2.9 Product Code - ITN7
ITN7 - Interest Rate Swap without charge.
Business Scenario
Derivative product ITN7 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
ITN7 Derivative product covers the following features:
Table 2-37 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
Table 2-38 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 |
DIAC | Contract Interest Accrual |
DTER | Derivative Contract Termination |
DPLQ | Derivative Principal Liquidation |
RTFX | RTFX |
DTAM | Contract Termination Amortization |
Advices Supported
Following Advices setup done in the ITN7 Product as part of Product Life Cycle:
Table 2-39 Supported Advices in ITN7
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 |
DV_RATE_RESET | Rate Reset |
Interest / Charges / Commission and Fees
Interest
In IRS1 product two Interest components are parameterized
- In ITN7 product is parameterized with following Interest component.
- DV_INT_6- Derivatives interest
- DV_INT_6_N- Derivatives interest (Negative)
- DV_INT_OUT-DV interest out
Special/Other Features
Other Features
Apart from the above mentioned features, below are some features which can be parameterized.
- Interest Calculation Basis – ACTUAL/ACTUAL
Additional information (ex. UDF and other Special Maintenance)
Other Special Maintenance
- Derivative Branch Parameter
- Messaging Parameter
- Local Holidays
- Derivative Batch Maintenance
- Floating Rate Maintenance
- Treasury Interest Class Maintenance
Parent topic: Product Catalog - Treasury Derivatives