How to Model the Treatment of Fair Value of Investments for IRS in ALM (Doc ID 3064998.1)

Last updated on DECEMBER 31, 2024

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.1.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI / AAI)
Oracle Financial Services Asset Liability Management (ALM)

Goal

In regards to the treatment of fair value of investments in interest rate sensitivity, need the bucketing of IRS to reflect the values of investments as per Fair Value valuation method (FVTPL, FVOCI), but the Coupon/Interest component and MDuration needs to be calculated on Face Value (Cur_Par_Bal). How to address this in ALM?

Solution

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In this Document

Goal

Solution

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How to Model the Treatment of Fair Value of Investments for IRS in ALM (Doc ID 3064998.1)

Applies to:

Goal

Solution

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