KR20090001646A - Method and system for processing floating-to-fixed interest rate swap derived from associating with floating loan - Google Patents

Abstract

A swap processing method of an interest rate derived from a fixed interest rate connected with a floating loan and a system thereof are provided to manage a client efficiently by sharing loan interest information related to the swap promise about the interest rate. A swap processing system of an interest rate derived to a fixed interest rate connected with a floating loan performs interest swap transaction(20) about a loan account, and processes a swap payment between the fixed swap interest which is to be paid to a financial institution from a client and the floating interest which is to be paid to the client from the financial institution.

Description

Method and System for Processing Floating-to-Fixed Interest Rate Swap Derived from Associating with Floating Loan

1 is a flowchart illustrating a method of processing an interest rate swap according to an embodiment of the present invention.

2 is a view for explaining an interest rate relationship paid between a bank and a customer in an interest rate swap transaction.

3 is a view for explaining the interest rate fluctuation and profit and loss relationship in the interest rate swap transaction.

4 is a view for explaining a swap rate calculation method for the swap period before the loan maturity in the principal equal split loan.

5 is a diagram illustrating a swap transaction conditions related table in the interest rate swap transaction agreement.

6 is an example of a swap interest rate inquiry screen.

7 is an example of a loan and swap transaction agreement processing screen for a household loan.

8 is an example of a swap agreement registration screen for a household loan.

9 is an example for explaining the actuating flow of a normal account after executing a swap.

10 is an example for explaining the flow of actuation of the delinquent account after the swap execution.

11 is a block diagram illustrating a communication environment for an interest rate swap process according to an embodiment of the present invention.

12 is a block diagram illustrating an interest rate swap processing system according to an embodiment of the present invention.

<Explanation of symbols for the main parts of the drawings>

121: control unit

122: user interface

123: swap interest rate calculation unit

124: message sender

125: Loan Pharmacy

126: database

127: Swap Pharmacy

128: swap management unit

129: fee calculation unit

The present invention relates to a financial institution loan-related processing method and system, in particular, in connection with the variable loan received by the customer, when the interest rate rises, the customer pays a fixed rate according to the swap transaction agreement, The present invention relates to a method and system for processing interest rate swaps by allowing a derivative to design a derivative product to receive a variable rate, thereby avoiding the risk of a customer raising the interest rate.

Financial institutions use swap transactions to actively respond to changes in interest rates and exchange rates, hedge risks from changes in interest rates and exchange rates, and increase investment profits by reducing borrowing costs through arbitrage transactions. Doing. In general, a swap transaction refers to a transaction in which a certain commodity or financial asset (liability) is exchanged with the other party's commodity or financial asset for a specific date or a specific period in the future. The commodity swap is referred to as a commodity swap. Financial assets or liabilities are called financial swaps.

Representative products of commodity swaps include crude oil, bunker-C oil, and grains. Foreign exchange and bonds include financial swaps. Financial swaps are roughly divided into foreign exchange swaps, which are trading transactions of foreign exchange such as spotexchanges and forward exchanges, and interest rates and currency swaps, which are exchanges of debt or assets.

These swap transactions are consolidating financial markets, strengthening financial market connectivity, and effectively managing interest rates and currency risks caused by volatility in financial asset prices.

Today, financial institutions operate a variety of derivatives in connection with deposits, savings, installments and funds. In loans, derivatives are intermittently traded against some institutional investors or companies. However, from the standpoint of individual customers, derivatives linked to variable loans are not operated. Customers borrowed at variable rates are exposed to risks of rising interest rates, and financial institutions are under pressure to hedge loan interest income for lower interest rates.

Accordingly, the present invention is to solve the above-described problems, the object of the present invention, even in the case of variable loans, even when the interest rate rises, the individual customer can avoid the risk of increasing loan interest, financial institutions interest rates In order to avoid the burden of reducing profits in the event of a decline, in connection with a variable loan received by the customer, when the floating rate rises, the customer pays the fixed rate under the swap transaction agreement and the floating rate from the financial institution. The present invention provides a method and system for processing interest rate swaps that can automatically process loan-linked derivatives that allow customers to receive loans.

In addition, another object of the present invention is an interest rate swap processing method that allows information related to inquiry, swap execution, and follow-up of loan interest rate related to an interest rate swap agreement to be shared between the head office and a branch so that management of the corresponding customers can be efficiently performed. And to provide a system.

Another object of the present invention is to clarify loan interests and profits of the attributables to normal and delinquent accounts related to interest rate swap transactions, and to efficiently process and manage the conditions of termination and fees and delayed reparations. To provide a method and system for processing interest rate swap.

Summarizing the interest rate swap processing method according to an aspect of the present invention for achieving the object of the present invention as described above, executing an interest rate swap transaction for a loan account that is subject to variable interest rates; And a swap payment between the fixed swap rate that the customer pays to the financial institution and the variable interest rate that the financial institution pays to the customer within a predetermined swap period without exchanging the loan principal through the financial institution account in accordance with the interest rate swap transaction. It includes the step of processing.

The processing of the swap payment may include receiving the swap rate from a customer or automatically withdrawing the swap rate from a customer account, and processing the difference between the swap rate and the variable interest rate through the financial institution account. do.

Before executing the interest rate swap transaction, through the user interface, look up the swap rate applied to the temporary repayment loan when executing the day interest rate swap transaction or the swap interest rate applied to the partial repayment loan, and the swap interest is temporarily repaid It is characterized by different application to the loans and installment loans.

When the interest rate swap transaction is executed, a swap-related loan notification message including information on the swap interest rate and the variable interest rate is transmitted to the customer terminal in the form of SMS or e-mail at predetermined intervals.

When the interest rate swap transaction is canceled after being executed, the loan account may be converted into a loan to which the floating rate is applied.

In the swap payment processing, the change is greater than the swap rate regardless of whether the swap interest rate is received from a customer on the corresponding payment date according to the payment cycle or whether the swap interest rate is automatically withdrawn from the customer account. If the interest rate is larger, it is characterized in that the swap payment processing as much as the settlement date difference between the swap rate and the floating rate.

In addition, the swap payment process, the step of depositing the difference of the payment date received from the original bank branch account before the transaction start time of the financial institution to the financial institution account; Depositing a swap rate up to the settlement date received from the customer on the settlement date into the financial institution account; And the financial institution may include the step of attributing to the trading unit account as much as the amount of the settlement date obtained by the hedge transaction.

