How To Get Bucket-wise Coupon And Yield Figures In ALM (Doc ID 2955905.1)

Last updated on JUNE 28, 2023

Applies to:

Goal

Question 1: Where can bucket-wise coupon and yield figures be found in ALM - Interest Rate Sensitivity (IRS) module?
It is assumed that the engine uses one coupon / yield for cashflow calculation. And then calculates Modified Duration (FE 725) as per that, which is stored in FSI_O_RESULT_MASTER.
There is requirement for a report that has coupon and yield of certain items grouped by time bucket. How can this be achieved?
 
Question 2: You cannot find any column resembling coupon / Modified Duration (MD) in res_dtl_xxxxx. The numbers do not resemble as coupon since being quite large in nature.

Are the values in following FEs actual coupon calculated by system OR coupon rates?

FE 70 - Beginning Gross Rate
FE 80 - Beginning Net Rate
FE 110 - Ending Gross Rate
FE 120 - Ending Net Rate

Also, for Modified Duration (FE 725, FE 1725), if it is bucket wise MD, does the sum of all buckets match to the value of MD somewhere else in system?
MD is populated in <Instrument>.MODIFIED_DURATION_C and FSI_O_RESULT_MASTER. Does the sum of bucket in RES_DTL match output in any one of the two tables?

Question 3: Based on Answer 2, if Average Net Rate = FE 160 / FE 140, does this mean FE 160 divided by FE 140 gives the coupon rate per bucket?

If No, where to get the balance amount from?

Question 4. Can the yield figure till maturity be retrieved from anywhere in the system?

Solution

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