1. Asset Liability Management User Guide
  2. Forecast – Maturity Mix
  3. Defining a Maturity Mix Rule: An Example

30.3 Defining a Maturity Mix Rule: An Example

  1. Define a Maturity Mix Rule using a Rate Dependency Pattern.
  2. From the Maturity Mix Assumption Browser, select Currency (US Dollar) and Product from the Hierarchy browser.
  3. Select Add New to enter the Maturity Mix Assumption Details page.
  4. Select Rate-Level Dependent Rate Dependency.
  5. Select Rate Level – Rate Dependency Pattern from the drop-down list
  6. Select Apply to navigate to the Date Buckets Tab.
  7. Add Bucket Ranges to the page as needed. Optionally, select the Apply Defined Buckets to All Rate Tiers to copy the bucket structure across all rate tier pages.
  8. Select the first bucket range, and select Define to navigate to the Terms tab.
  9. Add one or more rows based on the number of Maturity Terms needed for the selected product.
  10. Enter the Maturity Terms, Amortization Terms, and Percentage Weights for each row and select Apply to save your inputs for the selected bucket range. Notice the status column on the Date Buckets tab turns from Red to Green, indicating that you have successfully defined assumptions for the Bucket Range.
  11. Continue to define Maturity Mix assumptions for each Bucket Range.
  12. You can also use the Excel Import/Export feature to add the maturity information in the Terms tab.
  13. Select Apply to commit your assumptions for each Rate Tier. Repeat the process for each Rate Tier. After you have defined assumptions for all Rate Tiers, you will return automatically to the Maturity Mix Assumption Browser page.

    Note:

    You can select more than one product at a time from the Maturity Mix Assumption Browser page.

  14. When Maturity Mix assumptions are defined for all required product/currency combinations, select Save from the Maturity Mix Assumption Browser page.