commodity Details

Field or Control	Description
Commodity Code	Enter the exchange code for the commodity being traded.
Buy/Sell	Specify whether the instrument being created is for deals that will buy or sell a commodity.
Unit of Measure	Specify a unit of measure most commonly used for trading the specified commodity.
Price Per Unit	Enter a price per unit of measure for the commodity.
Quantity	Enter the quantity of the commodity being traded.

Rate Reset Type

Field or Control	Description
Fixed	Select to specify a fixed rate of return on the commodity investment—entered in the Amount field.
Amount	Enter the monetary value based on the price per unit multiplied by the quantity of the commodity.
Floating	Select for deals that will be based on a floating rate of interest.
Index	Select the market for which thee floating rate index is based.

Use the Instrument Detail page (INSTR_DETAIL_TR) to enter the specifics for an equity deal.

This page differs for each instrument base type.

Navigation:

Deal Management > Administer Deals > Define Instruments

Field or Control	Description
Ticker Symbol	Enter the stock exchange symbol that is used in trading the particular corporation's shares.
Exchange	Enter the stock exchange with which the corporation is listed.
Number of Shares	Enter the number of shares being traded.
Price per Share	Enter the price of a single share of stock.
Transaction Amount	Enter the monetary total of the transaction based on the number of shares being sold multiplied by the price per share.

Use the Instrument Detail page (INSTR_DETAIL_TR) to enter the specifics for a foreign exchange deal physical.

This page differs for each instrument base type.

Navigation:

Deal Management > Administer Deals > Define Instruments

Instrument Detail page for an FX Deal Physical (1 of 2)

Instrument Detail page for an FX Deal Physical (2 of 2)

Field or Control	Description
Instrument Base Type	Select FX Deal Physical.
Buy/Sell	A FX deal physical instrument has a buy side and a sell side. Once you select Buy or Sell in the field for one region, the system makes the corresponding selection for the other region when you save the instrument.

Use the following fields to automatically assign a value for the Maturity Date field on the Deal Detail page when you use an FX deal physical.

Field or Control	Description
Use Time to Maturity	Select to use the Time to Maturity field. If the check box is selected, the system uses the Time to Maturity value to calculate the deal maturity date, based on these scenarios: If time to maturity is a positive number (greater than zero), then the deal maturity date is the specified number of calendar days added to the deal spot date. If time to maturity is a negative number (less than zero), then the deal maturity date is the specified number of business days subtracted from the deal spot date. If the deal maturity date has no default value, leave the field blank.
Maturity Date	Enter the date the deal matures and ends.

Field or Control

Description

Use Time to Maturity

Select to use the Time to Maturity field. If the check box is selected, the system uses the Time to Maturity value to calculate the deal maturity date, based on these scenarios:

If time to maturity is a positive number (greater than zero), then the deal maturity date is the specified number of calendar days added to the deal spot date.
If time to maturity is a negative number (less than zero), then the deal maturity date is the specified number of business days subtracted from the deal spot date.

If the deal maturity date has no default value, leave the field blank.

Maturity Date

Enter the date the deal matures and ends.

Note: Enter data for both the buy and sell side of the FX deal physical, whether both regions are Foreign, or one region is Foreign and the other Domestic.

Use the Instrument Detail page (INSTR_DETAIL_TR) to enter the specifics for a futures contract.

This page differs for each instrument base type.

Navigation:

Deal Management > Administer Deals > Define Instruments

Instrument Detail page for a Futures Contract (1 of 2)

Instrument Detail page for a Futures Contract (2 of 2)

Field or Control	Description
Instrument Base Type	Select Futures Contract.
Settlement Currency	Enter the final settlement currency of the futures contract.
Quantity per Contract	Enter quantity of the commodity being traded.
Underlying Currency	Enter the currency of the underlying deal on which the futures contract is built.
Tick Interval	Enter the smallest allowable increment of price movement for a futures contract, expressed as a decimal.
Tick Amount	Enter the smallest allowable increment of price movement for a futures contract, expressed as a monetary amount.
Initial Margin Amount	Enter the initial margin amount paid for this futures contract.
Minimum Margin Amount	Enter the minimum margin amount required by the broker.
Delivery Schedule	Click this link to enter contract details.

