11.11 Define Repricing Patterns

User-Defined Repricing Patterns provide a mechanism to capture the repricing structure of instruments whose rates change according to complex schedules which cannot be captured in the standard fields of account tables.

The User-Defined Repricing Pattern allows you to define multiple changes to various elements affecting repricing including:

• Rates
• Margins
• Frequency

A Repricing Pattern has the following major components:

• User-Defined Repricing Pattern
• User-Defined Repricing Event

Note:

Repricing Patterns are a common capability within OFSAA applications, but FTP users should be aware that while the FTP application recognizes instruments with Repricing Patterns (custom ADJUSTABLE_TYPE_CD), the TP Engine does not behave differently when compared to standard adjustable-rate instruments. The behavior is the same because FTP always considers the information provided on the instrument record first. When processing adjustable-rate instruments, including standard and repricing pattern-based products, the FTP engine will refer to the LAST_REPRICE_DATE and NEXT_REPRICE_DATE to determine the relevant fixed-rate period. For pattern-based records, users should ensure that these dates are consistent with the Repricing Pattern Dates.

This note applies to standard FTP processing. However, when calculating Option Costs using the Monte Carlo Engine in FTP, the Repricing Pattern information is used to determine the future rates, rate cap/floor information, and any associated pricing margins that needs to be applied over the life of the instrument record.