1. Asset Liability Management User Guide
  2. Moody's WSA Integration with OFS ALM
  3. Moody's Integration – Considerations
  4. WSA Engine and OFSAA Rate Management

38.2.2 WSA Engine and OFSAA Rate Management

Interest Rate Curves required for Moody's should be setup through the Curve Identifier drop-down list in the Rate Management IRC UI. Moody's requires the following curves to be defined:

  • LIBOR (Zero-Coupon LIBOR/Swap)
  • TREASURY CURVE (Zero-Coupon Treasury)
  • COFI (Cost of Funds Index)
  • PRIME (Prime Lending Rate)

You are responsible to set up the proper curves while using Moody's libraries. You can define only one Treasury Curve or one LIBOR curve orone COFI curve, and one prime curve per currency.

A majority of the deals would be based on LIBOR or Treasury Curves.