In this topic we will see how the details of actual ET instruments, traded in the market can be captured using the ETD module of Oracle Banking Treasury Management.
Example I - One Month Euribor Futures
Below are some samples:
Table 4-14 One Month Euribor Futures
| Function | Value |
|---|---|
| Contract Standard | The European Interbank Offered Rate (EURIBOR) for one-month euro time deposits. |
| Contract Value | EUR 3,000,000 |
| Settlement | Cash Settlement, payable on the first exchange trading settlement day immediately following the Last Trading Date. |
| Price Determination | In percent, with three decimal places, expressed as 100 minus the going rate of interest. |
| Minimum Price Change | 0.005 percent, equivalent to a value of EUR 12.50. |
| Maturity Months | The six nearest calendar months. The longest term available is therefore six months. |
| Last Trading Day – Final Settlement Day | Two exchange trading days prior to the third working Wednesday of the respective settlement month, provided that on that day the FBE/ACI has determined the reference interest rate EURIBOR pertaining to one-month euro time deposits; otherwise, the preceding day. Trading in the maturing contract ceases at 11:00 am CET. |
| Daily Settlement Price | The volume-weighted average price of the last five trades of the day, provided they are not older than 15 minutes; or, if more than five trades have occurred during the final minute trading, then the volume weighted average price of all trades that occurred during that final minute. If such a price cannot be determined, or if the price so determined does not reasonably reflect prevailing market conditions, then Eurex will establish the official settlement price. |
| Final Settlement Price | Eurex establishes the final settlement price at 11:00 am CET on the last trading day based on the reference interest rate (EURIBOR) for one-month euro time deposits as determined by FBE/ACI. To fix the Final Settlement Price, the EURIBOR rate is rounded to the nearest price interval (0.005, 0.01 or multiple thereof) and is then subtracted from 100 |
| Trading Hours | 8.45 am until 7.00 pm CET. |
In Oracle Banking Treasury Management
To fit this requirement in Oracle Banking Treasury Management you have to specify the following details in the Instrument Definition screen:
Table 4-15 Instrument Definition
| Field | Value |
|---|---|
| Product Code | FEU1 |
| Option/Future | Future |
| Asset Type | Time Deposit |
| Physical Settlement | Yes |
| Settle Before Expiry | Yes |
Table 4-16 Instrument Details
| Field | Value |
|---|---|
| Reference | 000FEU100123 |
| Instrument | 1-Month-Euribor-TimeDeposit- Future |
| Nature of Asset | Real |
| Asset Currency | EUR |
| Contract Size | 1 |
| Contract Size Unit | Deposit |
| Contract Value | 3000000 |
| Pricing Currency | EUR |
| Pricing Size | 1 |
| Pricing Size Unit | Deposit/30000 |
| Pricing Unit Multiple | 30000 |
| Precision | 3 |
| Minimum Price Movement | 0.005 |
Table 4-17 Underlying Asset Details
| Field | Value |
|---|---|
| Underlying Asset | ETD (1-Month-Euribor-TimeDeposit) |
| Pricing Size | 1 |
| Pricing Size Unit | Deposit / 30000 |
| Pricing Unit Multiple | 30000 |
| Price Code | EUREX |
Table 4-18 Example II – Option on Three month Euribor Futures
| Function | Value |
|---|---|
| Contract Standard | Three-Month EURIBOR Futures. The nominal value of one futures contract is EUR 1,000,000. |
| Contract Value | One Three-Month EURIBOR Futures contract. |
| Settlement | The exercise of a Three-Month EURIBOR Futures option results in the creation of a corresponding Three-Month EURIBOR Futures position for the buyer as well as the seller to whom the exercise is assigned. The position is established after the Post-Trading Period of the exercise day, and is based on the agreed exercise price. |
| Price Determination | In points, with three decimal places. |
| Minimum Price Change | 0.005 of a point, equivalent to a value of EUR 12.50. |
| Last Trading Day | Two exchange trading days prior to the third Wednesday of the respective settlement month, provided that on that day the FBE/ACI has determined the reference interest rate EURIBOR pertaining to three-month euro time deposits; otherwise, the preceding day. Trading in the maturing contract ceases at 11:00 a.m. CET. |
| Daily Settlement Price | The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price. |
| Exercise | American style, i.e. an option can be exercised up to the end of the Post-Trading Period on any exchange trading day during the lifetime of the option. |
| Expiration Months | The next four months within the cycle March, June, September and December; i.e. options contracts are available with a lifetime of 3, 6, 9 and a maximum of 12 months. The maturity month of the underlying futures contract and the expiration month of the option are identical. |
