Risk-Free Rates Functionality

Installation Guide for Arrangement

Architecture (AA) Module
 RFRInstallation guide for AA

Table of Contents
Table of Contents .................................................................................................................................................... 2
Document History .................................................................................................................................................... 3

1 Introduction...................................................................................................................................................... 4
2 Update Details .................................................................................................................................................. 4
3 Installation Process ........................................................................................................................................... 8
3.1 Updates ......................................................................................................................................................... 8
3.2 Module installation........................................................................................................................................ 8
3.2.1 SPF ................................................................................................................................................... 10
3.2.2 COMPANY ...................................................................................................................................... 11
3.3 Exception records ........................................................................................................................................ 11
3.4 Local Reference Configuration .................................................................................................................... 12
3.4.1 AA.PRD.DES.INTEREST.................................................................................................................... 12
3.5 Model Configuration .................................................................................................................................. 13
3.5.1 AA Product Designer......................................................................................................................... 13
3.5.2 Product Version’s- AA.ARR.INTEREST ........................................................................................... 13
4 New Functionality .......................................................................................................................................... 15
4.1 Overview of Risk-Free Rate changes ........................................................................................................... 15
4.2 Creating a new Initial RFR Arrangement end toend ...................................................................................... 19
4.2.1 RFR Calc Method - Compound .......................................................................................................... 19
4.2.2 RFR Calc Method - Simple ................................................................................................................ 23
4.2.3 RFR Calc Method - Amount ............................................................................................................... 29
4.2.4 RFR Flooring .................................................................................................................................... 30
4.2.5 RFR Calc Method – NCCR ................................................................................................................ 31
4.3 How to manuallyconvert a Libor / RFRcontract – Same Day ....................................................................... 32
4.4 How to manuallyconvert a Libor / RFR contract –Forward Dated ................................................................ 37
4.5 Automatic Migration from LIBOR to RFR .................................................................................................. 43
4.5.1 Current dated Migration .................................................................................................................... 50
• Lending .................................................................................................................................................... 50
• Deposit ..................................................................................................................................................... 60
4.5.2 Future dated Migration ...................................................................................................................... 68
• Lending .................................................................................................................................................... 68
• Deposit ..................................................................................................................................................... 76
4.6 Daily Compound RFR rate storage details .................................................................................................... 82
4.6.1 Overview of ST.RFR.CONTRACT.DETAILS .................................................................................. 82

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4.6.2 Overview of ST.RFR.DETAILS ....................................................................................................... 82
4.7 Examples .................................................................................................................................................... 82
5 Further Information ........................................................................................................................................ 85
5.1 Contact Details ............................................................................................................................................ 85

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RFRInstallation guide for AA

Document History

Author Version Date

Temenos 0.1 11 Jan 2021

Temenos 0.2 15 Jan 2021

Temenos 0.3 26 Jan 2021

Temenos 0.4 20 Feb 2021

Temenos 0.5 02 Mar 2021

Temenos 0.6 10 Mar 2021

Temenos 0.7 15 Apr 2021

Temenos 0.8 01 May 2021

Temenos 0.9 08 Jun. 2021

Temenos 0.10 14 July 2021

Temenos 0.11 21 Sept 2021

Temenos 0.12 03 Nov 2021

Temenos 0.13 08 Nov 2021

Temenos 0.14 29 Nov 2021

Temenos 0.15 19 Jan 2022

Temenos 0.16 02 Feb 2022

Temenos 0.17 04 Mar 2022

Temenos 0.18 15 Mar 2022

Temenos 0.19 07 Apr 2022

Temenos 0.20 26 Apr 2022

Temenos 0.21 20 May 2022

Temenos 0.22 24 June 2022

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Temenos 0.23 12 July 2022

Temenos 0.24 14 July 2022

Temenos 0.25 29 July 2022

Temenos 0.26 27 Oct 2022

Temenos 0.27 30 Nov 2022

Temenos 0.28 12 Jan 2023

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 RFRInstallation guide for AA

Comments:
Functionalityand Update details included
V 0.1 Initial Version

V 0.2 R18 Release Update details included

V 0.3 New sections added for Model Configuration and New functionality Added

V 0.4 New sections added for Simple Calc Method New functionality Added

V 0.5 New Section added to explain the How Functionality Added

to perform the manual RFR migration
V 0.6 The Local Reference field LRF.EB.ROUNDING.RULE got removed from the document

V 0.7 - R17,201809, R19, R20 Update details included

V 0.8 – Amount Compounding Updates included in R18

V 0.9 – Automatic Migration Process included

V 0.10 – Amount Compounding Configuration details

V 0.11 – R13, R15,R17,201809, R19, Update details included

R20
V 0.12 – R13 Amount Compounding Configuration details

V 0.13 – R13, R15,R17,201809, R19, Update details included

R20
V 0.14 – R15 Automatic Migration Configuration details

V 0.15 – R16 and 201910 Rate Configuration details

Compounding
V 0.16 –201910, R16 New Table Configuration details

V 0.17 –R18 NCCR Functionality Updates included in R18

V 0.18 –R16 Amount Compounding Updates included in R16

V 0.19 –R16 Automatic Migration Updates included in R16

V 0.20 –R202112 NCCR Functionality Updates included in 202112

V 0.21 –Cross Month Backdated Functionality Updates included in R18

V 0.22 –201910 Amount Compounding and Updates included in 201910

Automatic Migration
V 0.23 –201910 IFRS Cash Flow Updates included in 201910

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V 0.24 –202202 and R19 NCCR Functionality Updates included in R19, 202202

V 0.25 –R20 IFRS Functionality Updates included in R20

V 0.26 – R13, R17, 201809, 201910 and R20

NCCR Functionality Updates included in R13, R17, 201809, 201910 and R20 for NCCR
R18, 201910, R20, R21 and 202202 IBOR Activity
+ Raising override for IFRS substantial Updates included in R18, 1910, R20, R21 and 202202 for IBOR
modification
Updates included in R18, R21 and 202202 for IFRS
R18, R21 and 202202 IFRS Functionality
Updates included in 202108 for Amount Compounding
202108 Amount Compounding
R21 New Table + Migration Updates included in R21 for New table

V 0.27 – R21 Amount Compounding Updates included in R21

V 0.28 – R21 NCCR Functionality Updates included in R21

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1 Introduction

LIBOR, the London Interbank Offered Rate, will be retired at the end of 2021. It will be substituted by Risk-
Free Rates (RFRs). RFRs are overnight rates based on actual market data and published each business day with
a delay.

The Arrangement Architecture Module is enhanced to support processing of transactions using Risk- Free Rates.
This document contains the installation process for the Risk-Free Rate functionality for the Arrangement
Architecture (AA) module in Temenos Transact.

2 Update Details

The following table contains details of the updates that are required to be installed for the Risk-Free
Ratefunctionality for the Arrangement Architecture (AA) module inTemenos Transact.

