1. Asset Liability Management User Guide
  2. Moody's WSA Integration with OFS ALM
  3. Moody's Integration – Considerations
  4. WSA Engine and Processing of the Records

38.2.1 WSA Engine and Processing of the Records

  • Moody's WSA Engine requires CUSIP or Deal-ID/Tranche (Bond) Id for processing the instru­ments. Depending on the Forecast Scenario's and the behavior assumptions, the WSA engine will process the records and output the respective cash flows for various scenarios.
  • Moody's provides the cash flows only at the tranche balance, you should populate the balance of their position in the appropriate column, and the cash flows from Moody's would be scaled to the balance provided. This happens within the OFSAA ALM engine.
  • If the you have Moody's installed, only securitized products (supported by Moody's) should be populated in the FSI_D_ASSET_BACK_SEC (or the table classification code for securitized prod­ucts). Other records if populated in this table would not process. For example: If you populate loans and securitized products in the FSI_D_ASSET_BACK_SEC table, the loan records would not be processed in the table.
  • OFSAA ALM also writes back instrument attributes such as agency_type, Asset_type, Original balance of the tranche, current balance of the tranche, coupon, stated maturity, periodicity, and so on for the upstream system to use, if required.