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In ALM, Can Spread Component Be Bucketed Till The Contractual Maturity In IRRBB, Instead Of Till Next Repricing Date? (Doc ID 2974931.1)

Last updated on SEPTEMBER 27, 2023

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.0 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 Risk in the Banking Book (IRRBB)

Goal

As per IRRBB RBI guidelines: 'spread components of interest payments on a tranche of principal that has not yet been repaid and which do not reprice must be slotted at their contractual maturity irrespective of whether the non-amortised principal has been repriced or not.'

However, in OFSAA ALM module, both principal and interest cashflows including spread component in CUR_NET_RATE is bucketed till the next reprice date.

RBI guideline point XI. "Notional Repricing Cashflows", paragraph C states that Spread Component needs to be bucketed till the contractual maturity in IRRBB, instead of till next repricing date.

Solution

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In this Document
Goal
Solution


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