2.16 Rate Fixing Process for Repo

This topic describes how to use the Treasury branch parameter maintenance to provide the details on the different maintenance involved in the rate fixing process and the process in executing the rate fixing for an repo contract.

Treasury Branch Parameter Maintenance

Proceed with Previous Available Rate parameter that is considered during both rate revision and rate fixing process during EOD.

If rate fixing event is not processed either manually from the Rate fixing screen or during BOD batch then during SR EOD batch processing system must check for effective date rate and if available, rate fixing is processed based on the flag set for Proceed with previous available rate.

At the Treasury branch parameter maintenance screen (STDTRBRN), a preference check Proceed with previous available rate is introduced and is considered during both rate revision and rate fixing process during EOD. Default value of this field is checked.

In case when Proceed with previous available rate preference is enabled, during EOD processing system checks for rate availability for that particular effective date in the Floating rate table and if rates are not available for that date, then Rate fixing and revision event is applied on instruments with the previous latest rate available in the system.

Whereas when Proceed with previous available rate check box is not enabled, during EOD, processing system skips the Rate fixing and revision event on respective instruments in case when the rate for that effective date is not available.

For every revision schedule, which applies a rate fixing during EOD processing, a new rate-fixing event RFIX triggers.

In case of a forward movement on fixing days from the revision effective date, rate fix happens after the revision effective date and interest catch up entries is posted during EOD processing.

Treasury Rate Fixing Maintenance

The Floating Rate is fixed for every period of the cash flow settlement of the floating rate leg. The rate fixing days can be defined and it may differ on a trade-to-trade basis. For more information, see the section:

Treasury Interest Class Definition

Rate Fixing Days and Fixing Date Movement are available under Limits block in Treasury Interest Class Definition. Treasury Interest Class Definition supports RFR methods and computation preferences for securities repo module only.

Securities Repo Product Definition

The Rate Fixing Days and Fixing Date Movement defaults from the Interest Component. However the user can modify the default value. For more information, see the section:

Securities Repo Contract Online

Users can set the values of fields Rate Fixing Days and Fixing Date Movement in the interest component. For more information, see the section:

Build Rate Fixing Schedules

On saving the SR transaction/contract, the system builds rate fixing schedules based on the rate revision dates, rate fixing days and fixing date movement. Derived Rate fixing date is viewed from the revision schedule details screen after saving the Instrument. If there are no revision schedules defined for a contract then rate fixing is not applicable.

For every revision schedule, which applies a rate fixing from an external system or in OBTR through online screen or EOD processing, the event rate fixing event RTFX is triggered and the rate fixing applied field is updated automatically to Y. The effective rate resolves after considering the spread and is displayed with other rate related details in the Revision date details screen of SRDTRONL.

Rate fixing is not applied on back dated 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 schedule date. Once rate fixing is done on the future date (that is, same as business date) the rate revision event will trigger.

Table 2-52 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 2-53 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 2-54 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

Treasury Manual Rate Fixing

• Treasury Manual Rate fixing screen TRDMRTFX will fetch deals for which rate fix is applicable based on the filter selected. Fixing date must be the primary search criteria to query deals, which are due on that day for rate fixing. Ensure the fixing date is less than or equal to the system date, this cannot be future dated.
• The system fetches the deals requiring rate-fixing from this screen based on the Branch Code, Module, Rate Fixing date, Rate code, Source System and currency filter conditions.
• Contracts with the rate fixing and status as Authorized or Unauthorized are not listed here upon date search or fetch.
• This screen also supports the initiation of rate-fixing procedure on selected contracts from OBTR. Rate fixing event is processed online or during EOD on fixing date, only if the effective date floating rates are available. System skips the rate-fixing events if rates are not available during the job processing.
• From this screen user have an option to process rate fixing for:
  • Specific Modules
  • Specific Rate Code
  • Specific Branch or
  • Multiple Branches
• User is given the option to select single, multiple or all records that are eligible for rate fixing.
• The final interest rate is derived, considering the Spread on the contract.
• Minimum and the Maximum rates are validated if the resolved rate exceeds these limits.
• If rate-fixing event is not processed manually from the Rate fixing screen or during BOD batch then, during EOD batch process system checks for latest effective date rate. If available, rate fixing is processed.
• Based on the Proceed with previous available rate maintenance at the Treasury Branch parameter Maintenance. If the flag Proceed with previous available rate is not selected, during the EOD batch, system skips the rate revision and fixing procedure if the effective date is not available.
• The rate-fixing event RTFX is triggered upon each successful rate-fixing contract online and during EOD.
• In margin screen, when the user saves the details, it will get saved in unauthorized status. Another user can verify the details and authorize the same.
• Once the rate-fixing event is processed, the system generates the standard MT 320 swift confirmations or advice applicable. On confirmation, MT320 will specify the rate and period applicable.
• Once the rate fixing is applied, the contracts are not listed on fetching from rate-fixing screen. User will receive a message that Rate fixing is successfully processed on the selected contracts.
• Rate fixing on back value dates is supported from this screen, if rates are available because of the time difference. An index published on the effective date in the US, or Europe market is available in the Asian region only on the next business day effective from the previous day. The system posts the backdated Interest Adjustments during EOD.
• In case of a forward movement on fixing days from the revision effective date, the rate is fixed after the effective date, and interest catch up entries are posted during the EOD processing.

This topic has the following topic:

• Treasury Manual Rate Fixing Maintenance
  Use the Treasury Manual Rate Fixing to fetch the contracts which require rate fixing and also apply the rate fix on the selected float rate type contracts having the fixing date as the primary search criteria to query deals.