.Forecast Rate scenario assumptions allow you to define future interest rates, future economic indicators, and future currency exchange rates. Use interest rate forecasts to project cash flows, including pricing new business, repricing existing business, calculating prepayments, and determining discount methods. Use Economic Indicator forecasts to include in behavioral modeling and scenario or stress analysis. Use currency exchange rate forecasts to account for the effects of currency fluctuations on income.
The Forecast Rate assumptions use interest rate, economic indicator, and currency codes defined in Rate Management, including all the Active and Reporting currencies and the primary, or functional, currency at your institution. For information on how to define Interest Rates, Economic Indicators, and Currency Exchange Rates, see the OFSAA Rate Management section.
This module describes how to create a Forecast Rates assumption rule to forecast cash flows and, if you work with multiple currencies, to model relationships between interest rates and exchange rates.
Topics:
· Creating a Forecast Rates Assumption Rule
· Economic Indicator Forecast Methods
· Interest Rate Forecast Methods
· Behavior Pattern Rule Mapping
1. From the Forecast
Rates Summary page, click Add .
2. Enter a name for the rule.
3. Enter a description for the rule. This is an optional field.
4. Select the Reporting Currency.
5. Select a Folder.
6. Select the Access Type option.
7. Click Save.
The Apply defined method to all IRCs check box is only supported for flat rates method. Other IRC methods do not support Apply to all.
Features of Forecast Rates
The selected reporting currency that you created appears in the Forecast Rates assumption rule window. Each Forecast Rate Scenario you create, up to ninety-nine, will appear under Current Scenarios. Forecast scenarios use the date buckets specified in the active Time Bucket Rule. You can also set minimum rates (or floors) on any rule created for Currency, Economic, or Interest Rate. For example, if you want to run a -200bp rate scenario, with short term rates less than 2%, then set the minimum rate to the floor at 0%, although negative rates are allowed if required.
The following options are available for defining Forecast Rate Scenario:
· Standardized Approach
· Enhanced Approach
IRRBB Standardized Approach Shocks allows you to select one of the six Standardized Approach Shocks (SAS) in a forecast rate scenario for certain currency IRCs. The following are the shock scenarios:
· Standardized Approach Shock - Parallel UP
· Standardized Approach Shock - Parallel DOWN
· Standardized Approach Shock - Short UP
· Standardized Approach Shock - Short DOWN
· Standardized Approach Shock - Flattener
· Standardized Approach Shock - Steppener
These options are available for supported currencies. If an IRC is for a non-supported currency, then these options will not display.
For more information, see the Cash Flow Engine Reference Guide.
The Active currencies defined under the Currencies section of the Rate Management are listed under the Currency Codes pane. The selection under Currency Codes defaults to the reporting currency when you are not forecasting exchange rates. The list of IRCs under the Interest Rate Codes pane is dependent on the selected currency. The IRCs, including a reference IRC for each currency, are loaded from the Rate Management. When you select a currency other than the reporting currency, the options under Currency Forecast Method pane provide several ways to model relationships between the Exchange Rates and Interest Rates.
The Economic Indicators for all active indices are listed in the Economic Indicator section. These indices are not dependent on the currency selected. Use these indicators to set up scenarios around changing the economic conditions that will affect the forecast outcome of another variable. For example, if you forecast a higher GDP, then use a scenario where new business volume is tied to that GDP outcome, which could be different than a lower GDP scenario. The Economic Indicators are created and maintained from the Rate Management.
The IRCs for all active currencies (and reporting currencies, a subset of the active currencies) are listed under the Interest Rate Codes. The options under the Interest Rate Code Forecast method pane provide several ways to model the effects on portfolio cash flows due to interest rate changes.
You can map your forecast scenario with the Behavior Pattern Rule. For more information, see the Behavior Pattern Rule Mapping section.
