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ALM Incorrect Prepayment Rate Is Looked Up From Prepayment Model (Doc ID 2974886.1)

Last updated on SEPTEMBER 27, 2023

Applies to:

Oracle Financial Services Asset Liability Management - Version 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)


On, you have the following setup in your ALM process:

In Forecast Rates rule, you have multiple scenarios defined with different rates for one interest rate code, say 1234.

In Prepayment Rule, the method is set to Prepayment Model and referencing 1234 as market rate.
The Prepayment Model is defined with multiple buckets on market rate, which should give different prepayment rates for each scenario defined in Forecast Rates rule.

However, the ALM engine results (RES_DTL table) shows that the same prepayment rate is being used for all the scenarios.
That prepayment rate is the one determined from the Forecast Rates scenario 1.


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