Interest Rate Adjustment for Exposures

Use

This function fixes the interest rates for variable rate interest exposures. At a specific, predefined date, the variable interest rate of the exposure is set to the actual rate for that date. This information is needed in the exposure in order to calculate the value of the hedged item accurately.

Do not use this function with exposures that are tied to a money market instrument. The Financial Transaction field in the hedge plan indicates if the exposures were created from a money market instrument. These should always be updated with the Exposure Upload from Money Market or Loansfunction. In this case, first fix the interest flows as usual for a money market instrument, then run the exposure upload report in update mode. This fixes the exposure interest flows within Hedge Management.

Prerequisites

Before this report can be run, a valid reference interest rate value must exist for the requested date.These values can be uploaded on a regular basis using a standard datafeed.

Activities

After uploading the market data for the required reference interest rates, you can run the Interest Rate Adjustment for Exposures .

Entry fields:

  • Adjustment per (date): Mandatory field. Exposures that have a fixing date up to and including this date are adjusted.

  • Company code : Optional selection field We recommend filling this field to optimize performance.

  • Hedge Plan ID : Optional selection field that can be used if you want to adjust the exposures for a single hedge plan.

  • Test Run (checkbox): Leave the box checked to run in test mode to see the actual rates and any errors that may occur. Remove the check in order to perform the update.

Any processing errors (for example, no rate found on the fixing date) are displayed in the resulting tree structure. The highest error level is displayed at the root level, so that you can see at a glance if all records have been successfully updated.

When the Test Run checkbox is deactivated, the program updates all selected exposures and their underlying transactions with the applicable fixed value for the reference interest rate.