7.8.8.1 Initialization of Adjustable Rate Instruments for Transfer Pricing

For Transfer Pricing of Adjustable-Rate Instruments, data is reset to values consistent with the Last Reprice Date. The Next Payment Date is rolled back by the payment frequency to the First Payment Date after the Last Reprice Date. The remaining number of payments is increased by the number of payments added in the Rollback Process.

The field Last Reprice Date Balance is used in place of the Current Balance in a Transfer Pricing Process. If the balance as of the Last Reprice Date is not available, update this column with the current balance. The Transfer Pricing Program has a special feature that Re-Amortizes the Current Payment if the following conditions are met:

The Last Reprice Date Balance equals the Current Balance.

Payments occur between the Last Reprice Date and the As-of-Date.

The instrument is not tied to an Amortization Pattern or an Amortization Schedule. These three conditions signal to the Transfer Pricing Engine that the balance as of the Last Reprice Date was not available and the Current Balance should be used as a proxy.