Alternatively, the swap settlement process may include depositing the difference of the settlement date received from the original bank branch account before the transaction start time of the financial institution to the financial institution account; Depositing a swap rate from the settlement date to the overdue date received from the customer on the financial institution account; Attaining a profit equal to the difference of the settlement date acquired by the financial institution to the trading unit account; And performing a further payment process using the won branch account for the difference between the swap rate and the variable interest rate corresponding to the settlement date and the overdue date.

After the interest rate swap transaction is executed, in the case where the interest rate swap transaction is terminated within the swap period, the termination fee is applied to the swap contract amount in proportion to the number of days remaining and a predetermined rate is applied.

If there is a partial repayment of the loan amount associated with the loan account, the cancellation fee is settled for the reduced swap contract amount; if there is a full repayment of the loan amount associated with the loan account, the middle cancellation fee Along with the loan early repayment fee will be processed further.

After the interest rate swap transaction is executed, if the interest rate swap transaction is terminated according to any one of the collection of loans of the financial institution, the delinquency of the customer for a predetermined period, and the approval of the competent department, the settlement fee will not be processed. Do not.

In the event that the interest rate swap transaction is terminated due to the delinquency of the customer, the delayed remuneration rate associated with the loan account for the swap receivable when the swap interest rate is higher than the variable interest rate from a later exceeding time during the predetermined period. The fee will be charged.

According to another aspect of the present invention for achieving the above object of the present invention, a method for processing an interest rate swap in connection with a loan account to which a variable interest rate is applied, wherein the loan account is a temporary repayment loan or a partial repayment loan. Retrieving a fixed swap rate for each swap period for a repayment scheme corresponding to the loan account through a user interface; Executing an interest rate swap transaction by applying a swap interest rate corresponding to a selected swap period among the inquired swap interest rates to the loan account; Managing customer-specific swap transaction information in a database so as to be associated with the loan account according to the executed interest rate swap transaction; And relaying an exchange of a corresponding swap interest rate and a floating interest rate between a customer and a financial institution in a payment cycle of each customer according to the customer-specific swap transaction information.

According to another aspect of the present invention for achieving the above object of the present invention, a method for processing an interest rate swap in connection with a loan account determines a fixed swap rate to be applied instead of the variable rate applied to the loan account. Making; Determining a swap period within an expiration time of the loan account; Executing an interest rate swap transaction associated with the loan account according to at least the swap interest rate and the swap period; And swap payment processing to exchange the swap interest rate and the floating interest rate in a contracted settlement period within the swap period.

The interest rate swap processing method according to another aspect of the present invention for achieving the object of the present invention as described above, converts the loan account to be applied to the variable interest rate is applied to a fixed swap rate, the customer of the loan account every settlement date And exchange the swap rate and the floating rate between a financial institution that operates the loan account.

Interest rate swap processing system according to another aspect of the present invention for achieving the object of the present invention as described above, processing the input and output of information for the management of the interest rate swap associated with the loan and loans subject to variable interest rates A user interface; A database for storing customer-specific loan information and swap transaction information input through the user interface; And executes an interest rate swap transaction on a loan account subject to the variable interest rate based on the information stored in the database, and at a payment cycle within a swap period through a financial institution account according to the interest rate swap transaction. And a control unit for controlling the swap settlement between the fixed swap rate to be paid to and the floating rate to be paid to the customer by the financial institution.

Hereinafter, exemplary embodiments of the present invention will be described in detail with reference to the accompanying drawings and the contents described in the accompanying drawings, but the present invention is not limited or limited to the embodiments. Like reference numerals in the drawings denote like elements.

First, interest rate swap is a contract between the parties (customers and financial institutions) that the interest payment terms for each debt are interchanged. In particular, here, the periodic payments are made without exchanging contract principal. It refers to a transaction in which fixed rates and floating rates are exchanged at set points (monthly days) according to fixed conditions.

In the interest rate swap processing method and system according to the present invention, the concept of the interest rate swap as described above is used in the variable loan received by the customer, so that the loan account to which the variable interest rate is applied is applied to the fixed swap interest rate, and the above-mentioned every payment date. And manage derivatives that process the swap rate and the floating rate between the customer of the loan account and the financial institution that operates the loan account.

Accordingly, by selectively committing interest rate swap transactions in conjunction with variable loans, customers can pay fixed rates according to interest rate swap agreements and receive variable interest rates from financial institutions when variable rates rise. In loans, when interest rates rise, individual customers can avoid the risk of higher loan interest.

To this end, in the present invention, a fixed swap interest rate to be applied instead of the variable interest rate applied to the variable loan account basically for the commitment of the interest rate swap transaction, and determines the swap period within the maturity of the loan account And execute an interest rate swap transaction associated with the loan account according to at least the swap interest rate and the swap period. When an interest rate swap transaction in accordance with the present invention is executed, a swap payment is made to exchange the swap interest rate and the variable interest rate in an agreed settlement cycle within the swap period.

Hereinafter, a method of processing an interest rate swap transaction according to an embodiment of the present invention will be described in detail with reference to the flowchart of FIG. 1. For an interest rate swap process according to an embodiment of the present invention, a system having a predetermined application that may be made of hardware, software, or a combination thereof is used.

As shown in FIG. 1, a method of processing an interest rate swap transaction according to an embodiment of the present invention includes a process of preliminary preparation step 10, swap execution step 20, and post management step 30.

First, the interest rate swap transaction according to the present invention is preferably operated for household or small office home office (SOHO) customers, except for corporate customers. In addition, although derivatives that differ in terms of interest payment are intermittently operated on loans to some institutional investors or companies, the interest rate swap trading method according to the present invention is an institutional investor or the like to efficiently manage interest rate swaps. It can also be operated against a company.

In the preliminary preparation step 10, the principle of loan-related derivatives in the interest rate swap transaction against the lending customer is explained (11). 2, in general, financial institutions such as banks, safes, credit card companies, insurance companies, etc. received a variable interest rate paid by the customer by operating a loan product according to the credit transaction (A), the interest rate swap according to the present invention In a transaction, a customer who receives a floating rate loan (three months change) receives a floating rate against a financial institution and pays a fixed rate (swap rate). As a result, customers and financial institutions can avoid the risk of interest rate fluctuations.

