T24 Forex

TEMENOS EDUCATION CENTRE

NOTICE
These training materials are the copyrighted work of Temenos Headquarters SA and other companies in the TEMENOS group of companies (The
Copyright Owner). The training materials contain protected logos, graphics and images. Use of the training materials is restricted solely for use by
licensed end users, partners and employees. Any un-licensed reproduction by any means, redistribution, editing, transformation, publishing, distribution,
or public demonstration of the training materials whether for commercial or personal gain is expressly prohibited by law, and may result in severe civil
and criminal penalties. Violators will be prosecuted to the maximum extent possible. Such training materials shall not be represented, extracted into or
included in part, or in whole, as part of any other training documentation without the express permission of the Copyright Owner, which must given in
writing by an authorised agent of the Copyright Owner to be valid. Where such permission is given a clear and prominent notice must be displayed on
any and all documentation accrediting the Copyright Owner with having copyright over the materials. End-user licenses will in no event contain
permissions extending the use of these training materials to third parties for commercial training purposes.

Without limiting the foregoing, copying or reproduction of the training materials in part or in whole to any other sever or location for further reproduction
or redistribution is expressly prohibited, unless such reproduction is expressly licensed by the Copyright Owner.
Copyright © 2010 Temenos Headquarters SA
FOREX - Objectives

To Introduce the participants to T24 Forex Module

To Learn about the linkages with core tables including interest,

charges and commissions

To Learn to set up parameter tables connected with this module

To Learn to input, execute and complete different types of Forex deals

To Learn about risk management, accounting and messaging, as

appropriate to this module

To Learn to use reports and enquiries relevant to this module

Forex - Product Overview

Today
Spot
TOM

Spot

Forward
Currency Normal

Forex Single rate

Broker
Precious FX Delivery
Date option Multi rate
metal Internal

Overnight

TOM Next
FX Swap
Spot Next
Forex Dependencies

FOREX Business make use of

CUSTOMER

ACCOUNT

Core dependencies

Delivery

Accounting

Limit

FOREX also uses other static tables

Forex Dependencies - Product Related

Category codes allocated for Forex are 20000 - 20999

Deal types used are SP, FW and SW for Spot, Forward and Forex Swap
respectively

Further transaction types based on these could be specified in
FX.TRANSACTION.TYPE file

FWSR and FWMR are used for Single and Multi rate option deals

Default category code may be specified for each transaction type in

FX.TRANSACTION. TYPE file

Category or deal type of a deal cannot be changed after authorisation

P & L category codes used

For Brokerage and for marketing exchange profit

P & L and Internal account Category codes are defined in
REVALUATION.PARAMETER

20000 for Spot and 20001 for Forward revaluations
Forex Dependencies - Charges and Commissions

For delivery and other charges

Delivery related charges collected
only on delivery dates
Charges and commission are defined
Currency wise. If not defined for a
currency, the default local currency
charges will apply.
If the Charge account is in a different
currency, amount converted to Charge
Currency and collected.
(Contract Ccy SGD. Local Ccy USD.
Charge not defined for SGD.
Charge a/c GBP. )

Charges once calculated, will not

Change automatically due to any other
Change. Respective Fields should be
Cleared and re-entered
Forex Dependencies - Settlement Related

Our Account Pay and Our Account Receive

1.CUSTOMER.SSI
• Input can be Customer / Nostro account,
or internal account
(defined in ACCOUNT.CLASS as
2. AGENCY
SUSPFXDR & SUSPFXCR)
• If no input is made, then the VCN
default mechanism
3. CUSTOMER.CCY.ACCT

4. NOSTRO.ACCOUNT Internal Account

defined in ACCOUNT.CLASS
Forex Dependencies - Currency Related

COUNTRY REGION

HOLIDAY
CURRENCY.PARAM

CURRENCY CURRENCY.MARKET

Possible to indicate Region (s) in the multi value FX.LCL.REGION

Field in FX.PARAMETERS. Accordingly, while inputting a deal, the
intervening holidays for the regions of currencies involved will be
checked for working out the SPOT date / value date.
The Interest Day Basis will be defaulted from Currency table to the
transactions for IN and IH revaluations.
Application Specific Parameters
Forex - Parameter Tables

Parameter tables to be set-up during implementation are

ACCOUNT.CLASS

ACCOUNT.PARAMETER

FX.ACTIVITY

FX.DEAL.METHOD

FX.PARAMETERS

FX.POS.TYPE

FX.REVAL.TYPE

NETTING.PARAMETERS

REVALUATION.PARAMETER

FX.TEXT

FX.TRANSACTION.TYPE

FX.COMM.GROUP
FX.PARAMETERS

Id of the table is FX.PARAMETERS

Spot definition

Spot date is generally 2 working days after the deal date

T24 provides the option of defining SPOT date as Central Bank, Market and
Internal dates.

