2.6 Product Code - IS61
IS61 - Interest Rate swap without charge
Business Scenario
Derivatives product IS61 is parameterized with following features.
Synopsis (ex. high level features etc.)
- Trade type interest rate swap
- Asynchronous schedules
- Payment method arrears
- Without Interest netting for in leg and out leg
Detailed Coverage
IS61 Derivative product covers the following features:
Table 2-26 Detailed Coverage
Features | Type |
---|---|
Types of the Product | Interest Rate Swap |
Accrual Covered | Daily Accrual |
Liquidation |
|
Interest Rate Details |
|
Schedule |
|
Maturity Type | Fixed Maturity |
Forward Date Deal | Forward Date Deal allowed |
Events Covered
Product IS61 has the Life Cycle of derivatives as listed below:
Table 2-27 Events Covered in AFSP
Events Covered | Terminology |
---|---|
DBOK | Derivative Deal Booking |
DINT | Derivative Deal Initiation |
DRRL | Derivative Revaluation Reversal |
DLIQ | Derivative Deal Liquidation |
DIAC | Derivative Interest Accrual |
DAMN | Derivative Contract Amendment |
DRVS | Derivative Contract Reversal |
DRVN | Derivative Contract Rate Revision |
DTAM | Derivative Contract Termination Amortization |
DIAM | Contract Inception Amortization |
DTER | Derivative Contract Termination |
DPLQ | Derivative Principal Liquidation |
Advices Supported
Following Advices setup done in the IS61 Product as part of Product Life Cycle:
Table 2-28 Supported Advices in IS61
Advices | Description |
---|---|
PAYMENT_MESSAGE | Payment Message |
DV_IRS_AMND | IRS Amendment |
DV_IRS_CONF | IRS Contract Confirmation |
REVSWIFT | Cancellation of Contract |
DV_IRS_TRMN | IRS Termination |
Interest
In IS61 product, the two below Interest components are parametrized:
- DV_INT_IN - Derivative In Leg Interest Component Floating
- DV_INT_OUT1 - Derivative Out Leg Interest Component Fixed
Special/Other Features
Other Features
Apart from the above mentioned features, following features can be parametrized.
- DV Branch Parameter
- Treasury Branch Parameter
- Treasury Messaging Parameter
- Local Holidays
- DV Batch Maintenance
- Floating Rate Maintenance
- Treasury Interest Class Maintenance
Parent topic: Product Catalog - Treasury Derivatives