That is, as shown in FIG. 3, when the interest rate rises, the customer may gain as much as the difference between the variable interest rate and the fixed swap rate, thereby avoiding the risk of the interest rate increase.

The variable interest rate referred to in the present invention is determined on the basis of the MOR (Market Opportunity Rate) applied to each corresponding day of the settlement cycle, that is, the monthly settlement date when interest on the loan amount is repaid. The MOR is determined by the closing price of the 91-day distribution on the CD of the Certificate of Deposit on the business day before the last business day prior to the settlement date. In addition to the MOR, the variable interest rate may be set in consideration of transaction risks, liquidity risks, activity based costs (ABC), credit guarantee contribution rates, preferential interest rates, and additional interest rates.

The interest rate swap transaction according to the present invention can be applied to a temporary repayment loan and a repayment loan of a split (equal dividend), and a swap rate, which is a fixed rate paid by a customer to a financial institution, in consideration of transaction risks and the like. It is advisable to apply differently to repayment loans.

Interest rate swap rates between banks and other financial institutions are determined on the basis of exchanging floating rates and fixed interest rates on a three-month basis, such as 91 days of CDs, but interest-related swap transactions in accordance with the present invention are due to repayment of loan-related interests on a monthly basis. This requires adjustment. In an interest rate swap transaction according to the present invention, the swap rate applied to a temporary or split payment loan is determined based on a market swap rate. The market swap rate is a swap rate that is formed in the interest rate swap market between financial institutions. This is the average value of the swap rate that the swap broker reports to Reuters or Bloomberg. In addition to the market swap rate, the swap rate that a customer pays to a financial institution, in addition to the market's swap rate, takes into account the bank's hedging costs, transaction risks, liquidity risks, activity based costs (ABC), and credit guarantee rates. The interest rate that adds 0.07% to the swap rate can be used as the swap rate that is applied to the customer by period.

In particular, in the present invention, the swap rate applied to the temporary repayment loan can be set at an interest rate of 0.07% added to the market swap rate as above, but the swap rate applied to the repayment loan is divided by a certain amount of principal every month. Considering the redemption rate, the interest rate is created by adding an interest rate equal to the present value of the fixed rate and the present value of the floating rate and adding 0.07% to it, and a predetermined interest rate of 0.07% or more to the market swap rate. It can be determined by adding by period.

On the other hand, for a temporary repayment loan, if the agreed swap period is not at the maturity of a year, then the swap rate applied to the temporary repayment loan is determined by linear interpolation from the annual interest rates before and after expiration. For example, if the swap rates for the swap periods of 12 months (365 days) and 24 months are 4.9% and 4.8%, for example, the customer will only pay for 18 months (548 days) of the 24 months (730 days) of the loan period. If interest rate swap transactions are desired, then the swap rate applied is determined to be 4.9 + slope * swap duration = 4.9 + [(4.8-4.9) / (730-365)] * (548-365) = 4.85%.

In the partial repayment loan, when the swap period is within the deferred period, the swap rate applied to the partial repayment loan may be applied in the same manner as the swap rate applied to the temporary repayment loan. However, in the repayment loan, if the loan period and the swap period for the loan principal are different, then the swap interest rate applied to the repayment loan is weighted instead of the simple expiration of the swap as shown in [Equation 1]. The interest rate corresponding to the average maturity is calculated and applied. In Equation 1, CONT is the swap contract amount, REFUND is the amount repaid during the swap period of the loan principal, and R1 and R2 are applied to the temporary repayment loan and the partial repayment loan, respectively, when the loan period and the swap period are the same. Is the swap interest rate.

[Equation 1]

Swap interest rate = [(CONT-REFUND) * R1 + REFUND * R2] / CONT

For example, according to [Equation 1], as shown in Figure 4, for the loan amount 41 reimbursed during the swap period of three years, the swap interest rate of the partial repayment formula is applied to the customer, and up to three years of the swap maturity of the loan For non-reimbursed amounts 42, the weighted average interest rate, which is the one-time swap rate, is applied. In the example as in Table 1, the swap interest rate = [36,000,000 * 4.8% + (84,000,000) * 5%] / 120,000,000 = 4.94% can be calculated.

TABLE 1

Principal equal split loan period 10 years Loan principal 120,000,000 KRW Equity Split Swap Period 3 years Swap principal 120,000,000 KRW Temporary Swap Interest Rates 5.0% Installment swap rate 4.8%

As described above, in the preliminary preparation step 10, after the principle of interest-related swap trading loan-related derivatives has been sufficiently explained to the lending customers, the interest rate swap that has passed the review of the terms and conditions of the Financial Supervisory Service to the customer who wishes to exchange the interest rate swap In addition to the transaction agreement, other documents for the customer's confirmation concerning the purpose, structure, effect of interest rate swaps, risks of termination, risks of arrears, etc. shall be collected (12). A table of swap transaction conditions on a commitment billed from a customer is shown in FIG. 5. The agreement basically states relevant loan information such as loan date and account number, the type of loan involved, swap contract amount, swap transaction duration, applicable swap interest rate, swap settlement date, late reimbursement rate, swap cancellation fee, etc. This may include how to determine the relevant swap interest rates, important terms of the transaction such as a termination fee, or a customer statement about the risk of interest rate swaps due to interest rate changes or termination. As shown in Fig. 5, the fixed rate (swap rate) that the customer pays to the bank is determined based on the market swap rate at the time of execution of the relevant loan, but when the swap transaction is committed later than the loan date, the swap rate is applied. It may be determined based on the market swap rate of the date on which the interest rate swap transaction is executed.

As described above, loans capable of interest rate swaps can be applied to corporate credits, but are preferably applied to household and SOHO credits (13). For example, in the case of household loans, it is applied to apartment / residential apartment mortgage loans, mortgage loans, etc .; SoHo can be applied within the maximum value of KRW 1 billion for the same person within the full recovery value. This is merely exemplary and not limited thereto, and the agreement of the interest rate swap transaction according to the present invention may be variously applied with respect to other credit loans or other mortgages.

