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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.

Symptoms

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.

STEPS
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

Changes

 

Cause

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In this Document
Symptoms
Changes
Cause
Solution
References


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