How Are Caps and Floors Being Handled in OFSAA ALM?

(Doc ID 1473536.1)

Last updated on OCTOBER 04, 2016

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)


How are Caps and Floors being handled on the system from the new business volume as well as current position points of view in OFSAA ALM?

Caps and Floors are the interest rate derivatives agreements where buyer receives a payment at the end of each period in which the interest rate exceeds (Caps) or is below (Floors) a strike price.  In the system, Caps and Floors related to new business volume (NBV) need to be defined in order to set the range of the interest rate change for the NBV balances and whether they will be reprice in the new business assumed life or not.  However, you do not know where should such type of Interest Rate Caps and Floors derivatives agreements should be defined and extracted for current position and new business volume and how the system will handle them?

Is the system is currently capable of processing such derivatives contracts or not?


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