Product Code

Business Scenario

Foreign Currency derivatives Instrument CCC9 is parametrized with below mentioned features.

Synopsis (ex. high level features etc.)

It is a Foreign Currency Derivative Instrument.
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

CCS6 Derivative Instrument is meant for Cross Currency Swap Trade Deal. CCC9 covers the following features:

Table 2-1 Detailed Coverage

Features	Type
Types of the Deal Covered	Sell Deal
Types of the Contract Covered	Trade Deal
Payment Method Covered	Actual/Actual – Per Annum Basis
Interest Accrual	Daily Accrual
Amortization	Amortization of Termination Gain/Loss
Limit Tracking	Notional Limit Tracking Fair Value Limit Tracking Risk Weighted Limit Tracking
Interest Settlement	Interest Settlement
Termination of Deal	Pre - Termination
Interest Rate details	Floating Rate Interest Fixed Rate Interest

Events Covered (including brief information on accounting)

To meet the Life Cycle of Cross Currency Swap following events are parametrized in CCC9 product.

Table 2-2 Events Covered in AFSP

Events Covered	Terminology
DBOK	Derivative Deal Booking
DINT	Derivative Deal Initiation
DCON	Derivative Deal Confirmation
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
DTRB	Booking of Termination Date
DTER	Derivative Contract Termination
DPLQ	Derivative Principal Liquidation

Interest

In CCS6 product two Interest components are parametrized

Special/Other Features

Brokerage

CCC9 product is parametrized to handle Brokerage feature.

Other Features

Apart from the above mentioned features, following features can be parametrized.

Table 2-3 List of Other Features

Features	Parameters
Revaluation	Contract Rate Branch Rate
Interest Calculation Basis	Numerator 30-Euro 30-US Actual 30-ISDA 30-PSA Actual-Japanese
Denominator	360 365 Actual

Advices Supported

Following Advices setup done in the CCS6 Product as part of Product Life Cycle.

Table 2-4 List of Advices

Advices	Description
DV_CCS_TRMN	CCS Termination
DV_CCS_AMND	CCS Amendment
DV_CCS_CONF	CCS Contract Confirmation
DV_ASSIGN_1	Assignment Adv to Deal Party
DV_ASSIGN_2	Assignment Adv to Assigning Party

Messages

Following SWIFT Messages setup done in the CCS6 product as part of product life cycle.

Table 2-5 List of SWIFT Messages

Reports Availability

Following are the pre-defined BIP Reports available in OBTR as part of Derivative CCS Deal.

Additional information (ex. UDF and other Special Maintenance)

UDF Maintenance

As part of CCC9 Product Setup there is option available to capture other details about the deal or the parties involved using UDF Maintenance

Other Special Maintenance

Following are the Maintenance Required in OBTR to use the CCS6 product for Derivative Forward Deals.