The following Currency Forecast methods are available when you select a currency (other than the reporting currency) from the Currency Codes list.
|
Method |
Description |
|---|---|
|
Flat |
Forecast no change in the exchange rate for all dates beginning with the as-of date. |
|
Structured Change |
Forecast exchange rates as an incremental change from the previous period. |
|
Direct Input |
Type exchange rates to use in forecasting. |
|
Parity * |
Forecast the exchange rate between two currencies based on interest rate forecasts for the reference IRC associated with each of the currencies. |
|
No Arbitrage * |
Forecast the exchange rate required to maintain a no-arbitrage condition between two currencies. |
* The above methods are available when the selected currency has an associated reference IRC as defined in the Rate Management.
You can map your forecast scenario with Behavior Pattern Rule. For more information, see the Behavior Pattern Rule Mapping section.
Examples of Currency Forecasting
The following examples use the data to demonstrate currency forecast methods:
· Reporting currency = U. S. dollars (USD is shown in the title bar)
· Local currency = Australian dollars – (converting from Australian dollars (AUD) to USD)
· Exchange rate loaded from Rate Manager = 1.108 AUD to 1 USD (rate in effect on the as-of date, 06/30/09)
· Modeling period = 07/01/2009 to 06/30/2010
For all the examples, start with the following:
1. Create a new Forecast Rates Assumption Rule with USD as the Reporting Currency.
2. In the Forecast Rates window, add a scenario:
§ Click
Add .
§ Type a Name for the scenario.
3. Click Apply.
Flat Method: Calculate the exchange rate of Australian dollars to $1 U. S., modeling NO change in the exchange rate during the modeling period.
In the Forecast Rates window, follow these steps:
1. From Currency Codes, select AUD: Australian Dollar.
2. From Currency Forecast Method, click Flat.
3. Click View.
Under Rate Value, see the exchange rate: $1.108 AUD s equal $1 USD. This rate is applied uniformly to all date buckets, based on the rate in effect at the As Of Date in the Application Preferences.
4. Click OK.
5. Click Save in Forecast Rates window.
Structured Change: Model a change in the exchange rate so that the rate increases by a total of 0.5% over four months, levels off for four months, and then drops a total of 0.25% over three months.
In the Forecast Rates window, follow these steps:
1. From Currency Codes, select AUD: Australian Dollar.
2. From Currency Forecast Method, select Structured Change.
3. Click Define.
4. Add rows using
Add
and enter bucket numbers and rate changes as shown in Figure 3:
5. Use the Excel Import or Export feature to add the rate changes. For more information, see the Excel Import or Export section.
6. Click Apply.
7. Click View to see the output table.
8. After viewing the Currency Codes in Currency Codes Structured Change window, click OK.
9. Click Save in Forecast Rates window.
Direct Input: Model a change in the exchange rate so that rates reflect a stronger U. S. dollar during the spring of 2010.
In the Forecast Rates window, follow these steps:
1. From Currency Codes, select AUD: Australian Dollar.
2. From Currency Forecast Method, select Direct Input.
3. Click Define.
4. Click Apply.
5. Click View to see the output table.
6. Use the Excel Import or Export feature to add the rate values. For more information, see the Excel Import or Export section.
7. After viewing the Currency Codes in Currency Codes Structured Change window, click OK.
8. Click Save in Forecast Rates window.
Parity: Model a period of rising interest rates for the U. S. and Australian dollars. Use the parity method to forecast the exchange rate of Australian dollars to $1 U. S. Parity is calculated based on the forecast interest rates of the reference IRCs of the Australian dollar and the U. S. dollar.
1. In the Forecast Rates window, forecast changes in the U. S. dollar interest rate:
2. From Currency Codes, select USD: US Dollar.
3. From Interest Rate Codes, select Treasury Index.
4. From Rate Forecast Method, click Direct Input.
5. Click Define. Enter interest rate changes for 02/01/2010 through 04/30/2010 in Currency Codes Structured Change window.
6. Click Apply.
7. In the Forecast Rates window, forecast changes in the Australian dollar reference interest rate:
8. From Currency Codes, select AUD: Australian Dollar.
9. From Interest Rate Codes, select IRC AUD.
10. From Rate Forecast Method, select Direct Input.
11. Click Define. Enter interest rate changes for 02/01/2010 through 04/30/2010 in Currency Codes Structured Change window.
