Interest rate benchmark reform

Risk-free rates configuration

(Date : 27/05/2022)
 Table of contents

TABLE OF CONTENTS .................................................................................................................................. 2

1. STERLING OVERNIGHT INDEX AVERAGE (SONIA) ........................................................................... 9
IR INDICES ...............................................................................................................................................................................9
Overnight index ..................................................................................................................................................................................................... 9
Compounded index .............................................................................................................................................................................................. 9
Usual compounded indices............................................................................................................................................................................. 9
Capitalized index published by the BoE (only for clients requesting it) ............................................................................................. 11
Average index ..................................................................................................................................................................................................... 13
Term rates ........................................................................................................................................................................................................... 14
Archiving group ................................................................................................................................................................................................... 15
IR FUTURES .......................................................................................................................................................................... 15
Product specifications........................................................................................................................................................................................ 15
CME Futures ................................................................................................................................................................................................... 15
ICE Futures ...................................................................................................................................................................................................... 16
Configuration in MX ......................................................................................................................................................................................... 17
CME SONIA 3M ............................................................................................................................................................................................. 17
CME SONIA MPC DATES ........................................................................................................................................................................... 18
ICE SONIA 1M ............................................................................................................................................................................................... 20
ICE SONIA 3M ............................................................................................................................................................................................... 22
Maturity sets ....................................................................................................................................................................................................... 23
OTC INSTRUMENTS ............................................................................................................................................................ 24
IR swap specifically used in IR futures ......................................................................................................................................................... 24
GBP SONIA AVG .......................................................................................................................................................................................... 24
OIS swaps ............................................................................................................................................................................................................ 25
GBP SONIA A 1Y .......................................................................................................................................................................................... 25
Basis swaps.......................................................................................................................................................................................................... 26
GBP SONIA 1Y LIBOR 1Y........................................................................................................................................................................... 26
Currency swaps .................................................................................................................................................................................................. 28
GBP-USD SONIA-SOFR 3M-3M ................................................................................................................................................................ 28
MARKET DATA UPDATES ..................................................................................................................................................... 29
Rate curves .......................................................................................................................................................................................................... 29
Rate curve assignments.................................................................................................................................................................................... 30
FLOATING RATE NOTES ..................................................................................................................................................... 30
Bond configuration............................................................................................................................................................................................. 31
Index configuration ............................................................................................................................................................................................ 33
2. SECURED OVERNIGHT FINANCING RATE (SOFR) ........................................................................... 34
IR INDICES ............................................................................................................................................................................ 34

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 Overnight index .................................................................................................................................................................................................. 34
Compounded index ........................................................................................................................................................................................... 35
Usual compounded indices........................................................................................................................................................................... 35
Capitalized index published by the FED (only for clients requesting it) ............................................................................................. 36
Average index ..................................................................................................................................................................................................... 40
Term rates ........................................................................................................................................................................................................... 41
Archiving group ................................................................................................................................................................................................... 43
IR FUTURES .......................................................................................................................................................................... 45
Product specifications........................................................................................................................................................................................ 45
Configuration in MX ......................................................................................................................................................................................... 45
CME SOFR 1M................................................................................................................................................................................................ 45
CME SOFR 3M................................................................................................................................................................................................ 47
Maturity sets ....................................................................................................................................................................................................... 49
IR Future Options on CME SOFR 3M .......................................................................................................................................................... 49
Eris SOFR Swap Futures................................................................................................................................................................................... 50
OTC INSTRUMENTS ............................................................................................................................................................ 52
IR swap specifically used in IR futures ......................................................................................................................................................... 53
USD SOFR CMP............................................................................................................................................................................................. 53
USD SOFR AVG............................................................................................................................................................................................. 54
OIS swaps ............................................................................................................................................................................................................ 55
USD SOFR A 1Y ............................................................................................................................................................................................ 55
Basis swaps.......................................................................................................................................................................................................... 55
Basis FEDFUND vs. SOFR............................................................................................................................................................................ 55
Basis LIBOR vs. SOFR ................................................................................................................................................................................... 56
MARKET DATA UPDATES ..................................................................................................................................................... 57
Rate curves .......................................................................................................................................................................................................... 57
Rate curve assignments.................................................................................................................................................................................... 61
FLOATING RATE NOTES ..................................................................................................................................................... 61
Bond configuration............................................................................................................................................................................................. 62
Index configuration ............................................................................................................................................................................................ 63
3. EURO SHORT-TERM RATE (ESTR) ........................................................................................................ 66
IR INDICES ............................................................................................................................................................................ 66
Overnight index .................................................................................................................................................................................................. 66
Compounded index ........................................................................................................................................................................................... 67
Average index ..................................................................................................................................................................................................... 68
Archiving group ................................................................................................................................................................................................... 68
IR FUTURES .......................................................................................................................................................................... 69
Product specifications........................................................................................................................................................................................ 69
Configuration in MX ......................................................................................................................................................................................... 69
ICE ESTR 1M ................................................................................................................................................................................................... 69
OTC INSTRUMENTS ............................................................................................................................................................ 72
IR swap specifically used in IR futures ......................................................................................................................................................... 72
EUR ESTR AVG .............................................................................................................................................................................................. 72
OIS swaps ............................................................................................................................................................................................................ 73
EUR ESTR A 1Y .............................................................................................................................................................................................. 73
Basis swaps.......................................................................................................................................................................................................... 74
EUR ESTR 1Y EURIBOR 3M........................................................................................................................................................................ 74
MARKET DATA UPDATES ..................................................................................................................................................... 75
Rate curve: Fixed relation between EONIA and ESTR fixing .................................................................................................................. 75
Setup 1: ESTR is the driving curve .............................................................................................................................................................. 77
Setup 2: EONIA is the driving curve .......................................................................................................................................................... 79
Liquidity Switch Procedure (from EONIA driving to ESTR driving) – Specific to Setup 2 ............................................................. 81
Quantitative remark about the EONIA and ESTR relation................................................................................................................... 82

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 Configuration details ..................................................................................................................................................................................... 82
Rate curve assignments.................................................................................................................................................................................... 83
Hedge curves setup........................................................................................................................................................................................... 83
FLOATING RATE NOTES ..................................................................................................................................................... 84
Bond configuration............................................................................................................................................................................................. 84
Index configuration ............................................................................................................................................................................................ 88
4. SWISS AVERAGE RATE OVERNIGHT (SARON) ................................................................................. 89
IR INDICES ............................................................................................................................................................................ 89
Overnight index .................................................................................................................................................................................................. 89
Compounded index ........................................................................................................................................................................................... 90
Archiving group ................................................................................................................................................................................................... 91
IR FUTURES .......................................................................................................................................................................... 92
Product specifications........................................................................................................................................................................................ 92
Configuration in MX ......................................................................................................................................................................................... 93
EUREX SARON 3M....................................................................................................................................................................................... 93
Maturity sets ....................................................................................................................................................................................................... 94
OTC INSTRUMENTS ............................................................................................................................................................ 95
OIS swaps ............................................................................................................................................................................................................ 95
CHF SARON A 1Y ........................................................................................................................................................................................ 95
Basis swaps.......................................................................................................................................................................................................... 96
Basis LIBOR vs. SARON ............................................................................................................................................................................... 96
MARKET DATA UPDATES ..................................................................................................................................................... 97
Rate curves .......................................................................................................................................................................................................... 97
Rate curve assignments.................................................................................................................................................................................... 98
5. TOKYO OVERNIGHT AVERAGE RATE (TONAR) ............................................................................. 100
IR INDICES .......................................................................................................................................................................... 100
Overnight index ................................................................................................................................................................................................ 100
Compounded index ......................................................................................................................................................................................... 100
Archiving group ................................................................................................................................................................................................. 102
OTC INSTRUMENTS .......................................................................................................................................................... 102
OIS swaps .......................................................................................................................................................................................................... 103
JPY TONAR A 1Y ........................................................................................................................................................................................ 103
Basis swaps........................................................................................................................................................................................................ 104
Basis LIBOR vs. TONA ............................................................................................................................................................................... 104
MARKET DATA UPDATES ................................................................................................................................................... 105
Rate curves ........................................................................................................................................................................................................ 105
Rate curve assignments.................................................................................................................................................................................. 106
6. AUSTRALIAN OVERNIGHT INDEX AVERAGE (AONIA) OR CASH RATE ................................... 107
IR INDICES .......................................................................................................................................................................... 107
Overnight index ................................................................................................................................................................................................ 107
Compounded index ......................................................................................................................................................................................... 107
Average index ................................................................................................................................................................................................... 109
Archiving group ................................................................................................................................................................................................. 109
IR FUTURES ........................................................................................................................................................................ 110
Product specifications...................................................................................................................................................................................... 110
Configuration in MX ....................................................................................................................................................................................... 111
AUD 30-Day Interbank Cash Rate Future.............................................................................................................................................. 111
Maturity sets ..................................................................................................................................................................................................... 113
OTC INSTRUMENTS .......................................................................................................................................................... 114
IR swap specifically used in IR futures ....................................................................................................................................................... 114
AUD ASX IB 30D FUT ............................................................................................................................................................................... 114

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 OIS swaps .......................................................................................................................................................................................................... 115
AUD AONIA A 1Y ...................................................................................................................................................................................... 115
Basis swaps........................................................................................................................................................................................................ 116
Basis AONIA vs. BBSW .............................................................................................................................................................................. 116
MARKET DATA UPDATES ................................................................................................................................................... 117
Rate curves ........................................................................................................................................................................................................ 117
Rate curve assignments.................................................................................................................................................................................. 118
7. CANADIAN OVERNIGHT REPO RATE (CORRA) .............................................................................. 119
IR INDICES .......................................................................................................................................................................... 119
Overnight index ................................................................................................................................................................................................ 119
Average index ................................................................................................................................................................................................... 120
Compounded index ......................................................................................................................................................................................... 120
Archiving group ................................................................................................................................................................................................. 122
IR FUTURES ........................................................................................................................................................................ 123
Product specifications...................................................................................................................................................................................... 123
Configuration in MX ....................................................................................................................................................................................... 124
ME 1M CORRA Future............................................................................................................................................................................... 124
ME 3M CORRA Future............................................................................................................................................................................... 125
Maturity sets ..................................................................................................................................................................................................... 127
OTC INSTRUMENTS .......................................................................................................................................................... 127
IR swaps specifically used in IR futures...................................................................................................................................................... 127
CAD CORRA AVG ..................................................................................................................................................................................... 127
OIS swaps .......................................................................................................................................................................................................... 128
CAD CORRA A 1Y ..................................................................................................................................................................................... 128
Basis swap ......................................................................................................................................................................................................... 129
Basis CORRA vs. CDOR ............................................................................................................................................................................ 129
MARKET DATA UPDATES ................................................................................................................................................... 130
Rate curves ........................................................................................................................................................................................................ 130
Rate curve assignments.................................................................................................................................................................................. 132
8. SINGAPORE OVERNIGHT RATE AVERAGE (SORA) ........................................................................ 133
IR INDICES .......................................................................................................................................................................... 133
Overnight index ................................................................................................................................................................................................ 133
Compounded index ......................................................................................................................................................................................... 134
Usual compounded indices......................................................................................................................................................................... 134
Capitalized index published by MAS (only for clients requesting it) ................................................................................................. 135
Archiving group ................................................................................................................................................................................................. 137
OTC INSTRUMENTS .......................................................................................................................................................... 138
OIS swaps .......................................................................................................................................................................................................... 138
SGD SORA S 6M.......................................................................................................................................................................................... 138
Basis swaps........................................................................................................................................................................................................ 139
fsoBasis SORA vs. SOR ............................................................................................................................................................................... 139
Currency swap .................................................................................................................................................................................................. 140
Basis SOFR vs. SORA .................................................................................................................................................................................. 140
MARKET DATA UPDATES ................................................................................................................................................... 141
Rate curves ........................................................................................................................................................................................................ 141
Rate curve assignments.................................................................................................................................................................................. 143
9. THAI OVERNIGHT REPURCHASE RATE (THOR) ............................................................................. 144
IR INDICES .......................................................................................................................................................................... 144
Overnight index ................................................................................................................................................................................................ 144
Compounded index ......................................................................................................................................................................................... 144
Average index ................................................................................................................................................................................................... 146

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 Archiving group ................................................................................................................................................................................................. 147
OTC INSTRUMENTS .......................................................................................................................................................... 149
OIS swaps .......................................................................................................................................................................................................... 149
THB THOR S 6M ......................................................................................................................................................................................... 149
Currency swaps ................................................................................................................................................................................................ 150
THB-USD THOR-SOFR 6M-6M ............................................................................................................................................................... 150
MARKET DATA UPDATES ................................................................................................................................................... 151
Rate curves ........................................................................................................................................................................................................ 151
Rate curve assignments.................................................................................................................................................................................. 152
10. HONG KONG DOLLAR OVERNIGHT INDEX AVERAGE (HONIA).............................................. 153
IR INDICES .......................................................................................................................................................................... 153
Overnight index ................................................................................................................................................................................................ 153
Compounded index ......................................................................................................................................................................................... 153
Archiving group ................................................................................................................................................................................................. 155
OTC INSTRUMENTS .......................................................................................................................................................... 156
OIS swaps .......................................................................................................................................................................................................... 156
HKD HONIA Q 3M .................................................................................................................................................................................... 156
Basis swaps........................................................................................................................................................................................................ 157
HKD HIBOR 1M HONIA 1M ................................................................................................................................................................... 157
Currency swaps ................................................................................................................................................................................................ 158
HKD-USD HONIA-SOFR 3M-3M............................................................................................................................................................ 158
MARKET DATA UPDATES ................................................................................................................................................... 159
Rate curves ........................................................................................................................................................................................................ 159
Rate curve assignments.................................................................................................................................................................................. 160
11. ADJUSTED THAI BAHT INTEREST RATE FIXING (FALLBACK THBFIX) .................................. 161
ARCHIVING GROUPS OF FX INDICES................................................................................................................................ 161
FX INDICES ........................................................................................................................................................................ 162
ARCHIVING GROUP OF IR INDICES................................................................................................................................... 163
IR INDICES (REGULAR PERIODS)........................................................................................................................................ 163
IR INDICES (STUB PERIODS)............................................................................................................................................... 165
INSTRUMENTS .................................................................................................................................................................... 166
CURVES .............................................................................................................................................................................. 166
12. ADJUSTED SINGAPORE SWAP OFFER RATE (FALLBACK SOR) ................................................ 167
ARCHIVING GROUPS OF FX INDICES................................................................................................................................ 167
FX INDICES ........................................................................................................................................................................ 167
ARCHIVING GROUP OF IR INDICES................................................................................................................................... 169
IR INDICES (REGULAR PERIODS)........................................................................................................................................ 169
IR INDICES (STUB PERIODS)............................................................................................................................................... 171
INSTRUMENTS .................................................................................................................................................................... 173
CURVES .............................................................................................................................................................................. 173
13. ADJUSTED MUMBAI INTERBANK FORWARD OFFER RATE (ADJUSTED MIFOR) .................. 174
ARCHIVING GROUPS OF FX INDICES................................................................................................................................ 174
FX INDICES ........................................................................................................................................................................ 174
ARCHIVING GROUPS OF IR INDICES ................................................................................................................................. 175
IR INDICES (REGULAR PERIODS)........................................................................................................................................ 175
IR INDICES (STUB PERIODS)............................................................................................................................................... 177
INSTRUMENTS .................................................................................................................................................................... 178
CURVES .............................................................................................................................................................................. 178
14. MODIFIED MUMBAI INTERBANK FORWARD OFFER RATE (MODIFIED MIFOR) .................... 179

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 ARCHIVING GROUPS OF FX INDICES................................................................................................................................ 179
FX INDICES ........................................................................................................................................................................ 179
ARCHIVING GROUPS OF IR INDICES ................................................................................................................................. 179
IR INDICES (REGULAR INDICES) ........................................................................................................................................ 179
IR INDICES (STUB PERIODS)............................................................................................................................................... 180
INSTRUMENTS .................................................................................................................................................................... 180
CURVES .............................................................................................................................................................................. 182
15. PUBLICATION LAG CONFIGURATION ........................................................................................... 183
FIXING SHIFTER .................................................................................................................................................................. 183
TIMESTAMP FEATURE ......................................................................................................................................................... 184
RECOMMENDATIONS ON COLLATERAL MODULE ............................................................................................................ 185
Interest calculation process ........................................................................................................................................................................... 185
Accounting on business events ..................................................................................................................................................................... 185
16. CONFIGURATION ASPECTS ON DAILY SCHEDULES .................................................................. 187
17. COMPOUNDING FLAVORS ................................................................................................................ 190
LOCKOUT .......................................................................................................................................................................... 190
LOOKBACK ........................................................................................................................................................................ 191
OBSERVATION SHIFT ......................................................................................................................................................... 193
RECAP MATRIX ................................................................................................................................................................... 194
CASE OF COMPOUNDING/AVERAGING STARTING ON HOLIDAY ................................................................................... 195
CONFIGURATION & ESTIMATION MODES ........................................................................................................................ 196
REPORTING ........................................................................................................................................................................ 197
MW INTERFACE................................................................................................................................................................. 198
18. OFFICIAL ISDA FALLBACK CONFIGURATION .............................................................................. 199
CONTEXT .......................................................................................................................................................................... 199
18.1.1 Transition timelines and fallback ................................................................................................................................................... 199
18.1.2 Synthetic LIBOR .................................................................................................................................................................................. 199
FALLBACK INDEX CONFIGURATION ................................................................................................................................. 200
18.2.1 Regular periods ................................................................................................................................................................................... 200
18.2.2 Interpolated stub periods ................................................................................................................................................................. 203
FALLBACK FIXING IMPORT ................................................................................................................................................ 205
19. REPRESENTING DAILY FLOOR FOR COMPOUNDED RATES ..................................................... 208
20. « CURRENT INDEX » ESTIMATION MODE VALIDATION............................................................ 210
CONTEXT .......................................................................................................................................................................... 210
COMPATIBILITY OF THE DIFFERENT FLAVORS WITH CURRENT INDEX ........................................................................... 211
GUIDELINES........................................................................................................................................................................ 212
20.3.1 Conditions for both estimation modes to match ........................................................................................................................ 212
20.3.2 Fixing sensitivities at underlying level ............................................................................................................................................ 213
20.3.3 Rate details .......................................................................................................................................................................................... 214
20.3.4 Today fixings general setting ........................................................................................................................................................... 215
20.3.5 Rate curve assignments .................................................................................................................................................................... 215
21. RATE CURVE INPUT OF THE ISDA STANDARD CDS CONVERTER .......................................... 216
CONTEXT .......................................................................................................................................................................... 216
GUIDELINES........................................................................................................................................................................ 216
21.2.1 GBP SONIA .......................................................................................................................................................................................... 216
21.2.2 EUR ESTER.......................................................................................................................................................................................... 219
21.2.3 USD SOFR ........................................................................................................................................................................................... 222
21.2.4 CHF SARON ........................................................................................................................................................................................ 225

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 21.2.5 AUD AONIA ........................................................................................................................................................................................ 228
21.2.6 JPY TONA ............................................................................................................................................................................................. 231
22. RFR CURRENCY SWAPS CONFIGURATION & FX CURVE IMPACTS ........................................ 235
STANDARD RFR CURRENCY SWAPS SPECIFICATIONS ..................................................................................................... 235
IMPACT ON FX CURVES .................................................................................................................................................... 237
23. IDENTIFIED GAPS IN EXISTING RELEASES (INTERNAL) ............................................................ 238
RATE CURVE CALIBRATION FOR SOFR FUTURES ............................................................................................................ 238
FIXING SHIFTER IN ARCHIVING GROUPS ........................................................................................................................... 239
CUSTOMIZATION FACILITATION FOR TIME SERIES INDICES............................................................................................. 240
RATE CUT-OFF ................................................................................................................................................................... 241
CAPITALIZED INDICES (EXPRESS AS RATE = NO) ............................................................................................................ 241
AUTOMATIC HEDGE CURVES ............................................................................................................................................ 242
CURVES IMPORT/EXPORT THROUGH CTT ...................................................................................................................... 242
BOND FEATURES RELATED TO COMPOUNDED INDICES.................................................................................................. 242
DAILY FLOORED RATE OR COMPOUNDED FLOORED RATE WITH INTRINSIC VALUE ..................................................... 243
CONSISTENT FIXING AND RATES RBPL FOR INDICES HAVING PUBLICATION LAG .................................................. 243
MISCELLANEOUS ........................................................................................................................................................... 243

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 1. Sterling Overnight Index Average (SONIA)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
+0 DAY LIN
GBP SONIA O/N 1 BUSINESS DAY
PREVIOUS ACT/365
GBP SONIA +0 DAY LIN
1Y 12M MODFOL
CMP PREVIOUS ACT/365

Overnight index

GBP SONIA index configuration

Compounded index

Usual compounded indices

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 GBP SONIA CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

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 Note that a common flavor for GBP SONIA index is to have a rate cut-off shifter set to -2 BUSINESS DAY
in the formula definition, so that the final compounded rate is published one business day before the end of
the period:

Capitalized index published by the BoE (only for clients requesting it)

In order to ease the usage of SONIA fixings in contracts, the BoE proposed to publish a SONIA capitalized index
that is be published each business day based on the formula below ([Link]
/media/boe/files/paper/2020/supporting-rfr-transition-through-the-provision-of-compounded-sonia-summary-and-
response):

The representation of this capitalized index is achievable in the system, by specifying “Express as rate” = “No”
so that the rate output will be the capitalized index and no longer the compounded rate.