SPOT.MARKET Field value defaults Spot date at the time of deal input

SPOT.INTERNAL Field value is for internal purpose which is used to
distinguish between Spot and Forward deals

SPOT.CENTRAL.BANK Field value is used for internal reports to classify
deals as Spot or Forward

Permits 0 to 14 business days for all options

Rounding types for FX

Rounding Rules can be specified at parameters level
FX.PARAMETERS

Holiday checking

The holidays of Country and Region set in Company table are checked by
default. If alternate holiday checking is desired then, FX.LCL REGION Field
can be used
In a USD/GBP FX deal, if Spot date or value date buy / sell is not entered, the
system will check Holiday Tables of US and GB

Case 1 US00 and GB00 Case 2 US00 and GB99

Case 3 US02 and GB99
FX.PARAMETERS

Holiday checking

Some Banks and markets operates on the principle that Spot dates should
always fall on a working day in a certain currency, e.g. SGD, even if the
deal does not involve that currency. For this, Spot Base Ccy Field can be
used
In a USD/GBP FX deal, If Spot date or value date buy / sell is not entered, the
system will check Holiday Tables of GB 99, US 02 and SG 00 in such case
Workshop - 1

Deal USD / GBP. Deal date is Monday, the 2nd. Holiday table of
different regions in the system is given below:

Calculate the Spot date for 4 scenarios

Scene 1: No Spot base currency.

Scene 2: Spot base currency is USD and/or GBP.

Scene 3: Spot base currency is CHF.

Scene 4: Spot base currency is CHF and JPY
Workshop - 1 Solution

•Calculation of Spot date for 4 scenarios

*Scene 1: No Spot base currency. Spot date is 6th

*Scene 2: Spot base currency is USD and/or GBP. Spot date is 6th

*Scene 3: Spot base currency is CHF. Spot date is 9th

*Scene 4: Spot base currency is CHF and JPY. Spot date is 9th

or later depending on holiday table of Japan also.

FX.PARAMETERS

Reporting related

DAYS.POST.MATURITY Field specifies after how many days of maturity
contracts are to be removed from live and transferred to history file
1 to 999 days possible. Typical input is 30 so that monthly reports
can include contracts matured during the month without referring to
history

MATURITY.LIST.DAYS Field specifies how many number of days before
the maturity for deals to appear in Forex maturity report
0 to 99 days possible. 0 will not produce maturity report.
Timely information helps organisation to build suitable cover positions

DELIVERY.LIST.DAYS Field contains the no of days before maturity, the
deals with incomplete delivery instructions should appear in Incomplete
delivery instructions report
0 to 99 days possible. 0 will not produce report.
FX.PARAMETERS

Precious metal trading

precious metals trading is possible

Precious metals should have been pre-defined in Currency table as
Precious metal

Currency codes to be mentioned in PRECIOUS.METAL Field

Split value for deals

Possible to give different value dates for buying and selling of currencies
listed in SPLIT.VALUE.CCY Field

If the option is ‘ALL’, then split value deal is permitted for all currencies
FX.PARAMETERS

Amortisation related

Dealer may wish to sell interest from a deposit in foreign currency through a
forward deal. Forward interest cover can be amortised over the life of the
deal so as to match income stream of deposit
Category which holds the amortised position is entered in CAT.CODE.FWD.INT
Field (between 20000 to 20999)
P & L categories to identify interest receivable and interest payable on amortised
FX positions are entered in FWD.INT.PROFIT.CAT and FWD.INT.LOSS.CAT Field
(between 50000 to 59999)

T24 will treat this income or expense stream as a transaction in its own right
which will be reflected in the positions.

ACCOUNT.CLASS record FXCCYPOS must also be set up with the
category code to be used in reserve account numbers. The System record
in PM.PARAMETER must also contain a position class for forward interest
cover
FX.PARAMETERS

Bulk deals related

Possible to place a single order to buy / sell currencies based on requests
to sell / buy from several clients

Deal type, value date and currencies would be same for all the deals
covered through a single bulk order. When the bulk order is authorised, it
creates individual orders with default values
10 million EUR is purchased as an inter bank deal and 5 customer deals
are done for selling this aggregate amount
Fields from inter bank deal could be defaulted to customer deals
Currency bought in inter bank deal will be Currency sold in customer deal
and Currency sold in inter bank deal would be Currency bought in
customer deal
FX.PARAMETERS

Bulk deals related

FX Orders and FX deals will be created only if OFS is configured and
appropriate phantom is running

Fields used
DEAL.TYPE to indicate ‘BULK ‘
DFLT.FLT.FRM and DFLT.FLT.TO are multi value Fields for indicating
which field in bulk is to be defaulted to which Field in customer deals
A record in OFS.SOURCE (normally called FX.BULK.OFS) is to
be indicated in BULK.OFS.SRC Field
Suitable versions for Master and child deals should be indicated in
BULK.MASTER.VER and BULK.CHILD.VER Fields

Rounding Rule can be specified in a Field called ROUNDING.RULE

Based on which rounding will be done for the calculated currency amount
FX.COMM.GROUP

