5.25 Product Code- MRFR
MRFR- MM-Borrow with RFR- Borrowing- Floating Rate
Business Scenario
MRFR 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. Money Market Instrument MRFR is parametrized with following features.
Synopsis (ex. High level features etc.)
- This instrument supports risk free rates and supports all arrears Methods.
- Short Term Debt instrument.
- It is not backed by any form of collateral
- This instrument can be traded.
- The instrument is issued at a Bearing.
- MRFR product is configured with Alternate Risk Free Rate preference as Look back Method but it can be changed to below combination methods as well:
- Lookback and Payments Delay
- Lockout and Payments Delay
- Lookback, Lockout, and Payment Delay
- MRFR product has a minimum and maximum rates configured
Detailed Coverage
MRFR Money Market Instrument covers the following features:
Table 5-97 Detailed Coverage
| Features | Type |
|---|---|
| Types of the Product | Money Market Borrowing |
| Payment Method Covered | Bearing Payment |
| Accrual Covered | Daily Accrual |
| Liquidation |
|
| Rollover of Deal | New Version Rollover |
| Interest Rate details | Floating Rate Interest Schedule |
| Schedule |
|
| Maturity Type | Fixed Maturity |
| Forward Date Deal | Forward Date Deal allowed |
Events Covered (including brief information on accounting)
Table 5-98 Events Covered
| Events Covered | Terminology |
|---|---|
| BOOK | Contract Booking event triggers when Bank Initiate the Deal. |
| ACCR | Contract Accrual |
| INIT | Contract Initiation |
| LIQD | Contract Liquidation |
| ROLL | Rollover of Contract |
| REVC | Contract Reversal |
| CAMD | Contract Amendment |
| CONF | Confirmation of contract |
| NOTC | Billing Notice Generation |
| REAS | Reassign User |
| REVN | Rate Revision |
| REVP | Reversal of Payment |
| VAMB | Value Dated Amendment Booking |
| VAMI | Value Dated Amendment Initiation |
| YACR | YIELD ACCRUAL |
Interest / Charges / Commission & Fees
- In MDFR product is parametrized with following Interest component.
- MMSOFR- Interest Class
Advices Supported
Table 5-99 Advices Supported
| Advices | Description |
|---|---|
| MMBRKCON | Broker Confirmation |
| MMCONPLA | MM Placement Confirmation |
| MM_DEAL_SLIP | Deal Slip |
| MM_CONT_ADV | Contract Advice |
| PAYMENT_MESSAGE | Payment Message |
| REVSWIFT | Cancellation of Contract |
| MM_ROLL_ADV | Rollover Advice |
| SWIFT_MESSAGE | MT320,MT324,MT330,MT335, MT350 |
| MMAMDADV | Amendment Advice |
Messages
Following SWIFT Messages setup done in the MRFR product as part of product life cycle.
Table 5-100 SWIFT Messages
| SWIFT Messages | Contact Field |
|---|---|
| MT 320 | Fixed Contract Confirmation |
| MT 350 | Deposit Interest Payment Advice |
| MT 210 | Payment Message |
| MT 330 | Call/Notice Contract Confirmation |
Special/Other Features
Other Features
Apart from above mentioned features following other features can parametrized
- Interest Calculation Basis – Actual/360
Additional information (ex. UDF & other Special Maintenance)
UDF Maintenance
As part of MRFR 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 MMAX product for Money Market Deals.
- MM Branch Parameter
- Treasury Branch Parameter
- Treasury Messaging Parameter
- Local Holidays
- MM Batch Maintenance
- Floating Rate Maintenance
- Treasury Interest Class Maintenance
- Treasury Charge Class
- Treasury Tax Rule Maintenance
- Treasury Tax Scheme Class
Parent topic: Product Catalog - Treasury Money Market