Note - Please note the functionality detailed inthis documentis being phased delivered across the various releases,
and will be subsequently only available with in different timescales.
Please see the highlights under each section detailing the current functionality per Release -

Release Module Updates

R13 ST R13_FIN_ExchangeRate_7
R13_ST_RateParameters_13

R13 AC
R13_AC_Fees_17
R13 EB R13_ EB_Foundation_15
R13_EB_ModelBank_18
R13 AA
R13_AD_Framework_36
R13_AL_Framework_50
R13_AA_Framework_225
R13_AA_Interest_121
R13_AA_Closure_22
R13_AA_Payoff_7
R13_AA_ProductFramework_7
R13_AA_ProductManagement_22
R13_AA_PaymentSchedule_132
R13_AA_ModelBank_117

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R13 release the following enhancements are delivered with the above updates Only
Rate Compounding, New Table Changes, Zero Floor, and Amount Compounding, Bulk Migration Tools, NCCR.

R15 AC R15_AC_Fees_13
R15 ST R15_ST_RateParameters_5
R15_ST_ModelBank_13
R15_ST_ExchangeRate_4
R15 EB R15_EB_Foundation_10
R15_EB_SystemTables_21
R15 AA R15_AA_ProductManagement_7
R15_AA_Framework_152
R15_AA_ProductFramework_5
R15_AA_PaymentSchedule_101
R15_AA_Interest_74
R15_AA_Closure_23
R15_AD_Framework_12
R15_AL_Framework_20

R15 release the following enhancements are delivered with the above updates Only
Rate Compounding, Zero Floor, Amount Compounding, New Table Changes, Bulk Migration Tools..

R16 AC
R16_AC_Fees_16
R16 ST R16_ST_ExchangeRate_10
R16_ST_RateParameters_15
R16 EB
R16_EB_Foundation_26
R16 AA R16_AA_ProductManagement_18
R16_AA_Framework_157
R16_AA_ProductFramework_9
R16_AA_PaymentSchedule_124
R16_AA_Interest_85
R16_AA_Payoff_10
R16_AD_Framework_16
R16_AL_Framework_23
R16_AA_ModelBank_65
R16_AA_Closure_23

R16 release the following enhancements are delivered with the above updates Only
Rate Compounding, Amount Compounding, New Table Changes, Bulk Migration Tools.

R17 AC R17_AC_Fees_16
R17 ST R17_ST_ExchangeRate_9
R17_ST_RateParameters_15

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R17 EB R17_EB_Foundation_24
R17 AA
R17_AA_ProductFramework_11
R17_AA_ProductManagement_24
R17_AA_Settlement_63
R17_AA_Framework_189
R17_AA_Interest_108
R17_AA_Closure_17
R17_AD_Framework_23
R17_AL_Framework_36
R17_AA_PaymentSchedule_131
R17_AA_ModelBank_110
R17_AA_ActivityMessaging_12
R17 release the following enhancements are delivered with the above updates Only
Rate Compounding, New Table Changes, Zero Floor, and Amount Compounding, Bulk Migration Tools, NCCR.

R18 AC R18_AC_Fees_43
R18 ST R18_ST_ExchangeRate_21
R18_ST_RateParameters_34
R18_ST_ModelBank_11
R18 EB R18_EB_Foundation_18

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R18 AA R18_AA_ProductFramework_12
R18_AA_ProductManagement_21
R18_AA_Settlement_45
R18_AA_Reporting_15
R18_AA_Framework_162
R18_AA_PaymentSchedule_133
R18_AA_Interest_129
R18_AD_Framework_16
R18_AL_Framework_28
R18_AA_Closure_21
R18_AA_ModelBank_76
R18_AA_ActivityMessaging_6
R18_AA_Util_31
R18 release the following enhancements are delivered with the above updates Only
Rate Compounding, Bulk Migration Tools, New Table Changes, Zero Floor, Amount Compounding, Cross Month
Dated Principle Increase, IBOR Activity + Raising override for IFRS substantial modification and IFRS Cashflow.

201809 AC 201809_AC_Fees_8
201809 ST 201809_ST_ExchangeRate_5
201809_ST_RateParameters_6
201809 EB 201809_EB_Foundation_9
201809_EB_Template_4
201809 AA 201809_AA_PaymentSchedule_35
201809_AA_ProductFramework_9
201809_AD_Framework_5
201809_AA_Framework_49
201809_AL_Framework_7
201809_AA_Interest_37
201809_AA_Closure_7
201809_AA_ProductManagement_6
201809_AA_Reporting_3
201809_AA_Settlement_13
201809_AA_ModelBank_20
201809_AA_ActivityMessaging_2
201809 release thefollowing enhancements aredelivered with the above updates Only
Rate Compounding, New Table Changes, Zero Floor, and Amount Compounding, Bulk Migration Tools, NCCR.

R19 AC R19_AC_Fees_17
R19 ST R19_ST_ExchangeRate_1
R19_ST_RateParameters_13
R19 EB R19_EB_Foundation_8
R19_EB_Template_29

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R19 AA R19_AA_Interest_61
R19_AA_Framework_75
R19_AA_PaymentSchedule_53
R19_AA_Reporting_16
R19_AA_Settlement_25
R19_AA_DepositData_13
R19_AA_LendingData_16
R19_AA_Closure_15
R19_AA_Util_14
R19_AA_ProductFramework_9
R19_AA_ActivityMessaging_7
R19_AA_ModelBank_46

R19 release the following enhancements are delivered with the above updates Only

Rate Compounding, Bulk Migration Tools, New Table Changes, Zero Floor, Amount Compounding.

201910 AC 201910_AC_Fees_13
201910 ST 201910_ST_ExchangeRate_10
201910_ST_RateParameters_7
201910 EB 201910_EB_Foundation_10
201910_EB_Template_13
201910 AA 201910_AA_Util_8
201910_AA_Reporting_7
201910_AA_Settlement_21
201910_AA_Framework_86
201910_AA_LendingData_4
201910_AA_DepositData_2
201910_AA_ModelBank_44
201910_AA_Interest_39
201910_AA_Closure_11
201910_AA_Payoff_5
201910_AA_PaymentSchedule
_41
201910_AA_ProductFramework_7
201910_AA_ActivityMessaging_9

201910 release the following enhancements are delivered with the aboveupdates Only
Rate Compounding, New Table Changes, Zero Floor, Amount Compounding, Bulk Migration Tools, NCCR, IBOR Activity
+ Raising override for IFRS substantial modification.

R20 AC R20_AC_Fees_15
R20 ST R20_ST_ExchangeRate_2
R20_ST_RateParameters_5
R20 EB R20_EB_Foundation_20
R20_EB_Template_10

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R20 AA R20_AA_Util_13
R20_AA_Reporting_18
R20_AA_Settlement_10
R20_AA_Framework_63
R20_AA_LendingData_19
R20_AA_DepositData_14
R20_AA_Interest_64
R20_AA_Closure_12
R20_AA_Payoff_6
R20_AA_PaymentSchedule_49
R20_AA_ProductFramework_4
R20_AA_ActivityMessaging_1
0
R20_AA_ModelBank_50

R20 release the following enhancements are delivered with the above updates Only

Rate Compounding, Bulk Migration Tools, New Table Changes, Zero Floor, Amount Compounding, IFRS Cashflow,
IBOR Activity + Raising override for IFRS substantial modification, NCCR.

