2.6 Product Code - IS61

IS61 - Interest Rate swap without charge

Business Scenario

Derivatives product IS61 is parameterized with following features.

Synopsis (ex. high level features etc.)

• Trade type interest rate swap
• Asynchronous schedules
• Payment method arrears
• Without Interest netting for in leg and out leg

Detailed Coverage

IS61 Derivative product covers the following features:

Table 2-26 Detailed Coverage

Features	Type
Types of the Product	Interest Rate Swap
Accrual Covered	Daily Accrual
Liquidation	Auto Interest Liquidation Auto Principal Liquidation
Interest Rate Details	In leg-Floating Rate Interest Out leg- Fixed Rate
Schedule	Interest Schedule Principal Schedule
Maturity Type	Fixed Maturity
Forward Date Deal	Forward Date Deal allowed

Events Covered

Product IS61 has the Life Cycle of derivatives as listed below:

Table 2-27 Events Covered in AFSP

Events Covered	Terminology
DBOK	Derivative Deal Booking
DINT	Derivative Deal Initiation
DRRL	Derivative Revaluation Reversal
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
DIAM	Contract Inception Amortization
DTER	Derivative Contract Termination
DPLQ	Derivative Principal Liquidation

Advices Supported

Following Advices setup done in the IS61 Product as part of Product Life Cycle:

Table 2-28 Supported Advices in IS61

Advices	Description
PAYMENT_MESSAGE	Payment Message
DV_IRS_AMND	IRS Amendment
DV_IRS_CONF	IRS Contract Confirmation
REVSWIFT	Cancellation of Contract
DV_IRS_TRMN	IRS Termination

Interest

In IS61 product, the two below Interest components are parametrized:

• 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.

• DV Branch Parameter
• Treasury Branch Parameter
• Treasury Messaging Parameter
• Local Holidays
• DV Batch Maintenance
• Floating Rate Maintenance
• Treasury Interest Class Maintenance