2.5 Product Code - CCSB
CCSB - Cross Currency Market.
Cross Currency Mark to Market product is parametrized with the following features.
Business Scenario
Foreign Currency derivatives Instrument CCSB is parametrized with below mentioned features.
Synopsis (ex. high level features etc.)
- It is a Cross Currency Derivative Instrument.
- Perform Hedge 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
CCSB Derivative Instrument is meant for Cross Currency Swap Trade Deal. CCSB covers the following features:
Table 2-21 Detailed Coverage
Features | Type |
---|---|
Types of the Deal Covered | Sell Deal |
Types of the Contract Covered | Hedge Deal |
Payment Method Covered | Actual/365 – Per Annum Basis |
Interest Accrual | Daily Accrual |
Amortization | Amortization of Termination Gain/Loss |
Limit Tracking |
|
Interest Settlement | Interest Settlement |
Termination of Deal | Pre - Termination |
Interest Rate details |
|
Events Covered (including brief information on accounting)
Table 2-22 Events Covered in AFSP
Events Covered | Terminology |
---|---|
DBOK | Derivative Deal Booking |
DINT | Derivative Deal Initiation |
DCON | Derivative Deal Confirmation |
DLIQ | Derivative Deal Liquidation |
DIAC | Derivative Interest Accrual |
DAMN | Derivative Contract Amendment |
DRVS | Derivative Contract Reversal |
DRVN | Derivative Contract Rate Revision |
DTAM | Derivative Contract Termination Amortization |
DTRB | Booking of Termination Date |
DTER | Derivative Contract Termination |
DPLQ | Derivative Principal Liquidation |
Interest
- DV_INT_IN - Derivative In Leg Interest Component Floating
- DV_INT_OUT1 - Derivative Out Leg Interest Component Fixed
Special/Other Features
Other Features
Apart from the above mentioned features, following features can be parametrized.
Table 2-23 List of Other Features
Features | Parameters |
---|---|
Revaluation |
|
Interest Calculation Basis | Numerator
|
Denominator |
|
Advices Supported
Following Advices setup done in the CCSB Product as part of Product Life Cycle.
Table 2-24 List of Advices
Advices | Details |
---|---|
DV_CCS_TRMN | CCS Termination |
DV_CCS_AMND | CCS Amendment |
DV_CCS_CONF | CCS Contract Confirmation |
DV_ASSIGN_1 | Assignment Adv to Deal Party |
DV_ASSIGN_2 | Assignment Adv to Assigning Party |
Messages
Table 2-25 List of SWIFT Messages
SWIFT Messages | Contract 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 |
Reports Availability
- Back Dated Contracts Report
- Contract Activity Report
- Contract Revaluation Report
- Deal Cust Detailed Report
- Deal Cust Summary Report
- Exception Report
- Interest Accrual Report
- Settled Contracts Report
Additional information
Other Special Maintenance
- 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
Parent topic: Product Catalog - Treasury Derivatives