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| − | <span style='font-size:11.0pt;line-height:115%;font-family:"Calibri","sans-serif"; | + | <span style='font-size:11.0pt;line-height:50%;font-family:"Calibri","sans-serif"; |
| | mso-fareast-font-family:"Times New Roman";mso-bidi-font-family:"Times New Roman"; | | mso-fareast-font-family:"Times New Roman";mso-bidi-font-family:"Times New Roman"; |
| | color:red;mso-ansi-language:PT-BR;mso-fareast-language:PT-BR;mso-bidi-language: | | color:red;mso-ansi-language:PT-BR;mso-fareast-language:PT-BR;mso-bidi-language: |
Edição das 17h23min de 5 de junho de 2015
Importações DDR e DLO
Importação R2 para DDR:
§ Cada linha deve ser quebrada em duas, uma
pra posição comprada e outra pra posição vendida.
§ 1º Registro:
§
Carteira:
Derivativo
§
Item
Carteira: D30
§
Posição:
Comprada
§ Se Indexador da posição Comprada for Selic ou DI:
§
Se
percentual do indexador = 100% -> Fator de Risco = 999
§
Se
percentual diferente de 100%: cria novo lançamento
§ Joga 100% no fator de risco 999
§ Joga a diferença (100 – Percentual) no
fator de risco JJ1 (risco pre), seguindo a seguinte
regra:
·
Se
percentual > 100%:
o
Carteira:
Passivo
o
Item
Carteira: P90
o
Posição:
Vendido
·
Se
percentual < 100%:
o
Carteira:
Ativo
o
Item
Carteira: A20
o
Posição:
Comprado
§
Se
indexador é um cupom de moeda (11 ao 17): cria novo
lançamento inserindo no fator de risco correspondente da moeda e vencimento
igual a data base.
§ 2º Registro:
§
Carteira:
Derivativo
§
Item
Carteira: D30
§
Posição:
Vendida
§ Se Indexador Selic
ou DI:
§
Se
percentual do indexador = 100% -> Fator de Risco = 999
§
Se
percentual diferente de 100%: cria novo lançamento
§ Joga 100% no fator de risco 999
§ Joga a diferença (100 – Percentual) no
fator de risco JJ1 (risco pre), seguindo a seguinte
regra:
·
Se
percentual > 100%:
o
Carteira:
Ativo
o
Item
Carteira: A90
o
Posição:
Comprado
·
Se
percentual < 100%:
o
Carteira:
Passivo
o
Item
Carteira: P10
o
Posição:
Vendido
§
Se
indexador é um cupom de moeda (11 ao 17): cria novo
lançamento inserindo no fator de risco correspondente da moeda e vencimento
igual a data base.
Importação R2 para DLO anterior a 2015:
§ Tipo de contraparte 3
(IF ligada)
§
Conta:
680.02
§ Se Derivativo de Crédito e a IF
transferidora do risco que detem o ativo subjacente,
então a operação não entra no DLO
§ Ponderação:
§
Se
contraparte 1, 4 ou 6 (BC, EMD, BNDES): Ponderação 0%
§
Se
contraparte 5 (BMF): Ponderação 2%
§
Se
Contraparte 2 (IF não ligada):
§ Se prazo menor que 90 dias: Ponderação 20%
§ Se prazo maior que 90 dias: Ponderação 50%
§
Outros:
Ponderação de 100%
§ Vai ser gerado 2
lançamentos, um de ganho potencial futuro e outro de valor de reposição
§ Lançamento do Valor de reposição:
§
Se
for operação de cambia: conta 570.05
§
Se
Não é um derivativo de crédito: Conta 530.07
§
Outros:
Conta 530.16
§ Lançamento do ganho potencial futuro:
§
Se
for operação de cambio:570.07
§
Se
Não é um derivativo de crédito: Conta 530.08
§
Se
a IF é receptora de risco: Conta 530.18
§
Outros:
Conta 530.17
§
Calculo
do FEPF (conversão) no final do documento
§ Se a IF não for receptora do risco e
contraparte diferente de 1,4,5,6 - entra no calculo do
CVA:
§
Sistema
faz um novo lançamento na conta auxiliar 695-A.
§
Para
maiores explicações sobre o calculo do CVA olhar o
documento BAS - Calculo CVA.docx
Importação R2 para DLO após 2015:
§ Tipo de contraparte 3
(IF ligada) ou Derivativo de Crédito e a IF transferidora do risco que detém o
ativo subjacente, então a operação não entra no DLO
§ Ponderação:
§
Se
contraparte 1(BC): Ponderação 004 - 0%
§
Se
contraparte 4 ou 6 (EMD, BNDES): Ponderação 008 - 0%
(com exceção das contas 530.07 e 530.08)
§
Se
contraparte 5 (BMF): Ponderação 011 - 2%
§
Se
Contraparte 2 (IF não ligada):
§ Se prazo menor que 90 dias: Ponderação 024
- 20% (com exceção das contas 570.05 e 570.07)
§ Se prazo maior que 90 dias: Ponderação 051
- 50%
§
Outros:
Ponderação 101 - 100%
§ Vai ser gerado 2
lançamentos, um de ganho potencial futuro e outro de valor de reposição
§ Lançamento do Valor de reposição:
§
Se
Não é um derivativo de crédito: Conta 530.07
§
Outros:
Conta 530.16
§ Lançamento do ganho potencial futuro:
§
Se
Não é um derivativo de crédito: Conta 530.08
§
Se
a IF é receptora de risco: Conta 530.18
§
Outros:
Conta 530.17
§
Calculo
do FEPF (conversão) no final do documento
§ Se a IF não for receptora do risco e
contraparte diferente de 1,4,5,6 - entra no calculo do
CVA:
§
Sistema
faz um novo lançamento na conta auxiliar 695-A.
§
Para
maiores explicações sobre o calculo do CVA olhar o
documento BAS - Calculo CVA.docx
§ Caso a contraparte seja Fundo Proprietário:
§
2061
- Ignorar a operação (pois a contraparte é um IF Ligada)
§
2071
- Alocar nas contas do ativo objeto (alocação normal nas contas descritas
acima)
§ Caso a operação seja de um fundo
Proprietário
§
2061
- Alocar normalmente nas contas de risco do ativo Objeto (com tanto que a
contraparte não seja IF Ligada)
§
2071
- Alocar na conta 530.13 (conta de Fundo)
