11.2.10 Reference Period's Compounded Rate
This Transfer Pricing method is to support IBOR transition. Preferably IRC should be Risk-free rate compounded index. As per the selected period, system picks the compounded index for the reference period start date and does the calculation till the reference period end date as follows:
For this method configuration, along with the IRC selection, a term point selection is also given, which will be by default set at a minimum available term point.
Reference Period Start Date:
- Last Payment Date (Default)
- Origination Date
- Last Reprice Date
- TP Effective Date
- Adjustment Effective Date
Reference Period End Date will always be As of Date.
Table 11-5 Reference Period's Compounded Rate
| Date | SONIA Compound Index |
| 02 Jun 21 | 101.34331802 |
| 01 Jun 21 | 101.34317974 |
| 28 May 21 | 101.34260667 |
| 27 May 21 | 101.34246757 |
| 26 May 21 | 101.34232875 |
| 25 May 21 | 101.34219103 |
| 24 May 21 | 101.34205304 |
| 21 May 21 | 101.34164073 |
| 20 May 21 | 101.34150385 |
| 19 May 21 | 101.34136780 |
| 18 May 21 | 101.34123092 |
| 17 May 21 | 101.34109682 |
| 14 May 21 | 101.34068285 |
| 13 May 21 | 101.34054569 |
| 11 May 21 | 101.34027360 |
| 10 May 21 | 101.34013756 |
| 07 May 21 | 101.33972276 |
| 06 May 21 | 101.33958643 |
| 05 May 21 | 101.33945122 |
| 04 May 21 | 101.33931351 |
| 30 Apr 21 | 101.33874824 |
| 29 Apr 21 | 101.33860969 |
Where:
- x = 30th April 2021
- y = 28th May 2021
- d = 28
Figure 11-6 Compounded SONIA rate
