ALM 8.1.2: For Early Redemption With User Defined Tenors, Engine Uses Origination Dates To Generate FE 180 While Doing Prepayment Bucketing
(Doc ID 2994780.1)
Last updated on JANUARY 02, 2024
Applies to:
Oracle Financial Services Asset Liability Management - Version 8.1.2 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)
FE 180 (Prepayment Runoff)
Symptoms
On ALM 8.1.2 version, engine is using Origination Dates for generating FE 180 (while doing prepayment bucketing) and not Maturity Dates.
While using Early Redemption under User Defined Redemption Tenors, although the User Interface (UI) shows Tenors and Percentage (%) to be entered as per Maturity Date ranges, the output observed in FE 180 is as per Origination Date range.
EXPECTED BEHAVIOR
You have gone through provided formulae:
Prepayment Runoff = (Beginning Balance - Payment Runoff) * Prepayment Factor * Seasonality
As per this, although the amounts will not be same in each bucket, you would expect bucketing to happen in first 4 buckets and not just the 1st bucket.
Since the Maturity Date lies between Start and End Maturity Date of fsi_m_ppmt_redemption_rate table, you would expect the 0.04% of cur_par_bal to be bucketed in first four buckets for FE 180, i.e 0.01% in each of them.
Cause
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In this Document
| Symptoms |
| Cause |
| Solution |
| References |