Market Value and Duration Results Posted to Instrument Table and FSI_O_RESULT_MASTER Do Not Reconcile (Doc ID 2118931.1)

Last updated on JULY 28, 2017

Applies to:

Oracle Financial Services Asset Liability Management - Version 6.1.1 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)

Symptoms

On Oracle Financial Services Asset Liability Management (ALM) 6.1.1 when attempting reconcile generated results between the instrument table and FSI_O_RESULT_MASTER for duration and market value, the results appear to be inconsistent.

ACTUAL BEHAVIOR
When trying to validate the duration results generated by ALM process from both instrument tables and FSI_O_RESULT_MASTER, there appears to be a difference between the two values.
In testing used three individual instrument records under the same combination <Product, Org Unit, Currency> with specific DURATION_C values.
In order to obtain the duration from FSI_O_RESULT_MASTER the following formula is applied:

DURATION_C (record 1) * MARKET_VALUE (record 1) +
DURATION_C (record 2) * MARKET_VALUE (record 2) +
DURATION_C (record 3) * MARKET_VALUE (record 3)

In order to get the MARKET_VALUE for each deal the following two options were tried unsuccessfully:

1. Use the Market Value as generated in the FSI_O_PROCESS_CASH_FLOWS
2. Use the Market Value based on MARKET_VALUE_C from instrument record level (which is Market Value / CUR_PAR_BAL). In both cases, there appears to be a difference between this formula and OFSAA results.

So, the question is: Does OFSAA use another formula for computing the DURATION is FSI_O_RESULT_MASTER? Are there any other adjustments made on the duration written at account level?

EXPECTED BEHAVIOR
Expect to be able to reconcile the individually generated Market Value and Duration results with the aggregated results on FSI_O_RESULT_MASTER.

The issue can be reproduced at will with the following steps:
1. Load data instrument data
2. Create ALM assumptions
3. Create ALM Process with Audit and Detailed Cash Flow enabled
4. Attempt to reconcile results

Cause

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