5.3.3.7.2.1 Attribute Source As Detail Data Record

Prerequisites

Performing basic steps for creating or editing a Transaction Strategy rule.

Procedure

To define Transaction Strategy Rule, follow these steps:

1. Follow the steps mentioned in Defining Transaction Strategy rule section.
2. After selecting Transaction Template and clicking Define Transaction Attribute, the Define Transaction Attribute window is displayed. The Define Transaction Attribute window has following sections:
   • Core Attribute
   • Behavior Specifications
   • Pricing Attributes
   • Payment Attributes
   • Rate Attribute
   • Inflation Indexed Instrument Attributes^*
   • Embedded Option Attributes^**

   Note:

   ^* This section is activated when you select Inflation Indexed Instrument Attributes check-box from Core Attribute section. ^** This section is activated when you select Embedded Option Flag check-box from Core Attribute section.

Core Attributes

This section describes the new business fields used in the Core Attributes section of the Transaction Strategy Rule.

Figure 5-224 Core Attributes

Table 5-52 Fields to add the Core Attributes for Transaction Strategy Rule and their Descriptions

Field	Description
Adjustable Type	Determines the repricing characteristics of the new business record. The standard OFSAA codes are as follows: Fixed-Rate Floating Rate Other Adjustable Repricing Pattern Tired Balance Interest Rate
Amortization Type	Method of amortizing principal and interest. The choices consist of all standard OFSAA codes and all additional user-defined codes created through the Payment Pattern and Behavior Pattern interfaces, as follows: Figure 5-225 Amortization Type
Rate Pricing Option	This drop-down list has following two Rate Pricing options: Direct Input: This option allows you to input rates for new business in the Transaction Strategy. Assign During Processing: This option uses the Origination Date and Interest Rate Code (IRC) specified in the Transaction Strategy and pulls the corresponding rate from the Forecast Rates Assumption, that is, it is priced dynamically during the simulation
Interest Rate Curve	Defines the pricing index to which the instrument interest rate is contractually tied. The interest rate codes that appear as a selection option depending on the choice of currency. The interest rate code list is restricted to codes that have the selected currency as the Reference Currency. If the default currency is chosen, all interest rate codes are available as a selection.
Use Specific Interest Rate Curve Tenor	Allows you to select a specific Interest Rate Curve Tenor
Balance	Enter the Balance Amount.
Deferred Balance	Current Unamortized Deferred Balance associated with Instrument (such as, Premium, Discount, Fees, and so on.)
Amortization Method for Premiums, Discounts, Costs and Fees	Determines the method used for amortizing premiums, discounts, or fees. The available codes are: Level Yield Straight Line
Origination Date	The date of the origination for the transaction account. This day can be in the future or the past
Issue Date	The Issue date for the transaction account.
Original Term	The contractual term at origination date in units (days, months, or years).
Amortization Term	Term upon which amortization is based in units (days, months, years). This field is not editable if the Derivative Type is selected as FX Contract and subtype is selected as Spot or Forward
Original Deferred Amortization Percent	The initial deferred balance expressed as a percent of original par balance.
Inflation Indexed Instrument	Select this check box to enable the Inflation Indexed tab

Behavior Specification

This section describes the new business fields used in the Behavior Specification section of the Transaction Strategy Rule.

Figure 5-226 Behavior Specification

Table 5-53 Fields to add the Behavior Specification and their Descriptions

Field	Description
Payment Pattern	Lists all user-defined payment patterns defined through the user interface.
Behavior Pattern	Lists all user-defined behavior patterns created through the user interface.
Behavior Pattern Subtype	Lists the subtype of user-defined behavior patterns created through the user interface.
Repricing Pattern	Lists all user-defined reprice patterns created through the user interface.
Lease Residual Value	The residual value of a lease in the percentage of the original balance.

Pricing Attributes

This section describes the new business fields used in the Pricing Attributes section of the Transaction Strategy Rule.