R21 AC R21_AC_Fees_13

R21 ST R21_ST_ExchangeRate_8
R21_ST_RateParameters_7
R21 EB R21_EB_Template_11
R21_EB_Foundation_17

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R21 AA R21_AA_Interest_41
R21_AA_Reporting_17
R21_AA_DepositData_9
R21_AA_LendingData_19
R21_AA_Util_11
R21_AA_Closure_13
R21_AA_Framework_58
R21_AA_PaymentSchedule_48
R21_AA_ActivityMessaging_11
R21_AA_ModelBank_52

R21 release the following enhancements are delivered with the above updates Only
IFRS Cashflow, New Table + Migration, IBOR Activity + Raising override for IFRS substantial modification
and Zero Floor, Amount Compounding and NCCR.

R202108 AA 202108_AA_PaymentSchedule
_28
202108_AA_Interest_21
202108_AA_ModelBank_14
202108_AA_Framework_72

R202108 release the following enhancements are delivered with the above updates Only
Amount Compounding + Floor
R202112 AA 202112_AA_ErrorCodes_3
202112_AA_Interest_6
202112_AA_ModelBank_8
202112_AA_ActivityMessaging_4

R202112 release the following enhancements are delivered with the above updates Only

NCCR Functionality
(Rate Compounding, Amount Compounding, Zero Floor, New Tables and Bulk Migration Tools were already
available in the base)

R202202 AA 202202_AA_ActivityMessaging_1
202202_AA_ErrorCodes_1
202202_AA_Interest_3
202202_AA_ModelBank_3
202202_AA_DepositData_1
202202_AA_LendingData_1
202202_AA_Reporting_2
202202_AA_Util_1

R202202 AC 202202_AC_Fees_2

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R202202 EB 202202_EB_Template_1

R202202 release the following enhancements are delivered with the above updates only

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NCCR Functionality
(Rate Compounding, Amount Compounding, Zero Floor, New Tables, Bulk Migration Tools, IFRS Cashflow and
IBOR Activity + Raising override for IFRS substantial modification were already available in the base)

Note: AC, ST, EB changes are pre-requisite to AA changes, so the functionality is enabled only
When the updates are available.
Note: In addition to the above updates, the activation of the changes will also be dependent on the
installation of the AA Module; please contact your account manager.
Releases prior to R21 are subject to a price charge; please contact your account manager for further details

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RFRInstallation guide for AA
3 Installation Process
The following process should befollowed to install the Risk-Free Rate Functionality.

3.1 Updates
Please refer to the above table for details of the updates to be installed for each release. Follow the
standard installation process to install the updates.

3.2 Module installation

Once the updates are installed, the below EB.PRODUCT record will be available in the system.

Figure 1 –EB.PRODUCT RFR0AD screenshot

Figure 2 – EB.PRODUCT RFR0AL screenshot

Follow the standard instructions for installing a new module to install RFR0AD AND RFR0AL.

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3.2.1 SPF
Add the new product to the PRODUCTS field on the SPF (System Parameter File). In the following field,
PRODUCT.CODES, enter the product code you have been given. Authorize the record.

Figure 3 - SPF screenshot for RFR0AD

Figure 4 – SPF screenshot for RFR0AL

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3.2.2 COMPANY
Add the new product to the APPLICATION field on the respective COMPANY record.

Figure 5 - COMPANY screenshot

3.3 Exception records

The exception records released inthe below applications need to be authorized.
 EB.ERROR
 LOCAL.TABLE
 STANDARD.SELECTION
 AA.ACTIVITY.CLASS

3.4 Local Reference Configuration

3.4.1 AA.PRD.DES.INTEREST
The below LRF fields are released as part of updates and availablein LOCAL.TABLE

Field Names
LRF.RFR.CONVENTION

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LRF.NO.OF.DECIMALS
LRF.RFR.LOOKBACK.DAYS
LRF.RFR.SPREAD.TREATMENT
LRF.RFR.LOOKBACK.TYPE
LRF.RFR.CALC.METHOD
LRF.RFR.PERIOD.DAY.COUNT
LRF.RFR.FLOORING
LRF.RFR.BASE.MIN.RATE

Configure the LRF fields in the LOCAL.REF.TABLE of AA.PRD.DES.INTEREST. The order of LRF fields
should be added as in the below screenshot.

Figure 6 – LOCAL.REF.TABLE for AA.PRD.DES.INTEREST screenshot

3.5 Model Configuration

3.5.1 AA Product Designer

For this solution as LRF have been released then the Product Designer needs to be updated manually in
the Product Designer. The LRF mentioned above needs to be added to the Interest Condition VERSION-
AA.PRD.DES.INTEREST,AA.

Therecommendation is to create a new VERSION namedAA.PRD.DES.INTEREST,AA.RATE.RFR.LRF (or

whatever the naming convention you choose) and add it as an “Assoc Version”.

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The output would then show like the below –

3.5.2 Product Version’s - AA.ARR.INTEREST

Forthis solution as LRF have been released similar to the process described in section 3.5.1the Product’s
Versions that have been created for INTEREST in ACTIVITY.PRESENTATION will need to be updated
manually.

The LRF mentioned above needs to be added to the products that will become RFR contracts so the
Interest Condition VERSION-AA.ARR.INTEREST,XXXX need tobe updated.

The recommendation is to create a new VERSION named AA.ARR.INTEREST,AA.RFR.LRF (or whatever the
naming convention you choose) and add it as an “Assoc Version” to any existing VERSION that is used in
your existing Product Configuration.

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The output would then show like the below at the arrangement level –

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4 New Functionality
4.1 Overview of Risk-Free Rate changes

LIBOR, the London Interbank Offered Rate, is the primary interest rate benchmark used in the financial sector. It
represents the willingness of major banks to lend to each other in the interbank wholesale market.
In July 2017, it was announced that LIBOR would be retired at the end of 2021. Each Central Bank has identified its
own replacement rates. While LIBOR is a forward-looking benchmark allowing banks to fix rates at the beginning of
an interest period, Risk-Free Rates have to be compounded daily until a final rate is calculated at the end of the
period. There are several market conventions defining the methods for daily rate compounding, namely plain Arrears,
Lookback, Lockout, Reset Cut Off and Lookback with Lockout.
In the cash market (loans and bonds), the pre-dominant market conventionfor using RFRs is Lookback.
In a lookback convention, historical RFRs are used for compounding. A five-day lookback results in a final
compounded RFR calculated five business days prior to maturity since each business day the RFR published five
working days before is used.
The Arrangement Architecture module is enhanced to link Risk-Free Rates from the Periodic Interest table for
thefloating type Money market Placements or Takings. These transactions require daily compounding of the
RFRs using the Lookback market convention.

