Product Code

Business Scenario

Interest Rate Derivative Instrument IRN9 is parameterized with following features.

Synopsis (ex. high level features etc.)

It is an Over the Counter (OTC) 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.

Detailed Coverage

IS62 Derivative product covers the following features:

Table 2-32 Detailed Coverage

Features	Type
Types of the Product	Buy Deal
Types of the Contract Covered	Trade Deal
Payment Method Covered	Actual/Actual – Per Annum Basis
Revaluation Covered	Contract Rates 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

Product IRN9 has the Life Cycle of derivatives as listed below:

Table 2-33 Events Covered in AFSP

Events Covered	Terminology
DBOK	Derivative Deal Booking
DINT	Derivative Deal Initiation
DCON	Derivative Deal Confirmation
DLIQ	Derivative Deal Liquidation
DRRL	Derivative Revaluation Reversal
DAMN	Derivative Contract Amendment
DRVS	Derivative Contract Reversal
DRVN	Derivative Contract Rate Revision
DIAM	Contract Inception Amortization
DTER	Derivative Contract Termination
DPLQ	Derivative Principal Liquidation
DTRB	Booking of Termination Date

Advices Supported

Following Advices setup done in the IRN9 Product as part of Product Life Cycle:

Table 2-34 Supported Advices in IRN9

Advices	Description
DV_ASSIGN_1	Assignment Adv to Deal Party
DV_IRS_AMND	IRS Amendment
DV_IRS_CONF	IRS Contract Confirmation
DV_ASSIGN_2	Assignment Adv to Assigning Party
DV_IRS_TRMN	IRS Termination

Messages

Following SWIFT Messages setup done in the IRN9 product as part of product life cycle.

Table 2-35 SWIFT Messages

Interest / Charges / Commission and Fees

Interest

In IRS1 product two Interest components are parameterized

Charges

In IRN9 product following Charge components are parameterized

Special/Other Features

Brokerage

IRN9 product is parameterized to handle Brokerage feature. The details available in embedded file.

Other Features

Apart from the above mentioned features, below are some features which can be parameterized.

Table 2-36 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)

UDF Maintenance

As part of IRS1 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 IRS1 product for Derivative Forward Deals.