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 GBP SONIA INDEX index configuration

Then, the capitalized index is used in contracts to imply a compounded rate based on the return formula:
𝑆𝑂𝑁𝐼𝐴 𝐼𝑛𝑑𝑒𝑥 365
(𝑆𝑂𝑁𝐼𝐴 𝐼𝑛𝑑𝑒𝑥 𝐸𝑛𝑑 − 1) ∗ (𝐷𝑎𝑦 𝑐𝑜𝑢𝑛𝑡) where 𝑆𝑂𝑁𝐼𝐴 𝐼𝑛𝑑𝑒𝑥𝑆𝑡𝑎𝑟𝑡 and 𝑆𝑂𝑁𝐼𝐴 𝐼𝑛𝑑𝑒𝑥𝐸𝑛𝑑 are respectively the SONIA
𝑆𝑡𝑎𝑟𝑡
Index value at calculation start date and calculation end date (usually shifted by -2 BUSINESS DAY).

This configuration can be replicated with a start-end index on top of the capitalized index:

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 Please refer to the section “Identified gaps in existing releases” below to make sure that all the required fixes are
available in the client version.
Remark: Only payoff and rate estimation have been validated on this configuration. In case other requirements are raised
(accrual computation, YTM, discount margin), please check with PDD.

Average index

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 GBP SONIA AVG index configuration

Term rates

Refinitiv and ICE are publishing term rates (also called “TSRR” for Term SONIA Reference Rates) for GBP
SONIA, for 1M, 3M, 6M and 1Y maturities. Their current naming convention in the package is:
GBP SONIA [tenor] [administrator name]
Their fixings are mostly based on fair quotes of GBP SONIA (O/N) swaps.
Each term rate version is a copy of GBP LIBOR tenors in terms of index definition, except that their forward
rate curve assignment should be set to GBP SONIA in the rate curve assignment.
The GBP SONIA 3M REFINITIV is given as an example below. The 7 other indices can be defined by updating
the archiving group (REFINITIV / IBA) and the schedules (1M MODFOL / 3M MODFOL / 6M MODFOL / 1Y
MODFOL).

GBP SONIA 3M REFINITIV index configuration

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 Archiving group

Here it is important to distinguish between the Fixing date that is generated by the fixing schedule at Index
level and the Publication date (date from which the rate is known).

Since the SONIA reform, which is effective since 23 April 2018, the overnight SONIA rate is published one
day after the fixing date (similarly to USD FEDFUND and USD SOFR).
The archiving group SONIA should therefore be configured as follows:

SONIA archiving group

Regarding the SONIA archiving group (for time series), the configuration should be as per below:

GBP COMPOUNDING and GBP AVERAGE archiving groups

Details of this configuration can be found in the Publication lag configuration section below.

IR Futures

Product specifications

CME Futures

CME Group sell 3-Month and MPC SONIA futures contracts.

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 ICE Futures

ICE Group sell 3-Month and 1-Month SONIA futures contracts.

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 Configuration in MX

In this section, we describe the configuration of the following interest rate futures:
- The Three-Month SONIA future CME
- The MPC SONIA future CME
- The One-Month SONIA future ICE
- The Three-Month SONIA future ICE

SONIA Futures are swap based. Refer to the next paragraph on OTC instruments definition for the
definition of the underlying swaps.

CME SONIA 3M

The General tab contains the following information:

- The currency of contract
- The underlying instrument
- The contract size expressed in the currency of the contract
- The set of expiries of the contract

CME SONIA 3M configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

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 Future quotation configuration screen

The Settlement tab includes information on the margining mechanism of the contract.

Future settlement configuration screen

The tab Pricing/Risk is not relevant for these futures. The tab Codes can be used to define additional user-
defined codes to refer to the futures contract.

CME SONIA MPC DATES

The CME SONIA MPC DATES is also a swap-based future based on the compounded SONIA swap.

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 CME SONIA MPC DATES configuration template

The Quotation tab:

Future quotation configuration screen

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 The Settlement tab:

Future settlement configuration screen

ICE SONIA 1M

The General tab contains the following information:

- The currency of contract
- The underlying instrument
- The contract size expressed in the currency of the contract
- The set of expiries of the contract

ICE SONIA 1M configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

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 Future quotation configuration screen

The Settlement tab includes information on the margining mechanism of the contract.

Future settlement configuration screen

The tab Pricing/Risk is not relevant for these futures. The tab Codes can be used to define additional user-
defined codes to refer to the futures contract.

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 ICE SONIA 3M

The ICE SONIA 3M is also a swap-based future based on the compounded SONIA swap.

CME SONIA 3M configuration template

The Quotation tab:

Future quotation configuration screen

The Settlement tab:

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 Future settlement configuration screen

Maturity sets

CME GBP SF maturity set MPC maturity set

ICE GBP 1M maturity set ICE GBP 3M maturity set

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 Automatic rules for CME GBP SF: Maturity = 3M 3RD WED – 1BD, Last TD = 3M 3RD WED N, Value date is deduced from
Maturity with shifter Q PRV 3RD WED, Roll date is deduced from Maturity with shifter -1 BUSINESS DAY. Pillar label adjustment
is Q PRV 3RD WED. Calendar used is LNB.
Automatic rules for ICE GBP 1M: Maturity = 1M LAST DAY, Value date = 1M 1ST DAY, Last TD = Roll date = 1M LAST BD.
Calendar used is LNB
Automatic rules for ICE GBP 3M: Maturity = Last TD = 3M 3RD WED – 1BD, Value date is deduced from Maturity with shifter Q
PRV 3RD WED, Roll date is deduced from Maturity with shifter -1 BUSINESS DAY. Pillar label adjustment is Q PRV 3RD WED.
Calendar used is LNB.

Remark: MPC dates can be found at this link: [Link]

2020. Please pay attention to the fact that they are not regular, so cannot be generated from the automatic generation rule: they have to be
manually inserted.

OTC instruments

IR swap specifically used in IR futures

GBP SONIA AVG

GBP SONIA AVG generator template

Copyright © 2022 Murex S.A.S. All rights reserved 24

 Fixed leg schedule Floating leg schedule

OIS swaps

The document will describe the configuration details of one sample swap generator per type. The other
swaps generator’s configurations can be obtained by changing the payment frequency or the legs.

Type LIBOR vs. SONIA Fixed rate vs SONIA

Payment frequency 3M/1Y, 3M/3M, 1Y/1Y 1M/1M, 3M/3M, 6M/6M, 1Y/1Y

Payment delay +0 BUSINESS DAY +0 BUSINESS DAY

GBP SONIA A 1Y

Copyright © 2022 Murex S.A.S. All rights reserved 25

 GBP SONIA A 1Y generator template

Fixed leg schedule Floating leg schedule

Basis swaps

GBP SONIA 1Y LIBOR 1Y

Copyright © 2022 Murex S.A.S. All rights reserved 26

 GBP SONIA 1Y LIBOR 1Y generator template

Schedule generator for both legs

Copyright © 2022 Murex S.A.S. All rights reserved 27

 Currency swaps

GBP-USD SONIA-SOFR 3M-3M

GBP-USD SONIA-SOFR 3M-3M generator template

Schedule generator for both legs

Copyright © 2022 Murex S.A.S. All rights reserved 28

 Note that the Capital schedules was set to Yes. Both capital calculation and capital payment schedule are
following the calculation start schedule. This is the market practice for intermediate capital payment dates, in
case marked-to-market (=FX reset) feature is activated.

Market data updates

Rate curves

The curve is composed of:

- A simple fixed deposit used to mark to overnight fixing
- Outright swaps \GBP SONIA MPC, equivalent to GBP SONIA A 1Y swaps, defined between consecutives
dates of the MPC maturity set
- Outright swaps \GBP SONIA A 1Y

GBP SONIA rate curve

GBP SONIA rate curve settings

Copyright © 2022 Murex S.A.S. All rights reserved 29

 Note that for the curve swap generators above, the floating index used \GBP SONIA CMP has the same
definition than the index GBP SONIA CMP defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

\GBP SONIA CMP index definition

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Floating Rate Notes

In general, the market convention of SONIA FRN is compounding FRN with 5 Business days of lookback. The
below example shows a configuration of an FRN.

Copyright © 2022 Murex S.A.S. All rights reserved 30

 Bond configuration

Copyright © 2022 Murex S.A.S. All rights reserved 31

Copyright © 2022 Murex S.A.S. All rights reserved 32
 Index configuration

Copyright © 2022 Murex S.A.S. All rights reserved 33

 2. Secured Overnight Financing Rate (SOFR)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
+0 DAY LIN
USD SOFR O/N 1 BUSINESS DAY
PREVIOUS ACT/360
USD SOFR +2 BUSINESS LIN
1Y 1Y MODFOL
CMP DAY ACT/360
USD SOFR +2 BUSINESS LIN
3M 3M MODFOL
AVG DAY ACT/360

Overnight index

USD SOFR index configuration (BBG ticker: SOFRRATE)

Copyright © 2022 Murex S.A.S. All rights reserved 34

 Compounded index

Usual compounded indices

USD SOFR CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 35

 We expect that a rate cut-off will be used for most of the IRD deals based on compounded SOFR rate. In this
case, the above SOFR index should be kept for swap-based futures and the one used in IR generators for IRD
trading should have the same definition except that a rate cut-off is configured (usually set to -2 BUSINESS
DAY).

Capitalized index published by the FED (only for clients requesting it)

In order to ease the usage of SOFR fixings in contracts, the FED proposed to publish SOFR term rates for 30-,
90- and 180-day period that are based on the usual compounding methodology, as well as a capitalized index
that is be published each business day based on the formula below
([Link]

The representation of this capitalized index is achievable in the system, by specifying “Express as rate” = “No”
so that the rate output will be the capitalized index and no longer the compounded rate.

Copyright © 2022 Murex S.A.S. All rights reserved 36

 USD SOFR INDEX index configuration (BBG ticker: SOFRINDX)

Then, the capitalized index is used in contracts to imply a compounded rate based on the return formula:
𝑆𝑂𝐹𝑅 𝐼𝑛𝑑𝑒𝑥 360
(𝑆𝑂𝐹𝑅 𝐼𝑛𝑑𝑒𝑥 𝐸𝑛𝑑 − 1) ∗ (𝐷𝑎𝑦 𝑐𝑜𝑢𝑛𝑡) where 𝑆𝑂𝐹𝑅 𝐼𝑛𝑑𝑒𝑥𝑆𝑡𝑎𝑟𝑡 and 𝑆𝑂𝐹𝑅 𝐼𝑛𝑑𝑒𝑥𝐸𝑛𝑑 are respectively the SOFR Index
𝑆𝑡𝑎𝑟𝑡
value at calculation start date and calculation end date (usually shifted by -2 BUSINESS DAY).

This configuration can be replicated with a start-end index on top of the capitalized index:

Copyright © 2022 Murex S.A.S. All rights reserved 37

 Please refer to the section “Identified gaps in existing releases” below to make sure that all the required fixes are
available in the client version.
Remark: The compliance of this configuration with the finance business processes is still under review

30/90/180 SOFR rates published by the FED (only for clients requesting them)

The 30-, 90- and 180-calendar day SOFR compounded rate published by the FED can be configured with specific
shifters:

USD SOFR CMP 30D formula definition (BBG ticker: SOFR30A)

Copyright © 2022 Murex S.A.S. All rights reserved 38

 USD SOFR CMP 90D formula definition (BBG ticker: SOFR90A)

USD SOFR FED 180D formula definition (BBG ticker: SOFR180A)

Under this configuration, the SOFR compounding spans over the interval [last date – X DAYS; last date],
with last date being the calculation end date (assuming Calculations follow fixings is set to the default value
No (time series) in the leg schedules definition). The fixing is therefore corresponding to the official X-day
SOFR CMP published by the FED (at this link), with fixing date equal to calculation end date.

Copyright © 2022 Murex S.A.S. All rights reserved 39

 In case the period should consider a fixing date before the calculation end date, it is possible to define a
fixing schedule deduced from the calculation schedule and set Calculations follow fixings to Yes (time series).
In this latter setup, the in-arrears fixing date of the global fixing schedule will be considered as the “last
date”.

Also, if the reference date for the application of the shifters in the formula definition needs to be the
calculation start date (instead of calculation end date), the “last date” setting can be updated to “first
date”.
Again, in case the period should consider a fixing date before the calculation start date, it is possible to
define a fixing schedule deduced from the calculation schedule and set Calculations follow fixings to Yes (time
series). In this latter setup, the up-front fixing date of the global fixing schedule will be considered as the
“first date”.

Average index

Copyright © 2022 Murex S.A.S. All rights reserved 40

 USD SOFR AVG index configuration

Note that this average index has been designed for CME SOFR 1M future build. In case the client deals USD
SOFR swaps that are based on the average SOFR, a duplicated version of the average index could be created
with a Rate cut-off, which is usually -2 BUSINESS DAY but may be redefined depending on the swap term sheet.

Term rates

CME is publishing term rates for tenor 1M, 3M, 6M and 12M at this page: [Link]
data/cme-group-benchmark-administration/[Link]

Copyright © 2022 Murex S.A.S. All rights reserved 41

 The definition of the rate and its methodology can be found here.
The term rates should be configured as below:

USD CME TERM SOFR 1M index definition

USD CME TERM SOFR 3M index definition

Copyright © 2022 Murex S.A.S. All rights reserved 42

 USD CME TERM SOFR 6M index definition

USD CME TERM SOFR 12M index definition

Floating deposit generators respectively based on these indices have been added in the reference environment,
with label USD CME TERM SOFR xM.

Archiving group

Given that the overnight SOFR rate is published one day after the fixing date (similarly to USD FEDFUND
and GBP SONIA), the archiving group SOFR should be configured as follows:

Copyright © 2022 Murex S.A.S. All rights reserved 43

 SOFR archiving group

Regarding the USD SOFR archiving group (for time series), the configuration should be as per below:

USD SOFR archiving group

Details of this configuration can be found in the Publication lag configuration section below.

Finally, here is the configuration of the CME SOFR archiving group, corresponding to term rates:

Copyright © 2022 Murex S.A.S. All rights reserved 44

 Remark: The correct SOFR fixing calendar is BMA and not NYB. BMA has the same business days than NYB except
Good Friday (holiday on BMA and business day on NYB), on top of any ad hoc National Day of Mourning (holiday
on BMA and business day on NYB too).

IR Futures

Product specifications

Based on extensive customers input, CME Group launched 3-Month and 1-Month SOFR futures contracts.
The 1-Month SOFR strip futures prove useful to participants who seek finer granularity in framing market
expectations of future SOFR values over the nearby 1-month to 7-month interval during which the front 3-
Month contract becomes more set each day from daily SOFR fixings.1

Configuration in MX

In this section, we describe the configuration of the following interest rate futures:
- The One-Month SOFR future
- The Three-Month SOFR future

SOFR Futures are swap-based. Refer to the paragraph IR swaps used in IR Futures below for the definition of
the underlying swaps.

CME SOFR 1M
The General tab contains the following information:
- The currency of contract
- The underlying instrument
- The contract size expressed in the currency of the contract

1
[Link]

Copyright © 2022 Murex S.A.S. All rights reserved 45

 - The set of expiries of the contract

CME SOFR 1M configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

Future quotation configuration screen

The Settlement tab includes information on the margining mechanism of the contract.

Copyright © 2022 Murex S.A.S. All rights reserved 46

 Future settlement configuration screen

The tab Pricing/Risk is not relevant for these futures. The tab Codes can be used to define additional user-
defined codes to refer to the futures contract.

CME SOFR 3M

The CME SOFR 3M is also a swap-based future based on the compounded SOFR swap.

CME SOFR 3M configuration template

The Quotation tab:

Copyright © 2022 Murex S.A.S. All rights reserved 47

 Future quotation configuration screen

The Settlement tab:

Future settlement configuration screen

Copyright © 2022 Murex S.A.S. All rights reserved 48

 Maturity sets

CME USD 1M maturity set CME USD 3M maturity set

Automatic rules for CME USD 1M: Maturity = 1M LAST DAY, Value date = 1M 1ST DAY, Last TD = Roll date = 1M LAST BD.
Calendar used is CME
Automatic rules for CME USD 3M: Maturity = Roll date = Last TD = 3M 3RD WED – 1BD, Value date is deduced from Maturity
with shifter Q PRV 3RD WED. Pillar label adjustment is Q PRV 3RD WED. Calendar used is CME

IR Future Options on CME SOFR 3M

Copyright © 2022 Murex S.A.S. All rights reserved 49

 Note: The maturity set of the option must be updated as well, to reflect the relevant underlying futures and
trading dates. The packaging is in progress and this section will be updated once it is ready. Based on the current
analysis, the maturity set should be defined as follows:

Eris SOFR Swap Futures

The General tab contains the following information:

- The currency of contract
- The underlying instrument
- The contract size expressed in the currency of the contract
- The set of expiries of the contract

Copyright © 2022 Murex S.A.S. All rights reserved 50

 ERIS 2Y USD SOFR A 1Y configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

Future quotation configuration screen

The Settlement tab includes information on the margining mechanism of the contract.

Copyright © 2022 Murex S.A.S. All rights reserved 51

 Future settlement configuration screen

The tab Pricing/Risk is not relevant for these futures. The tab Codes can be used to define additional user-
defined codes to refer to the futures contract.

OTC instruments
The document will describe the configuration details of one sample swap generator per type. The other
swaps generator’s configurations can be obtained by changing the payment frequency or both legs.

Type LIBOR vs. SOFR US FED FUNDS vs. SOFR Fixed rate vs SOFR

Payment 1M, 3M, 6M, 1Y independently 1M, 3M, 6M, 1Y independently 1M/1M, 3M/3M, 6M/6M,
frequency for both legs for both legs 1Y/1Y
Payment delay +0 or 2 BUSINESS DAY +2 BUSINESS DAY +0 or 2 BUSINESS DAY

Copyright © 2022 Murex S.A.S. All rights reserved 52

 IR swap specifically used in IR futures

USD SOFR CMP

USD SOFR CMP generator template

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 53

 USD SOFR AVG

USD SOFR AVG generator template

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 54

 OIS swaps

USD SOFR A 1Y

USD SOFR A 1Y generator template

Fixed leg schedule Floating leg schedule

Basis swaps

Basis FEDFUND vs. SOFR

Example 3M vs. 3M:

Copyright © 2022 Murex S.A.S. All rights reserved 55

 USD FEDFUND 3M SOFR 3M generator template

Schedule generator for both legs

Basis LIBOR vs. SOFR

Example 3M vs. 3M:

Copyright © 2022 Murex S.A.S. All rights reserved 56

 USD SOFR 3M LIBOR 3M swap generator

SOFR leg schedule LIBOR leg schedule

Market data updates

Rate curves

We propose to build the SOFR curve with the following composition:

- One fixed deposit marking the overnight fixing
- The 6 first CME SOFR 3M futures
- Fixed/floating SOFR swaps from 2Y to 30Y

Copyright © 2022 Murex S.A.S. All rights reserved 57

 USD SOFR rate curve

USD SOFR rate curve settings

Note that for these curve swap generators above, the floating index used \USD SOFR CMP has the same
definition than the index USD SOFR CMP defined above except that it has its Estimation mode set to Current
index instead of Underlying indices for better performances.

Copyright © 2022 Murex S.A.S. All rights reserved 58

 \USD SOFR CMP index definition

When inserting the futures in the USD SOFR curves, the number of futures should be selected with the
relative indexes option:

CME SOFR 3M insertion

For instance, here, we decided to insert the first 6 futures in the curve. The very first future is defined as
the one having the closest roll date which is superior (or equal) to the horizon date of the curve.

Copyright © 2022 Murex S.A.S. All rights reserved 59

 The roll date column brings enough flexibility so that the client can configure the ultimate date where the
future should be part of the curve.

Note that for versions <=v3.1.41, the roll date is not available, and the maturity date is used instead for the
logic above.

However, it is possible to amend this natural condition with the Maturity step out gap setting available in the
curve details: the very first future is defined as the one having the closest roll date (roll date referring to
maturity date in case the roll date column is not existing) which is superior or equal to the horizon date
shifted by the maturity step out gap shifter.