Lookback can be of two types - Narrow Definition or Observation Shift. In the case of Narrow Definition, the day
count of the original interest period is considered while the rates used are historical rates from N working days
prior to the current business day. In the Observation Shift scenario, the day count of the ‘looked-back’ rate (the
historical RFR)is used instead of keeping the original interest period day count.
To input Risk-Free Rate Money Market contracts, a user shall select a Floating Interest Key holding Risk-Free
Rates and fill all the required fields for the correct calculation of RFRs such as market convention, spread-treatment
and rate flooring among others:

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Field Description
Identifies the market convention which is to be used for rate
RFR Convention compounding or averaging; MM application follows Lookback
methodology.
Identifies the type of Lookback method to be applied for rate
compounding or averaging. There are two types of Lookback
method
 Narrow Definition - Original interest period daycount is
used with lookback rate for rate calculations.
Example: If Wednesday rate is used for Friday, apply the
RFR Lookback Type Friday’sweight – three days to the Wednesday’s rate.

 Observation Shift – Original day count of the lookback

rateis used for rate calculations.

Example: If Wednesday rate is used for Friday, apply

theWednesday’s weight – one day to the Wednesday’s
rate.
Identifies the calculation method for RFR averaging:
 Compound
 Simple
RFR Calc Method
 Amount - amount calculation method triggers Amount
Compounding while the other two options (Compound and
Simple) relate to Rate averaging
 NCCR - The Non-Cumulative Compounded Rate
(NCCR) method is a variation of the Cumulative method,
in which daily compounded rates (instead of cumulative
rates) are calculated
Identifies the spread treatment method during the RFR averaging:
 Inclusive - spread is taken within the averaging
RFR Spread Treatment calculation along with the daily rates
 Exclusive - spread is added separately after RFR
averaging is done
Identifies the treatment of the last available Risk-Free Rate in the
rateaveragingprocess. Allowed values are:

RFR Period Day Count  Full - last RFR is considered with day weightage
asapplicable for the full interest period
 Today - last RFR is considered with its original day
weightage as applicable up to the current business
day
RFR Decimals Determines the rounding to be applied for Risk-Free Rates

Input mandatory in NO.OF.DECIMALS field of Rounding rule

definition.
RFR Rounding Rule  RFR supports only Natural Rounding

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RFR Lookback Days Identifies the number of Lookback days to be considered for RFR
calculations.

Attribute introduced to cater Zero, Negative and Positive flooring.

Based on options, floor either individual daily rates that goes negative
or the average rate if that comes out negative.
Allowed values are:
• DAILY - The floor is place on the underlying daily rate. i.e. if
RFR Flooring the singular day rate is negative, then the day rate taken into
account for the average rate calculation is the floored rate. last
RFR is considered with day weightage as applicable for the
fullinterest period
 AVERAGE – The floor is place on the overall average rate
and the negative daily rates are taken into account when
calculating the daily rate.
Identifies the specific rate that needs to be floored on the daily RFR
or the compounded RFR rate.
RFR Base Min Rate If the rate to be floored is All in Rate (margin included in the rate),then
the flooring value will be defined in the existing attribute called
TIER.MIN.RATE.

New set of RFR of fields are introduced in interest template and will be available in 5levels of Interest propertyclass
applications.

Rate compoundingdesignlevel definition

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Amount Compoundingdesign level definition

NCCR design level definition

Given that the AA application follows Lookback methodology to arrive at the Risk-Free Rate applicable for
theinterest period, each business day the contract would receive a new rate applicable for the interest period.
The accrual amounts for each working day are calculated based on the new rate.
The AA.INTEREST.ACCRUALS table stores the accrual ladder for the current interest period with the amount
accrued and rate applied for each accrual cycle. Average RFRs change every business day once a new rate is
available.

From a back office function a l perspective, interest accruals are based on the last available daily

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Compounded or average RFRas taken from the Banking Framework rate API and the new rates are applicable for
eachday’s accrual accounting.
On the delivery part, the timing of SWIFT message generation and mapping for individual tags is modified to fit
theRFR requirements. SWIFT messages relating to deal confirmation (MT320 and MT330) for RFR contracts will
not have the actual interest rate as the final rate applicable for the interest period is not available at contract
initiation.
During contract maturity, the final rate applicable will be available and the maturityconfirmation (MT320and
MT330) for RFR contracts will have the actual interest rate.

4.2 Creating a new Initial RFR Arrangement end to end

4.2.1 RFR Calc Method - Compound
This worked example is for illustration purposeonly and shows the end-to-end creationand Interest
accruals processed for an Interest period by defining RFR Interest conditions in transact.

The following Small Business Loan for an individual “Harry Crisp “is for $10,000 that has a term of 1
month with its interest scheduled / paid on every 4days.
Basedonthe following example calculation shown below the same illustration can be seen end to end in
transact.

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The AA.ARR.INTEREST conditionrecords the Interest conditions for the new arrangement and does not change
thereafter.

Its next “Next Payment”date is set for 21Apr 2020, the current system date is 17Apr 2020.

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Arrangement Overview

Note – This illustration is done on a Dev release that has a core attribute called RFR Rounding Rule. This
fieldhas value id to a core table EB.ROUNDING.RULE where the rounding definition can be specified.
In the EB.ROUNDING.RULE,the No. of Decimals defined is the value to which the compounded rate will
be rounded to.

In the Back patch solution, this field in the EB.ROUNDING.RULE is not available so in order to capture
thenumber of decimals that you required to round too the same value must be captured in the LRF
field called “No of Decimals” as shown previously.
The daily accruals will be updated in the AA.INTEREST.ACCRUALS record every dayduring the COB.

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The following screen shows the Interest calculated as of Interest period end date April 20, 2020

This process as shown the first interestperiod being completed.

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4. 2 . 2 R F R C a l c M ethod - Simple
This worked example is for illustration purpose only and shows the end-to-end creationand Interest
accruals processed for an Interest period by defining RFR Interest conditions in transact.

The following Small Business Loanfor an individual “Harry Crisp” is for$10,000 thathas a term of 1
month with its interest scheduled / paid on every 5days.
Basedon the following example calculation shown below the same illustration can be seen end to end in
in transact.
Loan Amount 100,000
Spread None
Int Basis 365
Lookback Days 2
Simple Calculation Method
Sys Date Sonia Date Principal Daily RFR Day Count Daily Accruals
17-Apr-20 15-Apr-20 100,000.00 0.81% 3 $ 6.66
18-Apr-20 Weekend Weekend Weekend Weekend Weekend
19-Apr-20 Weekend Weekend Weekend Weekend Weekend
20-Apr-20 16-Apr-20 100,000.00 0.82% 1 $ 2.25
21-Apr-20 17-Apr-20 100,000.00 0.83% 1 $ 2.27
Total $ 11.18

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The AA.ARR.INTEREST condition records the Interest conditions for the new arrangement and does not change
there after.

Its next “Next Payment” date is set for 22Apr 2020, the current system date is 17Apr 2020.

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Arrangement Overview

Note – This illustration is done on a Dev release that has a core attribute called RFR Rounding Rule. This
fieldhas value id to a core table EB.ROUNDING.RULE where the rounding definition can be specified.
In the EB.ROUNDING.RULE,the No. of Decimals defined is the value to which the compounded rate
willbe rounded to.