Figure 5-227 Pricing Attributes

Table 5-54 Fields to add the Pricing Attributes for Transaction Strategy Rule and their Descriptions

Field	Description
Gross Rate	Gross rate on the instrument (such as, paid by the customer).
Net Rate	The nominal interest rate on instrument owed to or paid by, the financial institution.
Margin Type	The Margin Type can be selected as Rate or Percentage. Rate- By default, Rate is selected. This is a fixed spread. Percent- Margin is calculated using the provided margin (as percent) and forecast rate. For example, if the forecast rate is 5% and the margin is 10%, then the margin calculated will be 10% of the forecasted rate.
Gross Margin	Contractual spread over interest rate code used in the calculation of the gross rate
Net Margin	The contractual margin over the interest rate code used in computing net rate. Gross margin minus any fees.
Model with Gross Rates	If the institution has outsourced loan serving rights for some of the assets (most typically mortgages), the rates paid by customers on those assets (gross rates) will be greater than the rates received by the bank (net rates). For these instruments, both a net and gross rate will be calculated within the cash flow engine and both gross and net rate financial elements will be output. The gross rate is used for prepayment and amortization calculations. The net rate is used for income simulation and the calculation of retained earnings in the auto-balancing process
Additional Discount Rate Spread	Enter Additional Discount Rate Spread in percentage.

Payment Attributes

This section describes the new business fields used in the Payment Attributes section of the Transaction Strategy Rule.

Figure 5-228 Payment Attributes section to Define the Transaction Strategy Rule

Table 5-55 Fields to add the Payment Attributes for Transaction Strategy Rule and their Descriptions

Field	Description
Interest Payment Frequency	Frequency of Interest payment.
Principal Payment Frequency	Frequency of Principal payment.
Interest Timing Type	Determines whether interest is calculated in arrears or advance or if the rate is set in arrears. There are three interest types: Interest in Arrears Interest in Advance Set in Arrears For conventional amortization products, interest in arrears is the only valid choice.
Accrual Basis	The basis on which the interest accrual on an account is calculated. The choices are as follows: 30/360 30/365 30/Actual Actual/360 Actual/365 Actual/Actual Business/252 *
Compounding Basis	Determines the number of compounding periods per payment period. The choices are as follows: Annual Continuous Daily Monthly Quarterly Semiannual Simple
Net Margin Flag	The setting of the net margin flag affects the calculation of the Net Rate. This drop-down is activated only when Model with Gross Rates check-box is enabled. The settings are: Net Rate is constant Spread to Gross - the net rate reprices in conjunction with the gross rate, at a value net of fees. Net Rate is Fixed - the net rate equals a fixed fee equal to the net margin.
Holiday Calender	The default value is Blank and is Enabled. This drop-down list contains the list of all holiday calendar definitions defined in the Holiday Calendar window.
Rolling Convention	The default value is Unadjusted and is Enabled, only when Holiday Calendar is selected in the preceding field. This drop-down list contains the following values: Unadjusted Payment on an actual day, even if it is a non-business day. Following business day The payment date is rolled to the next business day. Modified following business day* The payment date is rolled to the next business day unless doing so would cause the payment to be in the next calendar month, in which case the payment date is rolled to the previous business day. Previous business day The payment date is rolled to the previous business day. Modified previous business day* The payment date is rolled to the previous business day unless doing so would cause the payment to be in the previous calendar month, in which case the payment date is rolled to the next business day. *Many institutions have month-end accounting procedures that necessitate this.
Interest Calculation Logic	There are two options: Shift Dates Only Recalculate Payment

Rate Attributes

This section describes the new business fields used in the Rate Attributes section of the Transaction Strategy Rule.

Figure 5-229 Rate Attributes section

Table 5-56 Fields to add the Rate Attributes for Transaction Strategy Rule and their Descriptions