We recommend to either:
- Set the maturity step out gap to 2
- Define the roll date 2 days before the future maturity date, if available
So that the rolling future is excluded from the curve calibration process just before it becomes redundant
with the O/N pillar.

In case the first SOFR future used in the curve is the running future and has therefore a start date in the
past (like for the SOFR curve example above), the past SOFR fixings from the future start date to yesterday
should be filled in the historical table for a correct calibration of the SOFR curve.
The inclusion of the running future as part of the curve is becoming a market standard, therefore we
recommend including it for a better accuracy of the SOFR curve on the very short term. It will be included
in case the relative indexes defined above starts at 1.
Note that the total DV01 par value is getting affected by inserting this running future. Indeed, if we take the
example of loading this running future in simulation and look at its DV01 par:
- With the running future being part of the curve, we will see the DV01 par kept constant throughout
the period and equal to Quantity * Daycount * 100 = Quantity * 25. Indeed, since we are exactly
pricing the curve instrument, the DV01 par is equal to the instrument BPV (P&L variation for a 1bp
quote change).

Copyright © 2022 Murex S.A.S. All rights reserved 60

 - With the running future not being part of the curve, we will see the DV01 par projected on the
following future pillar decreasing throughout the period, starting from Quantity * Daycount * 100
(when the underlying period has just begun). This comes from the fact that we only estimate part of
the underlying fixings from the curve, so the impact of the next future quote on the running future
evaluation is decreasing with time.
To roll the running future N business days before its maturity, the roll date should be set to the maturity +
N business day.
In case the roll date is not available (for releases <=v3.1.41), then the following maturity step out gap
shifter would have to be used and set to +N BUSINESS DAY.

Remark 2: Liquidity is still not very substantial on the long-term of the curve. As this liquidity builds up, we might see other
kind of instruments appearing, thus this part is potentially subject to further updates.

Remark 2: Please refer to the section “Identified gaps in existing releases” below to make sure that all the required fixes
are available in the client version.

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Floating Rate Notes

In US markets, there are different flavours of bonds benchmarked on SOFR rate. The main differences are:
At Bond level: coupon frequency, coupon convention
At Index level: average SOFR/compounding SOFR, lookback days, observation shift days, lockout days

Copyright © 2022 Murex S.A.S. All rights reserved 61

 Bond configuration

Note: The index highlighted above should be customized based on the flavor of bond payoff.

Copyright © 2022 Murex S.A.S. All rights reserved 62

 Note: The schedule highlighted above should be customized based on the flavor of bond payoff. The calculation
periods are mainly 3M MODFOL, 1M MODFOL, 1M ANNIVERSARY. Payment schedule can be equal to main
schedule, +0 BD (for 1M ANNIVERSARY), +2 BD (for payment delay FRN)

Index configuration

Compounding flavor 1: mainly for FRNs issued by Financial institution

Copyright © 2022 Murex S.A.S. All rights reserved 63

 Compounding flavor 2:

Average flavor 1: mainly for FRNs issued by real estate Agencies

Copyright © 2022 Murex S.A.S. All rights reserved 64

 Note: The cut-off (i.e. lockout period) highlighted above should be customized based on the flavor of bond
payoff. Also note that this shifter here starts from the shifted date. To have a 2 BD lockout as in prospectus, it
should be customized to -3 BUSINESS DAY.

Copyright © 2022 Murex S.A.S. All rights reserved 65

 3. Euro short-term rate (ESTR)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
+0 DAY LIN
EUR ESTR O/N 1 BUSINESS DAY
PREVIOUS ACT/360
+2 BUSINESS LIN
EUR ESTR CMP 1Y 1Y MODFOL
DAY ACT/360

Overnight index

The ESTR rate has the same index definition than EONIA rate.

EUR ESTR index configuration

Copyright © 2022 Murex S.A.S. All rights reserved 66

 Compounded index

EUR ESTR CMP index configuration

Please make sure that EUR ESTR CMP and EUR EONIA CMP are sharing the same fixing/compounding schedule
label in the client environment since this is a pre-requisite for the Index Transition Event application from EUR
EONIA CMP to EUR ESTR CMP. Note that either 1 BUSINESS DAY or 1 DAY NEXT can be used, as long as
the schedule generator labels are the same across EUR EONIA CMP and EUR ESTR CMP formula definition.

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.

Copyright © 2022 Murex S.A.S. All rights reserved 67

 - Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Average index

EUR ESTR AVG index configuration

Archiving group

The archiving group ESTR should be configured as follows:

Copyright © 2022 Murex S.A.S. All rights reserved 68

 ESTR archiving group

Regarding the ESTR archiving group (for time series), the configuration should be as per below:

EUR COMPOUNDING and EUR AVERAGE archiving groups

Details of this configuration can be found in the Publication lag configuration section below.

Note that EONIA is also published at T+1 since October 2nd, meaning that the same timestamp feature and
fixing shifter should have been activated for EONIA archiving groups from this date.

IR Futures

Product specifications

[Link]

Configuration in MX

ICE ESTR 1M

The General tab contains the following information:

- The currency of contract

Copyright © 2022 Murex S.A.S. All rights reserved 69

 - The underlying instrument
- The contract size expressed in the currency of the contract
- The set of expiries of the contract

ICE ESTR 1M configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

Future quotation configuration screen

Copyright © 2022 Murex S.A.S. All rights reserved 70

 The Settlement tab includes information on the margining mechanism of the contract.

Future settlement configuration screen

The tab Pricing/Risk is not relevant for these futures. The tab Codes can be used to define additional user-
defined codes to refer to the futures contract.

Copyright © 2022 Murex S.A.S. All rights reserved 71

 OTC instruments

IR swap specifically used in IR futures

EUR ESTR AVG

EUR ESTR AVG generator template

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 72

 OIS swaps

EUR ESTR A 1Y

EUR ESTR A 1Y generator template

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 73

 Basis swaps

EUR ESTR 1Y EURIBOR 3M

ESTR leg schedule EURIBOR leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 74

 Market data updates

Rate curve: Fixed relation between EONIA and ESTR fixing

Since 2 October 2019 (first publication day of ESTR), the EONIA fixing is deduced from ESTR fixing plus
the historical spread between EONIA and ESTR (computed and fixed beforehand).

The relation between both fixings is the following: ESTR fixing = EONIA fixing – 8.5 bp
Our recommendation is to define 2 interest rate curves even if there is only one risk factor.
In order to properly represent this relation in the system, we will consider:
- One curve (either EONIA or ESTR) with the market instruments quoted on the market as before.
- One curve (either EONIA or ESTR) with a fictitious instrument implying the fixed spread relation.

Remark: The market instruments should be based on EONIA or ESTR compounded indices with “Current
index” estimation mode.

The fictitious instrument implying the relation between both curves is the one below:

Copyright © 2022 Murex S.A.S. All rights reserved 75

 EONIA-ESTR basis swap generator definition

Schedule generator for both legs

Copyright © 2022 Murex S.A.S. All rights reserved 76

 This instrument should be added in the EUR market rate sheet with a 1od maturity and the market quote
equal to the fixed spread:

Market rate sheet insertion

The fictitious instrument should be finally added to the EONIA or ESTR curve depending on the setup
chosen below. Any of the 2 following solutions can be put into production before October 2019 as it is
transparent for the existing EONIA curve.

Setup 1: ESTR is the driving curve

Under this setup:
- The ESTR curve is now composed of market instruments (that were previously part of the EONIA
curve)
- The EONIA curve contains the fictitious instruments and is defined as a ZC+S spread curve on top of
ESTR curve, with the curve settings below:

Copyright © 2022 Murex S.A.S. All rights reserved 77

 Important remark : Even if all instruments that are part of the EUR ESTR driving curve can be EONIA-based,
we strongly recommend the usage of a EUR ESTR fixed deposit in the EUR ESTR curve, which can anyway be
filled with EONIA fixing estimation – 8.5bp.

The fictitious instrument defined above should therefore be added to the EONIA curve:

EONIA curve

The following additional changes need to be implemented:

• Turns that have been assigned to the EONIA curve should now be assigned to the ESTR curve.
EONIA will still inherit the turns structure since it is a spread curve on top of the ESTR curve.
o Go to Turn assignments
o Change the EUR EONIA by replacing the EUR EONIA rate curve with the EUR ESTR rate
curve

• If a cut/hike group was assigned to EUR EONIA, the same cut/hike group should be assigned to EUR
ESTR, since the cuts/hikes assignments are done at index level.

• All pricing curves and hedge curves defined as spread curve (ZC+S) over EONIA should be adapted
to be defined as spread curve over ESTR.
The SQL query below allows identifying these curves (after updating the date in bold with the latest
front office date, and the curve label in bold with the name of the EONIA curve in production)

select b.M_DLABEL, a.M__ALIAS_, a.M_EVALUATION

from MPX_RTC_DBF a, RT_CT_DBF b where
a.M_EVALUATION=b.M_EVALUATION and
a.M_LABEL = b.M_LABEL and

Copyright © 2022 Murex S.A.S. All rights reserved 78

 a.M__DATE_=to_date('2017-06-30','YYYY-MM-DD') and
a.M_SPREADC=1 and
a.M_UND_CURVE = (select M_REFERENCE from RT_CT_DBF where M_DLABEL='EUR1D AM');

This query will return:

▪ M_DLABEL : display label of the curve
▪ M__ALIAS_ : the market data set where the curve is a spread curve on top of
EONIA
▪ M_EVALUATION : equal to 0 for pricing curves, equal to 3 for hedge curves

On the other hand, the SQL query to update the underlying curve from EONIA to ESTR for of all Z+S
pricing and hedge curves is the following.
PS: Replace EUR EUROSTR in bold below with your current EUROSTR curve name

update MPX_RTC_DBF set M_UND_CURVE=(select M_REFERENCE from RT_CT_DBF where

M_DLABEL='EUR EUROSTR')
where M_IDENTITY in (select a.M_IDENTITY from MPX_RTC_DBF a, RT_CT_DBF b where
a.M_EVALUATION=b.M_EVALUATION and
a.M_LABEL = b.M_LABEL and
a.M_SPREADC=1 and
a.M_UND_CURVE = (select M_REFERENCE from RT_CT_DBF where M_DLABEL='EUR1D AM') and
a.M_LABEL not in (select M_LABEL from RT_CT_DBF where M_DLABEL='EUR EUROSTR'));

Please note that:

• This inversion of composition between both curves does not have any impact on past dates thanks
to the curve historization. This change in the driving curve has no impact on EONIA discount
factors: calibrating the EONIA curve alone or calibrating the ESTER curve based on the same EONIA-
instruments with the zero-coupon spread of the EONIA curve being applied subsequently will result
in the same zero coupons.

Setup 2: EONIA is the driving curve

Under this setup:
- The EONIA stays the driving curve
- The ESTR curve contains the fictitious instruments and is defined as a ZC+S spread curve on top of
EONIA curve, with the curve settings below:

Copyright © 2022 Murex S.A.S. All rights reserved 79

 ESTR curve settings

The fictitious instrument defined above should therefore be added to the ESTR curve:

ESTR curve

This alternative setup should rather be proposed to clients who looks for the least impacting change for
now.
However, note that from a point of time, the client will consider that the driving curve should become ESTR
(which will anyway become the case one day since EONIA is supposed to be discontinued by end of 2021).
In this case, the configurations of both curves will be inversed in order to match the setup 1.
This switch consists in keeping the same rate curve assignments, same instruments in the rate sheet
(except potentially new ESTR instruments) but swapping the curve composition and curve settings so that
ESTR becomes the driving curve and EONIA the spread curve.

Copyright © 2022 Murex S.A.S. All rights reserved 80

 Liquidity Switch Procedure (from EONIA driving to ESTR driving) – Specific to Setup 2
If the setup 2 (EONIA is the driving curve) was chosen for day 1, then the switch to setup 1 (ESTR driving
curve) must be executed on day 2.

For a client that is not using the FVA module in MX.3:

We usually recommend this “day 2” to coincide with the time the first ESTR instrument becomes liquid and
needs to be included in the calibration of the EONIA / ESTR curves (that can have a mix of EONIA and ESTR
instruments).

The rationale behind that recommendation is the following: Setup 2 (EONIA driving) is usually chosen by
clients to avoid impacting the existing EONIA curve and to reduces the validation cost the ESTR deployment
requires. Once the first ESTR instrument is introduced, the existing EONIA curve will be impacted and a
validation (like any curve change validation) needs to be performed anyway.

As a result, the first introduction of the ESTR curve instrument to the EONIA / ESTR curve calibration is the
right point to perform that switch.

This is a recommendation but is not mandatory.

For a client that is using the FVA module in MX.3:

As a reminder, a ‘reference curve’ must be selected in the CVA Model Settings for each currency in scope.
This reference curve is expected to be the risk-free rate curve and drives the following behaviors:
- For each evaluation curve, the basis spreads between this curve and the reference curve are
extracted as of today and kept constant over the Monte Carlo grid, hence the diffusion of the
evaluation curve is driven by the diffusion of the reference curve.
- The numeraire used to discount future exposures as of today is computed on this reference curve.
- Funding spreads used for FVA computations are computed as spreads between the funding curves
and this reference curve.
It is recommended to define as reference curve a multi-pillar curve and not a one-pillar curve built as
spread curve; in other words, the ESTR curve can be defined as reference curve only after the liquidity
switch.

For FVA clients, it is mandatory that this “day 2” coincides with the day of the discounting switch
It is mandatory that this “day 2” coincides with the day of the discounting switch.

The reason behind that constraint is the following: the day of the discounting switch, the reference curve
used for the funding spread computation changes from EONIA to ESTR.
- If the liquidity switch is executed before the discounting switch: until the discounting switch happens,
the FVA will use a DV01 bucketed on the EONIA curve (composed of one point after the liquidity
switch) and hence will be wrong.
- If the liquidity switch is executed after the discounting switch: the day of the discounting switch
happens, and until the liquidity switch is executed, the FVA will us a DV01 bucketed on the ESTR curve
(composed of one point until liquidity switch) and hence will be wrong.

To execute before liquidity switch point:

- Import of ESTR curve instruments (generators) and update of market rate sheets. For now, no ESTR
liquid instruments are packaged yet (since no market information on that). Zip files to be provided
To execute the day of the liquidity switch point:

Copyright © 2022 Murex S.A.S. All rights reserved 81

 - Import of new EONIA curve as defined in Setup 1 above - Zip files to be provided
- Import of ESTR curve as defined in Setup 1 above - Zip files to be provided
- Additional steps defined in Setup 1 above
- (Optional) If EUR EONIA curve label does not reference EONIA (e.g. EUR 1D, EUR OIS, etc…) with the
current client nomenclature, it is a good practice to rename that curve to EUR EONIA and
(optionally) rename the EUR ESTR to that name (e.g. EUR 1D or EUR OIS).
To do so, it is enough to change the curve label from the Rate curves screen. This step needs to be done
after importing the new curves definition above (to avoid having to change the import files). There is
absolutely no need to perform any other configuration (rate curve assignment update, etc…) after the
renaming.

Quantitative remark about the EONIA and ESTR relation

Since the spread curve is composed of only one instrument, the (exponential) zero coupon spread value
obtained on the 1d pillar is extrapolated flat and therefore propagated throughout the curve.
Because the rate conversion function of the exponential daily forward to the linear daily forward between
T and T+1 is slightly depending on the zero-coupon level at both T and T+1 date, we do not exactly have a
forward spread equal to 8,5bp. However, with this configuration the following relation is ensured for any
fixing date:
8.5bp − 0.001bp < EONIA fixing − ESTR fixing < 8.5bp + 0.001bp

Configuration details
With any of the two setups proposed above, the fixed relation between fixing is ensured for forward
estimation with substantial accuracy and the DV01 zero and par risk onto EUR ESTR curve will be fully re-
projected on EUR EONIA curve thanks to the cross sensitivity due to the basis swap instrument.

If hedge curve module is not used, the DV01 par term on this fictitious basis swap instrument (respectively
part of the EONIA curve in the setup 1 and part of the ESTR curve in the setup 2) could be filtered out as
it corresponds to a sensitivity with respect to a fixed parameter. This also includes any DV01 view that
would be used to generate Risk Based P&L figures on pricing curves.

For clients using the EOD curve roll script (instead of the usual MARKETDATA copy script):
In order to avoid any slight change of this fixed parameter due to the EOD curve roll, the market quote of
this fictitious instrument should be overwritten with 8,5bp as part of the EOD procedure using the usual
script [Link] with the following xml:
<xc:XmlCache xc:action="Update" xmlns:xc="XmlCache">
<xc:XmlCacheArea xc:value="MarketParameters">
<mp:nickName xc:value="Market data set name" xmlns:mp="[Link]">
<mp:date xc:value="TODAY">
<rt:rate xmlns:rt="[Link]">
<rtsh:sheet xmlns:rtsh="[Link]">
<rtsh:currency xc:value="EUR">
<rtsh:type xc:value="Basis swap">
<rtsh:generator xc:value="\EUR EONIA ESTER">
<rtsh:market xc:value="">
<rtsh:maturity xc:value="1d" xc:type="Fields">
<mp:ask xc:keyFormat="N">-0.085000000</mp:ask>
<mp:askConvexitySpread xc:keyFormat="N">0.0000000</mp:askConvexitySpread>
<mp:askSpread xc:keyFormat="N">0.0000000</mp:askSpread>
<mp:bid xc:keyFormat="N">-0.085000000</mp:bid>
<mp:bidConvexitySpread xc:keyFormat="N">0.0000000</mp:bidConvexitySpread>
<mp:bidSpread xc:keyFormat="N">0.0000000</mp:bidSpread>

Copyright © 2022 Murex S.A.S. All rights reserved 82

 <mp:fixlag xc:keyFormat="C"/>
</rtsh:maturity>
</rtsh:market>
</rtsh:generator>
</rtsh:type>
</rtsh:currency>
</rtsh:sheet>
</rt:rate>
</mp:date>
</mp:nickName>
</xc:XmlCacheArea>
</xc:XmlCache>

The coexistence of ESTR and EONIA instruments in the ESTR curve (respectively EONIA curve in the
alternative setup) is fully managed with the two curves co-calibrating. You can find below an example with
the short-term based on EONIA-instruments and the long-term on ESTR-instruments (not existing yet).

Example of EONIA curve with mixed instruments

The setup 1 is an extreme case showing that strength in the system: the ESTR curve is fully composed of
EONIA-based instruments (before ESTR instruments are quoted in the market), but thanks to the fixed
spread relation between EONIA and ESTR defined by the other curve, the ESTR curve is able to calibrate.

Rate curve assignments

For now, only the ESTR forward assignment will be required.

Rate curve assignment update

Hedge curves setup

Since ESTR and EONIA will refer to the same risk factor, a possible hedge curve configuration is, for a
given hedge set, to assign the same hedge curve for both pricing curves:

Copyright © 2022 Murex S.A.S. All rights reserved 83

 Rate hedge curve assignment update (with one hedge curve)
The unique hedge curve can either be renamed with ESTR or keep its original EONIA name.

Note that under this setup made of a unique hedge curve for EONIA and ESTR, we might face slight
differences compared to the expected risk profile when loading for instance the par risk of a EURIBOR
hedge curve instrument. This is due to the design of hedge curve (because DV01 zero risk at trade level is
computed from composite curve zero coupons while Jacobian matrix is computed from hedge curve zero
coupons) although DV01 risk is always reconciled by scenario.
This is no longer reported with the multi hedge-set development (native in v3.1.48) since all risk
components are now computed based on composite curve zero coupons.

For this reason, we advocate the usage of two separate hedge curves:

Rate hedge curve assignment update (with two hedge curves)

Moreover, it appears that there is a strong need to distinguish the risk stemming from EONIA and ESTER
dependencies.

In case the client wants to see 2 outright risks on these hedge curves, the newly created EUR ESTER hedge
curve should be defined with similar structure and instruments than the existing EUR EONIA hedge curve,
and instruments could be duplicated from EONIA hedge curve with the only difference than they refer to
ESTER index/curve instead of EONIA.
The hedge curve setup can also be built such that one of the two curves is built with market instruments
and the other made basis on top of the basis curve (namely defining a similar setup than pricing curves).

Note that in case the client is not using hedge curves or does not want to build hedge curves for all the
other curves, it is possible to benefit from the automatic hedge curves functionality and therefore only
define hedge curves for EONIA and ESTR pricing curves (cf. section “Identified gaps in existing releases”).

As mentioned above, in case the client is not using hedge curves for the moment, the risk will be fully re-
projected on the driving curve (thanks to the EONIA-ESTR spread instrument), and the risk seen on the
spread curve should be filtered out since it does not correspond to any market risk (the 8,5bp spread being
fixed once for all).