While inputting Bulk deals, it is possible to apply different spread over

market rates to different customers automatically by forming groups in
FX.COMM.GROUP

Spread of one group could also be expressed as a percentage of

another group

Group 1 will pay 0.7 and 0.6% of deal rates

Group 2 will pay 50% of what Group 1 pays

FX.COMM.GROUP details are captured in SEC.ACC.MASTER to get

automatic default while inputting bulk deals in Forex
FX.TEXT

When settlement instructions of the counterparty is not known, the

System will credit and debit internal suspense Accounts

FX.TEXT table contains advice texts which will be printed on advices/

confirmations when settlement information in respect of a contract
counterparty is not known

Id of the two records are the Internal suspense account defined in
ACCOUNT.CLASS for SUSPFXDR and SUSPFXCR

Nine Fields are available within this table and each one will have a
unique text which will be printed on the advice confirmation

User will choose which text to print by keying number between 1 and 9 at
the Paying Account / Receiving Account Field while inputting a FX deal.
NETTING.PARAMETERS

Payment Netting facility provides automatic netting of payments that

have the same currency and value date for a counterparty with whom
there is a mutually agreed netting agreement

Net amounts are posted to an internal suspense account defined in

ACCOUNT.CLASS as NETTING instead of Nostro

Nett Payments Field in ACCOUNT.PARAMETER should be set to Yes to
specifically allow Netting through internal accounts

NETTING.PARAMETERS is set up to indicate the transaction codes to

be used and also the number of days for creating netting records and
purging them to history
Forex Revaluation

FOREX module provides daily revaluation of Foreign Exchange

position, producing daily profit / loss for each dealer in each foreign
currency against local currency. Contract wise revaluation can be seen
in POS.TRANSACTION application

SPOT contracts are uniformly revalued as mark-to-market

Current cost to close the position

Tom deal can also be revalued , using discounted spot rate

FORWARD deals have choices

Rebate
Cost to cover deal today

Straight-line
Amortisation of apparent exchange profit / loss over the life of the deal

In the case of Forex SWAPs, exchange profit may also be treated and
accrued as interest
FX.REVAL.TYPE

Different revaluation methods are available that are pre defined in

FX.REVAL.TYPE

There exists five records, one for each revaluation method

Cost to cover method
RB-Rebate

Amortisation methods
IN-Interest
IH-Interest Hedged
SL-Straight Line
SF-Straight Line Funding
Used only for Forex Swap. Possible to raise a forward position
of the premium / discount of a Forex Swap
Forex Revaluation-Mark to Market Methods

Cost to close / cover method has two types of revaluation

(1) Spot and (2) Rebate

Spot method uses the latest available Reval rate, in the absence of Mid
Reval rate of a Currency

Rebate method has the option to re-value FX Contracts under RB Method,
at forward rates calculated by adding premium/discount to the value in
REVAL.RATE instead of adding to Mid rate.

Under these methods, the daily revaluation profit / loss is posted to

Profit & Loss on one side and internal accounts on the other side
Forex Revaluation-Amortisation Methods

Under amortisation methods, the total exchange profit / loss is posted

to suitable exchange reserve adjustment accounts which are defined in
ACCOUNT.CLASS

This amount is suitably amortised from SPOT date till the life of the
deal by posting entries to profit and loss categories on the one side
(50000 for Loss and 51000 for Profit) and exchange reserve adjustment
accounts on the other side

ACCOUNT.CLASS records are used to obtain the internal account
category

Internal account Category codes could be changed only through
FX.REVAL.PARAMETERS application
Spot Revaluation

On 30th Nov, bank enters into Spot deal with a customer on the
following terms:

Customer Buys USD 1,000 and sells GBP 645.16 @ 1.55

Spot date is Dec 2

USD is local currency

The revaluation rate on close of business on Nov 30 is 1.5

Let us find the effect of Spot revaluation

Spot Method-Daily Revaluation

Revaluation on Nov 30
USD GBP

Deal -1,000 @ 1.55 +645.16

Position Revaluation -967.74 @ 1.5 +645.16

Revaluation profit 32.26 0

Value of this in FCY @1.5 21.51

– Dr Exchange Adjustment account (Account.Class = EXCHADJ)
– Cr P & L Exchange (P & L Category in Revaluation.Parameter)
• This process is repeated on December 1 also
Forward Revaluation-Case Study

On 30th Nov, bank enters into 1 month forward deal with a customer on
the following terms:

Customer Buys USD 1,000 and sells GBP 625 @ 1.6

Spot date 2nd Dec

Forward deal Value date 2nd Jan

USD is local currency

On 30th November

Spot rate (Mid Reval rate) is 1.55

Forward premium 0.0017 for 1 month

Revaluation rate for Spot is 1.5

Let us find the effect of all the four revaluation types

Rebate Method-Daily Revaluation

Revaluation on Nov 30
USD GBP

Deal -1,000 @ 1.6 + 625

Position Revaluation -968.76 @ 1.5517 +625

Revaluation profit 31.24 0
Value of this in FCY @1.5 20.83

This process is done from November 30 till maturity

– Dr Exchange Adjustment account (Account.Class = EXCHADJ)
– Cr P & L Exchange (P & L Category in Revaluation.Parameter)
Rebate Method Principle

