2.11 Product Code - NEDV

NEDV - Interest Rate Swap, Negative Interest and RFR Enabled.

Business Scenario

Interest Rate Swap, Negative Interest and RFR Enabled NEDV is parametrized with following features.

Synopsis (ex. high level features etc.)

• It is an Over the Counter (OTC) Interest Rate Derivative Instrument.
• Perform Buy operation of IRS.
• Banks, Primary Dealers, Financial Institutions are the main participants.
• Contract involves exchange of fixed to float rates of interest.
• Negative interest rate component linked to RFR.
• 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

This Derivative Instrument is meant for Negative Interest Rate Swap Trade Buy Deal. Product covers the following features:

Table 2-45 Detailed Coverage

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

Events Covered

Product NEDV has the Life Cycle of derivatives as listed below:

Table 2-46 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
DPLQ	Derivative Principal Liquidation

Advices Supported

Following Advices setup done in this Product as part of Product Life Cycle:

Table 2-47 Supported Advices in ITN7

Advices	Description
DV_IRS_TRMN	IRS Termination
DV_IRS_AMND	IRS Amendment
DV_IRS_CONF	IRS Contract Confirmation
DV_ASSIGN_1	Assignment Adv to Deal Party
DV_RATE_RESET	DV_ASSIGN_2

Messages

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

Table 2-48 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 parametrized

• DV_NEDVT - Derivative In Leg Interest Component Floating
• DV_NEDVT_N - Derivative In Leg Negative Interest Component Floating
• DV_OUTNG - Derivative Out Leg Interest Component Fixed

Special/Other Features

Brokerage

NEDV product is parametrized to handle Brokerage feature.

Other Features

Apart from the above mentioned features, below are some features which can be parametrized.

Table 2-49 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

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

Following are the Maintenance Required in OBTR to use the IRS1 product for Derivative Forward Deals.

• 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