12. Click Apply.
13. Click Save in Forecast Rates window.
The View option is not available for the parity feature. To view the results, enable the Forecast Rate option in the Audit block of ALM process window for the relevant interest rate codes. Audit results are written to the FSI_INTEREST_RATES_AUDIT table.
No Arbitrage: Forecast the exchange rates required to maintain equilibrium between the U. S. and Australian dollars. This forecast is based on the historical interest rates from the reference IRC of each currency. This example assumes that the following reference IRCs are assigned in Rate Management:
· U. S. dollar: Treasury Index
· Australian dollar: IRC AUD
In the Forecast Rates ID window, follow these steps:
1. From Currency Codes, select AUD: Australian Dollar.
2. From Currency Forecast Method, select No Arbitrage.
3. Click Save.
The View button is not available for the No Arbitrage feature. To view the results, enable the Forecast Rate option in the Audit block of the ALM Process window for the relevant Interest Rate Codes. Audit results are written to the FSI_INTEREST_RATES_AUDIT table.
The following Economic Indicator methods are available.
|
Method |
Description |
|---|---|
|
Flat |
Forecast no change in the economic index for all dates beginning with the as-of date. |
|
Structured Change |
Forecast the economic index as an incremental change from the previous period. |
|
Direct Input |
Type-specific economic index rates to use in forecasting. |
Examples of Economic Index Forecasting
Flat: Viewing an economic index forecasted for New Residential Sales.
1. From Currency Codes, select USD: US Dollar.
2. From Economic Indicators, select New Residential Sales.
3. From Economic Indicator Forecast Method, select Flat.
4. Click View.
The Economic Indicator View window displays the rates forecasted for the New Residential Sales.
Here, the Total Rate Change field will be consistent with the Value field of the Economic Indicator window.
Structured Change: Model a gradual increase for six months in New Residential Sales.
1. From Currency Codes, select USD: US Dollar.
2. From Economic Indicators, select New Residential Sales.
3. From Economic Indicator Forecast Method, select Structured Change.
4. Click Define. Enter the interest rate change.
5. Click Apply in the Economic Indicator View Structured Changes window.
6. Click View in the Forecast Rates window.
7. You can see the incremental increase over the six months (150 = 25 per month * 6 months)
Direct Input: To use the Direct Input method, see the Structured Change section with the following steps:
1. From Currency Codes, select USD: US Dollar.
2. From Economic Indicators, select New Residential Sales.
3. From Economic Indicator Forecast Method, select Direct Input.
4. Click Define. Enter the interest rate change. Enter New Residential Sales data (forecasted values for each bucket rather than forecasted values changes over a period of one or more buckets).
After defining the forecast method for an Economic Indicator, you can undo the definition by selecting the relevant Economic Indicator (green color check-box) and click Un-Define. This will bring the Economic Indicator to its original undefined state indicated by the Red Color check box. Use this if you want to delete an Economic Indicator from the Economic Indicator of the Rate Management after defining the forecast method for it.
The following Interest Rate Forecast methods are available.
|
Method |
Description |
|---|---|
|
Flat |
Forecast no change in the interest rate for all dates beginning with the as-of date. |
|
Structured Change |
Forecast rate changes in terms of absolute or percent change, for any modeling period or interest rate term, such as: +100 basis points on Day 1 -200 basis points over the first 6 months Yield curve rotation (short point decreasing, long point increasing) |
|
Direct Input |
Type interest rates directly for any modeling period or interest rate term. |
|
Implied Forward |
Forecast interest rates based on the yield-curve interest rates in effect at the as-of date and consistent with the modeling bucket definitions. |
|
Change from Base |
Make incremental changes to an existing forecast scenario. |
|
Yield Curve Twist |
Flatten or steepen the yield curve around a specific point on the curve. |
|
Standardized Approach Shocks |
Forecast an interest rate shock according to one of the BSCB Standardized Approach shock specifications (Scenario-level specification). |
|
Enhanced Approach Shocks |
Forecast an interest rate shock according to user specifications that will flow into IRRBB Table B reporting. |
The following Interpolation Methods are available.
