10.10 Product Code- SRHC

SRHC – SR -SR RFR SONIA – Reverse Repo - Floating Rate

Business Scenario

SRHC is configured with Risk Free rates where rates are published based on the percentile and Volume of Transactions. For RFR Interest re-computation is required to be done daily. Security Reverse Repo SRHC is parametrized with following features.

Synopsis (ex. High level features etc.)

• Short Term Debt instrument.
• It is backed by collateral of securities.
• The instrument is issued at a Bearing.
• SRHC product is configured with Alternate Risk Free Rate preference as Lookback Method but it can be changed to below combination methods as well:
  • Lockout & Payment Delay
  • Lookback & Payment Delay
  • Lockout
  • Lookback, Lockout, and Payment Delay
• SRHC product has a minimum and maximum rates configured

Detailed Coverage

SRHC Securities Reverse Repo covers the following features,

Table 10-29 Detailed Coverage

Detailed Coverage	Description
Type of the Product	Reverse Repo
Payment Method Covered	Bearing Payment
Accrual Covered	Daily Accrual
Liquidation	Auto Interest Liquidation Auto Principal Liquidation
Rollover of Deal	New Version Rollover
Interest Rate details	Floating Rate Interest
Schedule	Interest Schedule Principal Schedule
Maturity Type	Fixed Maturity
Forward Date Deal	Forward Date Deal allowed

Events Covered

Product SRHC has the Life Cycle of Commercial Paper as listed below:

Table 10-30 Events

Events Covered	Terminology
BOOK	Booking of contract
INIT	Contract Initiation
LIQD	Contract Liquidation
ROLL	Rollover of Contract
REVC	Contract Reversal
CAMD	Contract Amendment
CONF	Confirmation of contract
REAS	Reassign User
REVP	Reversal of Payment
VAMB	Value Dated Amendment Booking
ACCR	Contract Accrual
FACR	Fee Accrual
FELR	Fee Liquid
NOTC	Billing Notice Generation
SGEN	Settlement Message Generation
STCH	Status Change

Advices Supported

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

Table 10-31 Advices

Advices	Description
SWIFT_MESSAGE	MT320,330, MT350
PAYMENT_MESSAGE	Payment Message

Messages

Following SWIFT Messages setup done in the SRHC product as part of product life cycle:

Table 10-32 SWIFT Messages

SWIFT Messages	Contract Field
MT 320	Fixed Contract Confirmation
MT 350	Deposit Interest Payment Advice
MT 210	Payment Message
MT 335	Call/Notice Rate Change Advice

Generic Features

Repo Product SRFD features includes:

• Deal Booking
• Forward date Deal Allowed
• Holiday period treatment
• Counterparty Confirmation
• Capturing of UDE values
• Liquidation of Deal– Auto / Manual
• Deal Amendment
• Reversal of Deal
• Floating Rate Interest
• IAS 39 Based Accrual
• Partial Liquidation of the deal
• Interest Schedule
• Fixed Maturity

Interest / Charges / Commission & Fees

Interest

In SRHC product is parametrized with following Interest component. SR_RFGBP– interest class

Special/Other Features

Other Features

Apart from above mentioned features following other features can be parametrized

• Interest Calculation Basis – Actual/Actual

Additional information (ex. UDF & other Special Maintenance)

As part of SRHC 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 above product for Security Repo Deals.

• SR Branch Parameter
• Messaging Parameter
• Local Holidays
• SR Batch Maintenance
• Floating Rate Maintenance
• Interest Class Maintenance
• RFR Rate Input