For a forward deal, as it ages, the rate to cover the deal converges with
the spot rate as it gets closer to maturity, until it will eventually be
covered at spot rate

Under Rebate method, the revaluation rate is worked out using the
Spot rate from Currency table and the forward premium or discount for
the given period chosen from FORWARD.RATES table

Relevant premium / discount could be arrived either through

interpolation, or nearest available rate and is indicated in
REVALUATION.PARAMETER
Straight Line Method Principle

Difference between the spot and forward rates, as an amount in local

currency, is isolated and amortised as daily accrual between the Spot
date and life of deal

As the deal is now being carried at spot rate (due to isolation of profit /
loss), it is revalued each day as Spot revaluation
Straight Line Method-Daily Accrual

Spot USD/GBP : 1.55 Forward Rate (31 Days) : 1.6

$968.75 = € 625 $ 1000 = € 625

Revaluation Profit = 31.25 (1000-968.75)

Difference in Value/No of days forward =31.25/31 = 1.008

= + $1.008 (Daily accrual will be carried out till the life of the deal from
Spot date)

From 2nd Dec

Dr LCY Exchange Reserve Adjustment account
(Account.Class = RESFWDDR)

Cr P & L Exchange (Category code 51000)

Straight Line Method-Daily Spot Revaluation

USD Rate GBP

Original Deal 1000 @1.55 645.16

Position Revaluation
(645.16/1.5) 967.74 @1.5*(Mid Rate 645.16
without adding
forward rate) 0

Revaluation Profit $32.26 @1.5 € 21.51

(From Nov till its maturity)
*Revaluation rate will be taken if present, or Mid Reval rate WITHOUT
using forward rate )
Dr Exchange Adjustment account (Account.Class = EXCHADJ)
Cr P & L Exchange (P & L Category in Revaluation. Parameter)
REVALUATION.PARAMETER

Company-wise rules for revaluing positions

Rules can be set application wise

Relevant here are FX.SP, FX.RB, FX, Forex Swap and AL

POSTING.STYLE Field gives 2 options - Input / Output method and
Adjustment method

REVAL.WITHIN.SP set to yes ,for TOM deal revaluation

Choice of whether system should take Mid rate by default or can chose
Bid or Offer rates, specified in FASB.REVALATION Field
REVALUATION.PARAMETER

Revaluation profits and losses are posted to P & L on one side and
internal accounts on the other side

Option to define, if need be, different Category codes for Profit & Loss,
internal accounts, transaction codes and Product category code for the
entire set of entries as they are passed dealer wise

Option to book revaluation profits available through Field Book Profits.

Losses are always booked unless opted not to book any revaluation entry
through SPOT.REVAL.BOOKING and FWD.REVAL.BOOKING Fields

INTERPOLATION.MKR Field identifies whether forward rates are to be

Interpolated or not in the case of Rebate

'Blank' - Rate will be interpolated

'1' - Takes the next available rate

'2' - Takes the closest rate
FX.DEAL.METHOD

Foreign exchange deals can be done through brokers, or through other

means such as Reuters, Phone, Quotron, Mail etc

This table defines the accepted deal methods within the user’s
environment

This information is used on advices (like Tag 24D in MT 300)

FX.ACTIVITY

Forex module can handle generation of advices for different events.

Advices are produced during close of business

Five possible stages in the life of a deal

Initial input, Amendment, Reversal, Maturity and Takedown

Two types of Counterparties

Bank as predefined in ACCOUNT.CLASS and other Clients

Two types of currencies

Currencies and Precious metal

Each combination of these elements will correspond to an unique

activity code. Hence, 20 different hard coded advice activity codes in
Forex and detailed in FX.ACTIVITY
FX.TRANSACTION.TYPE

This table defines parameters for processing different types of Forex

deals. Values are defaulted to respective types of deals

Id - Any of the basic deal types - SP, FW and SW-or suffixed with 2
additional characters. Forward delivery option as FWXX. This is defaulted
to Forex application in Transaction type

Category Code, Revaluation type, Activity code and message type,

maximum duration for deal, SOD maturity, and option related choices are
also defaulted. Single or multi rate option type and allowing partial delivery
or not in multi rate options

Option for MT 202 messages is available (in addition to standard MT 300)

when the counterparty is Nostro bank
FX.TRANSACTION.TYPE

Allows multiple takedown of option deliveries on the same day and at

different exchange rates

This functionality can be parameterized by setting the Field

OPTION.TYPE in FX.TRANSACTION.TYPE to “EX-MULTI.RATE”.