|
Method |
Description |
|---|---|
|
Linear Interpolation |
Linear interpolation uses linear yield curve smoothing. Linear yield curves are continuous but not smooth; at each knot point there is a kink in the yield curve. You may not want to use a linear yield curve with a model that assumes the existence of a continuous forward rate curve, due to the nonlinear and discontinuous knot points of a linear yield curve. |
|
Cubic Spline of Yields |
A cubic spline is a series of third-degree polynomials that have the form: y = a + bx + cx2 + dx3 These polynomials are used to connect the dots formed by observable data. The polynomials are constrained so they fit together smoothly at each knot point (the observable data point.) This means that the slope and the rate of change in the slope with respect to time to maturity have to be equal for each polynomial at the knot point where they join. If this is not true, there is a kink in the yield curve and they are continuous but not differentiable. Two more constraints make the cubic spline curve unique. The first restricts the zero-maturity yield to equal the 1-day interest rate. The second restricts the yield curve at the longest maturity to be either straight (y"=0) or flat (y'=0). |
|
Quartic Spline |
Quartic interpolation requires a minimum of 4 knot points. The quartic interpolation equation can be represented as: Y = a + b X1 + CX2 + d X3 + e X4 The end knot points satisfy equations for one curve and all intermediate points satisfy two curves. Hence in a scenario with a minimum number of knot points, there will be 6 equations. For n number of knot points, the number of equations is 2n-2. If n is the number of points to be interpolated, the order of the matrix to be formed is 5*(n-1) x 5*(n-1). The matrix is formed according to the following logic: The second derivative at the endpoints and the first derivative of the last point is Zero. At the points other than the endpoints, the value of the first derivatives, second derivatives, and the third derivatives of the function are equal. |
In looking up the Forecast Rates, the Cash Flow Engine will (where necessary) perform an interpolation between yield curve term points. For example, in determining a three-month rate from a yield curve that contains only a one-month rate and a six-month rate, the Cash Flow Engine will perform an interpolation to determine the implied three-month rate. The Interpolation method used is defined by the selected interpolation method for the Interest Rate Curve.
Examples of Interest Rate Forecasting
You can generate the forecast rates for 360 calendar months, Moody's structured cashflow library's integration is done with ALM. The first month corresponds to the first calendar month of As of Date. The subsequent months are full calendar months. For example, if As of Date is 30 APR 2013, then the first month is April 2013. The second month will be May 2013 and so on. ADCo model requires two IRCs for an ARM instrument (First is 2 Yr, 10 Yr IRC and second is the Prepayment Index IRC). For a fixed-rate instrument, 2 Yr, 10 Yr IRC will only be passed.
You can forecast an IRC which has various term points including 2 Year and 10 Year term points. The term points 2 Year (or 24 Months) and 10 Year (or 120 Months) are available. The engine will identify 24 Months term point as 2 Years and 120 Months as 10 Years. If the term point (or points) are unavailable, then the engine will be unable to send the forecast rates for the IRC.
The engine will match the last day of the calendar month with the income simulation bucket (ISB) dates and fetch the rate corresponding to the term point to pass to the ADCo model while converting from ISB to 360 months. While converting from ISB to 360 months, if the total ISB size is less than 360 months, then the last available rate must be extended till the 360th month. For example, if the ISB covers only 240 months, then the 240th month rate will be applied from the 241st to 360th months.
When Show 360 months Buckets check box is enabled, 2-year (24 months) and 10-year (240 months) term points will be highlighted in red color.
The Show 360 months Buckets check box is displayed only if the Curve Identifier is defined for base IRC.
Flat: Viewing U. S. dollar interest rates forecasted for the Treasury Index.
1. From Currency Codes, select USD: US Dollar.
2. From Interest Rate Codes, select US Treasury Curve.
3. From Rate Forecast Method, select Flat.
4. Select the Interpolation method.
5. Click View.
After clicking View, the Interest Rate View window displays the rates forecasted for the Treasury Index in the ISB view. Here, Show Rates for Show 360 Months Buckets check box is not selected by default. On seecting this check box, the results will be displayed for the 360 months view. You can not enter the values against buckets for Flat method in 360 months or ISB view. The Show 360 Months Buckets check box is available by default if the ADCo LDM, Moody's structured cashflow library, or both functions are mapped to you.
