20.2 Data Requirement for Inflation-Indexed Instruments

FSI_D_BORROWINGS, FSI_D_LOAN_CONTRACTS, FSI_D_INVESTMENT, FSI_D_TERM_DEPOSITS, and FSI_D_MORTGAGES are the instrument tables which support the Inflation Indexing functionality. Below columns are essential for Modeling Instrument as Inflation indexed:

Table 20-1 List of Instrument tables that supported the Inflation Indexing Functionality

Column Name	Display Name	Description
BASE_INDEX_VALUE	Base Value of Index	This is the value of the index at the time of the origination of the contract. This is expected to be a number. Example: If the index used is the Consumer Price Index (CPI) then the value will be 101, 110, etc. This must not be represented as a rate i.e. inflation rate such as 7%. This is applicable in case of the index (like inflation) linked instruments.
INDEX_ID	Index Identifier	System Identifier of the index which will be used to determine cash flows for index-linked instruments. Example: System ID of Consumer Price Index (CPI), Wholesale Price Index (WPI). When left NULL, it is assumed that there is a negotiated index rate which will be supplied separately, in the FSI_ACCOUNT_INDEX_HIST table.
INDEX_ADJ_TYPE	Index Adjustment Type	In the case of index-linked instruments, this indicates the components (principal, interest) to which indexation is applicable. Possible values are Not applicable, Principal and Interest, Principal only, Interest only. The reference table is FSI_INDEX_ADJ_TYPE_CD/MLS.
CAP_PROTECTION_CATEGORY	Capital Protection Category	This indicates whether capital (i.e. the principal) is protected at a minimum level in case of index-linked instruments or not. This is applicable for Index Adjustment Type of “Principal and Interest” or “Principal Only”. Reference table is FSI_CAP_PROTECTION_CAT_CD/MLS
MAX_INDEX_VALUE	Maximum Value of Index	This is the maximum value of the index from the origination date till as of the date of the contract. This is expected to be a number. Example: If the index used in Consumer Price Index (CPI) then the value will be 101, 110, etc. This must not be represented as a rate i.e. inflation rate such as 7%. This is applicable in case of the index (like inflation) linked instruments, when CAP_PROTECTION_CATEGORY = 2 (Max during life), where the highest index value needs to be protected for instrument lifetime.

• FSI_ACCOUNT_INDEX_HIST

  When INDEX_ID is not provided (or NULL) in the instrument record, the Engine refers to the FSI_ACCOUNT_INDEX_HIST table for current Index Value. Identity Code, Id Number, and As of Date acts as a Unique Identifier.

  Table 20-2 Details of FSI_ACCOUNT_INDEX_HIST table

  Column Name	Display Name	Description
  AS_OF_DATE	MIS Date	The date at which the data is current, for example, “30-SEP-10”
  IDENTITY_CODE	Identity Code	System identified data
  ID_NUMBER	Account Surrogate Key	Unique record identifier such as account number.
  INDEX_START_DATE	Index Start Date	Date from which the given index value is applicable
  INDEX_END_DATE	Index End Date	Date till which the given index value is applicable
  INDEX_VALUE	Value of Index	Value of index to be used to calculate cash flows for index adjusted instruments

  Note:

  If FSI_ACCOUNT_INDEX_HIST table is used to store Index Value, please ensure to give Index value for all date ranges from origination till maturity.
• FSI_INDEX_ADJ_TYPE_MLS

  Table 20-3 Details of FSI_INDEX_ADJ_TYPE_MLS table

  INDEX_ADJ_TYPE_CD	INDEX_ADJ_TYPE	DESCRIPTION
  0	Not applicable	Not applicable
  1	Principal and Interest	Principal and Interest
  2	Principal only	Principal only
  3	Interest only	Interest only

• FSI_CAP_PROTECTION_CAT_MLS

  Table 20-4 Details of FSI_CAP_PROTECTION_CAT_MLS table

  CAP_PROTECTION_CATEGORY_CD	CAP_PROTECTION_CATEGORY	DESCRIPTION
  0	No Floor	No Floor
  1	Floor of 1	Floor of 1
  2	Max during life	Max during life