7.8.3.8 Repricing Patterns

Repricing Pattern Data is retrieved when the Cash Flow Engine must process an instrument with an adjustable type code in the Repricing Pattern Range from 500 to 99999. If no match is made, the engine defaults to the record characteristics in the Repricing Frequency column and processes the instrument as a Standard Adjustable Instrument.

When a match is made, the instrument is modeled based on the repricing pattern. The Cash Flow Engine first evaluates what the status of the instrument is as of the starting date of the Cash Flow Process. The Current Repricing Date is determined by rolling forward from the Origination Date to the Next Repricing Date that follows the process start date. If that date does not correspond to the Next Repricing Date, the Repricing Date from the record is used.

A Repricing Event is triggered when the period between events has elapsed. When this occurs, the defined rates are assigned to the detail record of the instrument. If the repricing type is Flat Rate, the rate from the event detail of the repricing pattern is applied to the detailed record of the instrument. If the repricing type is Indexed Rate, a rate lookup is triggered for the Customer Rate and the Transfer Pricing Rate. If the Interest Rate Code (IRC) is a yield curve, the point on the yield curve used is the Repricing term associated with the Current Repricing information, unless the IRC term has been specified in the Repricing Pattern Event. This rate, plus the specified margin, is the new Fully Indexed Rate. Rate caps and floors are applied after this calculation occurs.