2.3 Product Code - CMAN

CMAN - Cross Currency.

Cross Currency product is parametrized with the following features.

Business Scenario

Mark to Market Swaps without Principal Amortized schedules.

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

CMAN Derivative Instrument is meant for Cross Currency Swap Trade Deal. Product covers the following features:

Table 2-11 Detailed Coverage

Features	Type
Types of the Deal Covered	Sell Deal
Types of the Contract Covered	Hedge Deal
Payment Method Covered	Actual/Actual – Per Annum Basis
Interest Accrual	Daily Accrual
Amortization	Amortization of Termination Gain/Loss
Limit Tracking	Notional Limit Tracking Fair Value Limit Tracking Risk Weighted Limit Tracking
Interest Settlement	Interest Settlement
Termination of Deal	Pre - Termination
Interest Rate details	Floating Rate Interest Fixed Rate Interest

Events Covered (including brief information on accounting)

To meet the Life Cycle of Cross Currency Swap following events are parametrized in CMAN product.

Table 2-12 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/Charges/Commission and Fees

Interest

In CMAN product two 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

Brokerage

CMAN product is parametrized to handle Brokerage feature.

Other Features

Apart from the above mentioned features, following features can be parametrized.

Table 2-13 List of 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

Advices Supported

Following Advices setup done in the CMAN Product as part of Product Life Cycle.

Table 2-14 List of Advices

Advices	Description
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

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

Table 2-15 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

Following are the pre-defined BIP Reports available in OBTR as part of Derivative CCS Deal.

• 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

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

• 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