2.13 Product Code - RFDV
RFDV – RFR-SOFR Interest Rate Swap Trade Buy Product.
Business Scenario
RFDV 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. Derivatives Instrument RFDV is parametrized with following features.
Synopsis (ex. high level features etc.)
It is an Over the Counter Options (OT) Interest Rate Derivative Instrument.
Perform Trade Buy operation of IRS.
Banks, Primary Dealers, and, Financial Institutions are the main participants.
Contract involves exchange of fixed to float rates of interest.
It is a contract between two parties exchanging or swapping a stream of interest payments for a notional principal amount on multiple occasions during a specified period.
This instrument product supports risk free rates and supports all arrear Methods.
- Lookback and Lockout
- Lookback, Lockout, and Payment Delay
Detailed Coverage
RFDV Derivative Instrument is meant for Forward Rate Agreement Trade Buy Deal. Product covers the following features:
Table 2-53 Detailed Coverage
Features | Type |
---|---|
Types of the deal covered | Buy Deal |
Types of the Contract Covered | Trade Deal |
Payment Method Covered | Actual/365 – Per Annum Basis |
Revaluation Covered | Fair Value Revaluation of Deal |
Amortization | Amortization of Termination Gain/Loss |
Limit Tracking |
|
Interest Settlement | Net Interest Settlement |
Termination of Deal | Pre - Termination |
Interest Rate details |
|
Events Covered
Table 2-54 Events Covered
Events Covered | Terminology |
---|---|
DBOK | Derivative Deal Booking |
DINT | Derivative Deal Initiation |
DILQ | Contract Interest Liquidation |
DRRL | Derivative Revaluation Reversal |
DAMN | Derivative Contract Amendment |
DIAM | Derivative Contract Inception Amortization |
DRVS | Derivative Contract Reversal |
DRVN | Derivative Contract Rate Revision |
DTER | Contract Termination |
DTRB | Contract Pre-Termination |
DPLQ | Derivative Principal Liquidation |
Advices Supported
Following Advices setup done in the RFDV Product as part of Product Life Cycle:
Table 2-55 Supported Advices
Advices | Description |
---|---|
DV_IRS_TRMN | IRS Termination |
DV_IRS_AMND | IRS Amendment |
DV_IRS_CONF | IRS Contract Confirmation |
DV_ASSIGN_1 | Assignment Adv to Deal Party |
DV_ASSIGN_2 | Assignment Adv to Assigning Party |
Messages
Table 2-56 SWIFT Messages
SWIFT Messages | Contract Field |
---|---|
MT 360 | IRS Contract Confirmation |
MT 360 | IRS Amendment |
MT 364 | IRS Termination |
MT 900 | Debit Message |
MT 910 | Credit Message |
MT 202 | Bank Transfer |
Interest / Charges / Commission and Fees
Interest
In RFDV product two Interest components are parametrized
- DV_RFR_CO- Derivative In Leg Interest Component Floating
- DV_CO_OUT- Derivative Out Leg Interest Component Fixed
Special/Other Features
Other Features
Apart from above mentioned features following other features can parametrized
Table 2-57 Other Features
Features | Parameters |
---|---|
Revaluation |
|
Interest Calculation Basis | Numerator
Denominator
|
Additional information (ex. UDF and other Special Maintenance)
Other Special Maintenance
- Derivative Branch Parameter
- General Ledger Parameter
- Interest & Charges Parameter
- Journal Entry Parameter
- Messaging Parameter
- Local Holidays
- DV Batch Maintenance
- DV Type Maintenance
- Master Agreement
- Messaging Party Maintenance
- Limit Processing
- Charge Class
- Tax Scheme Class
Parent topic: Product Catalog - Treasury Derivatives