ALM Market Value Result is Greater Than Expected

(Doc ID 1924033.1)

Last updated on DECEMBER 13, 2017

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.1 and later
Oracle Risk Manager - Version 4.5.36 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

Market Value results from ALM process is greater than expected.

In FSI_O_RESULT_MASTER (ALM) or OFSA_RESULT_MASTER (RM), the balance in MARKET_VALUE is greater than the value in CUR_PAR_BAL.  You expect the opposite to be true.

Expected Behavior
Market Value should be lower when the yield is higher than the current net rate.  If interest rates go up, the price of interest bearing instruments should go down.
Market Value results vs calculation difference are significant when the time to maturity is high.
In this example, Expected Market Value per manual calculation is 100.28 while ALM Market Value result is 116.29.

Cause

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