2.12 Product Code - CCSM

CCSM – CCS type derivatives

Business Scenario

Derivatives product CCSM is parametrized with following features:

Synopsis (ex. high level features etc.)

• Cross currency swap
• Asynchronous schedules
• Payment method arrears
• Without Interest netting for in leg and out leg
• Exchange Required
• Resettable cross currency

Detailed Coverage

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

Table 2-50 Detailed Coverage

Features	Type
Types of the product	Cross Currency Swap
Types of the Accrual Covered	Daily Accrual
Liquidation	Auto Interest Liquidation Auto Principal Liquidation
Interest Rate details	In leg-Floating Rate Interest Out leg- Fixed Rate Negative interest allowed
Schedule	Interest Schedule Principal Schedule
Maturity Type	Fixed Maturity
Forward Date Deal	Forward Date Deal allowed

Events Covered

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

Table 2-51 Events Covered

Events Covered	Terminology
DAMN	Derivative Contract Amendment
DBOK	Derivative Deal Booking
DCON	Derivative Deal Confirmation
DIAC	Contract Interest Accrual
DIAM	Contract Inception Amortization
DILQ	Contract Interest Liquidation
DINT	Contract Initiation
DPLQ	Contract Principal Liquidation
DPRS	Derivatives Principal Reset
DRVS	Contract Reversal
DTAM	Contract Termination Amortization
DTER	Contract Termination
DTRB	Contract Pre-Termination
EXRR	Derivatives External Revaluation Reversal
EXRV	Contract External Revaluation

Advices Supported

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

Table 2-52 Supported Advices

Advices	Description
PAYMENT_MESSAGE	Payment Message
DV_CCS_AMND	CCS Amendment
DV_CCS_CONF	CCS Contract Confirmation
DV_CCS_TKT	CCS Deal Ticket
DV_CCS_TRMN	CCS Termination
DV_RATE_RESET	Rate Reset
REVSWIFT	Cancellation of Contract

Interest / Charges / Commission and Fees

Interest

• CCSM product is parametrized with following Interest component.
• DV_INT_6- Derivatives interest
• DV_INT_6_N- Derivatives interest (Negative)
• DV_INT_7 -DV interest out
• DV_INT_7_N- DV interest out (Negative)

Special/Other Features

Other Features

Apart from above mentioned features following other features can parametrized

• Interest Calculation Basis – ACTUAL/ACTUAL

Additional information (ex. UDF and other Special Maintenance)

Other Special Maintenance

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

• Derivative Branch Parameter
• Treasury Branch Parameter
• Treasury Messaging Parameter
• Local Holidays
• DV Batch Maintenance
• Floating Rate Maintenance
• Treasury Interest Class Maintenance
• Currency Exchange rate