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ALM 8.1.2: When Using Rate Dependency Patterns, Why the Maturity Mix Rule Does Not Interpolate (Doc ID 2957471.1)

Last updated on JULY 03, 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)


On ALM 8.1.2 version, when using rate dependency patterns, the maturity mix rule does not interpolate

For example, to define maturity mix with rate dependency on 3 tiers: 2%, 3% and 4%. The method selected in the rate dependency pattern is interpolate. The maturity mix definition is 12M, 24M and 36M (both org & amrt term) at 2%, 3% and 4% tiers respectively. If the associated IRC rate is 2.51%, it uses the definition on 2% tier instead of interpolating between 2% and 3% (behaves like 'Range').

The bucket definition is 1D followed by 60 * 1M buckets. If the IRC rate is 2.51%, FE210 for result_type_cd = 1 is generated up to bucket 13 (12 months).

The expected output is that the engine should interpolate between the definitions 2% & 3% tier and used the derived definition for maturity of new business. Alternative approach is: if the rate is 2.75%, 75% of the forecasted balance should have maturity as per the 3% tier definition and 25% should follow 2% tier definition.


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