ALM 8.0 Market Value Calculation Incorrect Due to Double Counting of Accrued Interest (Doc ID 2110005.1)

Last updated on JULY 28, 2017

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.0 to 8.0.2 [Release 8]
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Applications (OFSA) - Version 4.5
Oracle Financial Services Asset Liability Management (ALM)

Symptoms

On ALM 8.0.0, the market value calculation is incorrect. The Present value in the Accrued_Interest column matches the difference between the market value calculated using OFSAA 8.0 and the Market Value calculated by OFSA 4.5. The accrued interest is being added twice once in the system calculation and once for the accrued interest column.  Check of FE 430 Interest Income and FE 440 Interest Accrued show incorrect values.

ACTUAL BEHAVIOR
The market value calculation is not correct due to ACCRUED_INTEREST column being added in.

EXPECTED BEHAVIOR
Since the instrument is fixed rate with no behavior patterns, expect ALM to ignore the ACCRUED_INTEREST field.

The issue can be reproduced at will with the following steps:
1. Populate ACCRUED_INTEREST
2. Run ALM with market value checked

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