Before executing the interest rate swap transaction by entering the necessary information related to the interest rate swap transaction agreement with the customer into the system, the loan officer such as a branch of a financial institution must swap the interest rate through the user interface of the system in order to conclude the interest rate swap agreement. By accessing the application for the transaction, as shown in Figure 6, the swap interest rate applied to the temporary repayment loan when executing the day interest rate swap transaction, or the swap interest rate applied to the partial repayment loan up to five years from the contract date by year It can be done (14). Such swap interest rate inquiry can be done anywhere through the headquarters server or branch office terminal that communicates through a dedicated network or the Internet, and can be inquired in real time by reflecting the interest rate registered by the trading department of a financial institution.

The loan customer agreeing to the swap interest rate in this way is required to fill out and sign all necessary documents such as the above agreement and confirmation, and the person in charge of the relevant branch stores all the information necessary for the execution of the interest rate swap transaction. By computerized input through the interface, a loan with associated interest rate swap transactions is executed (15).

In the swap execution step 20, in order to execute a household loan or SO loan and an interest rate swap transaction associated therewith, a predetermined application mounted in the system is run and all the information necessary for execution is input through the user interface and the swap transaction is executed. (21). For example, in the case of a swap transaction related to an apartment mortgage loan, consultation and information input may be performed at a sales terminal, and final approval of the swap may be made through a credit execution center such as the head office. In addition, when there is a swap transaction related to the corporate loan, both consultation and input of information and final approval may be performed using the branch terminal.

7 is an example of a loan and swap transaction agreement processing screen for a household loan. In relation to SOHO loans, loan and swap transaction agreements may be processed through another screen similar to FIG. 7. For example, in order to execute a loan according to the terms agreed with the customer for a general loan transaction, as shown in Fig. 7, the loan account number, the customer's unique number (resident registration number / business registration number), customer name, loan principal, loan Loan information such as periods, periods of deferred payment, date and time repayment, settlement date, mortgage classification, variable or fixed interest rates, preferential terms, etc. can be entered and managed in the database (22).

8 is an example of a swap agreement registration screen for a household loan. Similarly, in relation to SOHO loans, a swap transaction can be registered through another screen similar to FIG. 8. For example, after the loan information is input as described above, in order to execute the interest rate swap transaction according to the terms agreed with the customer, as shown in FIG. Enter and manage swap transaction information such as customer name, loan principal, transaction identification that represents new or expected, loan period, deferred term, swap period, swap interest rate, date and time or partial repayment method, settlement date, and swap management number It can be done (23).

After entering such loan information and swap transaction information, and executing the interest rate swap transaction with the final approval required, the system will automatically send a short message service (SMS) or a swap association loan notification message indicating that the execution starts and proceeds. It can be transmitted to the customer terminal in the form of mail (24). Such swap-linked loan notification messages may be notified immediately after the execution of the relevant transaction, and may also occur at predetermined intervals, such as once a week, on a weekly basis, for swap rates and floating rates. Information may be included. Upon receiving the swap linked loan notification message, the customer can immediately check the swap interest rate and the floating interest rate, thereby reducing the loss by canceling the swap transaction only when the swap interest rate is higher than the consultation rate. When such a swap transaction is canceled, the loan transaction in the system is converted to the original method, for example, a floating interest rate loan.

If an interest rate swap transaction is executed for a loan account subject to the variable interest rate as described above, in the post management step 30, the system does not exchange the loan principal through the financial institution branch account in accordance with the agreed interest rate swap transaction, and within the agreed swap period. In the billing cycle, will process a swap payment between the fixed swap rate that the customer will pay to the financial institution and the variable rate that the financial institution will pay to the customer. The processing of a swap payment is a series of actuarial flows that receive the corresponding swap interest rate from a customer or automatically withdraw the corresponding swap interest rate from a customer's direct debit account, etc., and process the difference between the settlement rate and the variable interest rate through the financial institution branch account. It includes.

9 is an example for explaining the actuating flow of a normal account after executing a swap. 10 is an example for explaining the flow of actuation of the delinquent account after the swap execution. As an example of the case where the floating rate is greater than the swap rates of FIG. 9 and FIG. 10, the applied swap rate (market swap rate + 0.07%) = 4.8%, the applied variable interest rate (MOR) = 5.0%, the swap base date = 2007.1.19, and This is an example of assuming that the first settlement date = 2007.2.19.

First, referring to FIG. 9, in the case of a normal account (31), the difference between the settlement date received from the won branch account (5.0-4.8 = 0.2%) before the customer deposit, such as before the transaction start time of the financial institution, is determined by the financial institution branch account. Make a deposit with In our trading account, we can refund the settlement date difference (0.2%), which is the interest rate swap transaction loss, to the KRW branch account. After that, the customer receives a payment rate (4.8%) from the customer to the financial institution branch account on the settlement date. The financial institution branch may use the settlement date difference (0.2%) received from the won account to obtain hedge transactions as much as the settlement date difference (0.2%). Bind to the trading account. As a result, customers as a whole benefit from a settlement date difference (0.2%) despite rising interest rates, while financial institutions are burdened with hedging, but the difference between settlement dates between floating rates (5.0%) and swap rates (4.8%). Conserve loan interest income as much as floating rates (5.0%) without losing as much as (0.2%).

On the other hand, referring to Figure 10, in the case of a delinquent account (32), first, similar to the normal account, before the customer deposit, such as before the transaction start time of the financial institution, the difference in the normal settlement date received from the origin point account (5.0-4.8 = 0.2%) into the financial institution branch account. In our trading account, we can refund the settlement date difference (0.2%), which is the interest rate swap transaction loss, to the KRW branch account. Thereafter, on the day overdue from the date of settlement (2007.3.6), the swap interest rate (7.2%) from the customer to the date overdue is deposited into the financial institution branch account. The financial institution branch may use the settlement date difference (0.2%) received from the won account to obtain hedge transactions as much as the settlement date difference (0.2%). Bind to the trading account. Thereafter, the difference between the corresponding swap rate (4.8%) and the floating rate (5.0%) (0.1%) between the settlement date (February 9, 2007) and the late date (2007.3.6) (February 19 through March 6). The interest rate swap transaction for the period of 1 day is assumed to be 0.1%). That is, as shown in FIG. 10, 0.1% may be attributed to the branch account, and the amount may be refunded in the trading account. Subsequently, the swap payment is processed on the payment date or the payment date overdue in a method similar to those of FIGS. 9 and 10.

