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Does the Cash Flow Engine Use Accrual Basis in the Calculation of Payment Schedule Interest or the Market Value Rate Lookup Term? (Doc ID 2143185.1)

Last updated on MARCH 31, 2021

Applies to:

Oracle Financial Services Hedge Management and IFRS Valuations - Version 6.1.1 and later
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)


For Oracle Financial Services Asset Liability Management (ALM) or Hedge Management (HM) / IFRS, you have questions regarding the usage of the ACCRUAL_BASIS_CD by the Cash Flow Engine:

Question 1: For Payment Schedule records with AMRT_TYPE_CD = 800, 801, or 802, when running a process, the cash flow calculations for interest cash flow (FE 430) (used in Market Value) are using an Accrual Basis of Actual/Actual when you defined 30/360 in ACCRUAL_BASIS_CD.  Why isn't the Cash Flow Engine using 30/360 in the calculation?
Question 2: When the instrument record has an ACCRUAL_BASIS_CD = 1 (30/360), the calculation for FINANCIAL_ELEMENT_ID = 494 (Rate Lookup Term (Days) still uses the actual number of days between cash flow dates.  Is FE 494 used for calculating interest cash flow (FE 430) or for discounting the cash flow to obtain FE 715 (Present Value of Principal Cash Flows) or FE 716 (Present Value of Interest Cash Flows) or Effective Interest Rate (EIR)?  Is FE 494 always calculated using the actual number of days?

Question 3: Why error 9184 Accrual Basis Code is output in FSI_PROCESS_ERROR Error for instrument with Payment Schedule?


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