6.2 Product Code - IDVR
IDVR – Islamic Rate Derivatives Swap
Business Scenario
Profit Rate Derivatives Swap is parametrized with below mentioned features.
Synopsis (ex. High level features etc.)
- It is an Islamic Derivative swap.
- Perform Trade operation of CCS.
- Banks, Dealers and Financial Institutions are the main participants.
- Two legs of the swap are denominated in different currencies.
- Exchange of Principal at the prevailing spot exchange rate with an agreement to reverse the exchange of currencies, at the same spot exchange rate, at a fixed date in the future.
- Interest payments happen on maturity of Swap.
Detailed Coverage
IDRS Derivative Instrument is meant for Islamic Derivative Swap Trade Deal. Product covers the following features:
Table 6-6 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 (including brief information on accounting)
Table 6-7 Events Covered
Events Covered | Terminology |
---|---|
DAMN | Derivative Contract Amendment |
DBOK | Derivative Deal Booking |
DIAC | Contract Profit Accrual |
DIAM | Derivative Contract Inception Amortization |
DINT | Derivative Deal Initiation |
DILQ | Contract Profit Liquidation |
DPLQ | Contract Principal Liquidation |
DRRL | Derivative Revaluation Reversal |
DRVL | Derivative Contract Revaluation |
DRVN | Derivative Contract Rate Revision |
DRVS | Derivative Contract Reversal |
DTAM | Contract Termination Amortization |
DTRB | Booking of Termination Date |
DTER | Derivative Contract Termination |
Advices Supported
Following Advices setup done in the IDRS Product as part of Product Life Cycle.
Table 6-8 Supported Advices
Advices | Description |
---|---|
IRS_AMEND | IRS Amendment |
IRS_CONFR | IRS Contract Confirmation |
IRS_TERMN | IRS Termination |
DV_ASSIGN_1 | Assignment Adv to Deal Party |
DV_ASSIGN_2 | Assignment Adv to Assigning Party |
DV_ASSUME_1 | Assumption Adv to Deal Party |
DV_ASSUME_2 | Assumption Adv to Assigning Party |
Messages
Following SWIFT Messages setup done in the IDRS product as part of product life cycle.
Table 6-9 SWIFT Messages
SWIFT Messages | Contact Field |
---|---|
MT 361 | CCS Contract Confirmation |
MT 361 | CCS Amendment |
MT 362 | DV Rate Reset |
MT 365 | CCS Termination |
MT 900 | Debit Message |
MT 910 | Credit Message |
MT 202 | Bank Transfer |
Interest / Charges / Commission and Fees
Interest
In IDVR product two Interest components are parametrized
- DV_INT_IN - Derivative In Leg Interest Component Floating
- DV_IT_OUT - Derivative Out Leg Interest Component Fixed
Special/Other Features
Other Features
Apart from the above mentioned features, following features can be parametrized.
Table 6-10 Special Features
Features | Parameters |
---|---|
Revaluation |
|
Interest Calculation Basis | Numerator
Denominator
|
Additional information
Other Special Maintenance
Following are the Maintenance Required in OBTR to use the IDRS 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
- Tax Scheme Class
Parent topic: Product Catalog - Treasury – Islamic Derivatives