Structured Change: Model a gradual increase for six months in U. S. dollar interest rates.
1. From Currency Codes, select USD: US Dollar.
2. From Interest Rate Codes, select US Treasury Curve.
3. From Rate Forecast Method, select Structured Change.
4. Select the Interpolation method.
5. Click Define and enter a shock amount to apply to the IRC in absolute or percentage change. You can designate either absolute rate change or percent rate change.
6. Enter the Interest Rate changes.
Use the Excel Import or Export feature to add the interest rate changes. For more information, see the Excel Import or Export section.
7. Click Apply.
8. Click View in Forecast Rates window.
After clicking View, the Interest Rate View window displays the rates forecasted for the Treasury Index in the ISB view. Here, Show Rates for Show 360 Months Buckets check box is not selected by default. On selecting this check box, the results will be displayed for the 360 months view. You cannot enter the values against buckets for Flat method in 360 months or ISB view. The Show 360 Months Buckets check box is available by default if the ADCo LDM, Moody's structured cashflow library, or both functions are mapped to you.
9. The rate increases you entered in step 5 are apportioned equally over six months in this case August to January. Therefore, in monthly buckets 2-7, you will expect to see the following increments added to the Treasury Index Interest Rates.
|
3 month |
6 month |
1 year |
2 year |
|---|---|---|---|
|
1/6 of 1.00 = 0.1667 |
1/6 of 1.25 = 0.2083 |
1/6 of 1.50 = 0.25 |
1/6 of 1.75 = 0.2917 |
10. The interest rates in buckets 2-7 reflects the increases.
Direct Input: To use the Direct Input method, see the Structured Change sections with the following modifications:
1. In step 5, enter Interest Rates (forecasted rates for each bucket rather than forecasted rate changes over a period of one or more buckets).
2. In step 3, select Direct Input.
3. During defining the Direct Input, Show 360 Months Buckets check box is selected by default if the ADCo LDM, or Moody's structured cashflow library, or both functions are mapped to you. If you enter the forecast rates against 360 months, the UI converts the same across the Income Simulation Buckets.
4. Similarly, you can enter the data for income simulation buckets after unchecking the Show 360 Months Buckets. Now, the UI converts the rates from ISB to 360 months view.
When you switch from the ISB to 360 months view or vice versa, you will get a message: Switching the view will erase the existing definition. Do you want to continue? . Click YES to erase the definition.
§ Enter the data across ISB and select the Show 360 Months Buckets check box, it overrides that data for a few of the 360 months buckets.
§ Enter the data across 360 months buckets and do not select the Show 360 Months Buckets check box, it overrides that data for a few of the ISB.
After defining the rates in 360 Months buckets and clicking View, the Interest Rate View window displays the result in 360 months view. Here, the Show 360 Months Buckets check box is selected by default.
If you have defined the rates in the ISB and click View, the Interest Rate View window displays the result in the ISB view. Here, the Show 360 Months Buckets check box is disabled by default. On selecting this check box, the results will be displayed for the 360 months view. You cannot enter the values against buckets for this method in 360 months or ISB view.
Use the Excel Import or Export feature to add the interest rates. For more information, see the Excel Import or Export section.
Implied Forward: View U. S. dollar interest rates forecasted from the Treasury Index rates and terms in effect at the as-of date and consistent with the modeling buckets.
1. From Currency Codes, select USD: US Dollar.
2. From Interest Rate Codes, select US Treasury Curve.
3. From Rate Forecast Method, click Implied Forward.
4. Click Define and enter a shock amount to apply to the IRC in absolute or percentage change. You can designate either absolute rate change or percent rate change. If no change is required to the base curve, leave at 0.0, and click Apply.
Use the Excel Import or Export feature to add the absolute or percent rate changes. For more information, see the Excel Import or Export section.
