30.2.2 WSA Engine and OFSAA Rate Management

Interest Rate Curves required for Moody's should be set up through the Curve Identifier drop-down list in the Rate Management IRC UI. Moody's requires the following curves to be defined:

• LIBOR (Zero-Coupon LIBOR/Swap)
• TREASURY CURVE (Zero-Coupon Treasury)
• COFI (Cost of Funds Index)
• PRIME (Prime Lending Rate)

It's the user's responsibility to set up the proper curves while using Moody's libraries. Users can define only one treasury curve / one LIBOR curve / one COFI curve and one prime curve per currency.

Note:

A majority of the deals would be based on LIBOR/Treasury Curves.