2.9 Product Code - ITN7

ITN7 - Interest Rate Swap without charge.

Business Scenario

Derivative product ITN7 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

ITN7 Derivative product covers the following features:

Table 2-37 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 Negative interest allowed
Schedule	Interest Schedule Principal Schedule
Maturity Type	Fixed Maturity
Forward Date Deal	Forward Date Deal allowed

Events Covered

Product ITN7 has the Life Cycle of derivatives as listed below:

Table 2-38 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
DIAC	Contract Interest Accrual
DTER	Derivative Contract Termination
DPLQ	Derivative Principal Liquidation
RTFX	RTFX
DTAM	Contract Termination Amortization

Advices Supported

Following Advices setup done in the ITN7 Product as part of Product Life Cycle:

Table 2-39 Supported Advices in ITN7

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
DV_RATE_RESET	Rate Reset

Interest / Charges / Commission and Fees

Interest

In IRS1 product two Interest components are parameterized

• In ITN7 product is parameterized with following Interest component.
• DV_INT_6- Derivatives interest
• DV_INT_6_N- Derivatives interest (Negative)
• DV_INT_OUT-DV interest out

Special/Other Features

Other Features

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

• Interest Calculation Basis – ACTUAL/ACTUAL

Additional information (ex. UDF and other Special Maintenance)

Other Special Maintenance

Following are the Maintenance Required in OBTR to use the IRS1 product for Derivative Forward Deals.

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