As shown in FIGS. 9 and 10, accrual accounting is deferred regardless of whether the swap interest rate is received from the customer on the payment date according to the payment cycle or whether the swap interest rate is automatically withdrawn from the customer account. As a rule, if the floating rate (5.0%) is greater than the swap rate (4.8%), the swap is normally swapped by the settlement date difference (0.2%) of the swap rate (4.8%) and the floating rate (5.0%) before the customer deposit. The payment process (33).

While the interest rate swap is being executed, the interest rate swap transaction may be terminated in the swap period (34). In the case of a temporary repayment ceremony, if the loan is fully repaid halfway, the loan may be terminated, and it may be terminated by reducing the amount repaid at the partial repayment ceremony or the temporary repayment ceremony. However, it is not possible to terminate only part of the swap contract amount while leaving the remaining loan. The termination fee is a fee received from a customer to compensate for the loss that might occur if an unexpected termination request comes from the customer while hedging in the interest rate swap market by a financial institution such as a bank. As shown in [Equation 2], the amount of payment can be processed as much as a predetermined rate is applied to the swap contract amount in proportion to the remaining days. In Equation 2, W is the balance of the swap contract amount at the time of termination, and D is the number of days during the period from the date of termination to the day before the swap expiration date.

[Equation 2]

Swap cancellation fee = W * 0.5% * D / 365

As above, if there is a partial repayment of the loan amount associated with the swap linked loan account, the cancellation fee will be settled for the reduced swap contract amount, and if there is a full repayment of the loan amount associated with the loan account In addition to the above termination fee, the loan early repayment fee may be additionally processed. Early repayment fees may be subject to the terms and conditions agreed with the customer at the time of the loan agreement.

After an interest rate swap transaction has been executed, there is a case where a swap cancellation fee is exempt and the settlement fee is not processed. This is the case, for example, when an interest rate swap transaction is terminated due to a financial institution's collection of loans, a customer's delinquency for a predetermined period of time, and approval by the competent department (trading department). In particular, if the customer overdues interest payment for more than three months and the interest rate swap transaction is terminated, the swap receivable when the swap interest rate is higher than the floating rate from three months overdue (swap payment amount corresponding to the difference) Settle payment fees for late reimbursement rates associated with the loan account. During the first three months after arrears, swap-related delayed payments shall be waived.

In the case of debt acquisition or correction transaction, it may be terminated due to the approval of the competent department (trading department) .In this case, when the competent department (trading department) generates the approval number according to the relevant termination of the branch and the application for exemption, By entering the authorization number in the terminal can be processed for payment of the termination of the associated swap midway and exemption of the midterm termination fee.

So far, the method of processing interest rate swaps in connection with loan accounts subject to variable interest rates has been described with reference to FIG. 1. To sum it up, the loan account includes an account associated with a one-time repayment loan or a partial repayment loan, and is fixed per swap period for the repayment method corresponding to the loan account through the user interface prior to the commitment and execution of the transaction. You can query the swap rate. In this case, an interest rate swap transaction may be executed by applying a swap interest rate corresponding to a swap period selected by a customer among the inquired swap interest rates to the corresponding loan account. When an interest rate swap transaction is executed, the customer-specific swap transaction information is managed in a database so as to be associated with the loan account. Then, according to the customer-specific swap transaction information, the system relays the exchange of the swap rate and the floating rate between the customer and the financial institution in each customer's settlement cycle.

The interest rate swap processing method as described above may be used in a communication environment as shown in FIG. Referring to FIG. 11, a representative of a financial institution branch as described above may access a main office server connected to a communication network using a terminal such as a desktop PC or a notebook PC. The head office server provides the application for loan and interest rate swap processing as described above, and the person in charge can access the application of the head office server using his terminal to check the swap interest rate required for the loan and the interest rate swap transaction associated with it. Loan information, swap transaction information, or input data can be checked and managed.

Terminals used by sales representatives are not limited to desktop PCs and notebook PCs that communicate via the Internet. Cellular phones and PCS phones that communicate via the CDMA / WCDMA network, the wireless Internet, or the portable Internet. : Personal Communications Services phone, Synchronous / Asynchronous IMT-2000 (International Mobile Telecommunication-2000), Palm Personal Computer (PDA), Personal Digital Assistant (PDA), Smart Phone, WAP Phone phone: refers to all wireless communication devices such as a wireless application protocol phone and a mobile play-station or a dedicated wired terminal.

Applications that are loaded by the headquarters server for loan and interest rate swap processing as described above can be managed by the headquarters 'managers or managers, and updates required for swap transactions such as variable interest rates and swap interest rates in the main affairs departments such as the headquarters' trading department The information is provided to the branch terminal so that the person in charge can execute the interest rate swap transaction by inputting or confirming the interest rate, necessary loan information, or swap transaction information at any time. Applications running on the headquarters server can be accessed by a variety of dedicated user interface (GUI) programs that are applied to public networks, wired and wireless Internet, or the portable Internet installed in branch terminals when using a wired internet network. It can also be accessed via web / wafer.

The application system 120 for the interest rate swap processing operated by the main office server may be implemented as shown in FIG. 12. The interest rate swap processing system 120 according to an embodiment of the present invention includes a control unit 121, a user interface 122, a swap interest rate calculation unit 123, a message sending unit 124, a loan agreement unit 125, and a database. 126, a swap contracting unit 127, a swap managing unit 128, and a fee calculating unit 129. The interest rate swap processing system 120 performs the overall interest rate swap processing described in FIG. 1, which may be implemented in software, hardware or a combination thereof.

The controller 121 corresponds to a processor that is in charge of overall control of the above components of the interest rate swap processing system 120, and may be configured to include some or all of the above components.

The user interface 122 includes a display means such as an LCD (Liquid Crystal Display) or a data input means such as a keyboard, and also includes all of the applications for driving them, and a user such as a sales representative or a manager of the head office is subject to variable interest rates. It includes all means necessary for processing the loan and the information for managing the interest rate swap associated with the loan to be suitable for the user environment.