5. Click View to view the Implied Forward Rates.
After clicking View, the Interest Rate View window displays the results in the ISB view. Here, Show Rates for Show 360 Months Buckets check box is disabled by default. On selecting this check box, the results will be displayed for the 360 months view. You cannot enter the values against buckets for this method in 360 months view. The Show 360 Months Buckets check box is available by default if the ADCo LDM, or Moody's structured cashflow library, or both functions are mapped to you.
Change from Base: Select a Forecast Rate scenario that you have already defined and saved and change it by typing incremental changes to rates. For example, you might want to forecast for a scenario 1 based on incremental changes to the rates in scenario 2.
After clicking View, the Interest Rate View window displays the results in the ISB view. Here, Show Rates for 360 Months Buckets check box is disabled by default. On selecting this check box, the results will be displayed for the 360 months view. You cannot enter the values against buckets for this method in 360 months view. The Show 360 Months Buckets check box is available by default if the ADCo LDM, or Moody's structured cashflow library, or both functions are mapped to you.
Yield Curve Twist: Setting up a scenario to steepen or flatten a given yield curve.
1. From Currency Codes, select USD: US Dollar.
2. From Interest Rate Codes, select US Treasury Curve.
3. From Rate Forecast Method, select Yield Curve Twist.
4. Click Define.
5. Enter the interest rate changes (flattening the curve around the three-month term point).
6. Click Apply.
After clicking View, the Interest Rate View window displays the results in the ISB view. Here, Show Rates for Show 360 Months Buckets check box is disabled by default. On selecting this check box, the results will be displayed for the 360 months view. You cannot enter the values against buckets for this method in 360 months view. The Show 360 Months Buckets check box is available by default if the ADCo LDM, or Moody's structured cashflow library, or both functions are mapped to you.
After you have defined the Forecast method for an Interest Rate Code, you can undo the definition by selecting the relevant Interest Rate Code (green color check box) and clicking the Un-Define option. This will bring the Interest Rate Code to its original undefined state indicated by Red Color check box. This step is necessary if you want to delete an Interest Rate Code from the Interest Rates window of the Rate Management window after defining the Forecast method for it.
Standardized Approach Shocks
NOTE:
Standardized Approach shocks are different than other Interest Rate Rules as these are applied at the scenario level instead of at the IRC level. When you create a new Forecast Rates rule, the default Scenario 1 is always the base scenario for Standardized Approach purposes and cannot have a Standardized Approach shock definition.
1. In Forecast Rates window, select the IRRBB Shocks. This allows you to define either Standardized or Enhanced Approach Scenarios, or both for a single Forecast Rates Rule. Once a forecast rates rule is designated as IRRBB Shocks, this check box cannot be unselected unless there are no defined scenarios as either Standardized or Enhanced Approach scenario type.
2. To apply a Standardized Approach scenario, click the Add Scenario.
3. In the Add Forecast Rates Scenario window, select the Scenario Type to apply the scenario.
4. Only one Standardized Approach shock can be applied to a single scenario, and no two SA shocks of the same type may be applied to the same Forecast Rates rule. All qualifying IRCs will inherit this SA shock and cannot be changed except for their interpolation method and minimum rate.
5. Click Apply to make scenario as Standardized Approach shock.
Enhanced Approach Shocks
Like Standardized Approach shocks, Enhanced Approach shocks are scenario-level rules, and Scenario 1 is always referred to as the Base scenario for reporting purposes. However, unlike Standardized Approach shocks, the Forecast method for each IRC is not pre-established. This means that users must define the Forecast method, interpolation method and minimum rate for all Interest Rates in each scenario. Once defined and processed, the results will flow through into the Table B reporting.
1. In the Forecast Rates window, select the IRRBB Shocks. This allows you to define either Standardized or Enhanced Approach scenarios, or both for a single Forecast Rate rule. After a Forecast Rate rule is designated as IRRBB Shocks, this check box cannot be unselected unless there are no defined scenarios as either Standardized or Enhanced Approach Scenario Type.
2. To apply an Enhanced Approach scenario, click the Add Scenario.
3. Only one Enhanced Approach shock can be applied to a single scenario, and no two EA shocks of the same type can be applied to the same Forecast Rates rule. All IRCs in this scenario remain fully editable for the Forecast method, Interpolation method, and Minimum Rate.
