6.2 Product Code - IDVR

IDVR – Islamic Rate Derivatives Swap

Business Scenario

Profit Rate Derivatives Swap is parametrized with below mentioned features.

Synopsis (ex. High level features etc.)

• It is an Islamic Derivative swap.
• 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

IDRS Derivative Instrument is meant for Islamic Derivative Swap Trade Deal. Product covers the following features:

Table 6-6 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	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 IDRS product.

Table 6-7 Events Covered

Events Covered	Terminology
DAMN	Derivative Contract Amendment
DBOK	Derivative Deal Booking
DIAC	Contract Profit Accrual
DIAM	Derivative Contract Inception Amortization
DINT	Derivative Deal Initiation
DILQ	Contract Profit Liquidation
DPLQ	Contract Principal Liquidation
DRRL	Derivative Revaluation Reversal
DRVL	Derivative Contract Revaluation
DRVN	Derivative Contract Rate Revision
DRVS	Derivative Contract Reversal
DTAM	Contract Termination Amortization
DTRB	Booking of Termination Date
DTER	Derivative Contract Termination

Advices Supported

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

Table 6-8 Supported Advices

Advices	Description
IRS_AMEND	IRS Amendment
IRS_CONFR	IRS Contract Confirmation
IRS_TERMN	IRS Termination
DV_ASSIGN_1	Assignment Adv to Deal Party
DV_ASSIGN_2	Assignment Adv to Assigning Party
DV_ASSUME_1	Assumption Adv to Deal Party
DV_ASSUME_2	Assumption Adv to Assigning Party

Messages

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

Table 6-9 SWIFT Messages

SWIFT Messages	Contact Field
MT 361	CCS Contract Confirmation
MT 361	CCS Amendment
MT 362	DV Rate Reset
MT 365	CCS Termination
MT 900	Debit Message
MT 910	Credit Message
MT 202	Bank Transfer

Interest / Charges / Commission and Fees

Interest

In IDVR product two Interest components are parametrized

• DV_INT_IN - Derivative In Leg Interest Component Floating
• DV_IT_OUT - Derivative Out Leg Interest Component Fixed

Special/Other Features

Other Features

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

Table 6-10 Special 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

Other Special Maintenance

Following are the Maintenance Required in OBTR to use the IDRS 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
• Tax Scheme Class