| Exercise Value | Options series have exercise prices with intervals of 0.10 of a point (e.g. 96.40, 96.50, 96.60). Twenty-one exercise prices are introduced initially for each expiration month. |
| Option Premium | The premium is settled using the ‘futures-style’ method. |
| Trading Hours | 8:30 a.m. until 7:00 p.m. CET. |
In Oracle Banking Treasury Management
To fit this requirement in Oracle Banking Treasury Management you have to specify the following details in the Instrument Definition screen:
Table 4-19 Instrument Definition
| Field | Value |
|---|---|
| Product Code | OEU3 |
| Option/Future | Option |
| Asset Type | Interest Rate Future |
| Physical Settlement | Yes |
| Settle Before Expiry | Yes |
Table 4-20 Instrument Details
| Field | Value |
|---|---|
| Reference | 000OEU300123 |
| Instrument | Option on Three-Month EURIBOR Futures contract. |
| Nature of Asset | Contingent |
| Asset Currency | EUR |
| Contract Size | 1 |
| Contract Size Unit | Future Contract |
| Contract Value | One Three-Month EURIBOR Futures contract. |
| Pricing Currency | EUR |
| Pricing Size | 1 |
| Pricing Size Unit | Future Contract / 30000 |
| Pricing Unit Multiple | 30000 |
| Precision | 3 |
| Minimum Price Movement | 0.005 |
| Contract Standard | Three-Month EURIBOR Futures. The nominal value of one futures contract is EUR 1,000,000. |
Table 4-21 Underlying Asset Details
| Field | Value |
|---|---|
| Underlying Asset | One Three-Month EURIBOR Futures contract. |
| Pricing Size | 1 |
| Pricing Size Unit | Future Contract / 30000 |
| Pricing Unit Multiple | 30000 |
| Price Code | EUREX |
Example III – Equity Options on German Shares
Below shows example for equity options on German shares.
Table 4-22 Equity Options on German Shares
| Function | Value |
|---|---|
| Contract Size | Contracts are generally based on 100 shares of the underlying instrument. However, for shares with a nominal or calculated value of DEM 50 or equivalent in euro, the contract size is 10 shares. Options on Munich Re and Allianz have a contract size of 50 shares. |
| Minimum Price Change | The minimum price change for options is EUR 0.01. In the case of options on shares with a nominal value of DEM 50, price changes of DEM 0.1 are possible. |
| Settlement | Physical delivery of 10, 50, or 100 shares, respectively, of the underlying security. |
| Settlement Day | Two exchange trading days after exercise. |
| Last Trading Day | The third Friday of the expiration month, if this is an exchange trading day; otherwise, the exchange trading day immediately preceding that Friday. |
| Daily Settlement Price | The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price. |
| Exercise | American style, i.e. an option can be exercised until 18:30 on any exchange trading day during the lifetime of the option, except on days where resolutions regarding dividends take place. |
| Expiration Months | Group A shares: the three nearest calendar months, as well as the following two months within the cycle March, June, September and December thereafter (i.e. up to a maximum lifetime of 9 months). Group B shares: the three nearest calendar months, as well as the following three months within the cycle March, June, September and December thereafter (i.e. up to a maximum lifetime of 12 months). Group C shares: the three nearest calendar months, as well as the following three months within the cycle March, June, September and December thereafter, and the following two months within the cycle June and December thereafter (i.e. up to a maximum lifetime of 24 months). |
| Exercise Price | Options series may have the following exercise prices: Shares with a nominal or calculated value of DEM 50 Shares with a nominal or calculated value of DEM 50 |
| Underlying Instruments | Eurex equity options on German shares are traded in the following groups according to their expiration months: |
Table 4-23 Exercise Price Intervals
| Exercise Prices | Exercise Price Intervals |
|---|---|
| EUR 1 to EUR 20 | EUR 1 |
| EUR 22 to EUR 50 | EUR 2 |
| EUR 52,50 to EUR 100 | EUR 2,50 only the two next expiration months |
| EUR 55 to EUR 100 | EUR 5 |
| EUR 110 to EUR 200 | EUR 10 |
| EUR 220 to EUR 500 | EUR 20 |
| EUR 525 to EUR 1.000 | EUR 25 only the two next expiration months |
| EUR 550 to EUR 2.000 | EUR 50 |
| EUR 2.100 and above | EUR 100 |
Shares with a nominal or calculated value of DEM 5 and DEM10 or equivalent in euro:
Table 4-24 Exercise Price Intervals
| Exercise Prices | Exercise Price Intervals |
|---|---|
| EUR 1 to EUR 20 | EUR 1 |
| EUR 22 to EUR 50 | EUR 2 |
| EUR 52,50 to EUR 100 | EUR 2,50 only the two next expiration months |
| EUR 55 to EUR 200 | EUR 5 |
| EUR 210 and beyond | EUR 10 |
For each expiration month, there are at least three call and three put series, providing an in the money, at-the money and out-of-the-money exercise price. For options contracts with lifetimes of 18 or 24 months (XXL Options), the exercise price intervals are doubled.
