2.10 Product Code - FRN9
FRN9 Forward Rate Agreement Trade Buy Product.
Business Scenario
Interest Rate Derivative Instrument FRN9 is parameterized with following features.
Synopsis (ex. high level features etc.)
- It is an Over the Counter (OTC) Interest Rate Derivative Instrument.
- Perform Buy operation of FRA Trade Deals.
- Banks, Primary Dealers, Financial Institutions are the main participants.
- Principal is a notional amount.
- Net interest payments happen on agreed settlement date based on contract (fixed) and the settlement rate.
Detailed Coverage
FRN9 Derivative Instrument is meant for Forward Rate Agreement Trade Buy Deal. Product covers the following features::
Table 2-40 Detailed Coverage
Features | Type |
---|---|
Types of the Deal covered | Buy Deal |
Types of the Contract Covered | Trade Deal |
Payment Method Covered | 30-US/360 – Per Annum Basis |
Revaluation Covered | Branch Rate Revaluation of Deal |
Amortization | Amortization of Inception Gain/Loss |
Limit Tracking |
|
Interest Settlement | Net Interest Settlement |
Termination of Deal | Pre - Termination |
Interest Rate details |
|
Events Covered
Table 2-41 Events Covered
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 |
DRVL | Derivative Contract Revaluation |
DTRB | Booking of Termination Date |
Advices Supported
Following Advices setup done in the ITN7 Product as part of Product Life Cycle:
Table 2-42 Supported Advices in ITN7
Advices | Description |
---|---|
DV_FRA_CONF | FRA Confirmation |
DV_FRA_TRMN | FRA Termination |
DV_FRA_AMND | FRA Amendment |
REVSWIFT | Cancellation of Contract |
DV_ASSIGN_1 | Assignment Adv to Deal Party |
DV_RATE_RESET | DV_ASSIGN_2 |
Messages
Following SWIFT Messages setup done in the FRA1 product as part of product life cycle.
Table 2-43 SWIFT Messages
SWIFT Messages | Contract Field |
---|---|
MT 340 | FRA Contract Confirmation |
MT 340 | FRA Amendment |
MT 341 | FRA Rate Reset |
MT 340 | FRA Termination |
MT 900 | Debit Message |
MT 910 | Credit Message |
MT 202 | Bank Transfer |
Interest / Charges / Commission and Fees
Interest
In FRN9 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 FRN9 product, the DV_BK_CHRG- Derivative Booking Charge components can be parametrized.
Special/Other Features
Brokerage
FRN9 product is parametrized to handle Brokerage feature.
Other Features
Apart from the above mentioned features, below are some features which can be parametrized.
Table 2-44 Other Features
Features | Parameters |
---|---|
Revaluation |
|
Interest Calculation Basis | Numerator
Denominator
|
Additional information (ex. UDF and other Special Maintenance)
UDF Maintenance
As part of FRN9 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 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
Parent topic: Product Catalog - Treasury Derivatives