How to Handle Forward Starting FX Swaps in ALM
Last updated on JUNE 16, 2017
Applies to:Oracle Financial Services Asset Liability Management - Version 8.0.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
For Oracle Financial Services Asset Liability Management (ALM) 8.0, how can you model FX Swaps? Can a forward starting scenario for FX Swaps be handled with one single record being passed from the Staging table?
For example, you have the following scenario:
FX Swap has been bought on 01-Jan-2016 (Trade Date = 01-Jan-2016)
Start date for the FX Swap is 01-April-2016 (Origination Date = 01-April-2016)
Maturity date for FX swap is 31-Mar-2017 (Maturity Date = 31-Mar-2017)
Both origination date and maturity date will have two legs each (inflow and outflow).
The amounts exchanged will vary on origination date and maturity date to factor in USD/INR currency exchange rate fluctuation by date.
01-Apr-2015 - pay leg - USD 1000, receive leg - INR 65000 (Exchange Rate - 65 INR/USD)
31-Mar-2016 - pay leg - USD 1000, receive leg - INR 67000 (Exchange Rate - 67 INR/USD)
The above cash flows are for a single forward starting FX Swap.
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