Table 4-25 Expiration Months
| Group A | Group B | Group C |
|---|---|---|
| 1, 2, 3, 6 and 9 months | 1, 2, 3, 6, 9 and 12 months | 1, 2, 3, 6, 9, 12, 18 and 24 months |
| NA | NA | NA |
Shares with a (calculated) nominal value of DEM 5 or equivalent in euro:
Table 4-26 Nominal Value
| Group A | Group B | Group C |
|---|---|---|
| Adidas (ADS) | Bay. Hypo- und Vereinsbank (HVM) | Allianz-Holding (ALV) |
| Degussa Hüls (DHA) | Dresdner Bank (DRB) | BASF (BAS) |
| Henkel Vz. (HEN3) | Lufthansa (LHA) | Bayer (BAY) |
| Metro (MEO) | Mannesmann (MMN) | Commerzbank (CBK) |
| Münchener Rück- versicherung (MUV2) | RWE (RWE) | Daimler Chrysler DCX) |
| SAP Vz. (SAP3) | Thyssen Krupp (TKA)* | Deutsche Bank (DBK) |
| Schering (SCH) | - | Deutsche Telekom (DTE) |
| - | - | Hoechst (HOE) |
| - | - | Siemens (SIE) |
| - | - | VEBA (VEB) |
| - | - | VW (VOW) |
| Münchener Rückversicherung (MVUZ) | - | - |
Shares with a nominal or calculated value of DEM 50 or equivalent in euro:
Table 4-27 Field Value
| Field | Value |
|---|---|
| Karstadt (KAR) | BMW (BMW) |
| Linde (LIN) | Preussag (PRS) |
| MAN (MAN) | VIAG (VIA) |
Table 4-28 Field Value
| Field | Value |
|---|---|
| Trading Hours (CET) | 9:00 a.m. until 5:00 p.m. CET. All equity options are subject to mandatory market making. |
| Option Premium | Payable in full on the exchange trading day immediately following the trade date. |
In Oracle Banking Treasury Management
The details that you specify in the Instrument Definition screen should be as follows:
Table 4-29 Instrument Definition
| Field | Value |
|---|---|
| Product Code | OTSK |
| Option/Future | Option |
| Asset Type | Equity |
| Physical Settlement | Yes |
| Settle Before Expiry | Yes |
Table 4-30 Instrument Details
| Field | Value |
|---|---|
| Reference | 000OTSK00123 |
| Instrument | Option on Allianz -Holding (ALZ) |
| Nature of Asset | Real |
| Asset Currency | EUR |
| Contract Size | 100 |
| Contract Size Unit | Shares |
| Call Put Indicator | Call |
| Pricing Currency | EUR |
| Pricing Size | 1 |
| Pricing Size Unit | Share |
| Pricing Unit Multiple | 100 |
| Precision | 2 |
| Minimum Price Movement | 0.01 |
| Money Settlement Days | 1 |
| Physical Settlement days | 2 |
| Contract Standard | 100 Shares of Allianz-Holding of par value 5 DEM each (or equivalent in EUR) |
Table 4-31 Underlying Asset Details
| Field | Value |
|---|---|
| Underlying Asset | Allianz-Holding |
| Pricing Size | 1 |
| Pricing Size Unit | Share |
| Pricing Unit Multiple | 100 |
| Price Code | FSE |
Table 4-32 Example IV Dax® Futures
| Function | Value |
|---|---|
| Contract Standard | The Deutscher Aktienindex (DAX ). |
| Contract Value | EUR 25 per DAX index point. |
| Settlement | Cash settlement based on the Final Settlement Price, payable on the first exchange trading day following the Last Trading Day. |
| Price Determination | In points, with one decimal place. |
| Minimum Price Change | 0.5 of a point, equivalent to a value of EUR 12.50. |
| Maturity Months | The three successive quarterly months within the cycle March, June, September and December. |
| Last Trading Day | The third Friday of each maturity month, if this is an exchange trading day; otherwise, the exchange trading day immediately preceding that Friday. Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET. |
| Daily Settlement Price | The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price. |
| Final Settlement Price | The value of the DAX , determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day, as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET. |
| Trading Hours | 8:25 a.m. until 5:00 p.m. CET. |
To fit this requirement in Oracle Banking Treasury Management you have to specify the following details in the Instrument Definition screen:
Table 4-33 Instrument Definition
| Field | Value |
|---|---|
| Product Code | FDAX |
| Option/Future | Future |
| Asset Type | Index |
| Physical Settlement | No |
| Settle Before Expiry | Yes |
Table 4-34 Instrument Details
| Field | Value |
|---|---|
| Reference | 000FDAX00123 |
| Instrument | DAX-Future |
| Nature of Asset | Real |
| Asset Currency | EUR |
