When looking up Tomnext in the time series published on certain Information Vendor pages, there is no Tomnext rate published with the Date 31.03.2022. Has Tomnext not been published on that day?
Some Information Vendors are publishing Tomnext in time series available to the end users. Generally, the time series includes a ‘Date’ and a calculated Tomnext Rate. Since the Tomnext reform came to effect, there has been a change of the values published in the ‘Date’ field:
For Tomnext published prior to April 2022, the ‘Date’ field shows values of the former ‘Trade Date’. In the rates published after 1st April 2022, the ‘Date’ field contains the newly introduced ‘Reference Date’. In both time periods, the values displayed in the ‘Date’ field are one business day previous to Tomnext publication, however their definitions are different and can be found in the respective methodologies.
While Tomnext was not published on 1st April 2022, as illustrated on the excerpt from the Tomnext historical data series, an uninterrupted series of 1 day interest rates has been preserved during the transition. Please observe the various pre-/post-reform dates and their relevance to the calculation date in the chart below, with the emphasis on the critical dates around the reform date 1st April 2022 in red.
Calculation/Fixing DateValue DateTrade DateReference DateTomnext Rate 28/03/202228/03/202225/03/2022N/A-0.4427 29/03/202229/03/202228/03/2022N/A-0.3957 30/03/202230/03/202229/03/2022N/A-0.3589 31/03/202231/03/202230/03/2022N/A1.0058 04/04/202201/04/2022N/A01/04/2022-0.25 05/04/202204/04/2022N/A04/04/2022-0.456 06/04/202205/04/2022N/A05/04/2022-0.459 07/04/202206/04/2022N/A06/04/2022-0.471 08/04/202207/04/2022N/A07/04/2022-0.456