1. Asset Liability Management Cloud User Guide
  2. Business Rules Administration
  3. Application Specific Rules
  4. Other Rules

5.3.1 Other Rules

This section covers the following topics:

  1. Prepayment Rules: A Prepayment Rule contains methodologies to model the prepayment behavior of various amortizing instruments and quantify the associated Prepayment Risk.
  2. Prepayment Models: Prepayment Models can be referenced by a Prepayment Rule to Model Prepayment Behavior of instruments based on a range of instrument level attributes.
  3. Behavior Pattern Rules: The Behavior Pattern Rule UI allows you to group Behavior Pattern codes (behavioral assumptions) together in a set at the Product/Currency level which then can be rotated to select a value on a combination.
  4. Time Bucket: The Time Bucket module describes the procedure for working with and managing Time Bucket rules. The Time Bucket Rules allow users to create the time bucket definitions used for computing and out­putting aggregated cash flows across time. The Time Bucket Rules determine the granularity of cash flow output and can be set at any frequency through a combination of daily, monthly, and yearly buckets.
  5. Forecast Rates: 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, re-pricing existing business, calculating prepayments, and determining discount methods. Use Economic Indicator forecasts to include in behavioral modeling and scenario/stress analysis. Use currency exchange rate forecasts to account for the effects of currency fluctuations on income.
  6. Discount Methods: This module describes the procedure for working with and managing Discount Method Rules. Discount Method Rules allow users to define the method for discounting projected Cash Flows for market value and duration calculation purposes.
  7. Currency Gain/Loss: Currency Gain/Loss occurs when an entity buys/sells goods or services in a foreign currency, and that currency fluctuates relative to their Local currency, this can create differences in value of the monetary Assets and Liabilities.
  8. IRRBB Standardized Approach : The IRRBB Standardized Approach UI allows you to view, edit, and delete currencies, shocks, or other parameters currently stored in the IRRBB Standardized Approach shocks table FSI_IRC_STDAPRCH_SHOCKS as well as the Standardized Approach Prepayment/Early Redemption scalars table FSI_IRC_STDAPRCH_CPRER.