In the Back patch solution, this field in the EB.ROUNDING.RULE is not available so in order to capture
the number of decimals that you required to round too the same value must be captured in the LRF
field called “No of Decimals” as shown previously.
The dailyaccruals will be updated in the AA.INTEREST.ACCRUALS record everyday during the COB.

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The following screen shows the Interest calculated as of Interest period end date April 21, 2020

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The Rate updatedfor the Interest period is the final average for the Period.
System Rate
Date Used
17-Apr 0.8100 The rate usedfor Friday will be used for the Weekend
18-Apr 0.8100 Weekend
19-Apr 0.8100 Weekend
20-Apr 0.8200
21-Apr 0.8300
Average 0.8160

This process as shown the first interest period being completed.

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4.2.3 RFR Calc Method - Amount

The following Small Business Loanfor an individual “Harry Crisp” is for$100,000 that has a term of 1
month with its interest scheduled / paid on every 4days.
Basedon the following example calculation shown below the same illustration can be seenend to end in
intransact.
Loan Amount 100,000
Spread None
LookBack Days 5
Int Basis 365
Amount Compounding
Daily
Daily RFR Day Cnt Cumulative Interest
Sys Date SOFR Accruals
3-May 27-Apr 2.4200% 1 6.63 6.63
4-May 28-Apr 2.5100% 1 6.88 13.51
5-May 29-Apr 2.5600% 1 7.01 20.52
6-May 30-Apr 2.5900% 1 7.10 27.62

The New Arrangement is input with following conditions

The AA.ARR.INTEREST condition records the Interest conditions for the new arrangement and does not change
thereafter.

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The dailyaccruals will be updated inthe AA.INTEREST.ACCRUALS record everydayduring the COB and the
Interest would be calculated asof Interest period end date.

4.2.4 RFR Flooring

The following Small Business Loanfor an individual “Harry Crisp” is for$100,000 that has a term of 1
month with its interest scheduled / paid 4days.

Basedon the following example calculation shownbelow the same illustration can be seen end toend in
transact.
Loan Amount 100,000
Spread None
Int Basis 365
Lookback Days 5
RFRFlooring Daily

Amount Calculation Method

Base Min Rate Daily Cumulative

Sys Date Sonia Date Principal Daily RFR Day Cnt
Rate Used Accruals Interest

5-Apr-21 25-Mar-21 100,000.00 0.7118% 0.70 1 0.7118% 1.95 $ 1.95

6-Apr-21 26-Mar-21 100,000.00 0.6906% 0.70 1 0.7000% 1.92 $ 3.87
7-Apr-21 29-Mar-21 100,000.00 0.6918% 0.70 1 0.7000% 1.92 $ 5.79
8-Apr-21 30-Mar-21 100,000.00 0.7221% 0.70 1 0.7221% 1.98 $ 7.76

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The AA.ARR.INTEREST conditionrecords the Interest conditions for the new arrangement and does not
change thereafter.

The dailyaccruals will be updated inthe AA.INTEREST.ACCRUALS record everydayduringthe COB and the
Interest would be calculated asof Interest period end date.

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4 . 2 . 5 - RFR Calc Method – NCCR

The NCCR method is more accurate when there are principal changes within a given interest period. Below is an
example of a Backdated contract created on 18th Dec with the following setup with current
System date as23rd Dec 2009

Contract Details
Principal 1000000000
Calc Type Lookback - Narrow
Spread 0.50%
Spread Method Inclusive
Interest Basis 360
LookBack Days 3

Effective Margin Margin

Contract Id Date Calc Type Lookback Schedule Added/No inclusive/Exclusive
AA093570QH8T 20091218 Narrow 3 Every 4days Yes – 0.5% Inclusive

Calculation of NCCRand UCRrates

UCR for 18th Dec = ACR for 18th Dec * sum of Actual count in schedule / Interest Basis
NCCRfor 18th Dec = (UCR of 18th Dec – 0) * Interest Basis / Actual count of that day UCR
for 18th Dec = 0.0416666666666667%
NCCRfor 18th Dec = 0.0416666666666667*360/3 = 5.000000000000004%

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AA.ARR.INTEREST

Calculationof NCCR for 21st Dec

UCR for 21st Dec = 0.0570000000000000%
NCCR for 21st Dec = (UCRfor 21st Dec – UCR of 18th Dec)*360/1 = 5.519999999999988%

AA.INTEREST.ACCRUALS

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ST.RFR.DETAILS

Cos OverviewScreen

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Note: Flooring will be applied to the received daily OVERNIGHT Rate used in the ACR calculation in Step 1 and not the NCCR rate
for each day.
Inthecase of Spread-Inclusive margin treatment, the spread shall beincluded as part of the cumulative Compounded
rate calculationsin Step 1.
In the case of Spread-Exclusive, the spread shall be included at the end of the
NCCR calculations(after Step 3). The spread shall not have any impact onthe UCR or NCCRcalculations.

4.3 How to manually convert a Libor / RFR contract - Same Day

The conversion from a LIBOR contract to an RFR contract cannot happen mid interest periodand the
recommendation is to complete the task on the current interest capitalization (IC) point.

This worked example is for illustration purposeonly and shows the flow of how to manually complete this
process in transact.
The following Small Business Loanfor “Harry Crisp” is for $500,000which has a term of 6 Months,are,
interest is scheduled / paid on Monthly basis.
Its next “Next Payment” interest capitalization date is set for 4 June 2020, the current system date is
4May 2020sothe conversion can be entered today with today’s “Effective Date” of 4 May 2020.

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Currently this contract follows the “LIBOR” PERIOD.INTEREST table “90” which was set at the initial
Contract capture with rate of 2.106% - (this rate doesn’t resetbutis set for the term of the contract)
these details can be seen in the below AA.ARR.INTEREST record.

Asa user the process to update and convert this LIBOR contract to an RFR contract can now be done as of
today 4 May 2020.
If this window of opportunity has elapsed then the next IC point will need to be considered as a
conversion mid period is not possible. (AA does allow backdated conversion but optimally this should be
done on the actual day of conversion)

 Update Activity and convert from Libor to RFR

From the “New Activity”hyperlink from the Overview screen the appropriate activity canbe selected.

In this illustration LENDING-CHANGE-PRINCIPALINT is selected this defaults the “Effective Date”as today.
The new PERIODIC.INDEX “65” (RFR recordpreviously configured) is usedfor the conversion. At this point
all the fields related to LIBOR must be cleared otherwise the system will show validation errors.

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As seen below the desired RFR values added.

Note – This illustration is done on a Development release which has a core field called “RFR Rounding
Rule” where an EB.ROUNDING.RULE can be specified. In the EB.ROUNDING.RULE a field defines the
NO.OF.DECIMALS to which the compounded rate is rounded too.

In the BP solution this field in the EB.ROUNDING.RULE is not available so in order to capture the
number of decimals that you required to round too the same value must be captured in the LRF field
called “No of Decimals” as shown previously – section 3.4.1

Validation error

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The above is the validation error shown when date specified is a mid-period date andother than 4 May
2020.
Afterauthorization of the activity the AA.ARR.INTEREST record is updated witha date of 4 May 2020 and
the values are mapped.

