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Use of TP_EFFECTIVE_DATE Should Be an Option in the FTP Process Rule and Use of ADJ_EFFECTIVE_DATE is Not Properly Documented (Doc ID 2693856.1)

Last updated on DECEMBER 22, 2021

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Funds Transfer Pricing (FTP)
Oracle Financial Services Enterprise Performance Management (EPM)
Yield Curve / Interest Rate Code (IRC)
Extract, Transform and Load (ETL)


Requested enhancement: Add option in FTP Process rule to use TP_EFFECTIVE_DATE.

When the TP Effective Date is not NULL, it is used as the FTP IRC lookup date, regardless of the context of the TP Process Rule.
Rate Lock Date is often used as the 'pricing date' for instruments that have not yet repriced. After a repricing event, the Last Reprice Date becomes the 'pricing date'. Further, the same instrument data is often used to support both the base funding rate and the liquidity premium. Liquidity premiums are typically modeled without any repricing events. In other words, when used, the Rate Lock Date should always be used as the 'pricing date' for the liquidity premium calculation, even when the base funding rate should use the Last Reprice Date (after a repricing event). This presents a contradiction: the TP Effective Date must be NULL so that the base funding rate comes from the Last Repricing Date on a 'repriced' instrument, AND the TP Effective Date must be NOT NULL so that the liquidity premium adjustment rule (set to use Original Term assumption) continues to use the Rate Lock Date.
In order to assign the correct rates using the current OFSAA FTP behavior requires (1) ETL logic or Post Load Transformation to set the TP Effective Date equal to NULL after the first repricing event, and (2) mandatory use of Rate Propagation on the Liquidity Premium process rule.

A more flexible behavior would allow for the selection of TP Effective Date, Last Reprice Date, or 'Standard' date (OFSAA traditional approach of using Last Reprice Date after a repricing event), similar to the Reference Term option in an Adjustment Rule.


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