6.8 Life Cycle Process Impact

This topic describes the life cycle process impact for RFR contract.

Back Dated and Current Dated Contract Booking

Following swift messages capture the applicable RFR details:

• MT 360
• MT 362

Contract Advices

RFR details as applicable are captured in advices same as floating rates.

Liquidation Delay

The system supports the delay in liquidating the contract till all the RFR rates are available. Liquidation will happen once the rate is received on the maturity date during EOD batch processing.

Note:

This functionality is applicable to RFR related contracts only (Plain Method).