Up to the point of 4 May 2020 the contract was considered as a LIBOR deal and the following bill was
produced for $83,910.32 (Principal portion 83,333.33 with Interest amount 576.99 ) “Harry Crisp” will
need to settle due bill.

As the activity was processed for today 4 May 2020 the contract is now considered converted and will
follow RFR processing.
As seenbelow the interest rate has been updated with the new revised RFR rate of 0.7155%.

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The following PERIODIC.INTEREST records where available in the system.

As the contract has a defined look back of 4days and the system date is now the 4May 2020 the rate of
0.7155was used.

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4. 4 H o w t o m a n u a lly convert a Libor / RFR contract – Forward Dated
The conversion from a LIBOR contractto an RFR contractcannot happen mid interest period and the
recommendation is to complete the task on the current interest capitalization (IC) point.

However, in circumstances when same day conversion is not possible the system can be configured
toprocess the conversion forward dated.
Note – This worked example is for illustration purpose only and shows the recommended approach for
a forward dated LIBOR conversion. Please be advised the process is different to a same day
conversion seen in section 4.3

The following Small Business Loan for “Universal Studios” is for $250,000which has aterm of 1year,
interest is scheduled / paid on Monthly basis.
Its next “Next Payment” interest capitalization date is set for 29 Apr 2020, the current system date is
27Apr 2020. The process canbe entered today to take effect on the 29Apr 2020.

Currently this contract follows the “LIBOR” PERIOD.INTEREST table “90” which was set at the initial
contract capture with arate of 2.2835% - (this rate doesn’t resetbutis set for the term of the contract)
these details can be seen in the below AA.ARR.INTEREST record.

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If this window of opportunity has elapsed then the next IC point will need to be considered as a
conversion mid period is not possible. (AA does allow backdated conversionbut optimally this shouldbe
done on the actual day of conversion)

 Update Activity and convert from Libor to RFR

From the “New Activity”hyperlinkfrom the Overview screenthe appropriate activity can be selected.

In this illustration LENDING-CHANGE-PRINCIPALINT is selected this defaults the “Effective Date” as today.

The “Double Blue ++ Button” seen below can be selected.

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This thenallows you to create a forwarddated interest condition with date picker.

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The new PERIODIC.INDEX “65” (RFR record previously configured) is used for the conversion. Atthis point
all the fields related to LIBOR must be cleared otherwise the system will show validation errors.
As seen below the desired RFR values can be added.

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Note – This illustration is done on a Dev release which has a core field called “RFR Rounding Rule” where
an EB.ROUNDING.RULE can be specified. In the EB.ROUNDING.RULE a field defines the NO.OF.DECIMALS
to which the compounded rate is rounded too.

In the BP solution this field in the EB.ROUNDING.RULE is not available so in order to capture the
number of decimals that you required to round too the same value must be captured in the LRF field
called “No of Decimals” as shown previously.
After authorizationof the activity the AA.ARR.INTERESTrecord is updated with a date of 24 Apr 2020 and
the values are mapped.

At this point until the 29 April 2020 the contract is still a LIBOR deal and the expectation is at the Interest
Capitalization point, a bill for $21,197.74 (Principal 20,833.33 and Interest 364.41) will be produced that
“Universal Studios” will need to settle.

The system hasscheduled theactivity in AA.SCHEDULED.ACTIVITY and atthis point, the contract will
convert to an RFR contract and then follow RFR processing.

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The manual conversion isnow complete from a “user’s” pointof view but the actual conversion will
happen on the 29 Apr 2020 as indicated by the scheduled activity above.
Having now moved the system date to the 29Apr 2020 the contract has now produced a bill of
$21,197.74for the period 08Apr 2020– 29 Apr 2020 which has followedthe LIBOR processing.

Forthe period29Apr 2020– 28May 2020the contract will now follow the RFR processing.

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4.5 Automatic Migration from LIBOR to RFR

The automated migration tool assists thebanks to havecapabilities to validate multiple contracts in
oneselectionandconvertfrom LIBOR to RFRs in one go. This tool helps in identifying the live contracts
that are linked to IBOR rates based on the user selection criteria that will be eligible for conversion
and convert them successfully.
The migration conversion process is handled by the following applications and service.

 RFR.MIGRATION
 RFR.CONDITION
 RFR.MIGRATION.DETAILS
 Service – RFR.MIGRATION. SERVICE
The migration process itself is performed as two-step processing.

 Preview Mode – To update the migration related tables with the expected changes for
eligible contracts.
 Execute Mode – To carry out the actual migration to update the LIVE contacts with new
RFR fields and details.
RFR.MIGRATION
 The basicselection criteria formigration withrespect to application and the logistics (like
version for conversion) is defined to select the list of contracts that require conversion
from LIBOR to RFR.
 The RFR.MIGRATION table accepts the appropriate values to it. The records are
selected for conversion based on the configuration given in this table. The record ID
forthis table is a free text field and the user can create one with any alphanumerical
value.

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This record can be viewed and amended in Enquiry RFR.MIGRATION.LIST

Sample version that can be attached to RFR.MIGRATION

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RFR.CONDITION

The RFR.CONDITION table is used to define the exclude contract conditions and include the new
Periodic Interest key and the adjustment spread information with respect to RFR. The record of this table
must be a valid AA product.

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This record can be viewed and amended in Enquiry RFR.CONDITION.LIST

RFR.MIGRATION.DETAILS
Migration contract information is recorded in this table while processing data, based on the selection
criteria of include andexclude conditions defined in RFR.MIGRATION and RFR.CONDITION.
The applicable ID to this table updated by the system are

 @ID:RFR.MIGRATION table ID– Preview

 @ID:RFR.MIGRATION table ID– Execute
Preview Mode Processing

Launch the RFR.MIGRATION table in preview mode to initiate migration and this updates the
RFR.MIGRATION.DETAILS table withselected data and ID as Rfr Migration Id-Preview.
The migration check canbe run multiple times in preview-mode forverification without impacting the
underlying contracts.
The selection validates the following conditions.

 Contracts linked to Periodic Interest Key

 Contract Maturity Date is greater than the IBOR Cut-off Date and the current Int Period End Date
 Contracts that satisfied the Exclude conditions has Exclusion Flag set as ‘Yes’ in
RFR.MIGRATION.DETAILS table
 Contracts that satisfy conditions other thanthe exclude conditions are assigned with values from
RFRPI Key and RFR Delta Spread
 Contracts with none of the conditions satisfied are assigned with Dflt RFRPI Key and
DfltDelta Spread.

RFR.MIGRATION.SERVICE should be started from TSA.SERVICE after defining the selection criteria.

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Theselection can be viewed via Enquiry MIGRATION.DETAILS for PREVIEW mode.

Execute Mode Processing

Execute mode should be triggered only after the verification of the results from the preview mode. This
mode is applicable only for the Interest period end date and the inbuilt intelligence ensures that the mode
is triggered only once.

