9 Risk Free Rates
Provision to consume Risk Free Rates (RFR) or any other index rate daily from a published source is provided. The system integrates product processor with centralized interest calculation engine. The Product Processor sends appropriate parameters to the Interest Calculation Engine per deal and receives the interest rate and computed interest amount.
RFR supports interest rate calculation on both simple average method and the compounding method, where the system adds accrued interest to the principal. The system maintains the daily interest amount and daily rate for each Money Market contract. RFR also supports interest rate calculation by using weighted average method (WAC).
Note:
Only simple interest calculation can be done by WAC.The required accruals are posted on currency working days only. Reconcile interest accruals for payouts at the end of the interest period.
RFR supports both the back and future value date bookings with proper interest application. The MM module supports the below RFR methods.
- Lookback
- Lockout
- Payment Delay
- Plain
- Interest Rollover
- Lookback and Lockout
- Lookback and Payment Delay
- Lockout and Payment Delay
- Lookback, Lockout, and Payment Delay
- Last reset
- Last recent
- Lookback
- Lockout
- Payment Delay
- Plain
- Lookback and Lockout
- Lookback and Payment Delay
- Lockout and Payment Delay
- Lookback, Lockout, and Payment Delay
This topic has the following sub-topics:
- Define Rate codes for Risk Free rates
This topic provides the instructions to define the rate codes for risk free rates. - Risk Free Rates
This topic provides the instructions to capture the Risk Free Rates. - Treasury Interest Class Definition
This topic provides the instructions to capture the Treasury Interest Class Definition details. - Money Market Product
This topic provides the instructions to capture the RFR details in money market product. - Money Market Contract
This topic provides the instructions to capture the RFR details in Money Market Contract. - Money Market Value Dated changes
This topic provides the instructions to capture the RFR details in Money Market Value dated changes. - Lifecycle Process Impact