Floating Rate Notes

In general, the market convention of SONIA FRN is compounding FRN with 5 Business days of lookback.
The below example shows a configuration of an FRN.

Bond configuration

Copyright © 2022 Murex S.A.S. All rights reserved 84

Copyright © 2022 Murex S.A.S. All rights reserved 85
Copyright © 2022 Murex S.A.S. All rights reserved 86
Copyright © 2022 Murex S.A.S. All rights reserved 87
 Index configuration

Copyright © 2022 Murex S.A.S. All rights reserved 88

 4. Swiss Average Rate Overnight (SARON)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
CHF SARON O/N +0 DAY PREVIOUS LIN ACT/360 1 BUSINESS DAY
CHF SARON
1Y +2 BUSINESS DAY LIN ACT/360 1Y MODFOL
CMP

Overnight index

CHF SARON index configuration

Copyright © 2022 Murex S.A.S. All rights reserved 89

 Compounded index

CHF SARON CMP 1Y index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 90

 Archiving group

The SARON Index has some particularity, the SARON is published 3 times a day (at 12pm, 4pm and 6pm).
Only the fixing of 6pm is used as a reference for derivative products.
The archiving group SARON should be configured as follows:

SARON archiving group

Regarding the SARON COMPOUNDING archiving group, the configuration should be as per below:

SARON COMPOUNDING archiving group

Copyright © 2022 Murex S.A.S. All rights reserved 91

 IR Futures

Product specifications

[Link]

Copyright © 2022 Murex S.A.S. All rights reserved 92

 Configuration in MX

EUREX SARON 3M

EUREX SARON 3M configuration template

The Quotation tab:

Copyright © 2022 Murex S.A.S. All rights reserved 93

 Future quotation configuration screen

The Settlement tab:

Future settlement configuration screen

Maturity sets

EUREX CHF maturity set

Automatic rules for EUREX CHF: Maturity = 3M 3RD WED, Value date is deduced from Maturity with shifter Q PRV 3RD WED,
Last TD and Roll date are deduced from Maturity with shifter -1 BUSINESS DAY. Calendar used is SOK

Copyright © 2022 Murex S.A.S. All rights reserved 94

 OTC instruments
From the past swap activity, we notice no clear market convention on the floating leg schedule
configuration for CHF SARON. Please find below the swap generator that should be used for IR future
configuration and a sample of a basis swap versus LIBOR rate.

OIS swaps

CHF SARON A 1Y

CHF SARON A 1Y generator template

Copyright © 2022 Murex S.A.S. All rights reserved 95

 Fixed leg schedule Floating leg schedule

Basis swaps

Basis LIBOR vs. SARON

Example 1Y vs. 1Y:

CHF LIBOR 1Y SARON 1Y swap generator

Copyright © 2022 Murex S.A.S. All rights reserved 96

 LIBOR leg schedule SARON leg schedule

Market data updates

Rate curves

The curve is constituted of an overnight deposit to mark the fixing for the overnight pillar and of swaps for the
other pillars.

CHF SARON rate curve

Copyright © 2022 Murex S.A.S. All rights reserved 97

 CHF SARON rate curve settings

Note that for these curve swap generators above, the floating index used \CHF SARON CMP has the same
definition than the index CHF SARON CMP defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

\CHF SARON CMP index definition

Rate curve assignments

The below assignments should be added:

Copyright © 2022 Murex S.A.S. All rights reserved 98

 Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 99

 5. Tokyo Overnight Average Rate (TONAR)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
LIN
JPY TONAR O/N +0 DAY PREVIOUS 1 BUSINESS DAY
ACT/365
JPY TONAR LIN
12M +2 BUSINESS DAY 12M MODFOL
CMP ACT/365

Overnight index

JPY TONAR index configuration

Compounded index

Copyright © 2022 Murex S.A.S. All rights reserved 100

 JPY TONAR CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 101

 Archiving group

The archiving group BOJ should be configured as follows:

BOJ archiving group

Regarding the JPY COMPOUNDING archiving group, the configuration should be as per below:

JPY COMPOUNDING archiving group

Details of this configuration can be found in the Publication lag configuration section below.

OTC instruments
The document will describe the configuration details of one sample swap generator per type. The other
swaps generator’s configurations can be obtained by changing the payment frequency.

Type Fixed vs. TONA LIBOR vs. TONA

1M, 3M, 6M and 1Y 1Y/3M

Payment frequency
independently on both legs
+0 BUSINESS DAY /
Payment delay +2 BUSINESS DAY
+2 BUSINESS DAY

Copyright © 2022 Murex S.A.S. All rights reserved 102

 OIS swaps

JPY TONAR A 1Y

JPY TONAR A 1Y swap generator

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 103

 Basis swaps

Basis LIBOR vs. TONA

JPY TONAR 1Y LIBOR 3M swap generator

LIBOR leg schedule TONAR leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 104

 Market data updates

Rate curves

The curve is constituted of an overnight deposit to mark the fixing for the overnight pillar and of swaps for the
other pillars.

JPY TONAR rate curve

JPY TONAR rate curve settings

Note that for these curve swap generators above, the floating index used \JPY TONAR CMP has the same
definition than the index JPY TONAR CMP defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

Copyright © 2022 Murex S.A.S. All rights reserved 105

 \JPY TONAR CMP index definition

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 106

 6. Australian Overnight Index Average (AONIA) or Cash Rate

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
LIN
AUD AONIA O/N +0 DAY PREVIOUS 1 BUSINESS DAY
ACT/365
AUD AONIA LIN
12M +1 BUSINESS DAY 12M MODFOL
CMP ACT/365

Overnight index

AUD AONIA index configuration

Compounded index

Copyright © 2022 Murex S.A.S. All rights reserved 107

 AUD AONIA CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 108

 Average index

Note that this average index has been designed for AUD 30-day interbank cash rate future build.

Archiving group

The archiving group AONIA should be configured as follows:

Copyright © 2022 Murex S.A.S. All rights reserved 109

 AONIA archiving group

Regarding the AUD COMPOUNDING and AUD AONIA AVG archiving groups, the configuration should
be as per below:

AUD COMPOUNDING and AUD AONIA AVG archiving groups

IR Futures

Product specifications

ASX’s 30 Day Interbank Cash Rate Futures contract, based on the Interbank Overnight Cash Rate published by
the Reserve Bank of Australia, allows users to hedge against fluctuations in the overnight cash rate and better
manage their daily cash exposures. 1

1
[Link]

Copyright © 2022 Murex S.A.S. All rights reserved 110

 Configuration in MX

AUD 30-Day Interbank Cash Rate Future

The AUD 30 Day Interbank Cash Rate Future is a swap-based future based on the average AUD AONIA
AVG swap.

Copyright © 2022 Murex S.A.S. All rights reserved 111

 ASX IB 30D configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

Future quotation configuration screen

The Settlement tab includes information on the margining mechanism of the contract.

Copyright © 2022 Murex S.A.S. All rights reserved 112

 Future settlement configuration screen

The tab Pricing/Risk is not relevant for these futures. The tab Codes can be used to define additional user-
defined codes to refer to the futures contract.

Maturity sets

ASX IB SF maturity set

Automatic rules for ASX IB SF: Maturity = 1M LAST DAY, Value date = 1M 1ST DAY, Last TD = Roll date = 1M LAST BD.
Calendar used is SYB

Copyright © 2022 Murex S.A.S. All rights reserved 113

 OTC instruments

IR swap specifically used in IR futures

AUD ASX IB 30D FUT

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 114

 OIS swaps

AUD AONIA A 1Y

AUD AONIA A 1Y swap generator

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 115

 Basis swaps

Basis AONIA vs. BBSW

AUD AONIA 3M BBSW 3M swap generator

AONIA leg schedule BBSW leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 116

 Market data updates

Rate curves

The curve is composed of:

- A simple fixed deposit used to mark to overnight fixing
- Swaps \AUD AONIA, equivalent to AUD AONIA A 1Y swaps described in the previous paragraph
- Basis swaps \AUD AONIA 3M BBSW 3M, equivalent to AUD AONIA 3M BBSW 3M swaps described in
the previous paragraph

AUD AONIA rate curve

AUD AONIA rate curve settings

Note that for these curve swap generators above, the floating index used \AUD AONIA has the same
definition than the index AUD AONIA A 1Y defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

Copyright © 2022 Murex S.A.S. All rights reserved 117

 \AUD AONIA CMP index definition

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 118

 7. Canadian Overnight Repo Rate (CORRA)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
LIN
CAD CORRA O/N +0 DAY PREVIOUS 1 BUSINESS DAY
ACT/365
CAD CORRA LIN
12M +0 DAY 12M MODFOL
CMP ACT/365

Overnight index

CAD CORRA index configuration

Copyright © 2022 Murex S.A.S. All rights reserved 119

 Average index

Note that this average index has been designed for 1M CORRA future build.

Compounded index

Copyright © 2022 Murex S.A.S. All rights reserved 120

 CAD CORRA CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 121

 Archiving group

The archiving group CORRA should be configured as follows:

CORRA archiving group

Regarding the CAD COMPOUNDING and CAD AVERAGE archiving group, the configuration should be as
per below:

CAD COMPOUNDING and CAD AVERAGE archiving groups

Details of this configuration can be found in the Publication lag configuration section below.

Copyright © 2022 Murex S.A.S. All rights reserved 122

 IR Futures

Product specifications

[Link]

Copyright © 2022 Murex S.A.S. All rights reserved 123

 Configuration in MX

ME 1M CORRA Future
The General tab contains the following information:
- The currency of contract
- The underlying instrument
- The contract size expressed in the currency of the contract
- The set of expiries of the contract

1M CORRA configuration template

The Quotation tab contains a quotation template with details on the quoting convention of the contract.

Future quotation configuration screen

Copyright © 2022 Murex S.A.S. All rights reserved 124

 The Settlement tab includes information on the margining mechanism of the contract.

Future settlement configuration screen

ME 3M CORRA Future

3M CORRA configuration template

The Quotation tab:

Copyright © 2022 Murex S.A.S. All rights reserved 125

 Future quotation configuration screen

The Settlement tab:

Future settlement configuration screen

Copyright © 2022 Murex S.A.S. All rights reserved 126

 Maturity sets

MSE CAD 1M MSE CAD 3M

Automatic rules for MSE CAD 1M: Maturity = 1M LAST DAY, Value date = 1M 1ST DAY, Last TD = Roll date = 1M LAST BD.
Calendar used is TRB.
Automatic rules for MSE CAD 3M: Maturity = 3M 3RD WED, Value date is deduced from Maturity with shifter Q PRV 3RD WED,
Last TD and Roll date are deduced from Maturity with shifter -1 BUSINESS DAY. Pillar label adjustment is Q PRV 3RD WED.
Calendar used is TRB.

OTC instruments

IR swaps specifically used in IR futures

CAD CORRA AVG

Copyright © 2022 Murex S.A.S. All rights reserved 127

 CAD CORRA AVG generator template

Fixed leg schedule Floating leg schedule

OIS swaps

CAD CORRA A 1Y

Copyright © 2022 Murex S.A.S. All rights reserved 128

 CAD CORRA A 1Y swap generator

Fixed leg schedule Floating leg schedule

Basis swap

Basis CORRA vs. CDOR

Copyright © 2022 Murex S.A.S. All rights reserved 129

 CAD CORRA CMP CDOR 3M swap generator

CORRA leg schedule CDOR leg schedule

Market data updates

Rate curves

The curve is constituted of an overnight deposit to mark the fixing for the overnight pillar, and then basis swaps
against CDOR 3M (with fixed-maturity instruments and then floating-maturity instruments).

CAD OIS CORRA rate curve

Copyright © 2022 Murex S.A.S. All rights reserved 130

 CAD OIS CORRA rate curve settings

Note that for these curve swap generators above, the floating index used \CAD CORRA CMP has the
same definition than the index CAD CORRA CMP defined above except that it has its Estimation mode set
to Current index instead of Underlying indices for better performances.

Copyright © 2022 Murex S.A.S. All rights reserved 131

 \CAD CORRA CMP index definition

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 132

 8. Singapore Overnight Rate Average (SORA)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
LIN
SGD SORA O/N +0 DAY PREVIOUS 1 BUSINESS DAY
ACT/365
SGD SORA LIN
6M +2 BUSINESS DAY 6M MODFOL
CMP ACT/365

Overnight index

SGD SORA index configuration

Copyright © 2022 Murex S.A.S. All rights reserved 133

 Compounded index

Usual compounded indices

SGD SORA CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.

Copyright © 2022 Murex S.A.S. All rights reserved 134

 - Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Capitalized index published by MAS (only for clients requesting it)

In order to ease the usage of SORA fixings in contracts, the BoE proposed to publish a SONIA capitalized index
that is be published each business day based on the formula below ([Link]
/media/MAS/FRN/User-Guide-for-SORA-Index-Compounded-SORA-and-MAS-
[Link]?la=en&hash=D0C8E1D9347E339AFAA7694C5B6EA7707A7DEB48):

The representation of this capitalized index is achievable in the system, by specifying “Express as rate” = “No”
so that the rate output will be the capitalized index and no longer the compounded rate.

Copyright © 2022 Murex S.A.S. All rights reserved 135

 SGD SORA INDEX index configuration

Then, the capitalized index is used in contracts to imply a compounded rate based on the return formula:
𝑆𝑂𝑅𝐴 𝐼𝑛𝑑𝑒𝑥 365
(𝑆𝑂𝑅𝐴 𝐼𝑛𝑑𝑒𝑥 𝐸𝑛𝑑 − 1) ∗ (𝐷𝑎𝑦 𝑐𝑜𝑢𝑛𝑡) where 𝑆𝑂𝑅𝐴 𝐼𝑛𝑑𝑒𝑥𝑆𝑡𝑎𝑟𝑡 and 𝑆𝑂𝑅𝐴 𝐼𝑛𝑑𝑒𝑥𝐸𝑛𝑑 are respectively the SORA
𝑆𝑡𝑎𝑟𝑡
Index value at calculation start date and calculation end date (usually shifted by -2 BUSINESS DAY).

This configuration can be replicated with a start-end index on top of the capitalized index:

Copyright © 2022 Murex S.A.S. All rights reserved 136

 Please refer to the section “Identified gaps in existing releases” below to make sure that all the required fixes are
available in the client version.
Remark: The compliance of this configuration with the finance business processes is still under review

Archiving group

The archiving group SORA should be configured as follows:

SORA archiving group

Regarding the SGD COMPOUNDING archiving group, the configuration should be as per below:

SGD COMPOUNDING archiving groups

Copyright © 2022 Murex S.A.S. All rights reserved 137

 OTC instruments

OIS swaps

SGD SORA S 6M

SGD SORA S 6M swap generator

Copyright © 2022 Murex S.A.S. All rights reserved 138

 Fixed leg schedule Floating leg schedule

Basis swaps

fsoBasis SORA vs. SOR

thb

SGD SOR 6M SORA 6M swap generator

Copyright © 2022 Murex S.A.S. All rights reserved 139

 SOR leg schedule SORA leg schedule

Currency swap

Basis SOFR vs. SORA

SGD-USD SORA-SOFR 6M-6M swap generator

Copyright © 2022 Murex S.A.S. All rights reserved 140

 Schedule generator for both legs

The FX reset version of the swap generator is also available (SGD-USD SORA-SOFR 6M-6M MTM), the
configuration of the swap generator is the same except than the USD leg has a marked-to-market indexation,
generated by the following checkbox:

Market data updates

Rate curves

The curve is constituted of an overnight deposit to mark the fixing for the overnight pillar, and then outright
SORA swaps.

SGD SORA rate curve

Copyright © 2022 Murex S.A.S. All rights reserved 141

 SGD SORA rate curve settings

Note that for these curve swap generators above, the floating index used \SGD SORA CMP has the same
definition than the index SGD SORA CMP defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

\SGD SORA CMP index definition

Copyright © 2022 Murex S.A.S. All rights reserved 142

 Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 143

 9. Thai Overnight Repurchase Rate (THOR)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
LIN
THB THOR O/N +0 DAY PREVIOUS 1 BUSINESS DAY
ACT/365
THB THOR LIN
6M +2 BUSINESS DAY 6M MODFOL
CMP ACT/365

Overnight index

THB THOR index configuration

Compounded index

Copyright © 2022 Murex S.A.S. All rights reserved 144

 THB THOR CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 145

 Average index

Assuming that one trade schedule (either fixing or calculation) refers to this publication date, we can build
the below index (example below with 6M tenor):

Copyright © 2022 Murex S.A.S. All rights reserved 146

 THB THOR 6M AVG index configuration

Note that, depending on the Calculations follow fixings at schedules definition level, the reference dates for
the average schedule are different:
- In case it is set to Yes (time series), the “shift last date” refers to a shift with respect to the in arrears fixing
date (and for information, “shift first date” refers to a shift with respect to the up front fixing date).
- In case it is set to No (time series), the “shift last date” refers to a shift with respect to the calculation end
date (and for information, “shift first date” refers to a shift with respect to the calculation start date).

Archiving group

The archiving group THOR should be configured as follows:

Copyright © 2022 Murex S.A.S. All rights reserved 147

 THOR archiving group

Regarding the THB COMPOUNDING archiving group, the configuration should be as per below:

THB COMPOUNDING archiving groups

Details of this configuration can be found in the Publication lag configuration section below.

Copyright © 2022 Murex S.A.S. All rights reserved 148

 OTC instruments

OIS swaps

THB THOR S 6M

THB THOR S 6M swap generator

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 149

 Currency swaps

THB-USD THOR-SOFR 6M-6M

THB-USD THOR-SOFR 6M-6M swap generator

Copyright © 2022 Murex S.A.S. All rights reserved 150

 Schedule generator for both legs

Market data updates

Rate curves

The curve is constituted of an overnight deposit to mark the fixing for the overnight pillar, and then outright
THOR swaps.

THB THOR rate curve

THB THOR rate curve settings

Copyright © 2022 Murex S.A.S. All rights reserved 151

 Note that for these curve swap generators above, the floating index used \THB THOR CMP has the same
definition than the index THB THOR CMP defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

\THB THOR CMP index definition

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 152

 10. Hong Kong Dollar Overnight Index Average (HONIA)

IR indices

Rate Schedule
Index name Maturities Start delay
convention generator
LIN
HKD HONIA O/N +0 DAY PREVIOUS 1 BUSINESS DAY
ACT/365
HKD HONIA LIN
3M +2 BUSINESS DAY 3M MODFOL
CMP ACT/365

Overnight index

HKD HONIA index configuration

Compounded index

Copyright © 2022 Murex S.A.S. All rights reserved 153

 HKD HONIA CMP index configuration

NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its
usage at trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off.
- Is subject to binary limitations for past and current periods (when some known fixings are
required) for releases anterior to v3.1.36.

Copyright © 2022 Murex S.A.S. All rights reserved 154

 Archiving group

The archiving group HONIA should be configured as follows:

HONIA archiving group

Regarding the HKD COMPOUNDING archiving group, the configuration should be as per below:

HKD COMPOUNDING archiving groups

Copyright © 2022 Murex S.A.S. All rights reserved 155

 OTC instruments

OIS swaps

HKD HONIA Q 3M

HKD HONIA Q 3M swap generator

Fixed leg schedule Floating leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 156

 Basis swaps

HKD HIBOR 1M HONIA 1M

HKD HIBOR 1M HONIA 1M

HIBOR leg schedule HONIA leg schedule

Copyright © 2022 Murex S.A.S. All rights reserved 157

 Currency swaps

HKD-USD HONIA-SOFR 3M-3M

HKD-USD HONIA-SOFR 3M-3M

Schedule generator for both legs

Copyright © 2022 Murex S.A.S. All rights reserved 158

 Market data updates

Rate curves

The curve is constituted of an overnight deposit to mark the fixing for the overnight pillar, and then outright
HONIA swaps.

HKD HONIA rate curve

HKD HONIA rate curve settings

Copyright © 2022 Murex S.A.S. All rights reserved 159

 Note that for these curve swap generators above, the floating index used \HKD HONIA CMP has the same
definition than the index HKD HONIA CMP defined above except that it has its Estimation mode set to
Current index instead of Underlying indices for better performances.

\HKD HONIA CMP index definition

Rate curve assignments

The below assignments should be added:

Rate curve assignment updates

Copyright © 2022 Murex S.A.S. All rights reserved 160

 11. Adjusted Thai Baht Interest Rate Fixing (Fallback THBFIX)

Archiving groups of FX indices

In addition of the archiving group for the FX spot, there are 3 archiving groups to configure. They will be used to
define 3 FX forward indices:
• USD/THB 1M
• USD/THB 3M
• USD/THB 6M

Why do we need 3 archiving groups? Isn’t possible to link all FX forward indices to only one
archiving group?

Unfortunately, it is not possible. The key in the archiving group is only the currency pair. The forward shifter (please refer
to the next section) is not part of the key.

