2.8 Product Code - IRN9
IRN9 - Interest Rate Swap Trade Buy Product.
Business Scenario
Interest Rate Derivative Instrument IRN9 is parameterized with following features.
Synopsis (ex. high level features etc.)
- It is an Over the Counter (OTC) 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.
Detailed Coverage
IS62 Derivative product covers the following features:
Table 2-32 Detailed Coverage
Features | Type |
---|---|
Types of the Product | Buy Deal |
Types of the Contract Covered | Trade Deal |
Payment Method Covered | Actual/Actual – Per Annum Basis |
Revaluation Covered | Contract Rates 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 2-33 Events Covered in AFSP
Events Covered | Terminology |
---|---|
DBOK | Derivative Deal Booking |
DINT | Derivative Deal Initiation |
DCON | Derivative Deal Confirmation |
DLIQ | Derivative Deal Liquidation |
DRRL | Derivative Revaluation Reversal |
DAMN | Derivative Contract Amendment |
DRVS | Derivative Contract Reversal |
DRVN | Derivative Contract Rate Revision |
DIAM | Contract Inception Amortization |
DTER | Derivative Contract Termination |
DPLQ | Derivative Principal Liquidation |
DTRB | Booking of Termination Date |
Advices Supported
Following Advices setup done in the IRN9 Product as part of Product Life Cycle:
Table 2-34 Supported Advices in IRN9
Advices | Description |
---|---|
DV_ASSIGN_1 | Assignment Adv to Deal Party |
DV_IRS_AMND | IRS Amendment |
DV_IRS_CONF | IRS Contract Confirmation |
DV_ASSIGN_2 | Assignment Adv to Assigning Party |
DV_IRS_TRMN | IRS Termination |
Messages
Table 2-35 SWIFT Messages
SWIFT Messages | Contract Field |
---|---|
MT 360 | IRS Contract Confirmation |
MT 360 | IRS Amendment |
MT 362 | DV Rate Reset |
MT 364 | IRS Termination |
MT 900 | Debit Message |
MT 910 | Credit Message |
MT 202 | Bank Transfer |
Interest / Charges / Commission and Fees
Interest
In IRS1 product two Interest components are parameterized
- DV_INT_IN - Derivative In Leg Interest Component Floating
- DV_INT_OUT- Derivative Out Leg Interest Component Fixed
Charges
In IRN9 product following Charge components are parameterized
- DV_AM_CHRG- Derivative Amendment Charge
- DV_TM_CHRG- Derivative Termination Charge
Special/Other Features
Brokerage
IRN9 product is parameterized to handle Brokerage feature. The details available in embedded file.
Other Features
Apart from the above mentioned features, below are some features which can be parameterized.
Table 2-36 Other Features
Features | Parameters |
---|---|
Revaluation | '
|
Interest Calculation Basis | Numerator
Denominator
|
Additional information (ex. UDF and other Special Maintenance)
UDF Maintenance
As part of IRS1 Product Setup there is option available to capture other details about the deal or the parties involved using UDF Maintenance.
Other Special Maintenance
- Derivative Branch Parameter
- General Ledger Parameter
- Interest & 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 Derivatives