All the other processes and features of a normal Multi Rate Option
contract remains unchanged
Quiz 1

1) A bank wants to allow different value dates for buying & selling in a
Forex Deal for a particular currency. This can be specified in?
Ans: FX.PARAMETERS

2) For the purpose of revaluation, a Bank wants to pass accounting entries

as the difference between the old amount and the revalued amount. This
can be specified in?
Ans: REVALUATION.PARAMETER

3) How many groups can be formed in FX.COMM.GROUP?

Ans: 999

4) Cost to Cover method is otherwise called as

Ans: Rebate Method
Forex Build Sequence

Mandatory*
1. ACCOUNT.CLASS * Optional
Records
FXCCYPOS, EXCHADJ
SUSPFXDR, SUSPFXCR
RESFWDCR, RESFWDDR
RESSWAPCR, RESSWAPDR
NETTING (Suspense account for netting)
BROKER (Suspense account for
non account holder)
MARKETING (Suspense account for
Non Treasury Dept profit)

2. ACCOUNT.PARAMETER

*
3. FX.ACTIVITY

*
4. FX.DEAL.METHOD
Forex Build Sequence

Mandatory *
*
5. FX.PARAMETERS
Optional

6. FX.POS.TYPE *

7. FX.REVAL.TYPE

8. NETTING.PARAMETERS

* ACCOUNT.CLASS
9. REVALUATION.PARAMETER

10. FX.TEXT *

FX.REVAL.TYPE
11. FX.TRANSACTION.TYPE FX.ACTIVITY

12. FX.COMM.GROUP
Forex-Product features
Product Features

Forex - primary application to process Spot, Forward (with delivery

options) and Forex Swaps

Deal sub-types

Currently 3 types-Normal, Broker and Internal
Product Features

Confirming a trade

All Deals need to be confirmed with the Counterparty. An interface to T24
such as SWIFT for MT300 would need to be in place for automation

Possible to mark deals through Broker as One sided-not requiring any
separate confirmation

After a deal is ‘Input’, T24 updates positions in ‘real time’. Positions are
maintained dealer desk wise, value date wise as pair records.

For a USD / GBP deal, USD and GBP positions are shown separately as
two different records and as per accounting convention

This could be viewed through suitable enquiries

Designed as per business convention or accounting convention
Product Features - Spot

Spot is simultaneous buying and selling of two currencies for prompt

delivery (generally 2 working days)

Today and Tom are by-products and are input by giving suitable delivery
date

Spot rate GBP / USD = 1.5500

For a Spot deal, the following Fields are mandatory

Counterparty customer Id / Mnemonic

Name of Currencies bought and sold and

Two of the three Fields
Amount bought / Amount sold / Spot rate for the deal

Dealers would like to key in only the minimum data. In T24, versions
can be designed to suit work flow

Say, Dealer fills up only Counterparty and Spot rate
Workshop - 2

Use User menu > Treasury Operations > Forex & Money Market Trader
> Front Office > Forex Enquiries > Forex Positions

View Position of USD and GBP

Use User menu > Treasury Operations > Forex & Money Market Trader
> Front Office > Forex Trader > Forex Deals> capture Forex Spot
Deals > choose Forex Spot deal corporate customer

Buy 1 million USD and sell GBP at a spot rate of 1.52

Buy 1 million GBP and sell 1.65 million USD Approve overrides if any

Use User menu > Treasury Operations > Forex & Money Market Trader
> Front Office > Forex Enquiries > Forex Positions

View the Forex Spot Position from GBP & USD
Workshop - 2 Solution
1
2

3
4
Workshop - 2 Solution
5

6
Workshop - 2 Solution
7

8
Workshop - 3

Use User menu >Treasury Operations > Forex & Money Market Trader
> Back Office > Forex > Forex Enquiries > Position Movement Entries -
Today

View the GBP position for your dealer desk

Use User menu > Treasury Operations > Forex & Money Market Trader
> Front Office > Forex Enquiries > Forex Revaluation

View the unrealised loss in GBP for your dealer desk

We observe that the dealer is long (overbought) in GBP
Workshop - 3 Solution
Workshop - 3 Solution
Workshop - 4

Use User menu > Treasury Operations > Forex & Money Market
Trader > Front Office > Forex Trader > > Forex Deals> capture Forex
Spot Deals > choose Forex Spot deal corporate customer

Close out GBP over bought position

Sell GBP and buy USD @1.54

Use User menu >Treasury Operations > Forex & Money Market Trader
> Back Office > Forex > Forex Enquiries > Position Movement Entries -
Today

View the GBP position for your dealer desk
Workshop - 4 Solution

1 2

3
Workshop - 4 Solution
4
3

5
Workshop - 5

Use User Menu > Treasury Operations > Forex & Money Market Trader
> Position Management Enquiries > Forex Position & Break Even
analysis

View the GBP-USD gap position for your dealer desk
Workshop - 5 Solution
1 2

3
Product Features - Base Currency

Base Currency

Deals involve two currencies out of which one is chosen as base currency.
Depending on type of quotation for that currency (Direct or Indirect Quotes)
the bought / sold amounts are arrived at

Default mechanism for Base currency, if not input

Local currency, if the quotation code of other currency is Null (Indirect
quote / Foreign Currency quotation / UK type)

Other currency, if the quotation code is not Null (Direct quote/ Home
currency quotation / Non-UK type)

If both are foreign currencies, currency which yields cross rate greater than
One
Product Features - Value Dates

Possible to give separate value dates for buying and selling (useful
when dealing with middle east currencies where holidays are different)

We can input Today and TOM in the case of Spot deals and Overnight,
TOM next and Spot next in Forex Swap deals by giving suitable input in
the value date Field.

