• Exercise styles and dates
• Day/year calculation bases (swaps)
• Physical/cash-settled (options)
• Special conditions, for example, for Asians options
• Trader
• Counterparty
• Deal method, for example screen, telephone.
This list is not exhaustive and certain types of products, as they may
have specific terms, will need additional information. In such cases
where the full details cannot be recorded in the system, adequate
manual processes and checks must be employed. Certain transac-
tions such as swaptions require both the option details and the swap
underlying the option to be entered.
Details of the settlement instructions including netting if agreed
will also be input to the system so too will information such as the
reference sources for fixings and possibly the documentation (ISDA,
FRABBA) and governing law.
It is important that all this data is in the system so that key
reports and information can be supplied to operations, dealers (posi-
tions and profit/loss), risk managers, general ledgers, reconciliation
systems, etc.
Event calendar
The information will also help to provide an event calendar that will
enable operations to track the settlement events that will be occurring,
for example resets, expiry, settlement dates.
Some events are mandatory and/or automatic. This would include
those related to:
• Barrier options
• Swaps
• Caps, collars and floors
• FRAs.
Others may require an instruction and/or decision by the dealer or
client and this includes:
• Option exercise; however, some options are automatically exer-
cised on expiry if they are in-the-money.
• Termination (callable, puttable swaps).
OTC products 107
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