When the swap interest rate calculation unit 123 receives a request for a swap interest rate through a user terminal 122 through a user interface 122, a swap interest rate or a partial repayment loan for each period applied to a temporary repayment loan when executing the interest rate swap transaction on the same day. Calculate and output the swap rate for each period applied to. At any time for confirmation of the customer prior to the execution of the interest rate swap transaction or during the execution of the related swap transaction, the swap interest rate calculation unit 123 may be implemented in real time according to the conditions managed in the main department such as the trading department of the head office as described in step 11 of FIG. 1. The same swap interest rate is calculated and provided.

The loan agreement government 125 executes a temporary repayment loan or a partial repayment loan contracted with the customer according to the information about the related loan which is the basis of the interest rate swap transaction inputted from the branch office terminal or the like through the user interface 122. In addition, the customer-specific loan information as described in step 22 of FIG. 1 may be stored in the database 126. The loan on which the interest rate swap transaction is based is a floating rate loan, but loan pharmacy 125 may execute all loans, such as floating rate or fixed rate, and allow related information to be managed in database 126. .

The swap contract 127 executes an interest rate swap transaction in accordance with information input from a sales terminal or the like through the user interface 122 in connection with the loan executed as described above, and swaps for each customer as described in step 23 of FIG. 1. The transaction information is stored and managed in the database 126.

When the interest rate swap transaction is executed in accordance with the operation of the swap agreement 127, the message sending unit 124, as described in step 24 of Figure 1, immediately after the execution or at a predetermined interval to the swap interest rate and MOR that is applied by the customer The swap associated loan notification message including information on the based on the variable interest rate may be transmitted to the customer terminal. Here, the customer terminal may have a form similar to that of the branch terminal as described above, such as a mobile phone, a PC, and thus, a swap-linked loan notification message through a predetermined wired / wireless communication means that processes the swap-related loan notification message to be properly transmitted to the customer terminal. May be transmitted to the customer terminal.

The controller 121 controls to execute an interest rate swap transaction on the loan-related account based on the information stored in the database 126 as described above, and the customer in a payment cycle within the swap period through the financial institution branch account in accordance with the interest rate swap transaction. Controls the processing of swap payments between a fixed swap rate to be paid to this financial institution and a variable interest rate paid to the customer by the financial institution. That is, the controller 121 controls the swap manager 128 and the fee calculator 129, in particular, to process the swap rate received from the customer or from the customer account according to the actuarial flow as shown in 31 and 32 of FIG. And controlling the automatic withdrawal of the swap interest rate and controlling the difference between the swap interest rate and the variable interest rate through the financial institution branch account.

The swap manager 128 may process a swap payment for each customer's settlement date after the interest rate swap transaction is executed as described above. When the interest rate swap transaction is canceled after the interest rate swap transaction is executed, the swap management unit 128 may convert the loan account into an original loan to which the variable interest rate is applied to be managed. Further, even if the swap management unit 128 is overdue regardless of whether the swap interest rate is received from the customer at the corresponding settlement date according to the settlement cycle of the executed swap transaction, or whether the swap interest rate is automatically withdrawn from the customer account, According to the accrual accounting principle, if the floating interest rate is greater than the swap interest rate, the swap payment is normally processed by the difference between the settlement rate of the swap interest rate and the floating interest rate before the customer deposit (see 33 in FIG. 1).

In particular, the swap management unit 128, in the case of a normal account with a customer deposit on the settlement date, as shown in step 31 in FIG. Deposit the difference of the settlement date received (the difference between the floating rate and the swap rate) into the financial institution account, deposit the swap interest rate up to the settlement date received from the customer on the settlement date into the financial institution account, and as much as the difference of the settlement date acquired by the financial institution in the hedge transaction. Can be processed to be attributed to the trading account.

In addition, the swap management unit 128, even in the case of a delinquent account that has not received customer payment on the settlement date, first, similarly to step 31 of FIG. 1, if the floating interest rate is greater than the swap interest rate, the transaction start time of the financial institution Deposit the difference in settlement date received from the origin point account into the financial institution account. Thereafter, as in step 32 of FIG. 1, the swap interest rate from the settlement date to the overdue date received from the customer is deposited into the financial institution account, and the profit equal to the difference of the settlement date acquired by the financial institution in the hedge transaction. May be attributed to the trading account. In addition, since a difference (interest rate swap loss) between the swap interest rate and the variable interest rate occurred between the settlement date and the overdue date, the swap management unit 128 may further process the settlement using the won branch account. Can be.

On the other hand, after the interest rate swap transaction is executed, the fee calculation unit 129, if the interest rate swap transaction is terminated halfway within the swap period, as shown in [Equation 2] described in Steps 34 and 35 of FIG. You can settle the cancellation fee in proportion to the remaining days and apply a predetermined rate. The fee can be automatically withdrawn from the customer's direct debit account or settled, or received from the customer in cash, check, etc., through the sales terminal. In addition, when there is a partial repayment of the loan amount associated with the variable interest rate loan account, the fee calculator 129 may settle the cancellation fee for the reduced swap contract amount.

When all loans related to the variable interest rate loan account are repaid, the fee calculator 129 may further process the loan early repayment fee together with the above-mentioned termination fee. Loan early repayment fees are subject to the terms and conditions of the relevant loan.

When the interest rate swap transaction is terminated due to the financial institution's loan collection, the customer's delinquency during the predetermined period, and the approval of the competent department, etc., the fee calculation unit 129 performs the operation as described in step 35 of FIG. However, no such termination fee will be charged. In addition, when the interest rate swap transaction is terminated due to the delinquency of the customer, the fee calculation unit 129 may receive a swap receivable when the swap interest rate is higher than the variable interest rate for a predetermined period, for example, after three months or more. (The difference between the swap rate and the floating rate) can be settled for a fee based on the late reimbursement rate associated with the floating rate loan account.

The functions used in the methods and systems disclosed herein may be embodied as computer readable code on a computer readable recording medium. The computer-readable recording medium includes all kinds of recording devices in which data that can be read by a computer system is stored. Examples of computer-readable recording media include ROM, RAM, CD-ROM, magnetic tape, floppy disk, optical data storage, and the like, and may also be implemented in the form of a carrier wave (for example, transmission over the Internet). do. The computer readable recording medium can also be distributed over network coupled computer systems so that the computer readable code is stored and executed in a distributed fashion.