Use the Delivery Schedule page (INSTR_FUTURE_SP) to capture data that is specific to a particular futures contract.

Navigation:

Click the Delivery Schedulelink on an Instrument Detail page for a futures contract.

Delivery Times and Rates

Field or Control	Description
Delivery Year and Month	Enter the month and year that the contracts are delivered and can no longer be traded.
Market Rate Index	Select the market rate index referenced when the contract is delivered.
Rate Type	Select the type of rate that, combined with the market rate index, determines the price of the delivered contract.

Delivery and Trade Dates

Field or Control	Description
First Trade Date and Last Trade Date	Enter the first and last allowable trading dates of the futures contract.
First Delivery Date and Last Delivery Date	Enter the actual first and last dates the futures contracts transactions are completed.

Access the Instrument Detail page for a generic instrument (Deal Management > Administer Deals > Define Instruments > Instrument Detail).

Instrument Detail page for a Generic deal

Field or Control	Description
Instrument Base Type	Select Generic Instrument.
Asset or Liability	Select whether the deal is for an asset or a liability.
Amount	Enter a monetary amount for the deal.

Access the Instrument Detail page for an interest rate physical instrument (Deal Management > Administer Deals > Define Instruments).

Instrument Detail page for an Interest Rate Physical deal (1 of 3)

Instrument Detail page for an Interest Rate Physical deal (2 of 3)

Instrument Detail page for an Interest Rate Physical deal (3 of 3)

Field or Control	Description
Instrument Base Type	Select Interest Rate Physical.

Interest Rate Physical Details

Field or Control	Description
Debt/Investment	Specify whether the instrument is for debt raising or is an investment. Values are Debt or Investment. (Optional) Select Investment to fill in the Issuer and Guarantor fields on the Instrument Detail page.
Par Amount	Enter the nominal monetary amount for the security.
Discount/Premium	This field is available for entry when you select Interest Bearing in the Interest Calculation field. It determines how to account for and treat the discount or premium that is associated with an interest rate physical. Discount to Yield and Straight Discount are values only if you deselect the Repeat Interest Dates check box or if the instrument's interest rate is Floating. Select whether you amortize by straightline or constant yield to amortize the bond's discount (or premium). This also affects the calculation method for calculating interest accruals. Select from these values: (none): The discount amount is added to the interest amount (or the premium is deducted) and that total is accounted for using the interest accrual accounting event. Constant Yield Method: The discount (or premium) amount is amortized (accounted for) separately using the discount accrual accounting event. The amount of the discount (or premium) that is amortized in each period is set so that the sum of the amortization amount, plus the interest accrued, gives a constant rate of interest (yield) when it is applied to the amount that is outstanding at the beginning of any specified period. Straightline Method: The discount (or premium) amount is amortized (accounted for) separately using the discount accrual accounting event. The amount of the discount (or premium) amortized in each period is set so that the total amortized portion is equal to the total amount of the discount (or premium) divided by the total life of the deal (term) in days, multiplied by the number of days that the deal has been outstanding (using 30/360 day counts, if appropriate).
Time to Settlement	Enter the number of business days between the deal transaction date and the deal settlement date.
Time to Maturity	Enter the number of calendar days between the deal settlement date and the deal maturity date.
Issue Date	Enter the date that the instrument is issued.
Maturity Date	Enter the date that the deal matures.
Day Delay Instrument	Select to indicate that deals using this instrument are processed using day delay accounting. The system logs deals on the trade date (transaction date on Deal Header page) but does not settle them until the settlement date (settlement date on the Dates Detail page).

