2.13 Product Code - RFDV

RFDV – RFR-SOFR Interest Rate Swap Trade Buy Product.

Business Scenario

RFDV is configured with Risk Free rates where rates are published based on the percentile and Volume of Transactions. For RFR Interest re-computation is required to be done daily. Derivatives Instrument RFDV is parametrized with following features.

Synopsis (ex. high level features etc.)

It is an Over the Counter Options (OT) Interest Rate Derivative Instrument.

Perform Trade Buy operation of IRS.

Banks, Primary Dealers, and, Financial Institutions are the main participants.

Contract involves exchange of fixed to float rates of interest.

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.

This instrument product supports risk free rates and supports all arrear Methods.

RFDV product is configured with Alternate Risk Free Rate preference as Plain Method but it can be changed to any of the arrear method and also the below combination methods:

• Lookback and Lockout
• Lookback, Lockout, and Payment Delay

RFDV product has a minimum and maximum rates configured

Detailed Coverage

RFDV Derivative Instrument is meant for Forward Rate Agreement Trade Buy Deal. Product covers the following features:

Table 2-53 Detailed Coverage

Features	Type
Types of the deal covered	Buy Deal
Types of the Contract Covered	Trade Deal
Payment Method Covered	Actual/365 – Per Annum Basis
Revaluation Covered	Fair Value Revaluation of Deal
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	Fixed Rate Interest Floating Rate Interest

Events Covered

To complete the Life Cycle of Forward Rate Agreement following events are parametrized in RFDV product.

Table 2-54 Events Covered

Events Covered	Terminology
DBOK	Derivative Deal Booking
DINT	Derivative Deal Initiation
DILQ	Contract Interest Liquidation
DRRL	Derivative Revaluation Reversal
DAMN	Derivative Contract Amendment
DIAM	Derivative Contract Inception Amortization
DRVS	Derivative Contract Reversal
DRVN	Derivative Contract Rate Revision
DTER	Contract Termination
DTRB	Contract Pre-Termination
DPLQ	Derivative Principal Liquidation

Advices Supported

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

Table 2-55 Supported Advices

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_ASSIGN_2	Assignment Adv to Assigning Party

Messages

Table 2-56 SWIFT Messages

SWIFT Messages	Contract Field
MT 360	IRS Contract Confirmation
MT 360	IRS Amendment
MT 364	IRS Termination
MT 900	Debit Message
MT 910	Credit Message
MT 202	Bank Transfer

Interest / Charges / Commission and Fees

Interest

In RFDV product two Interest components are parametrized

• DV_RFR_CO- Derivative In Leg Interest Component Floating
• DV_CO_OUT- Derivative Out Leg Interest Component Fixed

Special/Other Features

Other Features

Apart from above mentioned features following other features can parametrized

Table 2-57 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)

Other Special Maintenance

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

• Derivative Branch Parameter
• General Ledger Parameter
• Interest & Charges Parameter
• Journal Entry Parameter
• Messaging Parameter
• Local Holidays
• DV Batch Maintenance
• DV Type Maintenance
• Master Agreement
• Messaging Party Maintenance
• Limit Processing
• Charge Class
• Tax Scheme Class