The externally projected asset should be import cash flows and other reported values for assets that are being projected using another asset projection system or from any other asset projection source. This product is designed to read in results from the alternate source and appropriately handle the accounting treatment within a projection in coordination with other assets being projected by SLOPE.
Cash Flows & Timing
All cash flows on the non-callable bond occur at the beginning of each projection month. Cash flows occur in the following order. Cash flows higher up the order may impact the amount of cash flows lower down.
- Default Recoveries
- Coupon Payments
- Principal Payments
Model Point File
The following fields are included on the default Slope Library model point file definition for Externally Projected Assets.
Asset ID – A string field that is used for identification purposes only. This could be an ID from your asset administration system, the CUSIP, or any other identifier for the model point. This field is not used by any of the variables on the product and is for informational purposes only. It can be safely removed from the model point file definition if not needed.
AVR Line Number – The line number this asset should appear in on the Asset Valuation Reserve. This value is used to lookup the appropriate factors for AVR calculation as well as the RBC C-1 factor to apply for Risked Based Capital.
Currency – A string value specifying the currency the asset is denominated in. This value is used to look up rates from the economic scenario file for market value calculations (if applicable) as well as to set coupon rates on new business model points during the asset purchase process. The value specified here must match on the currencies specified on the economic scenario file definition.
Initial Book Value – The book value of the asset as of the projection start date.
Initial Market Value – The market value of the asset as of the projection start date.
Initial Par Value – The par value of the asset as of the projection start date.
Issue Date – The original issue date of the asset. This is used in conjunction with the Term in Months to determine the maturity date of the bond. This should be the original issue date of the bond, which may not necessarily be the date you purchased it.N
Rating – The rating agency rating of the bond. This value is used to determine the default rates experienced (if applicable). The default model expects this to be a Moody’s rating since the default lookup table is based on the Moody’s annual default study.
Spread – The credit spread over risk-free rates. This spread is expected to include the expected future risk of default inherent in the bond price. This value is used to calculation market values (if applicable) of the asset as well as when setting the coupon rate on new business model points.
Term in Months – The number of months from the original issue date of the asset to the maturity date. Ex. a 5 year bond would have a value of 60.
This section describes inputs that control how the product works that are not included on the model point file. If these inputs need to vary by model point, then you should modify the formulas to pull the data from an appropriate source.
Asset Type – The asset type indicates what type of asset is being externally modeled. This value is used to determine the appropriate accounting treatment for the asset as well as to indicate how the market values should be determined. The following asset types are available:
- Fixed Income (Market Values calculated based on discounted cash flow) Fixed
- Fixed Income – Other (Market Values must be provided from external projection)
- Equity (Market Values must be provided from external projection)
Default Option – This is a switch which determines whether or not defaults should be calculated as part of the projection or not. This should be set based on whether or not the external cash flow projections already include defaults or not, as well as whether or not you want to explicitly model defaults. The following values are available:
- No Defaults – Defaults are either not applicable or already included in the externally projected cash flows (This is the default value)
- Include Defaults – Defaults will be explicitly calculated and applied on top of the externally projected cash flows.
Default Rate – The default rate is the annual effective rate of defaults. This product is set up to read the default rates from a table which is based on the Moody’s default study. It uses the Rating from the model point file, and the number of years since issue to look up a default rate. This default rate is only used if the Default Option is set to 1.
Default Recovery Rate – This specifies a percentage of the current market value of assets that default that will be recovered as cash. By default, this value is set as 0.
GAAP Classification – An integer value that indicates how the asset is reported on the GAAP Balance sheet. The following 3 options are available.
- Available For Sale (AFS)
- Held to Maturity (HTM)
AFS and Trading assets are held at Market (Fair) Value. Held to Maturity Fixed Income assets are reported at amortized cost. By default the product is set to classify all assets as Available For Sale (1).
Externally Projected Assets Input Table (EPA Inputs)
The Externally Projected Assets Input Table (EPA Inputs Table) is used as the source to read in the time-indexed values for each asset in the EPA model point file. The EPA Inputs Table contains the following fields. The table can be modified to add or remove fields as needed for your particular modeling.
This table is indexed by Asset ID (which must match the Asset ID on the model point file), Scenario Number (corresponding to the scenario number from the scenario file being run), and Months Since Issue (based on the Issue Date of the asset specified on the model point file).
Accrued Interest – The amount of accrued interest on the asset as of the end of the projection month.
Cash Flow – The total dollar amount of cash flows into or out of the company coming from this asset for the projection month. This could include payments on principal, interest, default recoveries, dividends, or other asset related cash flows.
Book Value – The book value of the asset as of the end of the projection month.
Investment Income – The amount of investment income received on the asset for the projection month.
Market Value – The market value of the asset as of the end of the projection month.
Realized Gain/Loss – The amount of realized capital gain/loss experienced on the asset in the projection month.