1. Cash Flow Engine Reference Guide
  2. Cash Flow Dictionary
  3. Cash Flow Columns
  4. As of Date (AS_OF_DATE)
  5. Module Usage

8.2.13.2 Module Usage

AS_OF_DATE is used for the following purposes:

  • Application Preferences filter (Oracle ALM and Oracle FTP)
  • Market Value Calculations (Oracle ALM)
  • Payment Schedules and Patterns - Used to determine where in the life of the loan the record is.
  • Transfer Pricing Remaining Term Pricing Basis.

Application Preferences

Oracle ALM and Oracle FTP use AS_OF_DATE as a primary data filter. When executing an ALM or Transfer Pricing Processing Run, the engines compare the AS_OF_DATE in Application Preferences, against the AS_ OF_DATE field of the detail instrument record. If AS_OF_DATE from the instrument record is the same date as that from Application Preferences, then engines process the instrument record. Otherwise, engines do not process the instrument record.

Market Value Calculations

  • When calculating the market valuation of a daily paying record (PMT_FREQ_MULT = D), Oracle ALM uses the AS_OF_DATE when calculating the t period variable.
  • For the Oracle ALM Discount Methods - Spot Interest Rate Code and Forecast Remaining Term methods, the AS_OF_DATE is used in calculating the cash flow's discounting term. The cash flow date (the payment date) is subtracted from the AS_OF_DATE to determine this term. This term is then applied to the appropriate discount yield curve in the Oracle ALM Forecast Rates Assumption Rule to determine the Discount Rate for the record (after applying the Indicated Interpolation Method).

    Payment Schedules and User-Defined Payment Patterns

  • Relative Patterns - AS_OF_DATE is used to determine where in the life of a Payment Pattern a record is currently positioned. For relative patterns, the Payment Frequencies specified in the Pattern interface are rolled forward from the ORIGINATION_DATE until the rolled date is greater than the AS_OF_ DATE.
  • Absolute Patterns - In determining the first Forecasted Payment Date, the Cash Flow Engine selects the payment date in the pattern that corresponds to the first date after the AS_OF_DATE.
  • Payment Schedules – The Cash Flow Engine makes the first forecasted payment based on the first date in the payment schedule table after the AS_OF_DATE.

    Note:

    If NEXT_PAYMENT_DATE is different from the next defined payment date in the absolute pattern, the NEXT_ PAYMENT_DATE is used instead. Therefore, the Cash Flow Engine requires that the NEXT_PAYMENT_DATE correspond to the appropriate date in the Absolute Payment Pattern.
  • Payment Schedules – The Cash Flow Engine makes the first forecasted payment based on the first date in the payment schedule table after the AS_OF_DATE.

Transfer Pricing Remaining Term Pricing Basis

When the Remaining Term Pricing Basis is selected for Transfer Pricing, transfer rates for the relevant methodologies are calculated from the AS_OF_DATE.