Options available in the Value date Field

T, TO, S,

ON, TN, SN (In Forex SWAPs)

NNA 10D, 3W (working days), 6M
Product Features - Forward

Forward is buying and selling of two currencies for delivery in future,

i.e. at a date later than the locally defined spot date

Forward period calculated from Spot date. Forward rate normally
referenced to Spot rate

3 months forward :GBP / USD = 1.5500 - 0.0150 = 1.5350

For a Forward deal, the following Fields are mandatory

Counterparty customer Id / Mnemonic

Name of Currencies bought and sold and value date

Two of the three fields
Amount bought / Amount sold / Forward rate for the deal
The Forward rate could be input as (1) a rate or (2) Premium / Discount
quoted in Pips, if defined in CURRENCY otherwise with decimal places
Forward Pips

Spot 1.5000
3 Months forward outright 1.4925
3 Month Forex Forward points (Discount) - 0.0075

If Quotation Pips of currency is 4, forward is at a discount of 75

Workshop - 7

Use User Menu > Treasury Operations > Forex & Money Market Trader
> Front office > Forex Trader >Forex Deals> capture Forex Forward
Deals > choose Forex Forward deal

Buy 1 million USD and Sell GBP 1 Month forward at 1.52

Commit the record

Buy 1 million GBP and Sell USD 2 Months forward with a spread of 0.25

Commit this record and get the first record authorised

Use User Menu > Treasury Operations > Forex & Money Market Trader
> Back Office > Accounting Enquiries > See Forward Entries

Look at the forward entries for the first transaction
Workshop - 7 Solution

1 2

3
Workshop - 7 Solution

3
Workshop - 7 Solution

4 5

6
Product Features – Outright Forward

An outright forward locks in an exchange rate or the forward rate for an

exchange of specified funds at a future value (delivery) date.

FX Forward Outrights may also be employed to hedge foreign

exchange exposure risks
Product Features – Forex Swap

Forex Swap is exchange of currencies on one date (usually the spot

date) with an agreement to reverse the transaction at a specified date
and rate, either with the same counterparty or another

E.g. 3 months GBP / USD Forex swap

Near leg Buy / sell SPOT @ 1.55

Far leg Sell / Buy FORWARD @ 1.5350

For a Forex Swap deal, while inputting the Spot leg, Forex Swap Base
Currency Field should be filled up as one of the currency involved in the
deal

On committing Spot leg, the system automatically opens up the second leg
of Forward deal with partial information. The amount in Forex Swap base
currency is retained as no input Field and only the other currency amount
varies as per the Forward rate

Overnight, Tom-Next, Spot-Next, etc. are by-products and are input by
giving suitable delivery dates
Workshop - 8

Use User Menu > Treasury Operations > Forex & Money Market Trader
> Front Office > Forex Trader > Forex Deals> capture Forex swap
Deals > choose Forex swap deal corporate customer

Buy USD 10,000 and sell GBP in spot @ 1.55 with USD as Swap base
currency and forward premium of 0.0015 for 1 month

Commit the record

Workshop - 8 Solution

1 2

3
Workshop - 8 Solution

3
Product Features - Delivery Options

An additional FX product is FX delivery date option

Forward (Single Rate option )
A contract to buy or sell a currency at an agreed exchange rate for
delivery at any time between two pre-arranged dates
The option rate is the same as Forward rate
While DEAL.TYPE Field will be Forward, Transaction type Field should be
input suitably to reflect the single rate option as pre defined in
FX.TRANSACTION.TYPE

Forward (Multi Rate option)
Similar to above but different exchange rates may be set for periods
within the contract. Can provide for partial delivery also
While Deal Type Field will be Forward, Transaction type Field should be
input suitably to reflect the multi rate option as pre defined in
FX.TRANSACTION.TYPE with / without Partial delivery
Positions built online
Quiz 2

1) At the input of a Forex deal, when will the Positions gets updated
Ans: ONLINE

2) If a bank enters into a overnight (ON) forex swap deal to buy USD and sell GBP
on 1st Feb. 2011. What will be the value date for spot and forward assuming there
are no holidays
Ans: 01-Feb- 11 & 02-Feb-11

3) For a Spot deal, spot days are defaulted as per the settings in -
Ans: FX.PARAMETERS
Product Features - Others

