ALM Process Not Using Negative Rates from the Interest Rate Curve (Doc ID 2076299.1)

Last updated on NOVEMBER 17, 2015

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.1 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

In Oracle Financial Services Asset Liability Management (ALM), when you run an ALM Process against data that references an Interest Rate Code (IRC) containing negative rates, the cash flow engine does not use the negative IRC rates to calculate a new interest rate on the reprice date.

For example, a record has a margin of 3% and should be assigned a rate of -0.02% from the IRC, resulting in a net rate of 2.98%.  However, ALM is using a rate of 3% after the reprice date to calculate cash flows.  ALM is ignoring the negative rates.

You expect ALM to use the negative interest rates from the IRC.

Cause

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