Lifecycle Process Impact

Swift Messaging

MT320 SWIFT message generated during BOOK, LIQD & ROLL events, should have proper field values for below tags:

32H Amount to be Settled
34E Currency and Interest Amount
37G Interest Rate

MT350 SWIFT message generated during interest payouts should have proper field values for below tags:

34B Currency and Interest Amount
37J Interest Rate

Contract Advices

Below MM Confirmation and Roll over advices should have proper interest data fields.

Message types are:

MMCONDEP
MMCONPLA
MM_ROLL_ADV

Intraday Deals

Booking and liquidation of MM intraday deals is supported for the contracts.

Back dated and Future dated Contract Booking

RFR contracts supports both back and future dated booking.

In case of future dated contract, the deal is uninitiated on BOOK date, and the same is processed on the value date during EOD.

When the deal is initiated, the system derives the interest rate and amount.

Liquidate back date schedules

When you book a Back dated MM contract having the check for Liquidate backdated schedules and if there is back dated interim payment schedule, interest amount for the schedule is derived and settled on save.

Interest Accrual

Interest is calculated and accrued based on the selected computation methods.

Interest Liquidation

During interest liquidation, cumulative accrued interest amount is paid. RFR supports both Manual and Auto Liquidation of schedules.

Back dated and future dated Value dated amendments

RFR to support booking Back dated and Value dated amendments and required adjustment is taken care.

Prepayments and withdrawals

In case of partial payments, interest calculation considers the outstanding principal amount.

Negative Interest rates

RFR does support negative interest rate calculations.

Roll Over

When roll preference is set as the principal only then the cumulative interest accrued is liquidated on value date on contract.

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).