It means that 2 FX forwards on the same currency pair will have the exact same historical data if they are linked to the
same archiving group. But they don’t have the same historical data. This is the reason we need to define one archiving
group by FX forward index.

Copyright © 2022 Murex S.A.S. All rights reserved 161

 FX indices
In top of the FX spot index, there are 3 FX forward indices to configure:
• FORWARD USD/THB 1M
• FORWARD USD/THB 3M
• FORWARD USD/THB 6M

Copyright © 2022 Murex S.A.S. All rights reserved 162

 Archiving group of IR indices

IR indices (regular periods)

3 indices will be used:
• THB FALLBACK THBFIX 1M
• THB FALLBACK THBFIX 3M
• THB FALLBACK THBFIX 6M

Copyright © 2022 Murex S.A.S. All rights reserved 163

Copyright © 2022 Murex S.A.S. All rights reserved 164
 IR indices (stub periods)
For adjusted FX implied indices, there is a specific behaviour for stub periods. As a consequence, a specific index
must be configured for the stub periods.

The first thing is to configure a specific USD SOFR index (USD SOFR CMP STUB FX IMPLIED):

You should use the same archiving group used to store the ISDA Fallback rates

Then, the stub index (THB FALLBACK THBFIX STUB) can be configured:

Copyright © 2022 Murex S.A.S. All rights reserved 165

 And finally, this stub index can be added to the definition on indices for regular periods defined on the previous
section:

Instruments
There is no need to configure specific instruments (swap, loan, FRAs, etc.…) since these indices will only be used
as fallback in existing deals. No trade should be booked from scratch with these indices.

Curves
There is no need to configure specific curves since the estimations are done following the curves assigned to the
underlyings.

Copyright © 2022 Murex S.A.S. All rights reserved 166

 12. Adjusted Singapore Swap Offer Rate (Fallback SOR)

Archiving groups of FX indices

In addition of the archiving group for the FX spot, there are 3 archiving groups to configure. They will be used to
define 3 FX forward indices:
• USD/SGD 1M
• USD/SGD 3M
• USD/SGD 6M

Why do we need 3 archiving groups? Isn’t possible to link all FX forward indices to only one
archiving group?

Unfortunately, it is not possible. The key in the archiving group is only the currency pair. The forward shifter (please refer
to the next section) is not part of the key.

It means that 2 FX forwards on the same currency pair will have the exact same historical data if they are linked to the
same archiving group. But they don’t have the same historical data. This is the reason we need to define one archiving
group by FX forward index.

FX indices
In top of the FX spot index, there are 3 FX forward indices to configure:

Copyright © 2022 Murex S.A.S. All rights reserved 167

 • FORWARD USD/SGD 1M
• FORWARD USD/SGD 3M
• FORWARD USD/SGD 6M

Copyright © 2022 Murex S.A.S. All rights reserved 168

 Archiving group of IR indices

IR indices (regular periods)

3 indices will be used:
• SGD FALLBACK SOR 1M
• SGD FALLBACK SOR 3M
• SGD FALLBACK SOR 6M

Copyright © 2022 Murex S.A.S. All rights reserved 169

Copyright © 2022 Murex S.A.S. All rights reserved 170
 IR indices (stub periods)
For adjusted FX implied indices, there is a specific behaviour for stub periods. As a consequence, a specific index
must be configured for the stub periods.

The first thing is to configure a specific USD SOFR index (USD SOFR CMP STUB FX IMPLIED):

Copyright © 2022 Murex S.A.S. All rights reserved 171

 You should use the same archiving group used to store the ISDA Fallback rates

Then, the stub index (SGD FALLBACK SOR STUB) can be configured:

And finally, this stub index can be added to the definition on indices for regular periods defined on the previous
section:

Copyright © 2022 Murex S.A.S. All rights reserved 172

 Instruments
There is no need to configure specific instruments (swap, loan, FRAs, etc.…) since these indices will only be used
as fallback in existing deals. No trade should be booked from scratch with these indices.

Curves
There is no need to configure specific curves since the estimations are done following the curves assigned to the
underlyings.

Copyright © 2022 Murex S.A.S. All rights reserved 173

 13. Adjusted Mumbai Interbank Forward Offer Rate (Adjusted MIFOR)

Archiving groups of FX indices

In addition of the archiving group for the FX spot, there are 5 archiving groups to configure. They will be used to
define 5 FX forward indices:
• USD/INR 1M
• USD/INR 2M
• USD/INR 3M
• USD/INR 6M
• USD/INR 12M

Only their label will be different. They can be configured following this example:

Why do we need 3 archiving groups? Isn’t possible to link all FX forward indices to only one
archiving group?

Unfortunately, it is not possible. The key in the archiving group is only the currency pair. The forward shifter (please refer
to the next section) is not part of the key.

It means that 2 FX forwards on the same currency pair will have the exact same historical data if they are linked to the
same archiving group. But they don’t have the same historical data. This is the reason we need to define one archiving
group by FX forward index.

FX indices
In top of the FX spot index, there are 5 FX forward indices to configure:
• FORWARD USD/INR 1M
• FORWARD USD/INR 2M
• FORWARD USD/INR 3M
• FORWARD USD/INR 6M
• FORWARD USD/INR 12M

Copyright © 2022 Murex S.A.S. All rights reserved 174

 The differences in these indices are:
• The label
• The publisher: it must be chosen among the ones configured in the previous section depending on the tenor
• The forward shifter: it must be chosen according to the tenor.

They can be configured following this example:

Archiving groups of IR indices

There is only one archiving group to define:

IR indices (regular periods)

5 indices will be used:
• INR ADJ MIFOR 1M
• INR ADJ MIFOR 2M

Copyright © 2022 Murex S.A.S. All rights reserved 175

 • INR ADJ MIFOR 3M
• INR ADJ MIFOR 6M
• INR ADJ MIFOR 12M

The differences in these indices are:

• The label
• The schedule generator (it must be adapted to the tenor)
• The compounded index (it must be adapted to the tenor)
• The FX forward index (it must be adapted to the tenor)
• The index transition spread (it must be adapted to the tenor)

They can be configured following this example:

Copyright © 2022 Murex S.A.S. All rights reserved 176

 IR indices (stub periods)
For adjusted FX implied indices, there is a specific behaviour for stub periods. As a consequence, a specific index
must be configured for the stub periods.

The first thing is to configure a specific USD SOFR index (USD SOFR CMP STUB FX IMPLIED):

You should use the same archiving group used to store the ISDA Fallback rates

Then, the stub index (SGD ADJ MIFOR STUB) can be configured:

And finally, this stub index can be added to the definition on indices for regular periods defined on the previous
section:

Copyright © 2022 Murex S.A.S. All rights reserved 177

 Instruments
There is no need to configure specific instruments (swap, loan, FRAs, etc.…) since these indices will only be used
as fallback in existing deals. No trade should be booked from scratch with these indices.

Curves
There is no need to configure specific curves since the estimations are done following the curves assigned to the
underlyings.

Copyright © 2022 Murex S.A.S. All rights reserved 178

 14. Modified Mumbai interbank Forward Offer Rate (MODIFIED MIFOR)

Archiving groups of FX indices

There is no need to create new archiving group for FX indices, we will rely on the FX indices configured for the
Adjusted MIFOR

FX indices
There is no need to create FX indices, we will rely on the FX indices configured for the Adjusted MIFOR

Archiving groups of IR indices

IR indices (regular indices)

5 indices will be used:
• INR MOD MIFOR 1M
• INR MOD MIFOR 2M
• INR MOD MIFOR 3M
• INR MOD MIFOR 6M
• INR MOD MIFOR 12M

The configuration is the same as the Adjusted MIFOR indices, except:

• The label
• The archiving group (the archiving group defined in the previous section must be used)
• The index transition spread: it must be set to 0 for all indices

They can be configured following this example:

Copyright © 2022 Murex S.A.S. All rights reserved 179

 IR indices (stub periods)
The configuration is the same as the index for stub periods of the adjusted MIFOR.

Instruments
The list of standard swap instruments is the following:
• INR MOD MIFOR A 1Y
• INR MOD MIFOR A 6M
• INR MOD MIFOR M 1M
• INR MOD MIFOR Q 3M
• INR MOD MIFOR S 6M

The document will describe the configuration details of one sample swap generator per type. The other swaps
generator’s configurations can be obtained by changing the schedule generators and the indices as follows:
Instrument Leg1 – Schedule gen. Leg2 – index Leg2 – Schedule gen.

Copyright © 2022 Murex S.A.S. All rights reserved 180

 INR MOD MIFOR A 1Y 1Y MODFOL INR MOD MIFOR 12M 12M MODFOL
INR MOD MIFOR A 6M 1Y MODFOL INR MOD MIFOR 6M 6M MODFOL
INR MOD MIFOR M 1M 1M MODFOL INR MOD MIFOR 1M 1M MODFOL
INR MOD MIFOR Q 3M 3M MODFOL INR MOD MIFOR 3M 3M MODFOL
INR MOD MIFOR S 6M 6M MODFOL INR MOD MIFOR 6M 6M MODFOL

Copyright © 2022 Murex S.A.S. All rights reserved 181

 Curves
We don’t have a strong opinion regarding the curve’s configuration. However, it is to be noted that:
• There is no need of a specific curve to estimate Modified MIFOR rates since they are estimated and computed
from underlying rates.
• Once the SOFR rate is known there is a direct dependency between the MIFOR rates and the USD/INR forward
rates.

Therefore, we believe that MIFOR instruments could be used in FX curve, especially in the long end, where there
is less liquidity in the swap point market:

As usual, when using a swap instrument in a curve, we recommend using a “slashed instrument” (a swap
generator with a label starting with “\” that will only be used in a curve context).

Copyright © 2022 Murex S.A.S. All rights reserved 182

 15. Publication lag configuration

All risk-free rates indices are published one day after their fixing date (EONIA, ESTR, FEDFUND, SOFR,
SONIA, TONAR and CORRA). In order to support this publication lag in the system, their archiving group
should be configured as follows:

Fixing shifter
The fixing shifter allows to trigger two behaviors regarding the fixing procedure and yesterday’s fixing
estimation that are described below and that are key to handle a publication lag. Bear in mind that the fixing
shifter setting has no impact on the trade fixing schedule and fixing dates.

Fixing Procedure:
By using this -1 BUSINESS DAY shifter, we make sure that the fixing at date T is proposed in the manual
fixing procedure from date T+1, and not visible from date T, since the system interprets the fixing shifter as
the lag between fixing date and publication date.
Note that this fixing shifter has no impact on the [Link] processing script
commonly used during EOD which is automatically fixing deals with the rate values already imported into
the archiving groups: in the case of fixings published the day after, the today’s fixing will anyway not be
known at EOD, thus the script will never fix them whatever the fixing shifter configuration (it will perform
the auto fixing the day after, when the fixing has been imported).

Yesterday’s fixing estimation:

Every day, before yesterday’s fixing is published, we will face a period where yesterday’s fixing is still
unknown and needs to be estimated for trades valuation. With the fixing shifter set to -1 BUSINESS DAY,
the system uses today’s curve to estimate the fixing or last known fixing depending on the version.
More information is available in the section “Identified gaps in existing releases”.
Without this fixing shifter, the yesterday’s fixing will be always estimated with the last known fixing in time
series.
Identified gaps in existing releases
Today’s fixing estimation:
This is completely independent of the publication lag. Nevertheless, for the sake of completeness, it is
worth clarifying the system behavior when today’s fixing is still unknown: the fixing will be estimated from
today’s curve. As a side note, the Out-Of-the Box pricing curves are composed of a deposit used to mark
today’s fixing, which is the rate that will be used for the estimation.

Note 1:

Copyright © 2022 Murex S.A.S. All rights reserved 183

 Before release v3.1.41, there is a general setting located under the Rates section that is called “Todays
fixing”, which affects the estimation of the today fixings:
- When set to “Market data”, the today fixing is estimated with the curve
- When set to “Historical rate”, the today fixing is estimated with the last known fixing
This setting has been hardcoded to “Market data” in v3.1.41.

Note 2:
For call deposits, the yesterday’s and today’s fixing are always estimated with the last known fixing
whatever the “Todays fixing” setting value.

Note 3:
The fixing shifter setting has no impact on the trade schedules: this setting should be understood as a
publication shifter, but the fixing dates stay the same in existing deals in case the fixing shifter of the
corresponding archiving group is updated.

Note 4:
The fixing publication process is handled seamlessly for rate whose publication date is today or tomorrow,
except that the yesterday’s fixing is not available in the cache structure today (only the today’s fixing), so
the fixing cannot be retrieved from MDCS.
This has been enhanced with ASSETSPB-1226 (native in release v3.1.44). With this development, the today
published fixing can be imported and interpreted in real-time from the cache.

Note 5:
Since this behavior has evolved in different releases, please refer to the section “Identified gaps in existing
releases” below in order to identify the behavior in your client release and the required defects to
backport.
Please note that as a workaround, and until the required defects are backported, it is preferable not to use
the fixing shifter. This is not problematic as the fixing shifter configuration is optional.

Timestamp feature
Past P&L Recovery:
The timestamp functionality allows to save the exact date on which the historical data is imported in the
system, such as it impacts the P&L calculation only starting from the date of import.
It is visible in the historical table on the right column.

Example of an interest rate index where the publication date is one open day after the fixing
date

Copyright © 2022 Murex S.A.S. All rights reserved 184

 This timestamp date is considered in any past-dated valuation context (e.g.: past-dated reporting, past-dated
simulation for P&L reconciliation, etc...)
In the example above a fixing at date T that is published at T+1 will not be considered in P&L past-dated
valuations as of date T. It will be considered for any P&L valuation as of T+1since the timestamp date of the
fixing at date T will be T+1.
Example (in the screenshot above): if system date is 02 May 2018 and we open the P&L of a trade fixing on
01 May 2018, the fixing value (0.4497) will be used. However, if we open the P&L as of yesterday (01 May
2018) of this same trade, the fixing value (0.4497) won’t be used but will be estimated from the (01 May
2018) curve (as described in the paragraph Today’s fixing estimation above).

Recommendations on collateral module

Interest calculation process

For agreements related to bilateral transactions, we recommend postponing calculation processes until the
next morning once the overnight rate is published:

Interest computation processing script [Link] should be

split in 2 to generate interest accrual and payment for the overnight rate with publication lag only when the
rate is known:

For instruments where the collateral rate has the publication lag:
- "To date shifter" to "-1 BUSINESS DAY" instead of "Today" should be amended
- "Instrument Scope" filter should be added to filter on the currency/instrument
- Should be scheduled after the rate publication
For instruments where the collateral rate does not have the publication lag:
- "To date shifter" should be kept to "Today"
- "Instrument Scope" filter should be added to filter on the currency/instrument
- Remains as part of EOD

Accounting on business events

Depending on the client constraints and requirements, 2 options are possible for currencies where the
overnight rate is published one day after:

Option 1: Run accounting EOD as usual. The entries on collateral interest will be generated
during the next EOD with past entry date.
- Pros: Doesn't change the client accounting process.
- Cons: the entries on EUR collateral interest will be generated after the accounting EOD.
Option 2: Run accounting generation scripts (accounting on trades, deliverables (if
applicable), business events) without moving the accounting EOD. After the rate publication
and the associated interest computation, accounting on business events script
([Link]) should be rerun to

Copyright © 2022 Murex S.A.S. All rights reserved 185

 generate accounting entries on collateral interest. Once these entries are generated the
accounting move date script should be executed.
- Pros: the entries on collateral interest will not be backdated.
- Cons: Requires a modification of accounting process which might have an impact on client
downstream systems.
Running [Link] and Accounting move
date during trading hours.

Copyright © 2022 Murex S.A.S. All rights reserved 186

 16. Configuration aspects on daily schedules

Note that either 1 BUSINESS DAY or 1 DAY NEXT can be used to represent business daily schedules. Note
that both schedules are equivalent in common cases.

Both can be seamlessly used to define overnight schedules.

Differences will be seen when calculation start or end dates are falling on a holiday.

For compounded indices, the market convention is to consider the weights coming from the holidays (using the
previous fixing for this sub-period). This can be achieved with the 1 DAY NEXT schedule generator:

Whereas with the 1 BUSINESS DAY schedule generator, this sub-period is not visible (as if the final end date
was the previous business day):

Copyright © 2022 Murex S.A.S. All rights reserved 187

 For CME SOFR 1M average futures, start/end dates are always the first day of the month, which can fall on a
holiday. In this case, the correct flow schedule will be achieved with 1 BUSINESS DAY only.
Example:

1 BUSINESS DAY: OK
• 01 Jan 2009 is a holiday, since there is no fixing on that date, MX is rely on the last known
fixing (31 Dec 2008), consistent with the future calculation methodology.
• 31 Jan 2009 is a holiday, thus a weight of 2 is assigned to the previous business day.

1 DAY NEXT: NOK because of the weight of 3 for the last sub-period

Copyright © 2022 Murex S.A.S. All rights reserved 188

 Remark: After updating the USD SOFR AVG formula definition as advocated in paragraph below Case of
compounding/averaging starting on holiday, there is no longer any fixing date required on a holiday, which means that
the 01 Jan 2009 fixing date above becomes adjusted to the previous business day 31 Dec 2008.

Copyright © 2022 Murex S.A.S. All rights reserved 189

 17. Compounding flavors

This section describes the configuration for the main flavors of compounding that are met on the market.
Note that they can be applied also to average indices with the “Mean type”=”Built on a weighting schedule”, where
the weighting schedule plays the role of the compounding schedule.
Note that even if the document is focused on IRD instruments, the same compounding flavors might be used for
security finance, money market and bond products.
Correlations between typologies and compounding flavors used will be indicated below.

Lockout
When lockout is used, a rate is crystallized and used for the following [Link] lockout period (also called rate
cut-off) is configurable in the formula definition of the compounded [Link] a lockout of n business days, the–
(n+1) BUSINESS DAY shifter should be used (since MX is computing the crystallized fixing from the calculation
end date of the period).

Remark: in the above, we consider that a “lockout of n business days” means that the fixing falling on calculation end date
– (n+1) business days is the crystallized fixing but note that depending on the institution, a “lockout of n business days”
could also mean that the fixing falling on calculation end date – n business days is the crystallized fixing.
In any case, it is better to clarify what is the convention used in the reference paper.

Illustration:

Copyright © 2022 Murex S.A.S. All rights reserved 190

 Lookback
The fixing schedule is shifted with respect to the compounded periods (which are not affected). Generally used
in bonds.

Copyright © 2022 Murex S.A.S. All rights reserved 191

 Note that the +0 DAY PREVIOUS adjustment has been added to properly handle the case when the compounding
start date is falling on a holiday.

Illustration:

Green date (12 Feb 2021) is the calculation start date.

Blue date (05 Feb 2021) is the calculation start date adjusted by -5 BUSINESS DAY.

Note that to replicate the same lookback flavor on average indices, the “Built on a weighting schedule” mean
type should be used (and 1 BUSINESS DAY schedule is used instead):

Copyright © 2022 Murex S.A.S. All rights reserved 192

 Observation shift
The fixing schedule and the compounding schedule are both shifted.

Illustration:

Copyright © 2022 Murex S.A.S. All rights reserved 193

 Green date (12 Feb 2021) is the calculation start date.
Blue date (10 Feb 2021) is the calculation start date adjusted by -2 BUSINESS DAY.

Note that for bonds, the following representation might be used instead, because of some price/yield requirements that are not
met with the previous config:

Recap matrix
The following table sums up all possible combinations of the 3 flavors presented above, for compounded indices:
Index configuration Fixing schedule Compounding schedule Shift first date Shift last date Rate cut-off
LOOKBACK x day 1 DAY NEXT - x BD 1 DAY NEXT
OBSERVATION SHIFT
1 DAY NEXT 1 DAY NEXT -y BUSINESS DAY -y BUSINESS DAY
y day
LOCKOUT z day 1 DAY NEXT 1 DAY NEXT -(z+1) BUSINESS DAY
LB + OS 1 DAY NEXT - x BD 1 DAY NEXT -y BUSINESS DAY -y BUSINESS DAY
LB + LO 1 DAY NEXT - x BD 1 DAY NEXT -(x+z+1) BUSINESS DAY
OS + LO 1 DAY NEXT 1 DAY NEXT -y BUSINESS DAY -y BUSINESS DAY -(z+1) BUSINESS DAY
LB + OS + LO 1 DAY NEXT - x BD 1 DAY NEXT -y BUSINESS DAY -y BUSINESS DAY -(x+z+1) BUSINESS DAY

A similar table has been built below for average indices, knowing that:
- The case where fixing schedule is different from compounded schedule can be replicated for average indices by
setting the mean type to “Built on a weighting schedule”, the weighting schedule playing the role of the
compounding schedule
- First date/Last date settings should always be set to “Included”

Index Fixing Weighting

Mean type Shift first date Shift last date Rate cut-off
configuration schedule schedule
Built on a weighting 1 BUSINESS
LOOKBACK x day 1 BUSINESS DAY
schedule DAY - x BD
OBSERVATION Automatically 1 BUSINESS
-y BUSINESS DAY -y BUSINESS DAY
SHIFT y day weighted DAY
Automatically 1 BUSINESS
LOCKOUT z day -(z+1) BUSINESS DAY
weighted DAY
Built on a weighting 1 BUSINESS
LB + OS -y BUSINESS DAY -y BUSINESS DAY 1 BUSINESS DAY
schedule DAY - x BD
Built on a weighting 1 BUSINESS -(x+z+1) BUSINESS
LB + LO 1 BUSINESS DAY
schedule DAY - x BD DAY

Copyright © 2022 Murex S.A.S. All rights reserved 194

 Automatically 1 BUSINESS
OS + LO -y BUSINESS DAY -y BUSINESS DAY -(z+1) BUSINESS DAY
weighted DAY
Built on a weighting 1 BUSINESS -(x+z+1) BUSINESS
LB + OS + LO -y BUSINESS DAY -y BUSINESS DAY 1 BUSINESS DAY
schedule DAY - x BD DAY

Case of compounding/averaging starting on holiday

With the configurations defined above, we will get the correct rate even if the compounding start date is falling
on a holiday.