COB input

New FX contracts can be input during COB provided NS has been installed

SOD maturing

FX deals can be matured at start of day so that customer has access to
funds from a purchased currency and liable for a sold currency at the start
of day on the maturity or value dates

Bullion trading

Possible to input Spot, Forward and Forex Swap deals with metals which
are pre defined in Currency as Precious metals. Ex: XAU / USD

Additional mandatory Fields regarding delivery of metals are Delivered on
CIF basis, available location, metal available is allocated or unallocated,
metal type like Gold, Silver, Platinum, etc.,

Whether delivery is physical or transfer of book entries, metal measurement
quantity like Gram, Ounce, Kilo etc
Product Features - Limit

Special features of Limit relating to FX are Clean risk and Netting of

opposing deals with a counterparty involving same currencies and
value date

Clean risk is never netted

System wide option for netting is indicated in NET.OUTSTANDING Field of

LIMIT.PARAMETER and can be changed only through LIMIT.CHANGE
Product Features - Limit

Exposure calculation for limit enquiries with add-on

REVAL.ADDON.PERCEN application used to set different add-on

percentages for different time periods for internal and regulatory reporting

FX.CURRENT.EXPOSURE requests the revaluation and report for

customer /s using the new method. Only Rebate method of revaluation will
be done by this method. This add-on could be done using latest FX rates or
the add-on could be simply applied to the latest revaluation figures stored in
POS.TRANSACTION

The information is collated and stored in POS.TRANSACTION

Product Features - Accounting

The accounting entries passed for Forex deals are mostly Contingent in
nature

RE.CONSOL.SPEC.ENTRY is directly passed during batch job without any

CONSOL.ENT.TODAY

Contingent Asset types used are FXSPOTBUY, FXFWDBUY,

FXSPOTSELL,FXFWDSELL,FXSPTINTBUY, FXFWINTBUY,
FXSPINTSELL, FXFWINTSELL, FXOPTBUY, FXOPTSELL

STMT.ENTRY and CATEG.ENTRY passed for Charges and commission

(other than delivery related) on line. For delivery related charges, they are
passed during batch job at the time of delivery

Transaction codes 300-309 are used and RE.TXN.CODES used are NEW,
SPT, MAT, REV, DLV, RLO, RLI, CUS, APP
Accounting Entries for Spot Deal

Buys 1 million USD and sells 0.66 million GBP

FX Contingent A/C USD NOSTRO or Acct Pay

$1M
$1M
Deal Day/Value Day
Value Day
Commitment to BUY
RE.CONSOL.SPEC.ENTRY STMT.ENTRY

FX Contingent A/C GBP NOSTRO or Acct Receive

£ 0.66 M £ 0.66 M

Deal Day/Value Day

Value Day
Commitment to SELL
RE.CONSOL.SPEC.ENTRY STMT.ENTRY
Product Features-Spot Deal Accounting

Cr / Dr Account SE / CE / SPEC Remarks

On Deal date
Dr FXSPOTBUY SPEC NEW-New Contingent contract

Cr FXSPOTSELL SPEC NEW-New Contingent contract

On Value date
Dr FXSPOTSELL SPEC MAT-Forex contract reaching value
date

Cr FXSPOTBUY SPEC MAT-Forex contract reaching value

date

Dr Our Account Receive SE

Cr Our Account Pay SE

Product Features-Forward Deal Accounting

Cr / Dr Account SE / CE / SPEC Remarks

On Deal date
Dr FXFWDBUY SPEC NEW-New Contingent contract
Cr FXFWDSELL SPEC NEW-New Contingent contract
On SPOT date
Dr FXFWDSELL SPEC SPT-Forward contract moving to Spot period

Cr FXFWDBUY SPEC SPT-Forward contract moving to Spot period

Dr FXSPOTBUY SPEC SPT - Forward contract moving to Spot period

Cr FXSPOTSELL SPEC SPT - Forward contract moving to Spot period

On Value date
Dr FXSPOTSELL SPEC MAT-Forex contract reaching value date

Cr FXSPOTBUY SPEC MAT-Forex contract reaching value date

Dr Our Account Receive SE
Cr Our Account Pay SE
Product Features - Delivery

Generated as at the Close of business process depending on the

settings in FX.TRANSACTION.TYPE and relevant message type from
DE.MESSAGE

Pay / receive instructions sent in advance of value date by the number

of working days defined in the Currency table

0 to 10 days possible

Operator can exercise control over sending messages related to

confirmation, payment and advice

Urgent, Priority, Normal, Hold, One-sided (do not send)

Can indicate whether this is a correction or amendment

Bank to bank information can be input in fields

CONF.NARR,PAYMT.NARR, REC.ADV.NARR and BK TO BK INF
Product Features - Accounting

Balance at the contract level are held centrally in a table called

EB.CONTRACT.BALANCES

Each FX Contract, two separate records, one for buy leg and the other
for the sell leg will be updated

EB.CONTRACT.BALANCES records will hold buy/sell currency,

balances by asset types, daily movements for each asset types and
consolidation key