| Contract Size | 1 |
| Contract Size Unit | Point |
| Contract Value | EUR 25 per DAX ® index point |
| Pricing Currency | EUR |
| Pricing Size | 1 |
| Pricing Size Unit | Point |
| Pricing Unit Multiple | 25 |
| Precision | 1 |
| Contract Standard | The Deutscher Aktienindex (DAX ® ). |
Table 4-35 Underlying Asset Details
| Field | Value |
|---|---|
| Underlying Asset | The Deutscher Aktienindex (DAX ® ). |
| Pricing Size | 1 |
| Pricing Size Unit | Point |
| Pricing Unit Multiple | 25 |
| Price Code | DAX-5:30 Quote |
Table 4-36 Example V- Dax® Futures
| Function | Value |
|---|---|
| Contract Standard | The Deutscher Aktienindex (DAX). |
| Contract Value | EUR 5 per DAX index point. |
| Settlement | Cash settlement, payable on the first exchange trading day following the Last Trading Day. |
| Price Determination | In points, with one decimal place. |
| Minimum Price Change | 0.1 of a point, equivalent to a value of EUR 0.50. |
| Last Trading Day | The third Friday of each maturity month, if this is an exchange trading day; otherwise, the exchange trading day immediately preceding that Friday. Trading ceases at the start of the call phase of the Intraday Auction on the electronic trading system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET. |
| Daily Settlement Price | The last traded price of the trading day; or, if the last traded price is older than 15 minutes or does not reasonably reflect the prevailing market conditions, then Eurex will establish the official settlement price. |
| Final Settlement Price | The value of the DAX, determined on the basis of the aggregate prices of the DAX component shares on the Last Trading Day, as determined in the Intraday Auction on the electronic system of the Frankfurt Stock Exchange (Xetra ), at 1:00 p.m. CET. |
| Exercise | European style, i.e. an option may only be exercised on the Last Trading Day of the respective option series, up to the end of the Post-Trading Period. |
| Expiration Months | The three nearest calendar months, the three following months within the cycle March, June, September and December thereafter, as well as the two following months of the cycle June and December thereafter; i.e. options contracts are available with a lifetime of 1, 2, 3, max 6, max 9, max 12, as well as max 18 and max 24 months. |
| Exercise Price | Exercise price intervals for DAX(r) Options are given. |
Table 4-37 Expiration Months
| Expiration months with a remaining term up to | Number of exercise prices | Exercise price intervals, in Index Points |
|---|---|---|
| 9 months | 9 | 50 |
| 12 months | 5 | 100 |
| 24 months | 5 | 200 |
At least five exercise prices are introduced initially for each expiration month.
Table 4-38 Field Value
| Field | Value |
|---|---|
| Option Premium | The EUR equivalent of the premium in points is payable in full, on the first exchange trading day following the trade date. |
| Trading Hours (CET) | 8:25 a.m. until 5:00 p.m. |
In Oracle Banking Treasury Management
The details that you specify in the Instrument Definition screen should be as follows:
Table 4-39 Field Value
| Field | Value |
|---|---|
| Product Code | ODAX |
| Option/Future | Option |
| Asset Type | Index |
| Physical Settlement | No |
| Settle Before Expiry | Yes |
Table 4-40 Instrument Details
| Field | Value |
|---|---|
| Reference | 000ODAX00123 |
| Instrument | DAX-Option |
| Nature of Asset | Real |
| Asset Currency | EUR |
| Contract Size | 1 |
| Contract Size Unit | Point |
| Contract Value | EUR 5 per DAX index point |
| Call Put Indicator | Call |
| Pricing Currency | EUR |
| Pricing Size | 1 |
| Pricing Size Unit | Point |
| Pricing Unit Multiple | 5 |
| Precision | 1 |
| Minimum Price Movement | 0.1 |
| Money Settlement Days | 1 |
| Physical Settlement days | 2 |
| Contract Standard | The Deutscher Aktienindex (DAX ®) |
Table 4-41 Underlying Asset Details
| Field | Value |
|---|---|
| Underlying Asset | The Deutscher Aktienindex (DAX ® ). |
| Pricing Size | 1 |
| Pricing Size Unit | Point |
| Pricing Unit Multiple | 5 |
| Price Code | DAX-Daily-5.30 |
Parent topic: Instrument Definition