The first underlying fixing date is falling on this holiday, but as expected it will be estimated as the previous
business day fixing (cf. remark on +0 DAY PREVIOUS in the previous section) and will inherit the last known
fixing value when fixed, therefore also the previous business day fixing value.

However, the auto-fixing procedure will not be able to fix this flow, since there is no published rate on this
holiday in the archiving group, and user can only fix the trade manually, which could cause some exception
management.
To overcome this, we propose to replace the fixing schedule of the compounded index with the following
configuration:

Note that using this fixing schedule for usual compounding instead of 1 DAY NEXT will have no effect on deals
starting on a business day.

Copyright © 2022 Murex S.A.S. All rights reserved 195

 Similarly for average indices, we can use the same adjusted fixing schedule instead of 1 BUSINESS DAY:

For this, the Mean type should be set to Built on a weighting schedule, with the original 1 BUSINESS DAY schedule
being kept for the weighting schedule.

Configuration & estimation modes

To manage all the flavours in an easy way, we recommend having only one index (example: USD SOFR CMP) that
will be customized on-the-fly by the user to represent the desired flavour. The “on-the-fly customization” has
been made easier by adding all the needed fields in the e-Tradepad (the user doesn’t need to enter anymore in
the index definition screen). Please refer to section 23 to identify all needed defects.

As opposed to this recommendation, we want to avoid creating as many indices as flavours and offsets. It would
be heavier for the end user and almost impossible to interface (for instance with MarkitWire).

It is to be noted that in MX.3 we have several estimation modes:

• Underlying indices: it is the exact compounding formula where each underlying rate is estimated and
compounded. Although it is very accurate it will introduce performance issues (on instances with big volumes)
due to the number of needed evaluations.
• Current index (standard): an optimization of the Underlying indices mode where the index is estimated as a
published index (=LIBOR index). In this mode, the compounded rate is estimated at once without requiring an
estimation of the underlying rates (hence the performance gain). In most of the cases, it perfectly replicates the
Underlying indices mode, sometimes there is a small imprecision. Please refer to the below table to get a detailed
status.
• Current index (OIS): an additional optimization of the Current index (standard) mode. Some flavours cannot be
represented with this estimation mode.

Please refer to section 20 for more details on the Current index estimation mode.

Copyright © 2022 Murex S.A.S. All rights reserved 196

 Here is the detailed status of the compatibility between the estimation modes and the various flavours:

Current index Current index

Flavour Underling indices Recommendation
(standard) (OIS)
Vanilla (= no
Current index (OIS)
flavour)
Observation shift Current index (OIS)

Depends on the
Lookback The flavour cannot
Inaccuracies be defined with this
client
mode
Before v3.1.52:
Depends on the
Inaccuracies before v3.1.52 client
Lockout Perfectly matches Same as current Including and after
underlying indices including index (standard) v3.1.52:
and after v3.1.52 Current index (OIS)

means that using the Current index mode creates some inaccuracies (this mode can be considered as an
approximation). For some clients, this approximation can be acceptable, and we will recommend the Current index
mode. For some other clients the approximation cannot be acceptable, and we will recommend the use of the
Underlying indices mode (at the cost of performance degradations). To summarize, it is a trade-off between
performance and analytical precision. In case the client expects high volumes on one of the flavours, we should
push towards the Current index mode.

It is to be noted that the Current index mode can create some inaccuracies on the estimation part only.
For the past, there is no difference with Underlying indices mode. For the current period, the period will be split:
The future/estimated part will be evaluated on the Current index mode. Whereas the past part will be equivalent to
the Underlying indices mode.

The status of the lockout flavour is different depending on the version. CBR-6979 (native from v3.1.52) has been
developed to make the flavour compatible with the Current index mode (for both standard and OIS). So, from this
version, the recommendation is to use the Current index (OIS) mode. Before this version, there is an inaccuracy
(the rate is estimated as if there is no lockout) that can be accepted or not by the client. It is to be noted that the
development is not backportable.

Finally, all the above is true for compounding indices. For average indices, we simply advise to always use the
Underlying indices mode because
• We don’t expect high volumes on such indices that should prevent from performances degradations
• The optimizations on average indices have not been validated outside a curve context.

Reporting
To be able to report the flavours applied on the trades, the following fields have been added to the simulation
dictionary. They are all located under the node (Risk Engine > Results > Outputs > Stream results > Description >
Stream template > Floating Stream Template > Index)
• Label : index Label
• Rate Cut-Off : is the cut-off activated

Copyright © 2022 Murex S.A.S. All rights reserved 197

 • Rate Cut-Off shifter : cut-off shifter (in case the cut-off is activated)
• Shift first date : is the first date shifted
• Shift last date : is the last date shifted
• First date shifter : first date shifter (in case it is activated)
• Last date shifter : last date shifter (in case it is activated)
• Underlying fixing schedule : schedule used for the lookback flavour.

MW interface
This whole solution has been packaged with MW. To get the design of the solution, please refer to this
documentation.

It is to be noted that, to benefit from the interface you will need the following developments/defects:
• MarkitWire Release 19.1 will only adapt push those changes for OIS and Basis Swaps. (ETA: UAT: 8th of June
- Prod: 9th of July)
• MarkitWire Release 19.2 is the target to get those flavors available for XCCY swaps. (ETA: UAT: 20th of July -
Prod: August 2022)
• DEF0511982: mandatory enhancement for outbound mapping of the Holidays centers for LB - LO - OS". In
inbound this dev is not needed as the calendars are derived from the index.
• DEF0503302 - Index definition must be in update mode - If a node is blank in the MXML, the information is
retrieved from the index definition, if the information is passed, it will be updated during the import.
• DEF0502334 - Reaction issues when updating index estimation mode and index configuration type

Copyright © 2022 Murex S.A.S. All rights reserved 198

 18. Official ISDA Fallback configuration

Context

18.1.1 Transition timelines and fallback

The FCA announced in March 2021 that all GBP/EUR/JPY/CHF LIBOR tenors along with USD LIBOR
1W and USD LIBOR 2M will become non-representative on 31 December 2021.
This will trigger the transition of all GBP/EUR/JPY/CHF LIBOR deals according to the ISDA Fallbacks Supplement
& Protocol, applicable through the index transition event in MX.3 to replace the LIBOR indices with their
associated fallback indices configured in the next paragraph.
For USD LIBOR 1W and USD LIBOR 2M, no transition of indices is planned (except for the potential few deals
using it for regular periods), they will be simply excluded from LIBOR interpolated stubs when fixing date is
beyond the discontinuation date. This is natively done in MX.3 when the index is logically deleted (with effective
date being the discontinuation date).

The other USD LIBOR tenors will be declared non-representative on 30 June 2023.
This will also trigger the transition of USD LIBOR deals according to the ISDA Fallbacks Supplement & Protocol.

More details on the transition can be found:

▪ The official Index Transition Event documentation (docid:23223)
▪ The user stories related to the ISDA fallback methodology

18.1.2 Synthetic LIBOR

For tough legacy deals where transitioning to a compounded index might be problematic, a synthetic version of
GBP/JPY/USD LIBOR (for the tenor 1M, 3M and 6M) will be proposed for the months following their date of non-
representativeness. Note that Synthetic Libor are supposed to be terminated by end of 2022. All details on the
methodology and the spread to be used can be found in this communication [Link]
events/insight/fcas-synthetic-libor-methodology-confirmed/

Note that the existing LIBOR index can be kept in MX.3 to represent the synthetic index (no index transition event
to perform at trade level). Since the synthetic LIBOR fixings will be based on a RFR term rate methodology (where
the official ISDA credit spread is added at the end), it can be estimated ahead of the non-
representativeness/discontinuation date through the transition curve defined in MX.3 Cliff Effect Deployment guide.
In other terms, considering synthetic GBP LIBOR 3M, the curve to be used to estimate the Forwards is the following:

- Spread over GBP SONIA curve

- Market quote = ISDA Fallback spread
- Instruments can be either forward starting swaps or spot starting swaps

Copyright © 2022 Murex S.A.S. All rights reserved 199

 If the transition curve is not planned to be used in production, note that the synthetic LIBOR can be estimated post-
discontinuation date with the spread curve proposed in third pre-requisite of section 1.2 in the above document.

For information, the official credit spread values are available at this link.

Fallback index configuration

18.2.1 Regular periods

The fallback of USD LIBOR 3M, called USD SOFR CMP 3M FALLBACK, is given as an example below.
The configuration for any fallback (there are 35 fallbacks for LIBOR in total, knowing that there are 5 currencies
involved and 7 tenors for each) can be deduced from the below screenshot after updating the fields surrounded
in green (the other ones being the same for all fallback indices):

Copyright © 2022 Murex S.A.S. All rights reserved 200

 USD SOFR CMP 3M FALLBACK index configuration

In the compounding details:

• Implied rate convention:
o LIN ACT/365 for GBP
o LIN ACT/360 for CHF, EUR, JPY and USD
• Rounding decimals:
o 5 for USD and JPY
o 4 for CHF, EUR and GBP
• Underlying index:
o USD SOFR for USD LIBOR fallbacks
o EUR ESTR for EUR LIBOR fallbacks
o GBP SONIA for GBP LIBOR fallbacks
o JPY TONAR for JPY LIBOR fallbacks
o CHF SARON for CHF LIBOR fallbacks
• Rate convention:
o LIN ACT/365 for GBP and JPY
o LIN ACT/360 for CHF, EUR and USD
• Shifter:
o +2BD-2BD+3M is used for 3M fallbacks (whatever the considered currency)
o For other tenors, a duplicated shifter should be used in accordance with the original
LIBOR tenor. Example, for 1W fallbacks, the following shifter should be used:

Copyright © 2022 Murex S.A.S. All rights reserved 201

 o The roll convention (“If non business day” setting) should be set to
▪ “Next” for 1W tenors
▪ “Modified following” for 1M, 2M, 3M, 6M, 12M tenors
o In the specific case of GBP, the relative shifter to use is +0BD-2BD instead of +2BD-
2BD
NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its usage at
trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off (note
that it is not the case for the ISDA fallback)
- Is subject to binary limitations for past and current periods (when some known fixings are required) for
releases anterior to v3.1.36.

In the index definition:

• Currency
• Start delay: (optional)
o +2 BUSINESS DAY except for GBP where it is +0 BUSINESS DAY
• Schedule generators: (optional)
o The tenor corresponding to the original LIBOR tenor
• Rate convention:
o LIN ACT/365 for GBP
o LIN ACT/360 for CHF, EUR, JPY and USD
• Rate curve: (optional)
o The curve corresponding to the risk-free rate

Note that for the correct application of the most recent available rate rule (triggered by the new Publication date
rule setting and illustrated in the user stories document), the fixing shifter in underlying index archiving group
should be set to -1 BUSINESS DAY for the indices USD SOFR, EUR ESTR, GBP SONIA and JPY TONAR.

Copyright © 2022 Murex S.A.S. All rights reserved 202

 This is required since the publication date (equal to the last underlying fixing date of the period, shifted by the
opposite of the fixing shifter) is compared to the payment date + publication date rule shifter to determine
whether the most recent available rate rule applies.

Note that we have created dedicated FALLBACKS archiving group (one for each currency) which are exact copy
of the compounded RFR archiving group in terms of definition.

18.2.2 Interpolated stub periods

The fallback of USD LIBOR for stubs periods, called USD SOFR CMP FALLBACK STUB, is given as an example
below.
The configuration for any stub fallback (there are 5 stub fallbacks for LIBOR in total, namely one by currency)
can be deduced from the below screenshot after updating the fields surrounded in green:

Copyright © 2022 Murex S.A.S. All rights reserved 203

 Note that there is no -2 BUSINESS DAY shifter to configure in the formula definition to be applied on first date
/ last date since it has been hardcoded for transitioned stubs with ISDA fallback flag set to Yes.

In the compounding details:

• Implied rate convention:
o LIN ACT/365 for GBP
o LIN ACT/360 for CHF, EUR, JPY and USD
• Rounding decimals:
o 5 for USD and JPY
o 4 for CHF, EUR and GBP
• Underlying index:
o USD SOFR for USD LIBOR fallbacks
o EUR ESTR for EUR LIBOR fallbacks
o GBP SONIA for GBP LIBOR fallbacks
o JPY TONAR for JPY LIBOR fallbacks
o CHF SARON for CHF LIBOR fallbacks
• Rate convention:
o LIN ACT/365 for GBP and JPY
o LIN ACT/360 for CHF, EUR and USD
NB: The Estimation mode of the compounded index can be either set to Current index or Underlying indices.
Current index drastically reduces the computation time but please note the following restrictions for its usage at
trade level:
- Does not allow to see the details of the underlying fixings before v3.1.44.
- Will not give the exact fixing estimation/value in case of a non-standard fixing lag or rate cut-off (note
that it is not the case for the ISDA fallback)
- Is subject to binary limitations for past and current periods (when some known fixings are required) for
releases anterior to v3.1.36.

In the index definition:

• Currency
• Rate convention:

Copyright © 2022 Murex S.A.S. All rights reserved 204

 o LIN ACT/365 for GBP
o LIN ACT/360 for CHF, EUR, JPY and USD
• Rate curve: (optional)
o The curve corresponding to the risk-free rate

Note that we have created dedicated STUB FALLBACKS archiving group (one for each currency) which are
exact copy of the compounded RFR archiving group in terms of definition.

Fallback fixing import

Although MX.3 is automatically estimating fallback fixing values before their publication, based on the underlying
daily fixings, it is necessary to import official values from Bloomberg through FgML messaging, which is
documented in docid:14507 (more precisely paragraph 10 - fgci - Compound Indices).

Primary keys for historical data of time series indices are respectively the START_CALC (corresponding to
<fgci:startDate>) and END_CALC (corresponding to the <fgci:endDate>). They refer to the compounding
boundaries of the rate, which are called “Accrual Start Date” and “Accrual End Date” in the context of the
fallback.

The mnemonics FALLBACK_ACCRUAL_START_DATE and FALLBACK_ACCRUAL_END_DATE should

therefore be mapped to <fgci:startDate> and <fgci:endDate> in the interface.

Important reminder: the archiving group should store the compounding RFR part only (excluding the credit
spread, which is added as a separate spread when applying the transition event). This corresponds to the
Adjusted RFR tickers in the table below (All-in fallback and spread adjustment tickers are also provided, just
for information).
For all these tickers, the mnemonic PX_LAST is giving the value.

Fallback Tickers (prefix "V")

IBOR Name O/N S/N 1W 2W 1M 2M 3M 4M 5M 6M 1Y

AUD BBSW n/a n/a n/a n/a VBBSW1M VBBSW2M VBBSW3M VBBSW4M VBBSW5M VBBSW6M n/a

CAD CDOR n/a n/a n/a n/a VCDOR01M VCDOR02M VCDOR03M n/a n/a VCDOR06M VCDOR1Y

Copyright © 2022 Murex S.A.S. All rights reserved 205

 CHF LIBOR n/a VSF00SN VSF0001W n/a VSF0001M VSF0002M VSF0003M n/a n/a VSF0006M VSF001Y

EUR EURIBOR n/a n/a VEUR001W n/a VEUR001M n/a VEUR003M n/a n/a VEUR006M VEUR01Y

EUR LIBOR VEE00ON n/a VEE0001W n/a VEE0001M VEE0002M VEE0003M n/a n/a VEE0006M VEE001Y

GBP LIBOR VBP00ON n/a VBP0001W n/a VBP0001M VBP0002M VBP0003M n/a n/a VBP0006M VBP001Y

HKD HIBOR VHIHDON n/a VHIHD01W VHIHD2W VHIHD01M VHIHD02M VHIHD03M n/a n/a VHIHD06M VHIHD1Y

JPY LIBOR n/a VJY00SN VJY0001W n/a VJY0001M VJY0002M VJY0003M n/a n/a VJY0006M VJY001Y

JPY TIBOR n/a n/a VTI0001W n/a VTI0001M n/a VTI0003M n/a n/a VTI0006M VTI001Y

JPY EuroYen TIBOR n/a n/a VEUYN01W n/a VEUYN01M n/a VEUYN03M n/a n/a VEUYN06M VEUYN1Y

USD LIBOR VUS00ON n/a VUS0001W n/a VUS0001M VUS0002M VUS0003M n/a n/a VUS0006M VUS001Y

Adjusted RFR Tickers (prefix "X")

IBOR Name O/N S/N 1W 2W 1M 2M 3M 4M 5M 6M 1Y

AUD BBSW n/a n/a n/a n/a XAONIA1M XAONIA2M XAONIA3M XAONIA4M XAONIA5M XAONIA6M n/a

CAD CDOR n/a n/a n/a n/a XCORRA1M XCORRA2M XCORRA3M n/a n/a XCORRA6M XCORRA1Y

CHF LIBOR n/a XSARONSN XSARON1W n/a XSARON1M XSARON2M XSARON3M n/a n/a XSARON6M XSARON1Y

EUR EURIBOR n/a n/a XESTR1W n/a XESTR1M XESTR2M XESTR3M n/a n/a XESTR6M XESTR1Y

EUR LIBOR XESTRON n/a XESTR1W n/a XESTR1M n/a XESTR3M n/a n/a XESTR6M XESTR1Y

GBP LIBOR XSONIAON n/a XSONIA1W n/a XSONIA1M XSONIA2M XSONIA3M n/a n/a XSONIA6M XSONIA1Y

HKD HIBOR XHONIAON n/a XHONIA1W XHONIA2W XHONIA1M XHONIA2M XHONIA3M n/a n/a XHONIA6M XHONIA1Y

JPY LIBOR n/a XTONASN XTONA1W n/a XTONA1M XTONA2M XTONA3M n/a n/a XTONA6M XTONA1Y

JPY TIBOR n/a n/a XTONAT1W n/a XTONAT1M n/a XTONAT3M n/a n/a XTONAT6M XTONAT1Y

JPY EuroYen TIBOR n/a n/a XTONA1W n/a XTONA1M n/a XTONA3M n/a n/a XTONA6M XTONA1Y

USD LIBOR XSOFRON n/a XSOFR1W n/a XSOFR1M XSOFR2M XSOFR3M n/a n/a XSOFR6M XSOFR1Y

Spread Adjustment Tickers (prefix "Y")

IBOR Name O/N S/N 1W 2W 1M 2M 3M 4M 5M 6M 1Y

AUD BBSW n/a n/a n/a n/a YBBSW1M YBBSW2M YBBSW3M YBBSW4M YBBSW5M YBBSW6M n/a

CAD CDOR n/a n/a n/a n/a YCDOR01M YCDOR02M YCDOR03M n/a n/a YCDOR06M YCDOR1Y

CHF LIBOR n/a YSF00SN YSF0001W n/a YSF0001M YSF0002M YSF0003M n/a n/a YSF0006M YSF001Y

EUR EURIBOR n/a n/a YEUR001W n/a YEUR001M n/a YEUR003M n/a n/a YEUR006M YEUR01Y

EUR LIBOR YEE00ON n/a YEE0001W n/a YEE0001M YEE0002M YEE0003M n/a n/a YEE0006M YEE001Y

GBP LIBOR YBP00ON n/a YBP0001W n/a YBP0001M YBP0002M YBP0003M n/a n/a YBP0006M YBP001Y

HKD HIBOR YHIHDON n/a YHIHD01W YHIHD2W YHIHD01M YHIHD02M YHIHD03M n/a n/a YHIHD06M YHIHD1Y

JPY LIBOR n/a YJY00SN YJY0001W n/a YJY0001M YJY0002M YJY0003M n/a n/a YJY0006M YJY001Y

JPY TIBOR n/a n/a YTI0001W n/a YTI0001M n/a YTI0003M n/a n/a YTI0006M YTI001Y

JPY EuroYen TIBOR n/a n/a YEUYN01W n/a YEUYN01M n/a YEUYN03M n/a n/a YEUYN06M YEUYN1Y

USD LIBOR YUS00ON n/a YUS0001W n/a YUS0001M YUS0002M YUS0003M n/a n/a YUS0006M YUS001Y

Note that the <fgci:fixingDate> value can be considered as informative: it can be filled with the legacy LIBOR
fixing date if required, even if natively, although time series fixing entries natively generated by the system are
filling this fixing date with the last underlying fixing date.