CRB reporting will fetch the balances from

EB.CONTRACT.BALANCES rather than from the contract itself since
FOREX does not update any balances file currently
Product Features - Delivery

If a deal is cancelled by way of reversing an authorised deal, the

system passes accounting entries to give effect for cancellation /
reversal of a deal. However, delivery messages sent for advice to
receive and pay are not changed. Hence we get an override that
deliveries have already been made

System sends another advice to inform the cancellation of the deal with
Tag 22A indicating CANC

If another deal is input as replacement of a cancelled deal,

CORR.AMEND.MKR Field could be set as Amend and suitable Bank to
Bank information could be included. Tag 22A now indicates AMND

Inward messages are processed through OFS and deals created in

IHLD status
SWIFT Messages

SWIFT Description Field Name

MT300 Forex confirmation (In case of corrections /
amendments)
Field Corr Amend Mkr with For Tag 22a
choices of Correction or
Amendment
Field Replacing deal No For Tag 21

MT103 Bank Transfer - Client

MT202 Bank Transfer - Bank

MT210 Advice to receive

MT600 Precious metals FX
confirmation
MT604 Fund transfer order for
precious metal
MT605 Fund entry pre-advice for
precious metal
Forex - Other features
System Maintained Tables

FX.HISTORY.TODAY

List of deals of the day

FX.SETL.TODAY

List of deals settled today
Forex Enquiries

Front office / Position enquiries

Forex Position
Complete details of currency-wise position

Forex Revaluation
Currency wise Un realised Profit / loss due to online revaluation

Spot Deals - Today

Displays list of all spot deals done today for all currencies

Forward Deals - Today

Details of all Forward deals done today

Swap Deals-Today
Details of all Forward deals done today
Forex Enquiries

Accounting enquiries

View Unauthorised Entries

Details of Unauthorised entries are available

View Transaction Entries

Details of all accounting entries passed

View Account Entries

Details of transaction recorded in the account statement

See PL Category Entries

Details of PL category entries

See Forward entries

List of forward entries of a particular transaction reference
Forex Reports

The system also provides comprehensive reporting facilities as

FX.EXCEPTIONS
Exception report showing deals that are not authorised by back office

FX.MATURITY
Maturity list of Contracts

FX.POSITIONS
Forex positions as A/L, Spot and Forward

FX.DELIVERY
Contracts with missing delivery instructions

FX.MATURED.DEL
Contracts that have matured and settled on the day of the report

FX.UNCONFIRMED
Contracts awaiting deal confirmation from broker / counterparty

REVALUATION.DET
Revaluation report of FX contingents with unrealised P/L for each contract
Forex Dependency Diagram

CUSTOMER BASIC.INTEREST FX.PARAMETERS

CATEGORY PERIODIC.INTEREST FX.REVAL.TYPE

ACCOUNT INTEREST.BASIS REVALUATION.PARAMETER

CURRENCY FORWARD.RATES FX.DEAL.METHOD

AGENCY NETTING.PARAMETERS
FT.COMMISSION.TYPE
CUSTOMER.CCY.ACCT
FT.CHARGE.TYPE FX.TRANSACTION.TYPE
NOSTRO.ACCOUNT
ACCOUNT.CLASS
FX.COMM.GROUP Forex
BROKER
SEC.ACC.MASTER
DEALER.DESK
LIMIT
FX.TEXT POS.TRANSACTION
COLLATERAL
FX.ACTIVITY FX.ORDER
DE.MESSAGE FX.HISTORY.TODAY
FX.SETL.TODAY
Summary

You have so far seen the

Dependencies and linkages between Forex module and T24 Core and other
applications

Main business features of the Forex module

Thank You

TEMENOS EDUCATION CENTRE

NOTICE
These training materials are the copyrighted work of Temenos Headquarters SA and other companies in the TEMENOS group of companies (The
Copyright Owner). The training materials contain protected logos, graphics and images. Use of the training materials is restricted solely for use by
licensed end users, partners and employees. Any un-licensed reproduction by any means, redistribution, editing, transformation, publishing, distribution,
or public demonstration of the training materials whether for commercial or personal gain is expressly prohibited by law, and may result in severe civil
and criminal penalties. Violators will be prosecuted to the maximum extent possible. Such training materials shall not be represented, extracted into or
included in part, or in whole, as part of any other training documentation without the express permission of the Copyright Owner, which must given in
writing by an authorised agent of the Copyright Owner to be valid. Where such permission is given a clear and prominent notice must be displayed on
any and all documentation accrediting the Copyright Owner with having copyright over the materials. End-user licenses will in no event contain
permissions extending the use of these training materials to third parties for commercial training purposes.

Without limiting the foregoing, copying or reproduction of the training materials in part or in whole to any other sever or location for further reproduction
or redistribution is expressly prohibited, unless such reproduction is expressly licensed by the Copyright Owner.
Copyright © 2010 Temenos Headquarters SA