30.6 Lifecycle process Impact

This topic describes the lifecycle of RFR contract.

Back Dated and Current Dated Contract Booking

While you book a SE deal with the current trade date or backdated trade date, the system calculates Interest amount considering the Interest days and the RFR rate.

Process the MSTL Event with Right Interest Component Amount

Based on the net consideration, interest amount is credited or debited from customer account based on SE deal type buy or sell.

Interest Accrual - IACR

• RFR supports both Portfolio and Holdings accrual levels.
• RFR supports both Deal level and Position level Interest accruals.
• IACR event will post proper interest amount calculated each succeeding day of the Interest period, where the accrued Interest adds to the Outstanding Nominal Amount.

Negative Interest Rates

RFR supports the negative Interest rate calculations in the Securities module.

Coupon Processing

Coupon Processing is executed on the accrued RFR interest amount.

For a Coupon processing related to Lockout and Payment delay methods, the system considers the coupon date to arrive at the lockout date and payment delay date.

For a payment delay method, coupon processing is executed after payment delay days of the actual processing date. System supports backdated coupon processing, also where the transaction Date is the same as the payment delay date, whereas the Processing Date is backdated, which is the coupon event date.

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.