ALM 8.1.2.2: Cashflow Engine By-passes The Conditional Assumption When The Main Assumption Is "Do not Calculate" And Prepayment (FE 180) Is Not Calculated
(Doc ID 2977916.1)
Last updated on OCTOBER 06, 2023
Applies to:
Oracle Financial Services Asset Liability Management - Version 8.1.2.2 and laterInformation 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)
Prepayment Runoff (FE 180)
Symptoms
On 8.1.2 version, in an ALM process, you have defined Prepayment and applied Conditional Assumptions to it.
The main assumption of "Do not calculate" and conditional assumption of 5% constant prepayment with curtailment is applied at the same leaf node. The input contract to the ALM process satisfies the filter condition applied in the conditional assumption.
Given the case, you expect the engine to generate FE 180 as per conditional assumption of 5% constant prepayment with curtailment.
However, the engine is not generating FE 180. Seems that the main assumption of ‘Do not calculate’ is getting applied.
You tried using the main assumption of 10% constant prepayment with curtailment. In this case, the engine generated prepayment using constant prepayment of 5% (FE 510/FE 515) which is defined in the conditional assumption.
Hence, this issue is faced only when you define ‘Do not Calculate’ in the main assumption, i.e. it completely bypasses the conditional assumption when the main assumption is "Do not Calculate".
Cause
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In this Document
| Symptoms |
| Cause |
| Solution |
| References |