2.10 Product Code - FRN9

FRN9 Forward Rate Agreement Trade Buy Product.

Business Scenario

Interest Rate Derivative Instrument FRN9 is parameterized with following features.

Synopsis (ex. high level features etc.)

• It is an Over the Counter (OTC) Interest Rate Derivative Instrument.
• Perform Buy operation of FRA Trade Deals.
• Banks, Primary Dealers, Financial Institutions are the main participants.
• Principal is a notional amount.
• Net interest payments happen on agreed settlement date based on contract (fixed) and the settlement rate.

Detailed Coverage

FRN9 Derivative Instrument is meant for Forward Rate Agreement Trade Buy Deal. Product covers the following features::

Table 2-40 Detailed Coverage

Features	Type
Types of the Deal covered	Buy Deal
Types of the Contract Covered	Trade Deal
Payment Method Covered	30-US/360 – Per Annum Basis
Revaluation Covered	Branch Rate Revaluation of Deal
Amortization	Amortization of Inception Gain/Loss
Limit Tracking	Notional Limit Tracking Fair Value Limit Tracking Risk Weighted Limit Tracking
Interest Settlement	Net Interest Settlement
Termination of Deal	Pre - Termination
Interest Rate details	Floating Rate Interest Fixed Rate Interest

Events Covered

Product FRN9 has the Life Cycle of derivatives as listed below:

Table 2-41 Events Covered

Events Covered	Terminology
DBOK	Derivative Deal Booking
DINT	Derivative Deal Initiation
DCON	Derivative Deal Confirmation
DLIQ	Derivative Deal Liquidation
DRRL	Derivative Revaluation Reversal
DAMN	Derivative Contract Amendment
DRVS	Derivative Contract Reversal
DRVN	Derivative Contract Rate Revision
DIAM	Contract Inception Amortization
DTER	Derivative Contract Termination
DRVL	Derivative Contract Revaluation
DTRB	Booking of Termination Date

Advices Supported

Following Advices setup done in the ITN7 Product as part of Product Life Cycle:

Table 2-42 Supported Advices in ITN7

Advices	Description
DV_FRA_CONF	FRA Confirmation
DV_FRA_TRMN	FRA Termination
DV_FRA_AMND	FRA Amendment
REVSWIFT	Cancellation of Contract
DV_ASSIGN_1	Assignment Adv to Deal Party
DV_RATE_RESET	DV_ASSIGN_2

Messages

Following SWIFT Messages setup done in the FRA1 product as part of product life cycle.

Table 2-43 SWIFT Messages

SWIFT Messages	Contract Field
MT 340	FRA Contract Confirmation
MT 340	FRA Amendment
MT 341	FRA Rate Reset
MT 340	FRA Termination
MT 900	Debit Message
MT 910	Credit Message
MT 202	Bank Transfer

Interest / Charges / Commission and Fees

Interest

In FRN9 product two Interest components are parameterized

• DV_INT_IN - Derivative In Leg Interest Component Floating
• DV_INT_OUT- Derivative Out Leg Interest Component Fixed

Charges

In FRN9 product, the DV_BK_CHRG- Derivative Booking Charge components can be parametrized.

Special/Other Features

Brokerage

FRN9 product is parametrized to handle Brokerage feature.

Other Features

Apart from the above mentioned features, below are some features which can be parametrized.

Table 2-44 Other Features

Features	Parameters
Revaluation	Contract Rate Branch Rate
Interest Calculation Basis	Numerator 30-Euro 30-US Actual 30-ISDA 30-PSA Actual-Japanese Denominator 360 365 Actual

Additional information (ex. UDF and other Special Maintenance)

UDF Maintenance

As part of FRN9 Product Setup there is option available to capture other details about the deal or the parties involved using UDF Maintenance.

Other Special Maintenance

Following are the Maintenance Required in OBTR to use the IRS1 product for Derivative Forward Deals.

• Derivative Branch Parameter
• General Ledger Parameter
• Interest and Charges Parameter
• Journal Entry Parameter
• Messaging Parameter
• Local Holidays
• Derivative Batch Maintenance
• Derivative Type Maintenance
• Master Agreement
• Messaging Party Maintenance
• Limit Processing
• Charge Class