As described above, although the present invention has been described with reference to limited embodiments and drawings, the present invention is not limited to the above embodiments, and those skilled in the art to which the present invention pertains various modifications and variations from such descriptions. This is possible. Therefore, the scope of the present invention should not be limited to the described embodiments, but should be defined by the claims below and equivalents thereof.

As described above, in the interest rate swap processing method and system according to the present invention, when the floating interest rate rises in connection with the variable loan received by the customer, the customer pays the fixed rate according to the swap transaction agreement and the floating interest rate from the financial institution. By allowing the customer to selectively process loan-linked derivatives that allow the company to receive a loan, the computer will automatically handle the loan-linked derivatives. Financial institutions can avoid the burden of lowering profits even when interest rates fall.

In addition, in the interest rate swap processing method and system according to the present invention, information related to inquiry, swap execution, and follow-up of loan interest rate related to the interest rate swap agreement is shared between the head office and the branch in real time to efficiently manage the management of the corresponding customers. It can be done with

In addition, the interest rate swap processing method and system according to the present invention clarifies loan interests and profits attributable to the normal and delinquent accounts related to interest rate swap transactions, and processes and manages the termination conditions, fees, and delayed reparations. It can be done efficiently.

Claims (44)

Executing an interest rate swap transaction on the loan account subject to the variable interest rate; And Processing a swap payment between a fixed swap rate that the customer pays to the financial institution and a variable rate that the financial institution pays to the customer in a settlement cycle through a financial institution account in accordance with the interest rate swap transaction; Interest rate swap processing method comprising a. The method of claim 1, wherein processing the swap payment comprises: And receiving the swap rate from a customer or automatically withdrawing the swap rate from a customer account and processing the difference between the swap rate and the variable interest rate through the financial institution account. The method of claim 1, wherein the swap interest rate is differently applied to a temporary repayment loan and a partial repayment loan. 2. The method of claim 1, wherein the swap rate applied to the repayment loan is determined based on a market swap rate. 2. The method of claim 1, wherein if the swap period is not in the year maturity, the swap rate applied to the temporary repayment loan is determined by linear interpolation from the yearly rates before and after the expiration. The method of claim 1, wherein the swap rate applied to the split payment loan is determined by adding a predetermined interest rate to the market swap rate. The swap rate of claim 1, wherein the swap rate applied to the repayment loan is equal to the swap rate applied to the temporary repayment loan when the swap period is within the deferred period. Interest rate swap processing method. According to claim 1, If the loan period and the swap period for the loan principal is different, the swap rate applied to the split payment loan, Equation, Swap interest rate = [(CONT-REFUND) * R1 + REFUND * R2] / CONT Where CONT is the amount of the swap contract, REFUND is the amount of the principal that is repaid during the swap period, and R1 and R2 apply to the one-time loan and the partial repayment loan when the loan period and the swap period are the same. Interest rate swap processing method, characterized in that the swap interest rate. The method of claim 1, wherein the interest rate swap transaction is operated for household or SOHO customers, except for corporate customers. 2. The method of claim 1, wherein the swap rate is determined based on a market swap rate of the date on which the interest rate swap transaction is executed. The method of claim 1, wherein before executing the interest rate swap transaction, An interest rate swap processing method comprising querying, through a user interface, a period swap rate applied to a temporary repayment loan when executing a day interest rate swap transaction or a period swap rate applied to a partial repayment loan. According to claim 1, When the interest rate swap transaction is executed, the transaction account indicating the number of the loan account, customer unique number, customer name, loan principal, new or expected, so as to be associated with the loan account, loan period, deferred period And a swap transaction information including at least one of a swap period, a swap interest rate, a date or time payment, a payment date, and a swap management number in a database. The method of claim 1, wherein, when the interest rate swap transaction is executed, a swap associated loan notification message including information about the swap interest rate and the variable interest rate is transmitted to a customer terminal. 15. The method of claim 13, wherein the swap association loan notification message is periodically transmitted in the form of SMS or e-mail. 2. The method of claim 1, wherein if the interest rate swap transaction is canceled after execution, the loan account is converted into a loan to which the variable interest rate is applied. The method of claim 1, wherein the variable interest rate is determined based on a market opportunity rate (MOR) applied to each corresponding day of the payment cycle. The method of claim 1, wherein in the swap settlement process, The swap if the variable interest rate is greater than the swap rate, regardless of whether the swap rate is received from the customer on the payment date according to the payment cycle or whether the swap rate is automatically withdrawn from the customer account. The interest rate swap processing method characterized in that the swap payment processing as much as the difference between the interest rate and the settlement date of the variable interest rate. The method of claim 1, wherein the swap payment processing, Depositing the difference between the swap rate received from the won branch account and the settlement date of the floating rate before the transaction start time of the financial institution into the financial institution account; Depositing a swap rate up to the settlement date received from the customer on the settlement date into the financial institution account; And Attributing a profit equal to the difference of the settlement date acquired by the financial institution to a hedge transaction to a trading account; Interest rate swap processing method comprising a. The method of claim 1, wherein the swap payment processing, Depositing the difference between the swap rate received from the won branch account and the settlement date of the floating rate before the transaction start time of the financial institution into the financial institution account; Depositing a swap rate from the settlement date to the overdue date received from the customer on the financial institution account; Attaining a profit equal to the difference of the settlement date acquired by the financial institution to the trading unit account; And A step of further payment processing using the won branch account for the difference between the swap interest rate and the floating interest rate corresponding to the settlement date and the late date; Interest rate swap processing method comprising a. The method of claim 1, wherein after the interest rate swap transaction is executed: If the interest rate swap transaction is terminated halfway within the swap period, the interest rate swap processing method characterized in that for processing the cancellation fee in proportion to the number of days remaining in the swap contract amount and applying a predetermined rate. 21. The method of claim 20, wherein a partial cancellation fee is settled on the reduced swap contract amount when there is partial repayment of the loan amount associated with the loan account. 