Launch RFR.MIGRATION again in Execute mode, after thorough verification of results from preview
mode. Upon authorization, the data with ID as ‘-Preview’ is selected from
RFR.MIGRATION.DETAILS.
The execute mode runs the following eligibility check again to ensure integrity of data:

o contract is linked to PeriodicInterest Key

o Contract Maturity Date is greater than the IBOR Cut-off Date and the current Int Period End Date.
o Contracts that satisfied the Exclude conditions has Exclusion Flag set as ‘Yes’ in
RFR.MIGRATION.DETAILS table
o Contracts that satisfy conditions other than the Exclude conditions are assigned with values from RFR
PI Key and RFR Spread

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o Contractswith none of the conditions satisfied are assigned with Dflt RFRPI Key and
DfltDelta Spread.

The Migration a PI updates the RFR.MIGRATION.DETAILS with id as ‘Rfr Migration id-Execute’. The
OFS responses for each migrated contract are recorded in the details table for verification and
reconciliation purpose.

RFR.MIGRATION.SERVICE should be started from TSA.SERVICE after defining the selection criteria.
The API updates the eligible contract by triggering Change-Interest Activity and alsothe execution results
to the migration details table along with migration status.

Note: - For contracts having multiple Interest properties, will have multiple respective change Interest
activity triggered for the properties.
OFS Error messages ifany at the time of posting the records will be captured in the attribute Migration
Status and otherwise Success.
The Contract list canbe viewed via Enquiry MIGRATION.DETAILS and MIGRATION.OFS.STATUS for
EXECUTE mode

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Migration of Contracts from LIBOR to RFR

There are two types of migrations possible by using the migration tool.

 Current dated migration– The migration happens on the capitalization date set as TODAY
 Futuredated migration– The migration happens on capitalization date set asa Future date

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4.5.1 Current dated Migration

The current dated migration is when Int Period End Date or the capitalization date for the given interest
period is set as TODAY.
This worked example is forillustration purposeonly and shows the flow of how to bulk auto convert
contracts in transact.
4.5.1.1 Lending

Consider a current datedmigration ofthe SMALL.BUSINESS.LOAN productfrom LIBOR Periodic indexto

RFR Periodic Index.
In this example, the Interest Conditions for the SMALL.BUSINESS.LOAN product is PRINCIPALINTandthe
Int Period End Date is same as the system date April 15,2021.

The RFR.MIGRATION is set to select the data with Int Period End Date as April 15,2020 and for records

With currency as USD.

IBOR Cut-off date is same as system date April 15,2021 as well.

Use the Enquiry RFR.MIGRATION.LIST to view and amend RFR.MIGRATION record.

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RFR.CONDITION is configured to exclude records that have Periodic Index as 01for the Interest
Conditions and the records with Customer as 190235.
The ‘include’ condition is set to selectall records with Periodic Index as ‘90’. The records thatsatisfy
include conditions migrate to RFRPI key 96and the RFR Delta Spread as 1.50

Use the ENQUIRYRFR.CONDITION.LIST to view and amend RFR.CONDIITON record.

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Launching RFR.MIGRATION and defining conditions in preview mode updates

RFR.MIGRATION.DETAILS as below before running the TSA.SERVICE.

Run TSA.SERVICE for RFR.MIGRATION.SERVICEfor the respective company. Say

BNK/RFR.MIGRATION.SERVICE.

The RFR.MIGRATION.DETAILS updated in preview mode with the selected contracts based on
include and exclude conditions is shown below.

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Verify the recordsby running the Enquiry MIGRATIONS.DETAILS in Preview mode.

Executing RFR.MIGRATION in EXECUTE mode updates RFR.MIGRATION.DETAILS as follows.

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Verify again by running the RFR.MIGRATION.LIST ENQ in EXECUTE mode.

After the successful completion of the service run, RFR.MIGRATION.DETAILS gets updated with the
status of the conversion in the Migration Status attribute. Any error during conversion is updated in the
same field with exact message returned by OFSAPI and otherwise ‘Success’

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View the MIGRATION.DETAILS ENQand MIGRATION.OFS.STATUS in Execute mode for verification.

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The AA.ARR.INTEREST conditions before conversionis shown below.

The AA.ARR.INTERESTconditions afterconversion is shown below.

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The AA.ACTIVITY.HISTORY is updatedwith the latest activity ‘LENDING-CHANGE-PRINCIPALINT’

executed for the contract.

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See the RFR MIGRATION DATE and the RFR ADJ SPREAD updated as Context Name Value pair in the
Arrangement Activity. It can be drilled down from the Activity log. RFR ADJ SPREAD will be added or
subtracted respectively to the Margin rate when prefix with an operand.

This concludes the successful current dated migration of lending contract from LIBOR to RFR Periodic
Interest key using the RFR Migration tool.

4.5.1.2 Deposit

Consider a Current dated migration of the product 6Months Term Deposit from LIBOR Periodic indexto
RFR Periodic Index.

In this example, the Interest Conditions for the 6months Term Deposit product is DEPOSITINT and the Int
Period End Date April 15,2021.

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The RFR.MIGRATION is set to select the data with Int Period End Date as April 15,2021 and only for
records with currency as USD.

IBOR Cut-off date is same assystem date April 15,2020.

Using the Enquiry RFR.MIGRATION.LIST, the user can view and amend the RFR.MIGRATION record.

RFR.CONDITION is configured to exclude records that have Periodic. Index as 11for the Interest
Conditions.

The ‘include’ condition is set toselect all records with Periodic.Index as ‘05’. The records thatsatisfy
include conditions migrate to RFR PI key 96

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Using the Enquiry RFR.CONDITION.LIST, the user can view and amend RFR.CONDIITON record.

Launching RFR.MIGRATION and defining conditions inpreview mode updates the

RFR.MIGRATION.DETAILS as below before running the TSA.SERVICE.

Run TSA.SERVICE for RFR.MIGRATION.SERVICEfor the respective company. Say

BNK/RFR.MIGRATION.SERVICE.

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See the RFR.MIGRATION.DETAILS updated in preview mode with the selected contracts based on
include and exclude conditions.

The user can preview the Migration Details in preview mode for verification by running the Enquiry
MIGRATION.DETAILS for PREVIEW mode.

Launching RFR.MIGRATION in EXECUTE mode updates RFR.MIGRATION.DETAILS as follows.

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Execute TSA.SERVICEBNK/RFR.MIGRATION.SERVICE againfor RFR.MIGRATION Execute mode.

The user can view the migration recordsby running the Enquiry MIGRATION.DETAILS and
MIGRATION.OFS.STATUS respectively in EXECUTE mode.

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The AA.ARR.INTEREST conditions before conversionis shown below.

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The AA.ARR.INTERESTconditions afterconversion is shown below.

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The AA.ACTIVITY.HISTORY is updatedwith the latest activity ‘LENDING-CHANGE-DEPOSITINT’

executed for the contract.

See the RFR MIGRATION DATE updated as Context Name Value pair in the Arrangement Activity. It
canbe drilled down from the Activity log.