Interest Dates and Calculation

Field or Control	Description
Repeat Interest Dates	Select the check box if the interest rate physical transaction has multiple interest payments.

Open-Ended Maturity

Field or Control	Description
Open-Ended Maturity	Select this check box if the instrument has no maturity date. For deals using this instrument type, the system builds out cash flow dates (to a maximum of three months) and accrues the amount on a daily basis. Enter the number of future periods to build. In the Minimum Periods field, enter the minimum number of rows remaining before the system builds more rows. For example, if the period is 12, and the minimum periods are 3, then when 10 period rows are filled with data, 12 more rows are built.
Periods	Enter the total number of interest periods to be built at one time for this instrument.
Minimum Periods	Enter the minimum number of interest periods that must pass before new periods can be built for this instrument.

Access the Instrument Detail page for an interest rate swap (Deal Management > Administer Deals > Define Instruments).

Instrument Detail page for an Interest Rate Swap (1 of 3)

Instrument Detail page for an Interest Rate Swap (2 of 3)

Instrument Detail page for an Interest Rate Swap (3 of 3)

Field or Control	Description
Instrument Base Type	Select Interest Rate Swap.

Important! In configuring forward rate agreement instruments, do not select Discount to Yield from the Interest Calculation field drop-down menu, as these are not discount instrument types.

Selecting this check box causes calculation errors in any deals created from this instrument.

Interest Rate Swap Details

Field or Control	Description
Swap Principals	Select when to swap principals. Certain field values require a corresponding accounting template to ensure correct cash flow processing. Values are: At Commencement At Commencement & Maturity If you select At Commencement & Maturity, you must also specify the IRSPS-PERPMT-L2 accounting template. At Maturity Don't Swap If you select Don't Swap, also select the IRSPS-PERPMT-L1 accounting template. See Understanding Interest Rate Swap Cash Flows and Accounting Templates.
Time to Commencement	Enter the number of actual days or number of business days from the trade date to the effective date of the swap.
Time to Maturity	Enter the number of actual days from the commencement date (or trade date) to the maturity date of the swap.
Maturity Date	Enter the date of termination for the underlying swap transaction.

Interest Dates and Calculations

Field or Control	Description
Repeat Interest Dates	Select if the interest rate swap has multiple interest cash flows (a swap). Deselect if the interest rate swap has a single interest cash flow (for example, a forward rate agreement).

Pay/Receive

Fields for interest rate swaps exist for both the Pay and Receive regions, but they are discussed only once in this section. Data entry for both sets of fields is required.

Field or Control	Description
Notional Amount	Enter the specified monetary amount for this instrument. This amount is the principal amount on which the exchanged interest payment calculations are based for an interest rate swap.
Compound Frequency	Define at what interval the interest compounds.

Access the Instrument Detail page for an option or an option - binary payoff (Deal Management > Administer Deals > Define Instruments).

Instrument Detail page for a Binary Option (Line 1 of 2)

Instrument Detail page for a Binary Option (Line 2 of 2)

Note: This section discusses instrument details for both options and options - binary payoff. Use the options - binary payoff instrument base type in conjunction with the option instrument base type to enter binary options (also called digital options). The application pages for these instruments are identical with the exception of the additional Binary Option Details section. In the example above, Details Line 1 of 2 is an option, and line 2 of 2 is an option - binary payoff.