Remark in case it is required to import all fallback fixings: there is a constraint at time series archiving group level as we
cannot import 2 fixing entries for the same index and same accrual period, whereas 2 fallback fixings (with different
legacy LIBOR fixing date) might have the same accrual dates.

Copyright © 2022 Murex S.A.S. All rights reserved 206

 This happens when the original record date is a holiday on the RFR calendar but not the LIBOR calendar (LNB). For
instance, let us consider 04/07/2022, which is a holiday on SOFR calendar (BMA) but business day on LNB:
Accrual start date for original record date 03/07/2022 is 03/07/2022 + 2BD (BMA) – 2BD (BMA) = 03/07/2022
Accrual start date for original record date 04/07/2022 is 04/07/2022 + 2BD (BMA) – 2BD (BMA) = 03/07/2022
Only one occurrence of this fixing can be imported into MX.3, which is not problematic since trades are calling time series
fixing based on the accrual periods only (START_DATE, END_DATE).

Copyright © 2022 Murex S.A.S. All rights reserved 207

 19. Representing daily floor for compounded rates

The ARRC Business Loans Working Group provided the below recommendation (cf.
[Link]
If there are interest rate floors in a credit agreement, it is recommended that the floor be calculated daily and not at the
end of an interest period because loans accrue interest daily and loan funds strike a daily net asset value based on this
daily accrued interest. The floor on a newly originated SOFR loan will be applied to SOFR.

As a first step, we are proposing an index representation that is not triggering any volatility call and pricing the
estimated flows with the intrinsic value. It turns out to be in line with most client’s expectations.
Here is the recommended configuration for the index:

USD SOFR CMP DAILY FLOOR is an exact copy of USD SOFR CMP except that the underlying index is set to
USD SOFR O/N FLOORED instead of the usual USD SOFR overnight index.
This underlying index is a basket index based on the USD SOFR, defined with Formula Type set to Max and Use
constant (the floor value) set to 0.
This floor value can be subject to any customization. If multiple floor values are needed, one distinct basket
index will be required for each. Please note that this Use constant value is customizable at trade/generator level
since it is a time series attribute (from the Details button of the Generator details screen):

Copyright © 2022 Murex S.A.S. All rights reserved 208

 We are developing the possibility of customizing this floor value directly at e-Tradepad level with DEF0466199.

In case the floor is required at compounded rate instead of the daily rate, we now consider a basket made of a
compounded on SOFR (instead of a compounded made of a basket on SOFR). The configuration details can be
found below:

In terms of pricing and analytics, for both configurations:

- As indicated above, the pricing will be based on the intrinsic value of the payoff: the estimated rate will be
computed as if there was no volatility.
- The sensitivities, including DV01, are simulated (computed with finite difference method), meaning that we are
sensitive to the Sensitivity shift and Shift method settings defined in the shared general settings (under Sensitivities
tab).

Remark: In case there is a need to apply a floor on (total compounded rate + margin), the recommendation is to define
the “use constant” being equal to the original floor value – margin, so that compounded rate + margin is floored by the
original floor value.

Remark 2: Please make sure that all the associated archiving groups have the Allow Null Fixing flag activated

Copyright © 2022 Murex S.A.S. All rights reserved 209

 20. « Current index » estimation mode validation

Context
Due to the emergence of compounded RFR products, clients with substantial LIBOR volumes will face high
RFR volumes in the coming years. To avoid a tough performance degradation, the Current index estimation
mode is proactively recommended for compounded indices.
Please read the Interest Rate Index documentation, section 5.2 as a pre-requisite.

As a reminder, Current index estimation mode will compute the forward of future periods as if it was a
published index. For instance, assuming a LIN ACT/360 rate convention:
𝐷𝐹(𝑇𝑠 ) 360
𝐹(𝑇𝑠 , 𝑇𝑒 ) = ( − 1) × × 100
𝐷𝐹(𝑇𝑒 ) 𝜏
Where 𝑇𝑠 is the compounding start date, 𝑇𝑒 is the compounding end date, DF(T) is the discount factor
between today and T, 𝜏 is the day count between 𝑇𝑠 and 𝑇𝑒 .

The Current index estimation mode is available since old v3.1 releases and validated from versions v3.1.36
onwards for a usage in trades.
For older versions, please check with PDD what the status is.

The Current index estimation mode is now divided into 2 configuration types:

- Standard: legacy Current index for which we specify a fixing schedule and compounding schedule.
It is available to all MX clients.
- OIS: optimized way of estimating compounded index, where fixing schedule and compounding
schedule have been hardcoded to the common 1 DAY NEXT schedule generator. This type is
available only for clients that have purchased the associated license (which is included in the core
LIBOR package). Note that for other clients where the configuration type setting is not visible in
the GUI, the Standard mode will apply.
The following recommendations and remarks will prove useful to all clients updating their
compounded index estimation mode to Current index. It pertains to both configuration types
Standard and OIS.

Copyright © 2022 Murex S.A.S. All rights reserved 210

 Note that the lookback flavor is not configurable along with the “OIS” mode since there is no
possibility to define a shifted fixing schedule.

The technical license to benefit from the optimized OIS mode can be found under MXSESSION -> Optional
modules -> OIS Index Configuration

Compatibility of the different flavors with Current index

Before v3.1.52:
Standard Current index Optimized OIS
Observation
Payoff and pricing OK
shift

Payoff OK but estimation not

Lookback Not configurable
consistent
Payoff OK, slight inaccuracy in the estimation (could be
Lockout
enhanced in a future development)
From v3.1.52:
Standard Current index Optimized OIS
Observation
Payoff and pricing OK
shift
Payoff OK, slight inaccuracy
Lookback Not configurable
in the estimation (by design)

Lockout Payoff and pricing OK

Copyright © 2022 Murex S.A.S. All rights reserved 211

 Guidelines

20.3.1 Conditions for both estimation modes to match

For compounded indices based on overnight indices (defined with a null start delay and business daily schedule
generator), the general rule is that Current index and Underlying indices estimation mode will match in case the
fixing schedule and compounding schedule are aligned, so that we can apply the simplification detailed in the
associated MX documentation.
This means that the NPV results will be the same for standard compounding and observation shift flavor (fixing
and compounding schedule are both shifted with the same value) but will slightly differ in case of the lookback
flavor (fixing schedule shifted from the compounding schedule) and the case of lockout/rate cut-off (fixing
schedule and compounding schedule are the same but the fixing schedule is crystallized at the end of the
compounding period, creating a mismatch with the compounding schedule).
However, we expect to match the rates between both estimation modes up to 0,2bp under normal market
conditions.

Note that Current index and Underlying indices results could however differ, even if compounding and fixing
schedule are matching, because of the calculation period starting or ending on holiday. This is expected because
the first sub-period or last sub-period will have a misalignment between its compounding period and its
underlying estimation period for forward calculation (whereas these periods should exactly match sub-period by
sub-period to ensure that the same forward rate is computed for both estimation modes).
Example:
Let us consider period is ending on Saturday, the last sub-period will be associated to a compounding period
from Friday to Saturday, but the Friday fixing is being estimated between Friday and Monday). In this case the
Current index mode becomes a (very accurate) approximation but no longer an exact computation.

It could also differ if the rate convention of the Computed index details and the one of the Underlying index details
are not the same in the formula definition of the compounded index.

For the specific case of SOFR where the archiving group calendar (BMA) is different from the currency calendar
(NYB), we could get a mismatch between both estimation modes even if all conditions above are respected. This
might happen if the Index Dates Calendar (under General settings => Static => Pricing tab) used to compute the
forward estimation end date from the forward estimation start date is set to Currency.

In this case, even if the compounding start date is always equal to the forward estimation start date, the
compounding end date (= compounding start date + 1BD on BMA) could be different from the forward
estimation end date (= compounding start date + 1BD on NYB), and therefore the estimation period and
compounding period are no longer matching: thus, we cannot exactly reconcile Current index with Underlying
indices estimation mode in this case.
Example below where 15 Apr 2022 (Good Friday) is a holiday on BMA and not NYB:

Copyright © 2022 Murex S.A.S. All rights reserved 212

 More information related to this static setting Index Dates Calendar can be found at docid:10108, paragraph 4.1.

Note that the above issue cannot happen if the Index Dates Calendar setting is set to either Archiving (BMA) or
Archiving + Currency (BMA + NYB), because in this case we have compounding calendar = BMA = BMA + NYB =
forward estimation date calendar (since all NYB holidays are included in BMA holidays). This setting can be
redefined at the bottom of the index definition if need be:

Remark: In the above we are only referring to future and current compounding periods since past periods will
always match (the estimation mode does not apply on past periods).
Also, note that several issues on Current index estimation mode (mainly for current periods) have been fixed
over the years. They are listed in ASSETSPB-2297 and have been all backported to releases until v3.1.34
included.

Finally, note that Current index estimation mode is not compatible with margin or transition spread at
underlying level: by design, we cannot replicate the application of a spread at underlying level by computing a
global forward for future periods. However, a consistent approximation will be available in mainstream after
defects DEF0490800, DEF0501893, DEF0503383.

20.3.2 Fixing sensitivities at underlying level

Previously, the Current index mode is replicating the forward calculation of a published index. Therefore, it was
not publishing any sensitivity at underlying fixing level: no coming fixing and fixing sensitivity were computed,
except at compounded index level, which is inconsistent.
The feature ASSETSPB-2157 has been implemented to address this gap and replicate the computation of the
daily coming fixing and fixing sensitivity in Current index mode as if we were in Underlying indices estimation mode.
Note that this development is tied to the OIS license mentioned above.

More precisely, the coming fixing and fixing sensitivities are approximated with the formulas below for the linear
rate conventions:

Copyright © 2022 Murex S.A.S. All rights reserved 213

 Where:
𝐹𝑇𝑜𝑡𝑎𝑙 is the compounded forward rate, 𝑇𝑡𝑜𝑡𝑎𝑙 is the total day count fraction of the compounded period.
𝐹𝑖 is the compounded forward rate of the i-th period, 𝑇𝑖 is the day count fraction of the i-th period.
𝑧𝑖 and 𝑡𝑖 are respectively the zero-coupon value and zero-coupon date for the estimation start date of the i-th
period.
𝐶𝑎𝑝𝐹𝑎𝑐𝑡𝑜𝑟 is the total capitalization factor over the compounding period

𝑑𝐹𝑇𝑜𝑡𝑎𝑙
The same 𝑑𝐹𝑘
factor is used for the coming capital calculation when the computation is weighted (setting
located under Rates general settings):

𝑑𝐹𝑇𝑜𝑡𝑎𝑙
The coming capital computes 𝑁𝑜𝑚𝑖𝑛𝑎𝑙 × 𝑑𝐹𝑘
for each underlying fixing if the setting above is Weighted,
otherwise it will simply output 𝑁𝑜𝑚𝑖𝑛𝑎𝑙.

Also note that along with this feature, a new rates general setting has been introduced for performance reasons:

Such that the production of fixing sensitivities is limited to [simulation date; simulation date + fixing sensitivities
limit shifter].
Note that this development is protected by the technical license OIS Index Configuration.

20.3.3 Rate details

Before version v3.1.44, there is no rate details available for Current index mode.
Only one line is seen in the rate details screen, hence providing no information for the rate reconciliation.
In build version (since DEF0438065), we are now splitting the past sub-periods (with the associated daily
historical data) and future periods (estimated as a single forward).
Thus:
- For past periods, underlying fixing details are visible
- For future periods, only one line is visible
- For current periods, we see a mix of both (respectively in blue and green below)

The backport of this functionality on releases between v3.1.34 and v3.1.43 is ongoing. It is not subject to any
technical license.

Copyright © 2022 Murex S.A.S. All rights reserved 214

 20.3.4 Today fixings general setting

There was a rates general setting named Today fixings that was impacting the today fixing.

This setting has been hardcoded to Market data in v3.1.41 with DEF0380706.
If you are testing before version v3.1.41, please make sure that the setting has been set to Market data
beforehand.

20.3.5 Rate curve assignments

There is a slight difference in terms of rate curve assignments management between both estimation modes
(since DEF0368106):
- In Underlying indices: MX is searching the rate curve assignment of the compounded index, if not available it is
searching the rate curve assignment of the underlying index.
- In Current index: MX is searching the rate curve assignment of the compounded index only.

DEF0472978 has been booked so that the Current index estimation mode now behaves like the Underlying indices
one.

Copyright © 2022 Murex S.A.S. All rights reserved 215

 21. Rate curve input of the ISDA Standard CDS Converter

Context
After the Big Bang protocol in 2009, standard CDS deals have standard coupon rates of 25bps, 100bps, 500bps,
or 1000bps. As a result, a cash settlement amount needs to be exchanged between the protection buyer and the
protection seller on an assumed cash settlement date (trade date plus 3 business days).
One of the methods to calculate the cash settlement amount is through a standardized spread called
Conventional spread. The conversion between the CDS Conventional spread and the upfront cash settlement
amount is done through the ISDA Standard CDS converter in 2 steps using the following formula.
Step 1: NPVdirty (Conventional Spread, Implied Default Spread) = Accrual
Step 2: Upfront Amount = NPVdirty (Premium, Implied Default Spread)
This standardized conversion tool, which uses the ISDA CDS Standard model, is based on many inputs among
which is a standard interest rate curve built out of deposits and LIBOR swap rates from T-1 business day. Due
to the IBOR rates cessation and their replacement by RFR rates, the composition of this standard interest rate
curve will be impacted. In the following guidelines, the new composition of such rate curves will be explained.

Guidelines

21.2.1 GBP SONIA

As of July 12th 2021, the interest rate inputs of the ISDA Standard CDS converter will be transitioned from
IBORs to RFRs for the GBP currency. The new configuration for the GBP standard interest rate curve will be as
following.
Bond/Loan generator is used for the curve pillars as following. For GPB currency, the start delay is set to +0
DAY and the rate convention is set to LIN ACT/ACT ISD.

Copyright © 2022 Murex S.A.S. All rights reserved 216

 GPB SONIA 1Y ISDA CONV generator template

Schedule generator

+0 Day shifter definition Rate convention

Copyright © 2022 Murex S.A.S. All rights reserved 217

 Basis convention

The standard pillar maturities are 1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y,
and 30Y.

GBP SONIA ISDA CONV rate curve

The standard interest rate curve details will be as following.

Copyright © 2022 Murex S.A.S. All rights reserved 218

 GBP SONIA ISDA CONV rate curve settings

21.2.2 EUR ESTER

The new configuration for the EUR standard interest rate curve will be as following.
Bond/Loan generator is used for the curve pillars as following. For EUR currency, the start delay is set to +2
BUSINESS DAY and the rate convention is set to LIN ACT/360.

Copyright © 2022 Murex S.A.S. All rights reserved 219

 EUR ESTER 1Y ISDA CONV generator template

Schedule generator

Copyright © 2022 Murex S.A.S. All rights reserved 220

 +2 BUSINESS Day shifter definition Rate convention

Basis convention

The standard pillars maturities are 1M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, and 30Y.

Copyright © 2022 Murex S.A.S. All rights reserved 221

 EUR ESTER ISDA CONV rate curve

The standard interest rate curve details will be as following.

EUR ESTER ISDA CONV rate curve settings

21.2.3 USD SOFR

The new configuration for the USD standard interest rate curve will be as following.
Bond/Loan generator is used for the curve pillars as following. For USD currency, the start delay is set to +2
BUSINESS DAY and the rate convention is set to LIN ACT/360.

Copyright © 2022 Murex S.A.S. All rights reserved 222

 USD SOFR 1Y ISDA CONV generator template

Schedule generator

Copyright © 2022 Murex S.A.S. All rights reserved 223

 +2 BUSINESS Day shifter definition Rate convention

Basis convention

The standard pillar maturities are 1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y,
and 30Y.

Copyright © 2022 Murex S.A.S. All rights reserved 224

 USD SOFR ISDA CONV rate curve

The standard interest rate curve details will be as following.

USD SOFR ISDA CONV rate curve settings

21.2.4 CHF SARON

The new configuration for the CHF standard interest rate curve will be as following.
Bond/Loan generator is used for the curve pillars as following. For CHF currency, the start delay is set to +2
BUSINESS DAY and the rate convention is set to LIN ACT/360.

Copyright © 2022 Murex S.A.S. All rights reserved 225

 CHF SARON 1Y ISDA CONV generator template

Schedule generator

Copyright © 2022 Murex S.A.S. All rights reserved 226

 +2 BUSINESS Day shifter definition Rate convention

Basis convention

The standard pillars maturities are 1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y,
25Y, and 30Y.

Copyright © 2022 Murex S.A.S. All rights reserved 227

 CHF SARON ISDA CONV rate curve

The standard interest rate curve details will be as following.

CHF SARON ISDA CONV rate curve settings

21.2.5 AUD AONIA

The new configuration for the AUD standard interest rate curve will be as following.
Bond/Loan generator is used for the curve pillars as following. For AUD currency, the start delay is set to +1
BUSINESS DAY and the rate convention is set to LIN ACT/ACT ISD.

Copyright © 2022 Murex S.A.S. All rights reserved 228

 AUD AONIA 1Y ISDA CONV generator template

Schedule generator

Copyright © 2022 Murex S.A.S. All rights reserved 229

 +1 BUSINESS Day shifter definition Rate convention

Basis convention

The standard pillars maturities are 1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y,
25Y, and 30Y.

Copyright © 2022 Murex S.A.S. All rights reserved 230

 AUD AONIA ISDA CONV rate curve

The standard interest rate curve details will be as following.

AUD AONIA ISDA CONV rate curve settings

21.2.6 JPY TONA

The new configuration for the JPY standard interest rate curve will be as following.
Bond/Loan generator is used for the curve pillars as following. For JPY currency, the start delay is set to +2
BUSINESS DAY with TYO payment calendar and the rate convention is set to LIN ACT/ACT ISD.

Copyright © 2022 Murex S.A.S. All rights reserved 231

 JPY TONA 1Y ISDA CONV generator template

Schedule generator

Copyright © 2022 Murex S.A.S. All rights reserved 232

 +2 BUSINESS Day shifter definition Rate convention

Basis convention

The standard pillars maturities are 1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, and
30Y.

Copyright © 2022 Murex S.A.S. All rights reserved 233

 JPY TONA ISDA CONV rate curve

The standard interest rate curve details will be as following.

JPY TONA ISDA CONV rate curve settings

Copyright © 2022 Murex S.A.S. All rights reserved 234

 22. RFR currency swaps configuration & FX curve impacts

Standard RFR currency swaps specifications

Excluding the capital payment convention, the general rule to define RFR-RFR currency swap generators
would be the following:
• Fixing calendar is the underlying index archiving group calendar
• Payment calendar and capital calendar are the union of the currencies involved in the trade
• Calculation (driving) schedule is 3M MODFOL
• Start delay is set to +2 BUSINESS DAY on both legs
• Payment shifter is set to +2 BUSINESS DAY on both legs
Of course, this is just a default template and is subject to client customizations (for instance: opting for an
observation shift flavor for the compounded index instead of shifting payment dates).

Regarding initial/intermediate/final capital payment dates: each of the 3 capital flow types could either follow
the payment schedule (usually shifted from calculation schedule with +2 BUSINESS DAY shifter for RFR
currency swaps) or calculation schedule. Here are the proposed configurations depending on the cases:
All capital payment dates are following calculation schedule:

This config is the one that has been mostly met so far, and that should be used in FX curve instruments.

All capital payment dates are following payment schedule:

Copyright © 2022 Murex S.A.S. All rights reserved 235

 Initial/Intermediate/Final capital payments are not following the same schedule:
In this case we propose to use the same capital schedules configuration but adjusting the payment using the
additional checkboxes introduced by DEF0480887: Intermediate Capital payment for RFR MTM CCS to be paid on
interest payment date.

If the initial/intermediate/final capital is following the payment schedule, the associated checkbox should be
unticked.
If the initial/intermediate/final capital is following the calculation schedule, the associated checkbox should be
ticked.

