How Holiday Updates Disrupt Findur Operations

by Lucido Group

CME Observes Juneteenth

Just before the year-end holidays, CME Group matched SIFMA guidance and announced exchanges will observe the Juneteenth holiday. Openlink (now ION Group) Findur does not support out of the box holiday updates in a low-risk, ‘fire-and-forget’ manner. In this update we describe some of the factors to consider to support this change.

**Users should plan now to implement this change to avoid being caught out around contract expiration starting in June 2022.**

Holiday Updates in Findur

All users will recognize that when a calendar is updated, it is important for the event settlement dates of all affected transactions to be updated. A more complicated requirement is that the calculation period for accrual of fixed income and derivatives products must also observe the holiday. Reset dates may also be affected.

Some instruments’ calculation period for interest should be altered to match the new settlement date, while other instruments should maintain the same calculation period and simply change the settlement date. Which approach should be used depends on the roll convention agreed with the counterparty. While Findur has solid support for both adjusted and unadjusted conventions, it is critical the trader booked the deal in Findur using the correct roll convention. Even this is not straightforward, since there are up to four fields that must be set correctly.

Exchange traded products, affected by December’s CME announcement, require security master updates and should require no additional changes. However, during system audits, one regularly encounters customizations that increase the risk of any changes of this nature. In general, do not assume this change will be simple.

Addition but no Subtraction

A good example of the complexity is with an unexpected holiday. This is common in Islamic regions where the holiday schedules are based upon the lunar cycle; however, it is also an issue this year in the UK. The Queen’s platinum jubilee means that the Spring Bank Holiday has shifted from Monday, 30 May to Thursday, 2 June. There is also an additional holiday on the Friday. If one uses the system standard import process for holiday schedules, perhaps from a file provided by Copp Clark, the system will recognize the two new dates but not the removal of the original Monday. The end result is three holidays instead of two, and the user is forced to manually remove the date that moved.

Non-Major Currencies

The periodic announcement of changes to holiday calendars occur infrequently in major currencies. Users with instruments that settle in minor currencies will be surprised how frequently there are changes to holidays. Do not get caught out by this change coming. This announcement affects products cleared on CME exchanges, but the change implements a SIFMA recommendation and will be coming soon to a market near you.

If you would like to discuss how holiday updates affect your portfolio operations, reach out!