FTP Adjustment Defined With Formula Based Ignores Negative Rates on IRC (Doc ID 1383469.1)

Last updated on MARCH 01, 2016

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version: 5.6 and later   [Release: 5 and later ]
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

The Funds Transfer Pricing (ftp) engine is not writing negative adjustment rates using the Formula Based Rate method even when the underlying historical interest rate values are negative. In this case, a value of zero seems to be coming through.

Expected Behavior
When having a yield curve where some spreads are negative and others positive, based on the Interest Rate Curve (IRC) term. This signage should come through with the Adjustment Rate that is posted to the instrument record.

Steps:
1) Input rates for an IRC using a mix of negative and positive values, e.g.
    1M = -.25, 2M = .50, 3M = .75

2) Create and Adjustment Rule using any method, e.g. Liquidity Adjustment and the Formula based method.

3) Select the above IRC when defining the formula.

4) Run the Process against three instrument records having 1M term, 2 M term and 3M term and notice the positive rates come through correctly, but the negative rate (1M term) is showing as "0". The 1M term instrument should have a negative rate (-0.25 from above).

Cause

Sign In with your My Oracle Support account

Don't have a My Oracle Support account? Click to get started

My Oracle Support provides customers with access to over a
Million Knowledge Articles and hundreds of Community platforms