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Wrong Point on Interest Rate Curve Used to Generate Discount Rate FE 490 (Doc ID 2961679.1)

Last updated on JULY 31, 2023

Applies to:

Oracle Financial Services Asset Liability Management - Version and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)


When running an ALM Process with Market Value, the Discount Rate Financial Element (FE) 490 (Discount Rate IS) seems incorrect.  In the Discount Method definition, you use a discount method of "Forecast Rate Remaining Term" and the Mature at Repricing option is selected.  The selected Interest Rate Code (IRC) uses a forecast method of "flat" in the Forecast Rates rule.  When reviewing the result in FE 490, it is not using the correct point on the Interest Rate curve to generate the Discount Rate.


In FSI_O_PROCESS_CASH_FLOWS, FE 490 / FE 710 = 0.084866 Discount Rate

However, this rate would fall between the 6M (8.313333) and 1Y (8.623333) term points when the term point for getting the rate should be 1M.

ALM appears to be choosing the wrong rate from the curve.


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