8.2.126.2 Module Usage

Oracle ALM

Oracle ALM references RATE_SET_LAG when calculating a Forecasted Interest Rate.

• For existing business adjustable-rate records, the Cash Flow Engine matches the REPRICE_ FREQ, INTEREST_RATE_CD and the lagged reprice date (after referencing RATE_SET_LAG) to the information contained in the Oracle ALM Forecast Rates Assumption Rule. This is to assign a Forecasted Rate. The margin is then added to this Forecasted Rate. Any rounding, rate caps/floors, and tease periods are applied, and the resulting rate is applied to the record as the record's Repriced Rate.

  If RATE_SET_LAG > 0, the Cash Flow Engine does not assign a Forecasted Interest Rate based upon NEXT_REPRICE_DATE. Instead, the Cash Flow Engine assigns the account an interest rate based upon the date NEXT_ REPRICE_DATE - RATE_SET_LAG.

  This is illustrated in the following example:

  REPRICE_FREQ = 3

  REPRICE_FREQ_MULT = M

  NEXT_REPRICE_DATE = 01-APR

  RATE_SET_LAG = 1

  RATE_SET_LAG_ MULT = M

  MARGIN = 1.00

  In this example, the account is tied to the Treasury Yield Curve. Because of the RATE_SET_LAG, Oracle ALM references the Treasury Yield Curve one month before the NEXT_REPRICE_DATE. The 3-Month point on the Treasury Yield Curve on 01-MAR equals 5%. Therefore the repriced rate equals 6% (5% plus the 1% margin).

• If the rate set date is less than the As of Date, the Historical Rate is retrieved from up to one year before the As of Date.

Oracle Funds Transfer Pricing

Oracle Funds Transfer Pricing does not reference RATE_SET_LAG because it processes Cash Flows within Repricing Periods.