Option Details

Field or Control	Description
Instrument Base Type	Select Option.
Contingent Upon Option Line	Use to associate an option with its underlying payoff transactions. Enter the line number of the option detail line of each payoff transaction or the detail line that is contingent upon the exercise of the option. For example, suppose that line 2 is contingent on line 1, you enter 1 in the Contingent Upon Option Line field for line 3.
Exercise Type	Select an exercise type. Values are: American: Can be exercised on any date between the start date and expiry date. European: Can be exercised only on the expiry date. Bermudan: Can be exercised on a predefined range of dates.
Exercise by	Select from the following values: Cash Difference: Settles the option by the cash difference. Delivery of Payoff: The payoff transaction is dealt at the specified payoff transaction rate.
Strike Determination	Select the price determinant to apply to the payment that is due. Some options require sampled historical prices or rates to determine their payoffs. For example, an Asian option with monthly sampling uses monthly data point to determine the average underlying price. The options are: Asian - Average Price: Pays the difference between the average underlying price over a specified period and the strike price. This option requires sampled historical prices or rates to determine the payoff. Enter values for Sampling Frequency and Average Type. Asian - Average Strike: Pays the difference between the underlying price and an average strike price over a specified period. This option requires sampled historical prices or rates to determine the payoff. Enter values for Sampling Frequency and Average Type. Hindsight: Pays the holder the best payoff between the spot price, sampled over time, and the fixed strike price. This option requires sampled historical prices or rates to determine the payoff. Enter a value for Sampling Frequency. Lookback: Pays the holder of a call the difference between the spot price at maturity and the lowest spot price over an observation period. The payoff for a put is the highest spot price observed, less the spot price at maturity. This option requires sampled historical prices or rates to determine the payoff. Enter a value for Sampling Frequency. Standard: Provides the holder the right to purchase or sell the underlying asset at a specific price on or before a specified date.
Strike Rate Varies Over Time	Select to enable the Strike Rate field on the Deal Detail page during deal capture. The Strike Rate Varies Over Time check box is available only for American or Bermudan exercise types.
Barriers	If you select Single, the Barriers button becomes enabled at deal capture, and a single Barrier row appears; if you select Double, two barrier rows appear at deal capture.
Sampling Frequency	Define the time interval between taking your first sample price and taking your second sample price. To compute an average for this field, select from the following values: Continuous: Assumes that prices are being averaged on a continuous, real-time basis. Daily: Assumes that price sampling is being performed on a daily basis. Monthly: Assumes that prices are being taken on a monthly basis. Weekly: Assumes that price sampling occurs every seven days.
Premium Payments	Select Single Premium to enable a premium payment row at deal capture. Select Multiple Premiums to enable multiple premium payment rows at deal capture.
Average Type	If the value of the Strike Determination field is Asian - Average Price or Asian - Average Strike, then select the average type to determine what method to employ for calculating an average for the selected sampling frequency. Values are: Arithmetic: Assumes that a price is sampled at finite points in time. Geometric: Assumes that a price is sampled on a continuous basis.
Option Type	If the payoff transaction (the Instrument Detail line that has this option in the Contingent Upon Option Line field) is an interest rate swap, then specify the type for this option. Select Cap/Floor or Swaption to determine how the option affects the swap: Cap/Floor: Applies the option individually to each interest period. Upon exercise, exercise only the current interest period, and the option remains static for the remaining periods. Swaption: Applies the option to the entire swap. Upon exercise, the option expires, and the swap becomes active.
Time to Expiry	Enter the number of days until the option expires.
Expiry Date	Enter the last day that the option can be exercised. The date that you enter here is automatically assigned the to the same field on the Deal Detail page for a deal with an instrument base type of option.

Binary Option Details

Field or Control	Description
Amount	Enter the amount of the payoff.

Use the Instrument Extra Attributes page (INSTR_ADHOC_ATR) to assign extra notational attributes to your instrument.

Navigation:

Click the Extra Attributes link on the Instrument Detail page.

If the delivered instrument component does not contain all the data fields that you require, you can define extra fields to capture this data. These extra attribute fields appear on the Deal Capture component and are memo-only fields that are not used in any deal processing.

Field or Control	Description
Attribute	Enter a five-character, alphanumeric code for the attribute.
Attribute Type	Specify a value: Date, Market Rate, Small Integer, or Small Character.
Short Name	Enter a name for the attribute.

Defining Instrument Details

Pages Used to Define Instruments

Common Elements Used to Define Instruments