Without the defect, we propose to align the capital payment schedule with the calculation/payment schedule in
function of the intermediate capital payment dates specified and handle initial and final capital payment dates
through customizations.
Note that the capital payment schedule should be set to “Copy of” (instead of “Equal to”) to make sure capital
payment dates can be customized independently of the interest flow payment dates.

Based on the above recommendations, the following currency swap templates have been packaged in the LIBOR
reference environment:
AUD-USD AONIA-SOFR 3M-3M
AUD-USD AONIA-SOFR 3M-3M MTM
EUR-USD ESTR-SOFR 3M-3M
EUR-USD ESTR-SOFR 3M-3M MTM
GBP-USD SONIA-SOFR 3M-3M
GBP-USD SONIA-SOFR 3M-3M MTM
JPY-USD TONAR-SOFR 3M-3M
JPY-USD TONAR-SOFR 3M-3M MTM
GBP-EUR SONIA-ESTR 3M-3M
GBP-EUR SONIA-ESTR 3M-3M MTM
CHF-USD SARON-SOFR 3M-3M
CHF-USD SARON-SOFR 3M-3M MTM
CAD-USD CORRA-SOFR 3M-3M
CAD-USD CORRA-SOFR 3M-3M MTM

Copyright © 2022 Murex S.A.S. All rights reserved 236

 Impact on FX curves
Liquidity on RFR vs RFR currency swaps is expecting to rise and overcome the usual floating currency swaps that
are currently part of FX curves.
Waiting for a market standard to emerge, what we can assume so far is that RFR vs RFR currency swaps (with
marked-to-market/FX reset feature) will be used in the long-term of FX curves.
For instance, \GBP-USD SONIA-SOFR 3M-3M MTM will replace the legacy \GBP-USD 3M-3M previously defining
the long-term of the GBP FX, with the same pillar structure (assuming that a duplicated slashed version of the
generator has been created for curve instruments, in line with the best practices).

Along with this change, it is required to make sure that:

- USD SOFR became the FX curve assigned to USD in the rate curve assignments.
- USD SOFR is the foreign curve used to compute swap points in FX curves: instead of duplicating all swap point
generators to specify the foreign rate curve USD SOFR instead of USD FED FUNDS, the recommendation since
the development done in DEF0451573 is to let the foreign rate curve empty in the swap point generator definition
so the FX rate curve assignment is read instead.

- USD SOFR is the discounting curve of the RFR currency swaps defined in the FX curve, as we now assume they
are built upon USD collateral hypothesis.

Copyright © 2022 Murex S.A.S. All rights reserved 237

 23. Identified gaps in existing releases (INTERNAL)

Rate curve calibration for SOFR futures

1M and 3M SOFR futures (respectively based on an average and compounded rate) are configured with in
“swap-based” mode in Murex. Even if the pricing and risk of swap-based futures are validated from version
v3.1.34, gaps have been discovered when calibrating curves containing this kind of futures.
The following defects will allow the client to use SOFR futures in rate curves.
DEF0394395: [Hedge curves] swap-based short futures are not handled by hedge curves
DEF0389008: Curve Calibration with average SFUT pillars incorrect
DEF0411351: [Mx Enhanced] Correct the swap-based short futures calibration
DEF0413361: Correct dNPV/dR (and therefore dZ/dR) for swap-based short futures
DEF0414565: [SwapBased] Date calculation issue under Swap based future
DEF0428475: [SOFR Curves] Incorrect instrument flows displayed for SOFR SFUT curve pillars
DEF0430988: [Swap based] The swap-based short future gets rolled out of the curve as soon as the "maturity step out
gap" is >=1
DEF0444935: Spread curve containing swap-based short-future does not generate cross sensitivity on the underlying (due
to spread)
Optional one (display issue only):
DEF0428475: [SOFR Curves] Incorrect instrument flows displayed for SOFR SFUT curve pillars
Optional one (to open the equivalent swap when pressing space bar on a swap-based future in curves):
DEF0446204: Construct RtDeal from swap based short future
Optional one: to handle bid/ask
DEF0470091: [Swap-based] bid/ask curve calibration is not handled

These defects are backportable until version v3.1.34, for older releases it should be checked with
the product team.

Alternative without these defects: Replace SOFR futures in curves with their equivalent swaps (the ones defined in the
futures definition). These equivalent swaps should be inserted in the market rate sheet with the IMM start-end maturity
set:

Copyright © 2022 Murex S.A.S. All rights reserved 238

 Please note that, in case this alternative is used, the Model Type to use for the SOFR curve is MxEnhanced in case the fix
of DEF0409634 is not present in the client version, since the bug reported in this defect is that all past fixings are ignored
for the running SOFR future with Flow Calibration.
DEF0249983 is also required so that the running future can calibrate (otherwise it is automatically excluded from the
calibration system).

Fixing shifter in archiving groups

For several risk-free rate indices like SONIA and SOFR indices, the fixing value is known 1 day after the fixing
date. This supposes a -1 BUSINESS DAY fixing shifter in the archiving group definition in order not to propose
to fix the index on the fixing date whereas it is published only the day after.
For clients already live on post-TPM versions (>=v3.1.39) and activating the fixing shifter in
production, note that the configuration of this fixing shifter requires the application of the
BE_REFRESH script to update effective fixing dates in FLOW_EXTENSION_DBF.
This script is normally part of the EOD sequence.
On the day T of the fixing shifter update in production, if there are compounded periods based on
an overnight index with 1 business day publication lag for which payment date = effective fixing
date = last underlying fixing + 1BD = T, the associated deals should be removed from inventory
and re-added just after the update (right click from Trade query, Events => Remove inventory
contribution, then Events => Contribute to inventory).
This case is normally very uncommon but has been already met on some SONIA deals.

For clients on pre-TPM version (<=v3.1.38) and activating the fixing shifter in production, note that the
configuration of this fixing shifter requires the application of a bulk refresh event on all related RFR deals.

DEF0400558: Compounded and average indices are not reading the archiving group shifter properly
- The fixing shifter was not taken into account in the fixing procedure screen: a compounded/average index
whose underlying fixing is known the day after (meaning a fixing shifter of -1 BUSINESS DAY in the underlying
index archiving group) was already proposed in the fixing procedure on the last underlying fixing date, whereas it
should be displayed on the day after.
Note that the fixing shifter needs to be added at the level of the main index archiving group with the fix.

DEF0404968: [ADHOC] Backport the fixing shifter correction related to DEF0380000

- With a fixing shifter of -1 BUSINESS DAY at underlying index archiving group level, the yesterday fixing was
estimated with a null value in case it was not known yet. After the fix, it is estimated with the last known fixing.
This defect is specifically required to set the fixing shifter in the overnight index archiving group,
which is mandatory to define ISDA LIBOR fallbacks. Please refer to the Official ISDA Fallback
configuration section.

DEF0375342: Manage the fixings with forward shifter in the archiving group
- This one is needed only for clients on versions >= v3.1.39 since it is related to TPM: the payoff alignment table
FLOW_EXTENSION_DBF was not considering the fixing shifter for the computation of the effective fixing date.
That could lead to some unexpected alignments on the publication date of the last underlying fixing before the
fixing value is known.

DEF0419007: Use the curve to estimate the missing fixing when horizon date = fixing date - fixing shifter
- This defect allows to estimate the yesterday fixing through the curve instead of using the last known fixing.
More precisely, before this defect:
o For underlying fixings of time series indices, the last known fixing was always used as a proxy.
o For published index fixings, the last known fixing is used as a proxy with DEF0380000, otherwise a null fixing is
used without.

This defect is no longer required since we now systematically consider the last known fixing to estimate
yesterday fixing with DEF0431852, even with -1 BUSINESS DAY fixing shifter configured at archiving group level.

Copyright © 2022 Murex S.A.S. All rights reserved 239

 DEF0441497: PL incorrect after running fixing procedure on some OIS trades
- This defect is correcting an issue related to fictitious capital flows being pushed for compounded indices where
the last underlying fixing date is yesterday and the fixing for that date is not known yet when fixing shifter is used
in the archiving group.

DEF0433244: -1 BD fixing shifter at the level of IR indices archiving group generates conso breaks for OIS when effective
fixing date = payment date = today
- This defect fixes a very specific issue in consolidated simulation when a floating flow has effective fixing date =
payment date = today: this flow is taken into account twice in consolidated simulation (once in the MV, once in
the past cash). It is only met for post-TPM versions (>=v3.1.39)

DEF0442458: BE_REFRESH and refresh event don't update M_EFF_FIXING_DATE in FLOW_EXTENSION_DBF based
on latest configuration
- This defect allows to refresh the effective fixing date for existing deals in table FLOW_EXTENSION_DBF
when fixing shifter is activated, so that there is no wrong alignment generated on payment date. It is only
required for post-TPM versions (>=v3.1.39)

DEF0399859: When fixing shifter is filled at archiving group level, observables are not identified by interest calculator and
interest accruals are not generated.
- This defect is required for clients using the collateral module. When fixing shifter is filled at archiving group
level, observables were not identified by interest calculator as M_EFFV_DATE date in FXNG_INT_DBF is
shifted hence no interest object was generated.
- Warning, for clients using adjusted FX implied indices, using the fixing shifter is mandatory. Hence the backport
of this defect become mandatory.

Please note that the fixing shifter is mandatory for a proper use of LIBOR fallbacks and FX-implied indices, since fixing
shifter is required to define the correct publication date of the rate.

Customization facilitation for time series indices

These defects are backportable until version v3.1.38. If a client on a lower version specifically raises the need to
customize compounded/average indices on-the-fly when booking, please check with PDD.

DEF0420941: Ability to customize cmp/avg index definition from etradepad directly

DEF0425483: Related to DEF0420941, access the new fields in simulation
DEF0416266 : Add cut-off fields for Average Rate index in reporting for IRS. Dynamic Table / Simulation
DEF0416259: Add cut-off fields for Average Rate index for trade booking (epad)
DEF0419240: Really fix DEF0416259 ( Add cut-off fields for Average Rate index for trade booking (epad))
DEF0416266: Add cut-off fields for Average Rate index in reporting for IRS. Dynamic Table / Simulation
DEF0496928: Enrich the e-Tradepad to include the time series "rounding rule" field
DEF0481323: Make index estimation mode and configuration type (when estimation mode = Current index) available &
customizable in e-tradepad at deal level for compounded indices
DEF0496928: Enrich the e-Tradepad to include the time series "rounding rule" field
DEF0505445: Enrich simulation dictionaries to include the time series "rounding rule" fields
- With these defects, it is possible to customize the average/compounded formula definition from the e-
Tradepad ticket. Previously it was only accessible from the generator details (or old ticket) with the “Details”
button next to the index.

Here is the overall list of e-Tradepad fields available:

Index definition field
Leg 1 Leg 2
name
Fixing schedule Und fixing schedule Und fixing schedule 2

Copyright © 2022 Murex S.A.S. All rights reserved 240

 Compounding schedule Und weighting schedule Und weighting schedule 2
First date shift + shifter First date shifter + Shift first date First date shifter 2 + Shift first date 2
Last date shift + shifter Last date shifter + Shift last date Last date shifter 2 + Shift last date 2
Rate cut-off (Yes/No) Rate Cut-off Rate Cut-off 2
Rate cut-off shifter Rate Cut-off shifter Rate Cut-off shifter 2
Index estimation mode Index estimation mode Index estimation mode 2
Rounding rule Rebasement rounding rule Rebasement rounding rule2
Rounding rule decimals Rebasement rounding decimals Rebasement rounding rule decimals2
Configuration type (Standard / Compounding index configuration Compounding index configuration type
OIS) type 2

DEF0417211: Create new column for last underlying fixing date in the global flow schedule for compounded IRS and add
a pre-trade formula to retrieve it.
DEF0460418: Extend the new column for first and last underlying fixing date in the global flow schedule (and associated
pre-trade formulas) for non-linear products
- These defects introduce two new columns in the flow schedule when time series indices are used, which
display first fixing date and last fixing date for each period.
The former fixing date column has been removed since it is not relevant.

Rate cut-off
DEF0400881: Rate cut-off cannot be customized for non-published indexes in the swap generator
- The customization of the rate cut-off (= lockout) was not working correctly at trade / swap generator level.

DEF0426972: Import Rate Cutoff shifter for Compounding Index using standard MxML format.
- The export/import of the rate cut-off was not working for compounded indices

DEF0471436: Rate cut-off leads to incorrect flow value when the crystallized fixing is estimated
DEF0408600: For fedfund O/N index with rate cut-off, when the crystallised rate is in the past and not known, it is
correctly taking the last known fixing but this last known fixing is not propagated within the lockout period.
DEF0487539: Wrong lockout rates for compounding index with lockout features when pricing is not enabled
- These defects are correcting various bug on the estimation of lockout compounded indices

DEF0433314: Rate cutoff showing different dates, rather than cutoff date.
DEF0436528: XML observation dates showing different values than the fixing dates in GUI if rate cutoff is present.
DEF0468582: Related to DEF0436528 - XML observation dates showing different values than the fixing dates in GUI if
rate cutoff is present along with shift first/last dates and weighting schedule
- In case of a rate cut-off, the crystallized date was not propagated for the sub-periods that are part of the
lockout (in both GUI and XML) even if the computation of the rate was correct.

These defects are backportable.

Capitalized indices (Express as rate = No)

This section is in work in progress, waiting for a clearer status on capitalized indices management in MX.3
No need to backport these defects except if your client expresses a strong interest related to the SOFR capitalized from
the FED (called SOFR INDEX).

The “Express as rate” =” No” option is available since v3.1.29 with DEF0231625.
The following issues have been reported since:

Copyright © 2022 Murex S.A.S. All rights reserved 241

 DEF0358460: The estimation of IDI rates depends on the start date of the deal whereas it shouldn't.
DEF0416462: Rates are wrong for start-end of compounded index with setting Express as rate = No
DEF0452795: SOFR INDEX (IDI style) : past flows have 0 rates even though a non-zero rate is calculated in Rate details
DEF0463738: DV01 is 100 times too large for start-end on capitalized indices
DEF0472924: Capitalized indices fixings with timestamped archiving group not picking up fixing value

This defect makes the capitalized index compatible with the “Current index” estimation mode to have better
performances:
DEF0464774: Start-End index on IDI-style evaluation is slow - impacts FED and BOE indices. Current index estimation
mode could be implemented for these indices

Automatic hedge curves

Automatic hedge curves feature is a key enhancement to create dedicated hedge curves simply for some pricing
curves, while the other pricing curves are automatically attached to a hedge curve that is a copy of the pricing
curve.
DEF0438473: [Automatic hedge curves] Enable the creation of memory hedge curves copied from the pricing curve
DEF0438476: [Automatic hedge curves] Create a builder to associate curve properties
DEF0440986: [Automatic hedge curves] Allow to save as a physical hedge curve

Automatic hedge curve development is not backportable beyond v3.1.42.

Curves import/export through CTT

These defects are required to avoid issues that were faced when importing or exporting curves.
DEF0447496: Roll dates are missing for the maturity set when they are imported using CTT
DEF0444160: Curve priorities are not taken into account for "Sf" type of instruments when market information is missing
DEF0447798: Empty priorities for Short Futures after importing a rate curve
DEF0402482: [Import/Export] Frontier Date Curve Settings are not exported/imported

The first one is only required for versions >=v3.1.41.

The last one is only required for versions >=v3.1.39.

Bond features related to compounded indices

For the backport of the discount margin and duration adapted to OIS in older versions (till 28):
DEF0416470: For yield convention "discount margin", the adjusted frequency should not be hardcoded to 360/365.25
DEF0416555: Add option "Time to next refix" in list "Duration" in bond yield conventions
DEF0417186: Implement Duration and Modified Duration for Time to next refix convention
DEF0417228: For discount margin yield convention, when doing compounding the current period rate, be able to
propagate the last known fixing to the dates greater than last known fixing date
DEF0456989: [IBOR] Add licence "Bond time to next refix duration" before v3.1.43
DEF0430732: [PriceYield] computeFloatingDurationFromPrice takes a PYProductStrategy as parameter
DEF0462249: For yield convention "discount margin", the adjusted frequency should not be hardcoded to 360/365.25 for
bonds on average or compounded index (adhoc backports)
DEF0447750: Bug in duration calculation in Time to next refix mode
DEF0431496: For yield convention "discount margin", In case floating index is average, the LFR (aka current period rate)
should be: average full period.

To handle ABS with discount margin (indexed) adapted to OIS in older versions (till 28):
DEF0450865: ABS/MBS based on Sonia: Discount margin (Index bond) method is using LFR for all future interest flows
instead of only the next coupon. It should be using teh Assumed Index for future flows (except next one).
DEF0471616: [cleaning] create a dedicated function pushCustomisation in bd_custom to prepare FIDEF-4736.

Copyright © 2022 Murex S.A.S. All rights reserved 242

 DEF0455584: For yield convention "discount margin Indexed bonds", the adjusted frequency should not be hardcoded to
360/365.25
DEF0476684: Activate duration time to next refix for DM (indexed)

To handle bonds with Thai FRN yield convention adapted to OIS in older version (till 28):
DEF0471902: Deactivate stick methods in PY booking context for thai FRN compounded
DEF0468465: develop a new manner to calculate ThaiFRN for bond with average or compounded index

Daily floored rate or compounded floored rate with intrinsic value

DEF0466199: Missing Basket Index "Constant" from the e-tradepad layout
- This defect is enabling the possibility of customizing the floor value at e-Tradepad level when we define a daily
floored rate or compounded floored rate.
Backportability might not be granted in all versions.

Consistent Fixing and Rates RBPL for indices having publication lag
DEF0431852: Switch back the yesterday fixing estimation to the last known fixing
DEF0459350: Yesterday fixing is estimated from the curve in RBPL context (Today fixing = Ignore in simulation settings)
even after DEF0431852
DEF0467117: Adapt the "Today CF/Other" DV01 breakdown and the fixing sensitivity to be compliant with fixing shifter
in archiving group
DEF0487859: Ref MD and Cur MD are null for Fixing RBPL when the today published fixing is the one with fixing date =
yesterday

Miscellaneous
DEF0352826: [CTT] Missing fields upon export of Archiving groups (CM.26) via CTT
- The settings of the archiving group are not exported without this defect.

DEF0400661: As an integrator, I want to export/import with CTT archiving groups with series without errors so that I
have a seamless configuration management
- This defect is required in releases >=3.1.38 so that the archiving group are correctly imported (without empty
cut-off).

DEF0451034: [Maintenance] ESTR curve constructed as a basis curve with one single pillar
- The xVA pricing is not correct with the ESTR/EONIA configuration. It is therefore only required if the
client is using the xVA module.

DEF0404964: CTT issue importing formula based indices : rate convention dependency is missing
- When exporting a start-end formula based index, the rate convention is missing from the zip of the CTT.

DEF0226036: compounded index: option fixing up front / in arrears in the formula definition does not affect calculation
DEF0439324: First fixing date / Last fixing date is not showing the correct dates in case the compounded fixing is "in
arrears"
- Without this defect, the “in arrears” option in the formula definition of compounded indices is not working.

DEF0472064: Non-null NPV for RFR MTM Currency Swaps in FX curves with Flow Calibration
- Flow Calibration model was ignoring the payment shifter of the marked-to-market leg in currency swaps.

Copyright © 2022 Murex S.A.S. All rights reserved 243

 DEF0365283: PFE engines are crashing when loading a trade with compounding indices in current index estimation mode
- This defect will be required to run PFE engines when “Current index” estimation mode is used for
compounded deals.

DEF0425367: Indifferent convention for start date is ignored in the compound index definition if there is another holiday
in the same estimation period
DEF0453837: Indifferent convention for end date is ignored in the compound index definition if there is another holiday in
the same estimation period and the schedule generator is using OLD_BROKEN_PERIOD algorithm
- These defects allow to properly read the specific Start date and End date schedule generator settings for
compounding and fixing schedule.

DEF0366706: streamSetPeriodRemainingCapital doesn't apply anymore

DEF0374033: streamSetPeriodRemainingCapital wrongly applying flows customizations
- These defects fix issues related to the application of pretrade functions to customize the flow schedule during a
restructure or index transition event.

DEF0438205: Observation weight in mxml tag is 0 for future periods for time series indices
DEF0465010: XML observation weights are wrong for weekly average Libor index

DEF0491924: Use 2 fixing schedules to calculate time series fixings

- This defect enables the possibility to customize independently a fixing start schedule and a fixing end schedule
when a compounded index is used a leg along with Calculations follow fixings set to Yes (time series), which can be
customized to adjust the compounding start dates and compounding end dates.

DEF0433902: Ignore fixing date with null weight for average Indices when "Last date" setting is set to "Included"
- This defect removes dummy periods at the end of averaging schedules when the mean type is “Automatically
weighted”. This last sub-period having a null weight could prevent payments from being generated because an
additional fixing is required whereas it is not used to compute the final average rate.

Copyright © 2022 Murex S.A.S. All rights reserved 244