User Defined Redemption Tenors 'Repeat' Function Does Not Work and Prepayment Amount Too Small
(Doc ID 2831894.1)
Last updated on JANUARY 24, 2022
Applies to:Oracle Financial Services Asset Liability Management - Version 18.104.22.168.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA) 8.1.x
Oracle Financial Services Asset Liability Management (ALM) 8.1.x
When running an 8.1.x ALM Process using a Prepayment rule with User Defined Redemption Tenors, a tenor of 1 Month, and a repeat value of "4", the results only output a Prepayment to the first bucket.
The "repeat" function is not working. A prepayment value (FE 180) is only output to the first bucket.
In addition, the prepayment value is smaller than expected for the de-annual option.
The prepayment value is calculated a Prepayment Factor * Beginning Balance. The Prepayment Factor is calculated as follows:
Prepayment Factor = 1-(1-Prepayment Rate)^(1/Payments Per Year)
WHERE Payments per year = 365/(Current Prepayment Date - Previous Prepayment Date)
For the first bucket, you expect the Current Prepayment Date to be the Bucket End Date and the Previous Prepayment Date to be the As of Date. However, it appears to be using the NEXT_PAYMENT_DATE value for the Previous Prepayment Date, resulting in a smaller than expected Prepayment value.
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