Non Maturity Behavior Pattern Records Incorrect Calculated Interest Cash Flow and Market Values Due to Accrued_Interest Field (Doc ID 2074087.1)

Last updated on JANUARY 21, 2017

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.1 and later
Oracle Financial Services Balance Sheet Planning - Version 6.1 and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management (ALM)

Goal

Is there any solution so that the cash flow engine will not consider the accrued interest column? Consider the following case:

For Non maturity behavior pattern records, the cash flow engine is considering the accrued interest column and the same is been bucketed according to the next payment date. However, the accrued interest column is also populated but the current par balance does not include the accrued interest only the outstanding balance, accrued interest is separately captured in accrued interest column.

Therefore, while calculating YTM and Market value the cash flow engine (CFE) is calculating some inconsistent values and the process is failing. Since the YTM calculation includes future cash flows with the accrued interest, there is an inconsistency as the same is not considered in the present balance.

Solution

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