How-to: Interest fixing

Created by Erik Åkerlund, Modified on Mon, 20 Feb, 2023 at 2:28 PM by Erik Åkerlund

Interest fixing on Fixed/Floating rate loans, Intererest rate swaps, Credit Facilities and Bonds is performed in Back Office – Confirm start

The fixing rate is by default, the rate set two (2) business days before value date. This setting is defined per instrument in field 'Fix days'.

Here's a step by step instruction, there is also a video in the end of the article.

How to fix a single transaction

  1. Go to Back Office > Confirm - start
  2. Click on the small binocular and lightning (F7 + F8) and all transactions that is unconfirmed and that needs to be handled in confirm start will be shown.
  3. If you for some reason do not want to handle some transactions in Confirm - start, use an Extended selection and select transactions by date and/or by portfolio codes.

    In the column "Interest fixed" you can see the status of the interest fixing. The status code (Yes/No)  is automatically filled in by the system on value date.

    Fixing statuses

    YES = interest has been changed/updated (by default the fixing rate is the rate set two (2) business days before value date but number of days can be changed per instrument)
    MISSING = the interest rate has NOT been changed/updated.
    Blank = No update of interest is needed. Either the interest is fixed or its an transaction with no interest, for example an FX transaction.

  4. To update the interest on one transaction, select the row of the transaction and then the 'Interest fixing/Reconciliation/settlement' button.

    The system will then update the interest with the interest in the Interest rate / Price / volatility table dated two (2) business days (as default) before Value date and also add the spread if entered on the loan.

    When the interest fixing has been done status will change from 'Missing' to 'Yes'.

Fix transactions in Batch

  1. If you want to update the interest rates of the deals shown in Confirm - start click on 'Interest fixing/reconciliation/settlement in Batch'. All interest rates for the selected transactions will be updated. (unless they are marked with Man Fix (Manual fixing) in Deal input)

  2. The fixing rate is primarily fetched from the curve entered in 'Yield curve fixing'. If this field is empty the fixing rate is fetched from the curve entered in 'Yield curve'.

Take a look at the below video to learn more

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