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This concludes the successful current datedmigration ofthe 6M Depositcontract DEPOSITINT from
LIBOR to RFR Periodic Interest key using the RFR Migration tool.

4.5.2 Future dated Migration

The Future dated migration is when the Int Period End Date or the capitalization date is a future date and
nota business date.
This worked example is forillustration purpose only and shows the flow of how to bulk auto convert
contracts in transact.
4.5.2.1 Lending

Consider a future datedmigration of the product small business loan from LIBOR Periodic index to RFR
Periodic Index with Int Period End Date as April 19,2021.

RFR.MIGRATION is set-to select SMALL.BUSINESS.LOAN product witharrangement currency USD.

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Conditions are setin RFR.CONDITION to include contracts that Periodic Index set as 90 for the Interest
conditions. The migration should be excluded for the contracts that have Periodic Index key 01 and the
Contract Customer 100389.

RFR.MIGRATION.DETAILS set for PREVIEW run.

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After the execution of the TSA.SERVICE with RFR.MIGRATION in PREVIEW mode, the selected
contracts are updated in RFR.MIGRATION.DETAILS for verification. The user can identify that the
contract with Customer 100317has been setto exclude from conversion by setting Exclusion Flag to Yes.

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The records selected canbe viewed using the Enquiry MIGRATION.DETAILS in preview mode.

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Afterverification, the migration service can be run in execute mode by setting the mode to ‘Execute’ in
RFR.MIGRATION.

Executing RFR.MIGRATION in EXECUTE mode updates RFR.MIGRATION.DETAILS as follows.

Run TSA.SERVICEBNK/RFR.MIGRATION.SERVICE again.

The conversion status is updated into Migration Status attribute in RFR.MIGRATION.DETAILS. It the
migration was not successful, then the error information along with OFS Return message gets updated
into this field otherwise ‘SUCCESS’.

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The migrated records andthe status can be viewed using the Enquiry MIGRATION.DETAILS and
MIGRATION.OFS.STATUS respectively.

The future dated conversion has LENDING-RFR.MIGRATION-INTEREST activity scheduled in the

AA.SCHEDULED.ACTIVITY for the Interest end date.

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Once RFR.MIGRATION has run in EXECUTE mode, migration related details will be updated to the table
called AA.INTEREST.DETAILS for the arrangement.

When system reaches thefuture scheduled date then the RFR.MIGRATION activity will be executedin
COBand convert the LIBOR contract to RFR.

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This concludes the successful future dated migrationof the Lending contract from LIBOR to RFR Periodic
Interest key using the RFR Migration tool.

4.5.2.2 Deposit

Consider a future dated migration of the product6Months Term Deposit from LIBOR Periodic index to
RFR Periodic Index.
In this example, the Interest Conditions for the 6month Term Deposit product is DEPOSITINT and the Int
Period End Date April 19,2021.

The RFR.MIGRATION is set to select the data with Int Period End Date as April 19,2021 and only for
records with currency as USD.
IBOR Cut-off date is same as system date April 15,2021.

Using the Enquiry RFR.MIGRATION.LIST, the user can view and amend the RFR.MIGRATION record.

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RFR.CONDITION is configured to exclude records that have Periodic.Index as 11for the Interest
Conditions.

The ‘include’ condition is set toselect all records with Periodic.Index as ‘05’. The records thatsatisfy
include conditions migrate to RFR PI key 96

Using the Enquiry RFR.CONDITION.LIST, the user can view andamend RFR.CONDIITON record.

Launching RFR.MIGRATION and defining conditions inpreview mode updates the

RFR.MIGRATION.DETAILS as below before running the TSA.SERVICE.

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Run TSA.SERVICE for RFR.MIGRATION.SERVICEfor the respective company. Say

BNK/RFR.MIGRATION.SERVICE.

See the RFR.MIGRATION.DETAILS updated inpreview mode with the selected contracts based on
include and exclude conditions.

The user can preview the Migration Details in preview mode for verification by running the Enquiry
MIGREATION.DETAILS in PREVIEW mode.

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Launching RFR.MIGRATION in EXECUTE mode updates RFR.MIGRATION.DETAILS as follows.

Execute TSA.SERVICEBNK/RFR.MIGRATION.SERVICE againfor RFR.MIGRATION Execute mode.

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The user can view the migration records and status by running the Enquiry MIGRATION.DETAILS and
MIGRATION.OFS.STATUS respectively in EXECUTE mode.

For the records with Migration Status as Success, the contracts has the activity ‘DEPOSIT-
RFR.MIGRATION-DEPOSITINT’ scheduled in AA.SCHEDULED.ACTIVITY for the Int period
enddate.

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Once RFR.MIGRATION has run in EXECUTE mode ,migration related details will be updated to the table
called AA.INTEREST.DETAILS for the arrangement.

When system reaches the future scheduled date then the RFR.MIGRATION activity will be executed in
COBand convert the LIBOR contract to RFR.
This concludes the successful future dated migration of Deposit contract from LIBOR to RFR Periodic
Interest key using the RFR Migration tool.

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4.6 Daily Compound RFR rate storage details

The daily RFR compound rateswill be storing in the below core tables

1. ST.RFR.CONTRACT.DETAILS.
2. ST.RFR.DETAILS.

4.6.1 Overview of ST.RFR.CONTRACT.DETAILS

This is alive table which holds the static information for each contract opted for RFR. This will
holds the Rate information of the contract.

The record id of the table ST.RFR.CONTRACT.DETAILS is in the format of

CONTRACT.ID<1>*INTEREST.TYPE*PERIOD.DATE<START.DATE>*PERIOD.DATE<END.DATE>.

The Tables ST.RFR.DETAILS and ST.RFR.CONTRACT.DETAILS will be updated when the system is
calculating the interest accruals

4.6.2 Overview of ST.RFR.DETAILS

This tablewill holdthe Rate information of the RFR contract per period , the ID for
ST.RFR.DETAILS is < ST.RFR.CONTRACT.DETAILSID>-<YYYYMMof INTEREST.DATE>.

4.7 Examples

Create a new loan arrangement effective on23rd December 2009with RFR interestdefinition and
disburse the same with every 3days payment frequency.
An example Interest condition can be seem below

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Run two COBs. So, the system will be calculating the interest accruals and both ST tables would be
updated with the RFR rate details.

The System would be creating the one record for each interest period under the below table
ST.RFR.CONTRACT.DETAILS. It would be having the Period Start, end dates and other RFR related
details.

1st Interest Period contract details:

2ndInterest period contract details:

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The System would create a new record under below table ST.RFR.DETAILS for each interest
period. The actual Compound Interest rate details update in this table when every system
calculates the interest accruals by using the accrue activity.
The below screen shot explaining that system would have calculates the accruals for 2 days 23rd
December 2009 and 24th December 2009 and from which look back date RFR rate is considered,
and the actual RFR rate and compounded rate.

1st Interest Period Rate details:

2ndInterestPeriod Rate details:

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5 Further Information
5.1 Contact Details

Area Product Manager Contact Address

AA Module Andy Hall [email protected]

LIBOR Transition to Risk-Free
Alex Mathew [email protected]
Rates

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