2.12 Product Code - CCSM
CCSM – CCS type derivatives
Business Scenario
Derivatives product CCSM is parametrized with following features:
Synopsis (ex. high level features etc.)
- Cross currency swap
- Asynchronous schedules
- Payment method arrears
- Without Interest netting for in leg and out leg
- Exchange Required
- Resettable cross currency
Detailed Coverage
This Derivative Instrument is meant for Negative Interest Rate Swap Trade Buy Deal. Product covers the following features:
Table 2-50 Detailed Coverage
Features | Type |
---|---|
Types of the product | Cross Currency Swap |
Types of the Accrual Covered | Daily Accrual |
Liquidation |
|
Interest Rate details |
|
Schedule |
|
Maturity Type | Fixed Maturity |
Forward Date Deal | Forward Date Deal allowed |
Events Covered
Product CCSM has the Life Cycle of derivatives as listed below:
Table 2-51 Events Covered
Events Covered | Terminology |
---|---|
DAMN | Derivative Contract Amendment |
DBOK | Derivative Deal Booking |
DCON | Derivative Deal Confirmation |
DIAC | Contract Interest Accrual |
DIAM | Contract Inception Amortization |
DILQ | Contract Interest Liquidation |
DINT | Contract Initiation |
DPLQ | Contract Principal Liquidation |
DPRS | Derivatives Principal Reset |
DRVS | Contract Reversal |
DTAM | Contract Termination Amortization |
DTER | Contract Termination |
DTRB | Contract Pre-Termination |
EXRR | Derivatives External Revaluation Reversal |
EXRV | Contract External Revaluation |
Advices Supported
Following Advices setup done in the CCSM Product as part of Product Life Cycle:
Table 2-52 Supported Advices
Advices | Description |
---|---|
PAYMENT_MESSAGE | Payment Message |
DV_CCS_AMND | CCS Amendment |
DV_CCS_CONF | CCS Contract Confirmation |
DV_CCS_TKT | CCS Deal Ticket |
DV_CCS_TRMN | CCS Termination |
DV_RATE_RESET | Rate Reset |
REVSWIFT | Cancellation of Contract |
Interest / Charges / Commission and Fees
Interest
- CCSM product is parametrized with following Interest component.
- DV_INT_6- Derivatives interest
- DV_INT_6_N- Derivatives interest (Negative)
- DV_INT_7 -DV interest out
- DV_INT_7_N- DV interest out (Negative)
Special/Other Features
Other Features
Apart from above mentioned features following other features can parametrized
- Interest Calculation Basis – ACTUAL/ACTUAL
Additional information (ex. UDF and other Special Maintenance)
Other Special Maintenance
Following are the Maintenance Required in OBTR to use the CCSM product for Derivative Forward Deals.
- Derivative Branch Parameter
- Treasury Branch Parameter
- Treasury Messaging Parameter
- Local Holidays
- DV Batch Maintenance
- Floating Rate Maintenance
- Treasury Interest Class Maintenance
- Currency Exchange rate
Parent topic: Product Catalog - Treasury Derivatives