MM/CD RFR Plain - LIQD Happening On BOD Instead Of EOD (Doc ID 2876283.1)

Last updated on JUNE 15, 2022

Applies to:

Symptoms

Actual and Expected Behavior

MM/CD RFR Plain LIQD happening on BOD instead of EOD

User is trying the Plain RFR method cases with MM and CD contracts, opened on 21-May-2020 and maturing on 11-Jun-2020. For the MM contracts, they are bullet contracts which has a single schedule and for CD it is having 3 weekly contracts.
The expectation for Plain RFR contract is that in order to consider the interest adjustment of the last day of the schedule, the Liquidation of the contract happens on the BOD of the maturity and not on EOD as normally. However, in the below contracts, the liquidation has happened on the BOD of the maturity day itself.


Expected Behavior

For plain RFR, LIQD should happen on EOD


Steps

1. Book a plain RFR MM / CD contract
2. Run EOD until the maturity date
3. Check the LIQD when it happens

Changes

Cause

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