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PURPOSE
This document describes how the utilization are calculated for the various financial products.
WHY IS THIS IMPORTANT?
This allows users to verify the methodology used by CS Lucas to compute the facility utilization.
FORMULA
The utilization for various financial products are calculated below:
Money Market
As at Date = 15 Feb 2003
Term Loan
As at Date = 15 Feb 2003
Foreign Exchange Outright (Same as Non Deliverable Forwards)
As at Date = 15 Feb 2003
Note
The computation of utilization is based on TDate (Trade Date).
Buy Transactions uses the Buy Ccy and Buy Amount as the Utilization Ccy and Utilization Amount.
Sell Transactions uses the Sell Ccy and Sell Amount as the Utilization Ccy and Utilization Amount.
Foreign Exchange Swap (Same as Non Deliverable Forwards)
Foreign Exchange Swaps are booked in the system as a pair of FX Outright at inception (Trade Date). For determining the utilization, the system ignores the Near Leg of the swap.
Based on the far leg, the system determines the utilization based on the following. The trade date is the date when the FX Swap was put in place.
As at Date = 15 Feb 2003
Note
The computation of utilization is based on TDate (Trade Date).
Buy Transactions uses the Buy Ccy and Buy Amount as the Utilization Ccy and Utilization Amount.
Sell Transactions uses the Sell Ccy and Sell Amount as the Utilization Ccy and Utilization Amount.
Non Deliverable Forward (Same as FX Outrights)
As at Date = 15 Feb 2003
Note
The computation of utilization is based on TDate (Trade Date).
Buy Transactions uses the Buy Ccy and Buy Amount as the Utilization Ccy and Utilization Amount.
Sell Transactions uses the Sell Ccy and Sell Amount as the Utilization Ccy and Utilization Amount.
Currency Option
As at Date = 15 Feb 2003
Interest Rate Swap
Utilization Currency Pay Currency
Utilization Amount Pay Currency Notional Principal Amount prevailing at the Date of
determination
Contingent Liability
As at Date = 15 Feb 2003
Note
The computation of utilization is based on Start Date and limit releases on Claim Date.
Limit Currency, Utilization Currency may be different. How does the system compute the product available amount?
The system uses the enterprise default currency (EDCcy) is the reference currency. The EDCcy is fixed. (Check with CS Lucas or your administrator if you need to know the enterprise default currency).
To product available amount is computed as follows:
• Compute the limit and sub limit amount to the EDCcy using the last prevailing exchange. (L)
• Compute the sum all the utilization according to the currency and product. Compute the total amount to the EDCcy (UP) by product.
• Compute the Gross Product Available (GPA) = L – UP.
• Compute the Facility availability (FA) across all product.
• The Net Product (NPA) is the lower of GPA and FA.
• Compute the NPA in the available currency using prevailing rate.
The above is illustrated in the following table.
The product availability can then be expressed in any availability currency by converting it at prevailing rate.
CHANGE HISTORY
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