Lifecycle process Impact

Swift Messaging

MT320 SWIFT message generated during BOOK, LIQD & ROLL events, must have proper field values for below tags for SR contracts with RFR component:

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

MT350 SWIFT message generated during interest payouts must have proper field values for below tags for SR contracts with RFR component:

34B Currency and Interest Amount
37J Interest Rate

Contract Advices

Confirmation and rollover advices maintained for SR module must have proper interest rate and amount for SR contracts with RFR component.

Intraday Deals

Booking and liquidation of SR intraday deals is supported for the SR contracts with the RFR component.

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 the user book a Back dated SR 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.

Any accrual based on negative interest rate/ negative amount is done at negative component level. Main interest component continues to support positive interest rate/ positive amount based accrual.

Interest Schedules

Interest schedules are displayed against both main interest component and negative interest component separately.

Schedule amount for negative component are shown in absolute value with appropriate Pay or Receive indicators showing whether the amount is to be paid or received by bank

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

SR Contract with the RFR component supports the Back Dated and Value Dated amendments and respective adjustments are posted.

Prepayments and withdrawals

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

Roll Over

When roll preference is set as the principal only, cumulative interest accrued is liquidated on value date of contract. Else, both principal and interest are rolled over to child contract.

Rate pickup of child contract must happen based on the value date and other RFR preferences selected.

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).