8.2.101.2 Module Usage

Both Oracle ALM and Funds Transfer Pricing reference the ORIGINATION_DATE as the start date of the record.

Prepayment assumptions also reference ORIGINATION_DATE. Separate assumptions can be defined for ORIGINATION_DATE ranges.

Additionally, when using a Prepayment Models:

If the prepayment rate is driven by the Expired Term, the ORIGINATION_ DATE is used to determine the age of the instrument using the following formula:

(ROUND (Current Bucket Date - ORIGINATION_DATE)/30.42, 0)

If the prepayment rate is driven by the ORIGINATION_DATE and the instrument is still in its tease period (that is, TEASE_END_DATE > Current Bucket Date), then the

REPRICE_FREQ is calculated as (ROUND(TEASE_END_DATE - ORIGINATION_DATE)/30.42,0)

Oracle ALM

ORIGINATION_DATE is used to determine the last payment date. If the LAST_ PAYMENT_DATE is erroneously before the ORIGINATION_DATE, the Cash Flow Engine uses the ORIGINATION_DATE value instead. This is used during interest income calculations where the LAST_PAYMENT_DATE is referenced for the first forecasted interest income cash flow (financial element 430).

User-Defined amortization payment patterns that are defined as % Current Payment and have multiple payment frequencies (as defined in the Payment Pattern user interface) use ORIGINATION_DATE when calculating amortization to determine the payment amount.

Transfer Pricing

Fixed-Rate Cash Flow Transfer priced records reference ORIGINATION_DATE to calculate the payment dates for amortization purposes.

Note:

When defining the record's payment dates, the cash flow engine starts from the record's ORIGINATION_DATE and rolls forward by PMT_FREQ until the MATURITY_ DATE is reached. The cash flow engine bases interest cash flows and principal runoff on ORG_PAR_BAL when transfer pricing cash flow methodology fixed-rate accounts. From ORIGINATION_DATE, the cash flow engine amortizes the original balance (ORG_PAR_BAL) by the ORG_PAYMENT_AMT. The precise method of this amortization depends on the AMRT_TYPE_CD.

Straight term methodology references ORIGINATION_DATE when defining the transfer pricing term that is matched to the term on the yield curve (Rate Management Interest Rate Code). For fixed-rate instruments, the term defined by (MATURITY_DATE - ORIGINATION_DATE) is matched to the relevant Interest Rate Code (IRC).

For adjustable-rate instruments in their tease period, the term is figured as the (TEASE_END_DATE - ORIGINATION_DATE). The transfer pricing assignment date for the IRC is also determined by the ORIGINATION_DATE of the record. That is, the date of the yield curve (IRC) is matched to the date of the record's origination.

If the record is transfer-priced using a Spread From Interest Rate Code or Redemption Curve methodology, the option of choosing the IRC's assignment date is available. If the Origination Date is chosen as the assignment date, or if the assignment date is the Last Repricing Date and the instrument is a fixed rate, the date of the IRC used for transfer rate calculations is the same as the detailed record's ORIGINATION_DATE. If an IRC of the same date does not exist the Cash Flow Engine uses the closest preceding date's yield curve information.

For records that reference the User-Defined Payment Patterns, the cash flow engine derives the remaining number of payments by counting the number of payments from the ORIGINATION_DATE to the MATURITY_DATE.