Field	Description
Repricing Frequency	Contractual frequency of rate adjustment.
Tease Period	The tease period is used to determine the length of the tease period.
Tease Discount	The tease discount is used in conjunction with the original rate to calculate the tease rate. The tease rate is the original rate less than the tease discount.
First Reset Cap	This indicates the maximum delta between the initial rate and the first reset for mortgage instruments that have a tease period. This rate will be applicable at the tease end period, before the first reset. After this, the periodic and lifetime cap value will be applied. The value of this field will be automatically populated from the Product Profile window if the product is mapped to Product Profile and value is defined for First Reset Cap. For example: Current Rate = 3.5% (from the instrument record) Margin = 0.3 % First Reset Cap = 0.5% (from the instrument record) First Reset Floor = 0.1% (from the instrument record) Scenario 1: If New Forecasted Rate = 5.1% (Forecast Rates Assumption) The fully indexed rate (after applying minimum rate change, rounding effects) is higher than the (Current Rate + First Reset Cap). So, the new rate assigned will be 3.5% + 0.5% = 4.0%
First Reset Floor	This is the initial minimum value for mortgage instruments that have a tease period. This floor rate will be applicable at the tease end period, before the first reset. After this, the periodic and lifetime floor value will be applied. The value of this field will be automatically populated from the Product Profile window if the product is mapped to Product Profile and value is defined for First Reset Floor.
Rate Cap Life	The maximum rate for the life of the instrument.
Rate Floor Life	The minimum rate for the life of the instrument.
Rate Increase Period	The maximum interest rate increase allowed during the cycle on an Adjustable Rate instrument.
Rate Decrease Period	The maximum amount rate can decrease during the repricing period of an Adjustable Rate instrument.
Minimum Rate Change	The minimum required change in rate on a repricing date.
Rate Set Lag	Period by which the rate lookup lags the repricing event date
Rate Change Rounding Factor	Percent to which the rate change on an adjustable instrument is rounded.
Rate Change Rounding Type	The method used for rounding of interest rate codes. The choices are as follows: No Rounding Truncate Round Up Round Down Round Nearest

Inflation Adjustment Attributes

Select the Inflation Indexed Instrument check box on the Core Attributes section to enable the Inflation Adjustment Attributes section.

Figure 5-230 Inflation Adjustment Attributes section

Table 5-57 Fields to add the Index Adjustment attributes and their Descriptions

Field	Behavior
Index Name	Lists all Economic Indicators defined through the user interface.
Index Adjustment Type	Determines the type of Index Adjustment. Available options are: Principal and Interest Principal Only Interest Only
Capital Protection Category	Determines capital protection to be provided to Inflation Indexed Instruments. Available options are: No Floor: Does not provide any downside protection. Floor of 1: Protects the downside movement. Max during Life: Gives maximum advantage using maximum Index factor for calculation.
Base Index Value	Base Index Value can either be entered into field Base Index Value or left blank. If it is blank, the engine will obtain Base Index Value from the forecasted Economic Indicator for defined Transaction Strategy Origination Date. This date is looked up into the forecasted Time Bucket, and the respective index data of that Time Bucket is obtained. If the Base Index Value is entered, the engine will consider it for calculation.

Embedded Option Attributes

An option is a contract between a buyer and a seller in which the buyer has the right, but not the obligation, to purchase (in the case of a call option) or sell (in the case of a put option) a specified underlying asset at a specified price during or at the end of a specified period. The option seller, or writer, grants this right in return for the option price, or premium. The option buyer is long the contract; the seller is short.

Select the Embedded Option Flag check box on the Core Attributes section to enable the Embedded Option Attributes section.

Figure 5-231 Embedded Option Attributes

Table 5-58 Fields to add the Embedded Option attributes and their Descriptions

Field	Behavior
Option Type	This attribute stores the option type of the embedded option. The list of valid values is 1 (Call) and 2 (Put).
Strike Type	This attribute stores the strike type code of the embedded option. A strike type of price assumes that the price of the instrument is used as the strike. A strike type of rate assumes that the interest rate of the instrument is used as the strike. The list of valid values is 1 (Price) and 2 (Rate).
Rate Lookup Type	This attribute stores the rate lookup code. Depending upon the rate lookup, the rate of the appropriate term is compared against the strike rate. For instance, if the rate lookup code is Payment Frequency, the Strike IRC term point of payment frequency is compared against the strike rate. List of valid values is 1 (Remaining Term), 2 (Original Term), 3 (Payment Frequency), and 4 (Reprice Frequency).
Execerise Type	This attribute stores the exercise type code or option style of the embedded option. The list of valid values is 1 (American), 2 (Bermudan), 3 (European).
Option Start Date	This attribute stores the options start date and is valid for the American style of options.
Strike Interest Rate Curve	This attribute stores the coded value of the interest rate curve which is linked to the strike.
Option Expiry Date	This attribute stores the expiry date of the option.
Strike Value	This attribute stores the strike rate (for example, entering “3.56” equals 3.56% ) or price (for example, 102.15) depending on the strike type of the option.