EDM: Swap Deal - Reset Index tied to Holiday Calendar ignores Holidays on Reset Date
(Doc ID 2514642.1)
Last updated on JANUARY 06, 2020
Applies to:PeopleSoft Enterprise FIN Deal Management - Version 9.2 to 9.2 [Release 9]
Information in this document applies to any platform.
Swap Deal is created using a Reset Rate Index that is tied to a Holiday Calendar where 12/25/2013 is a holiday. Cashflows are generated. When checking the Interest and Payment Dates page, for the Receive Leg, see a Reset Date of 12/25/2013 and 12/25/2014. Don't expect the Reset Date to be 12/25 since this is a holiday. However, if a Physical Deal is created with the same information and Reset Rate Index as the Swap Deal, the Reset Dates are created correctly. Do not see the Reset Date of 12/25.
1. Business Calendar for a Holiday List where 12/25 is defined as Christmas Day
2. Above Holiday List is linked to Reset Rate Index = LIBOR
3. Deal created as follows:
a. Instrument Base Type = Interest Rate Swap
b. Rate Type = Floating
c. Reset Index = LIBOR
d. Interest Frequency = Quarterly
e. Reset Frequency = Quarterly
f. Reset Rate Index Tenor = 3 Month
g. Payment Date = Business Days-Paid in Arrears
h. Reset Date = Set in Advance
i. +/- Reset Days = -2
4. Click Cashflows
5. Click Interest Dates hyperlink
6. On the Interest and Payment Dates page, for the Receive Leg, see a Reset Date of 12/25/2013 and 12/25/2014
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