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Interest Rate Shock Is Not Applied As Defined for FE 710 Market Value (Doc ID 2886404.1)

Last updated on JANUARY 05, 2024

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.1.0.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Enterprise Performance Management (EPM)
Interest Rate Curve (IRC)

Symptoms

On ALM, it seems that the Interest Rate Shock not getting applied for Market Value for a fixed rate instrument.

The Forecast Rule is defined with Structured Change Method to apply 20 bps shock to the IRC Curve.
In the audit and other tables, IRC shock value is appearing correctly.  However, the financial element 710 (Market Value) for the shock scenario is the same as base rate.  The shocked IRC rate defined in the Forecast Rates rule and used in the Discount Rates rule is not considered by the ALM engine.

Changes

 

Cause

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In this Document
Symptoms
Changes
Cause
Solution


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