4. Click Apply to make the scenario as Enhanced Approach shock.
This feature allows you to set a static shock percentage (positive or negative) to be applied to ALM Volatilities in a Forecast Rates window.
For more information, see the Cash Flow Engine Reference Guide.
This pane displays the list of Interest Rate Codes that are defined as ALM Volatility Surface. To view or edit an ALM Volatility, following are the prerequisites:
· Interest Rate as an ALM Volatility Surface.
· Have a matching currency to the Forecast Rates Reporting Currency.
For more information, see the Interest Rates Details section.
Following is an example to define the Shock Percentage for ALM Volatility Surface. These steps can be repeated for each new scenario.
1. From Currency Codes, select a Currency, for example, USD: US Dollar. Only ALM Volatility Surfaces of the same currency will be available.
2. In the ALM Volatility block, select a Vol Surface.
3. Enter shock percentage for respective ALM Volatility. You can enter positive or negative values here (between -99.9999 and 1,000).
4. Click Apply. A confirmation box is displayed.
5. To view the results of the shock, select an ALM Volatility, and then click View.
6. To remove the shock percentage, click Un-Define.
To edit a Forecast rate, follow these steps:
1. From Currency Codes, select the Currency Code (for example, IND: INDS).
2. Here, initially the IRC is in Red color and after selection (that is, Editing of Currency Code) and clicking Apply, it turns to Green color.
3. Selecting a different IRC means the addition of an IRC and not the deletion or Deselection of the rest of the IRCs. After reopening the Forecast Rate, the lowest IRC code will be selected by default. If the scenario is defined as a Standardized Approach scenario, then this definition can be changed or removed.
4. Select the Edit for a Standardized Approach scenario.
5. To change the scenario from one SA shock to another SA shock, select the new definition. Do this to change all the qualifying SA IRCs to the new definition.
6. To remove a SA definition to the current scenario, select the Scenario Type as NONE. his will remove all Forecast Method definitions for all qualified SA IRCs.
7. To change the SA definition to an Enhanced Approach definition, select an available Enhanced Approach scenario type. his will remove all Forecast Method definitions for all qualified SA IRCs.
8. Click Apply.
If the scenario is defined as an Enhanced Approach scenario, this definition can be changed or removed.
1. Select the Edit for an Enhanced Approach scenario.
2. To change the scenario from one EA shock to another EA shock, select the new definition. Changing from one EA scenario to another EA scenario will not change the IRC Forecast Methods already defined.
3. To remove an Enhanced Approach definition to the current scenario, uncheck the check box IRRBB Standardized Rate Shocks. Changing from an EA Scenario type to NONE will not change the currently defined IRC Forecast Methods.
4. To change an existing Enhanced Approach definition to a Standardized Approach scenario, select a currently available Standardized Approach type in the Scenario Type drop-down list. his will change all relevant IRC Forecast Methods definitions.
5. Click Apply.
The Behavior Pattern Rule Mapping drop-down list shows the list of existing Behavior Pattern Rule. Select any behavior pattern to map with the current forecast scenario. To map a behavior pattern to all the forecast scenarios, use the Apply to all scenarios check box. For more information about the Behavior Pattern Rule, see the Behavior Pattern Rule section.
Stage Forecast Rate Loader procedure loads forecast rates definitions into the OFS ALM Forecast rates tables from the staging tables. Forecast rate parameters for Direct Input and Structured Change methods within a scenario for Exchange Rates, Interest Rates, and Economic Indicators are loaded from staging to the Financial Services Data Model. After loading the forecast rates, you can view the information in the Forecast Rate Summary page.
For more information on how to set up the procedure, see the Stage Forecast Rates Loader section of Oracle Financial Services Analytical Applications Data Model Utilities User Guide.
To execute the Data Loader procedure, follow these steps:
1. Navigate to the Forecast Rates Summary page.
2. Click
Data Loader Execution (
).
This will execute all the available Forecast Rates set up in the data
loader for Direct Input and Structured Change methods. A warning message
is displayed: Update all available Forecast Rates?. Click Yes.