5.10.9 Manual Principal Reset Processing on CCS deals

In case of a CCS deal, on the FX fixing date, which is possible on or before the Principal reset schedule date, the Principal reset amount is derived based on the exchange rate of in leg and out leg currency.

On save of principal reset record on the FX fixing date for a CCS deal, the event DPRS – Derivatives principal reset event will fire with no accounting entries.

MT 362 – Interest Rate Reset / Advice of payment SWIFT confirmation is generated online mapped to the DPRS event.

DPRS – Derivatives principal reset event supports the mail advice generation.

For CCS deals after every principal reset, there is a cash settlement process, and hence payment message generation should be supported. Either a MT 210 or a MT 202 depending on the principal increase or decrease should be handed off to OBPM based on SGEN days maintained for the resettable currency.

On the Principal reset schedule, date DPLQ event will fire posting the actual entries of Principal Increase or decrease on one of the resettable legs. The Interest accruals’ DIAC event is calculated on the revised principal amount from the scheduled start date, and during Interest liquidation accrued amount to be considered for cash flows.

Principal reset record saved on the fixing date can also be reversed before the principal reset schedule date.

Upon reversal, either via UI or Gateway the event DPRV Derivatives Principal Reset Reversal will trigger. If the payment message is already generated, then the same is reversed.

Through the gateway or UI, the principal reset is done on or before the principal reset schedule date.