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Questions Regarding Functionalities In The Context Of LIBOR (London Inter-bank Offered Rate) To SOFR (Secured Overnight Funding Rate) Transition (Doc ID 2949109.1)

Last updated on MAY 23, 2023

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.1.2 and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)
Modern Risk and Finance (MRF)
Interest Rate Curve (IRC)
London Inter-bank Offered Rate (LIBOR)
Secured Overnight Funding Rate (SOFR)
Sterling Overnight Index Average (SONIA)
Euro Overnight Index Average (EONIA)
International Swaps and Derivatives Association (ISDA)


Question 1: In the LIBOR transition there are functionalities such as Calculation of compounded IRC (SOFR) and other functionalities observation methods to derive the SOFR IRC curve look back, lockout, payment delay and backward shift methods.

You want to know if these functionalities are available in ALM.
Question 2: The definition of the new IRC for SOFR is understood.

However, in the transition from LIBOR to SOFR index methodology, daily overnight rates are to be considered and compounded daily throughout the interest payment period for interest cash flow calculation.

Central Bank has recommended some Interest compounding methodologies like: Payment delay, Look back with observation shift, Look back with no observation, Lock out, Lockout (ISDA).


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