Current system rates are the market rates that Treasury uses to validate each deal. Every time you enter a deal, Treasury compares the deal rates against the current system rates to check whether or not the deal falls within your company's deal rate, interest rate, and foreign exchange rate policies. Treasury also uses current system rates as the default rates when you perform revaluations, and to calculate your total limit utilization.
Current system rates can be updated as frequently as you require and can be entered manually or using an electronic rate feed. The archive schedule for each rate determines how frequently the rate is updated. You can archive rates every time they are updated or at less frequent intervals.
Use the Current System Rates window to enter or modify current system rates in Treasury. Treasury uses current system rates to determine if your deals comply with your company's deal rate tolerances and rate policies, and to calculate revaluations.
Current system rates can be any of the following: forward rates, interest rates, spot rates, or volatilities. Current system rates can also be bond prices or stock prices. For more information on rates, volatilities, bond prices, and stock prices see: Current System Rates.
You can enter current system rates manually using the Current System Rates window, or you can import rates into Treasury using an electronic data feed. For more information on importing rates into Treasury, see: XTR_MARKET_DATA_INTERFACE.
Note: To use an electronic data feed to import rates, you can either use the data exchange programs provided or create a script to import the rates from the feed source into the appropriate Treasury tables.
For each authorized currency, you must define a spot rate against the USD and at least one interest rate. Any other rates are optional.
Set up reference codes for each rate. See: Setting Up Current System Rate Data Feed Codes.
In Ref Code field of the Current Rates tabbed region of the Current System Rates window, choose the reference code for the rate, volatility, or price. The description of the rate automatically appears in the Ref Description field.
Define a period and term type for the rate. For example, "1 Month" for a 1-month interest rate or "2 FX Spot" for a 2 day spot rate.
In the Period field, enter a period for the rate. If you are defining a bond price, leave the period field blank. If you are defining a spot rate, the default period is 2 because spot rates are generally quoted on a 2-day basis; however, you can change the value if you want.
In the Term Type field, select a term type for the rate. The term type you select determines the type of rate you are defining.
The following table lists the rate types you can define and the terms for each rate type.
| Rate Type | Terms |
|---|---|
| Interest rate | Day, Month, or Year |
| Volatility | Opt Vol(Days) or Opt Vol(Mths) Note: If you are defining an exchange rate volatility, you must define both the base and the contra currencies in the exchange. If you are defining an interest rate volatility, you only need to define the base currency. |
| Spot Rate | FX Spot Note: The term for a spot rate is calculated in days. Therefore, a period of 2 FX Spot is equivalent to 2 days. |
| Forward Rate | FX Fwd(Days) or FX Fwd(Mths) |
| Stock Price | Stock Price |
| Bond Price | Bond Price |
In the Base Currency field, select a currency for which you want to define the rate. If you are entering a spot or forward rate or an exchange rate volatility, this is the base currency for the rate.
Note: You must record at least one spot rate for each currency against the USD.
If you are entering a spot or forward rate or an exchange rate volatility, in the Contra Currency field, select a contra currency. If you are entering an interest rate, interest rate volatility rate, stock price, or a bond price, leave this field blank.
In the Bid Price field, enter the bid price for the rate. The bid price holds the bid interest rate, currency rate, stock price, bond price, or volatility.
In the Ask Price field, enter the ask price for the rate. The ask price holds the ask interest rate, currency rate, stock price, bond price, or volatility.
Additional Information: The difference between the bid price and the ask price for a currency combination is the price spread. The spread between a currency combination depends on two things: the risk associated with each currency, and the liquidity of the currencies in the combination. If you want to change the price spread between two currencies, you can edit the ask price at any time.
In the Day Count Basis field, select the day count basis that you want to use. For more information on how each day count basis is calculated, see: Treasury Terms.
Save your work.
Use the Current System Rates window to view your current system rates.
In the Current Rate region of the Current System Rates window, select a rate that you want to view and scroll to the Bid Price and Ask Price fields.
Use the Review Historic Rates window to view your current and archived cross rates.
In the Current Rate region of the Current System Rates window, choose the Cross Rates button. The Review Historic Rates window appears, listing all of the current and archived cross rates.
Query the cross rate you want to view.
Use the Review Historic Rates window to view your current and archived spot rates.
In the Current Rate region of the Current System Rates window, select the spot rate for which you want to view the current and archived rates. Choose the Spot Rates button. The Review Historic Rates window appears listing all of the current and archived spot rates.
Use the Review Historic Rates window to view your current and archived interest rates and volatility rates.
In the Current Rate region of the Current System Rates window, select the interest rate for which you want to view the current and archived rates. Choose the Spot Rates button. The Review Historic Rates window appears listing all of the current and archived interest rates and volatility rates.