4.5.4 Build Rate Fixing Schedule

The rate fixing schedule date can be below the trade date of the transaction for the first interest period.

Based on the rate-fixing days and rate fixing movement, captured in interest call form (refer to the Interest User Manual, Section 2.5 Treasury Rate Fixing Maintenance), once the contract is saved, the system builds the rate-fixing schedule based on the rate revision dates, rate fixing days & fixing date movement. View the derived Rate fixing date from the revision schedule details screen after saving of a contract. If there are no revision schedules defined for a contract, then rate-fixing will not be applicable.

For every revision schedule, which applies a rate-fixing through an external system or in OBTR through an online screen or EOD processing, a new event rate-fixing event RTFX will trigger, and the rate-fixing applied field will be updated automatically to Y. The effective rate will resolve after considering the spread/margin and is displayed with other rate related details in the Revision schedule tab of MMDTRONL. The confirmation message linked to rate fixing event will be generated and is viewed from the contract screen.

Rate fixing is not applicable to the backdated contracts having past revision schedules. For future, dated rate-fixing date that is when the fixing date movement is forward rate revision event will not fire on a scheduled date once rate fixing is done the rate revision event triggers.

Table 4-3 Rate Fix Forward Example - 2 days forward

Revision Schedule Date	Rate Fixing Date
12/11/2019	12/13/2019
12/18/2019	12/20/2019
12/25/2019	12/27/2019
1/1/2020	1/3/2020
1/10/2020	1/12/2020

Table 4-4 Rate Fix Backward Example - 2 days Backward

Revision Schedule Date	Fixing Date
12/17/2019	12/13/2019	14th & 15th Weekend holiday
12/24/2019	12/20/2019	21st& 22nd Weekend holiday
12/31/2019	12/23/2019	28th 29th Weekend holiday
1/7/2020	1/3/2020	4th & 5th Weekend holiday
1/14/2020	1/10/2020	11th &12th Weekend holiday

Table 4-5 Rate Fix Example

Revision Schedule Date	Fixing Date
12/17/2019	12/17/2019
12/24/2019	12/24/2019
12/31/2019	12/31/2019
1/7/2020	1/7/2020
1/14/2020	1/14/2020