21. The interest rate swap processing method according to claim 20, wherein if there is a full repayment of the loan amount associated with the loan account, the loan early repayment fee is additionally settled along with the intermediate termination fee. The method of claim 20, wherein after the interest rate swap transaction is executed: If the interest rate swap transaction is terminated in accordance with any one of the collection of loans of the financial institution, the delinquency of the customer for a predetermined period, and the approval of the competent department, the interest rate swap processing is characterized in that the settlement fee is not processed. Way. 24. The loan account of claim 23, wherein if the interest rate swap transaction is terminated due to the delinquency of the customer, the loan account for swap receivables when the swap interest rate is higher than the variable interest rate from a time exceeding thereafter for the predetermined period. Interest rate swap processing method characterized in that the payment processing fee based on the delayed reparation rate associated with. In a method of processing interest rate swaps in connection with loan accounts subject to floating rates, The loan account includes an account associated with a repayment loan or a repayment loan; Retrieving a fixed swap rate for each swap period for a repayment method corresponding to the loan account through a user interface; Executing an interest rate swap transaction by applying a swap interest rate corresponding to a selected swap period among the inquired swap interest rates to the loan account; Managing customer-specific swap transaction information in a database so as to correspond to the loan account according to the interest rate swap transaction to be executed; And Relaying an exchange of a corresponding swap rate and a floating rate between a customer and a financial institution according to each customer's swap transaction information according to the customer's swap transaction information; Interest rate swap processing method comprising a. In a method of processing interest rate swaps in connection with a loan account, Determining a fixed swap rate to be applied in place of the floating rate applied to the loan account; Determining a swap period within an expiration time of the loan account; Executing an interest rate swap transaction associated with the loan account according to at least the swap interest rate and the swap period; And Swap payment processing to exchange the swap interest rate and the floating interest rate in a contracted settlement cycle within the swap period; Interest rate swap processing method comprising a. Convert a loan account with variable interest rates into a fixed swap rate, Processing to exchange the swap rate and the floating rate between a customer of the loan account and a financial institution operating the loan account at every settlement date. Interest rate swap processing method characterized in that. 29. A recording medium having recorded thereon a computer readable program for performing the method of any one of claims 1 to 27. A user interface that processes input and output of information for managing loans subject to variable interest rates and interest rate swaps associated with the loans; A database for storing customer-specific loan information and swap transaction information input through the user interface; And Control the interest rate swap transaction to be executed on the loan account subject to the variable interest rate based on the information stored in the database, and the customer pays the financial institution at a payment cycle within a swap period through a financial institution account according to the interest rate swap transaction To control the swap payment between a fixed swap rate to be made and the floating rate the financial institution will pay to the customer Interest rate swap processing system comprising a. The method of claim 29, Loan pharmacy that executes one-time loan or partial payment loan and stores customer-specific loan information in the database The interest rate swap processing system further comprises. The method of claim 29, A swap contract that executes interest rate swap transactions and stores customer-specific swap transaction information in the database. The interest rate swap processing system further comprises. The method of claim 29, wherein the control unit, Interest rate swap, characterized in that the control of receiving the swap interest rate from a customer to process or automatically withdraw the swap interest rate from a customer account, and controlling the difference between the swap interest rate and the variable interest rate through profit and loss through the financial institution account Processing system. The method of claim 29, Upon receiving a request for a swap interest rate through the user interface, a swap interest rate calculation unit for calculating a period swap rate applied to a temporary repayment loan when executing the interest rate swap transaction on the day or a period swap rate applied to a partial repayment loan. The interest rate swap processing system further comprises. The method of claim 29, When the interest rate swap transaction is executed, the message sending unit for transmitting a swap associated loan notification message including information on the swap interest rate and the variable interest rate at a predetermined cycle to the customer terminal The interest rate swap processing system further comprises. The method of claim 29, After the interest rate swap transaction is executed, a swap management unit that handles the swap payment for each customer settlement date The interest rate swap processing system further comprises. The method of claim 35, wherein the swap management unit, And if the interest rate swap transaction is canceled after being executed, converting the loan account into a loan to which the variable interest rate is applied. The method of claim 35, wherein the swap management unit, The swap if the variable interest rate is greater than the swap rate, regardless of whether the swap rate is received from the customer on the payment date according to the payment cycle or whether the swap rate is automatically withdrawn from the customer account. The interest rate swap processing system, characterized in that the swap payment processing as much as the difference between the interest rate and the settlement date of the variable interest rate. The method of claim 35, wherein the swap management unit, Deposit the settlement date difference of the floating interest rate into the financial institution account, rather than the swap rate received from the local currency branch account, before the transaction start time of the financial institution; Deposit the interest rate up to the payment date received from the customer on the payment date into the financial institution account; The interest rate swap processing system, characterized in that the financial institution attributable to the trading unit account of the profit as much as the difference of the settlement date obtained by the hedge transaction. The method of claim 35, wherein the swap management unit, Deposit the settlement date difference of the floating interest rate into the financial institution account, rather than the swap rate received from the local currency branch account, before the transaction start time of the financial institution; Deposit the interest rate on the financial institution account from the payment date to the overdue date received from the customer on the day overdue, The financial institution attributable to the trading unit account of the amount of the difference of the settlement date obtained by the hedge transaction, And an additional payment process is performed using the won branch account for the difference between the swap interest rate and the floating interest rate corresponding to the settlement date and the late date. The method of claim 29, After the interest rate swap transaction is executed, if the interest rate swap transaction is terminated within the swap period, a fee calculation unit for processing a cancellation fee in which a predetermined rate is applied to a swap contract amount in proportion to the remaining days The interest rate swap processing system further comprises. The method of claim 40, wherein the fee calculation unit, If there is a partial repayment of the loan amount associated with the loan account, the interest rate swap processing system characterized in that for processing the cancellation fee for the reduced swap contract amount. The method of claim 40, wherein the fee calculation unit, And, in case there is a full repayment of the loan amount related to the variable interest rate loan account, the interest rate swap processing system further comprising the settlement early repayment fee together with the intermediate termination fee. The method of claim 40, wherein the fee calculation unit, If the interest rate swap transaction is terminated in accordance with any one of the collection of loans of the financial institution, the delinquency of the customer for a predetermined period, and the approval of the competent department, the interest rate swap processing is characterized in that the settlement fee is not processed. system. The method of claim 43, wherein the fee calculation unit, In the case where the interest rate swap transaction is terminated due to the delinquency of the customer, the delayed remuneration rate associated with the loan account for the swap receivable when the swap interest rate is higher than the variable interest rate from a later exceeding time during the predetermined period. Interest rate swap processing system characterized in that the payment processing according to.

Images