FRAs T2Ts RCV and PAY Sides Should Have Different Fields Mapped for Correct Cash Flow (Doc ID 2183875.1)

Last updated on JANUARY 20, 2023

Applies to:

Goal

Currently modeling forward rate agreements (FRAs) and when reviewing the Table to Table Data Mapping Extract (T2T) for the receive and pay legs (RCV and PAY), it seems that the T2Ts are using the same fields for both legs RCV and PAY. FRAs might have different adjustable type code and interest rate curves among other cash flow fields.  However, if both sides of the FRA, RCV and PAY are using the same fields (with the exception of the interest rate which seems correct), then the cash flow results will not be correct.

For example:

Cashflow fields Leg 1: PAY Leg 2: RCV
Last Repricing Date d_settlement_date d_settlement_date
Next Repricing Date d_settlement_date d_settlement_date
Origination Date d_settlement_date d_settlement_date
Current Net rate CASE WHEN ( STG_FUTURES.F_BUYER_SELLER_IND = 'B' ) THEN STG_FUTURES.n_fra_irf_rate ELSE STG_FUTURES.n_interest_rate END CASE WHEN ( STG_FUTURES.F_BUYER_SELLER_IND = 'S') THEN STG_FUTURES.n_fra_irf_rate ELSE STG_FUTURES.n_interest_rate END
Margin n_margin n_margin
Adjustable type code v_interest_type v_interest_type
Interest Rate Code n_hm_effective_interest_rate v_interest_rate_cd
Maturity Date Not Mapped Not Mapped

Solution

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