1. Forecast Rates
  2. Forecast Rates

2 Forecast Rates

Forecast Rate Scenario Assumptions allow you to define future interest rates, future economic indicators, future currency exchange rates, future interest rate volatility, and select Forecast Rate rule for cash flow calculation. Interest rate forecasts are used to project cash flows, including pricing new business, repricing existing business, calculating prepayments, and determining discount methods. Interest rate volatility forecast are used for option valuation. Economic Indicator forecasts are used to calculate cash flow for inflation-indexed instruments, included in Behavioral Modeling and scenario or stress analysis. Currency Exchange Rate Forecasts are used to account for the effects of currency fluctuations on income.

The Forecast Rate Assumptions use interest rate curve, volatility surface, economic indicator, active and reporting currencies, and Forecast Rate rule.

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.

Forecast Rate Rule Summary

This page is the gateway to all Forecast Rate Rules and related functionality. You can navigate to other pages relating to Forecast Rate Rules from this point.

Figure 2-1 Forecast Rate Summary


Forecast Rate Summary

Search Forecast Rate Rule

Prerequisites: Predefined Forecast Rate Rule

To search for a Forecast Rate Rule:

Click Search after entering the search criteria. The search results are displayed in a table containing all the Forecast Rate Rules that meet the search criteria.

Or

An alternative method to search a Forecast Rate Rule is through the Field Search option. This is an inline wildcard UI search that allows you to enter a search value (such as code, name, etc.) partially or fully. Rows that contain the string you are searching for are fetched and displayed in the Forecast Rate Rule Summary. You can enter the Code, Name, Description, Dimension, Hierarchy, and Folder of the Forecast Rate Rule and click Search .

The Forecast Rate Rule Summary displays the following information:

Add: Click the Add icon on the page header to build a new Forecast Rate Rule.

  • Code: The System ID of Forecast Rate Rule.
  • Name: The Forecast Rate Rule's short name.
  • Reporting Currency: The Reporting Currency selected in the Forecast Rates Rule.
  • IRRBB Shock: Displays Yes if IRRBB (Interest Rate Risk in Banking Book) scenario type is defined in the Forecast Rates Rule, Otherwise No is displayed.
  • No. of Scenarios: The number of scenarios defined in the Forecast Rates Rule
  • Folder: The Folder name where the Forecast Rate Rule is saved.
  • Last Modified By: The user who last modified the Forecast Rate Rule.
  • Last Modified Date: The Date and Time when the Forecast Rate Rule was last modified.
  • Access Type: The access type of the rule. It can be Read-Only or Read/Write.
  • Action: Click this icon to view a list of actions that you can perform on the Forecast Rate Rule.
    • Multiple Delete: Enables you to select and delete one or multiple rules in the table simultaneously.
    • View/Edit: Based on the user privilege assigned, you can either only view or edit existing Forecast Rate Rules. To edit a rule, you must have Read/Write privilege.
    • Save As: You can reuse a Forecast Rate Rule by saving it under a new name thus saving time and effort in entering data multiple times; it also leads to reduced data entry errors.
    • Delete: You can delete Forecast Rate Rules that you no longer require. Note that only Forecast Rate Rule owners and those with Read/Write privileges can delete Forecast Rate Rules. A Forecast Rate Rule that has a dependency cannot be deleted.
    • Dependency Check: You can perform a dependency check to know where a particular Forecast Rate Rule has been used. Before deleting a rule, it is always a good practice to do a dependency check to ensure you are not deleting Forecast Rate Rules that have dependencies. . A report of all rules that utilize the selected Forecast Rate Rule is generated.

      Note:

      This is functionality will intended for a future release.

Also See: