FE 430 Interest Cash Flow Calculation Logic with Leap Year Accrual Clarifications (Doc ID 2170567.1)

Last updated on JUNE 19, 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, the interest cash flow for a non maturity behavior pattern (BP) appears to be incorrect.

ACTUAL BEHAVIOR
Interest cash flow shows that the 1st day is being computed with an accrual of 1/365 while the rest of the 6 days are 6/366. Our question is why is this logic used if BP is defined with 7 day tenor - volatile.

EXPECTED BEHAVIOR
Expect that by having a behavior pattern the maturity date at the record level should be overwritten with the info contained within the BP. Tested using an instrument with 7 days maturity with the as of date being the 31/12/2015. Taking this into consideration and the accrual basis Actual/Actual, it is expected to see the interest cash flow calculation as :

(Maturity Date as per Behavior Pattern 70003 which is defined as a 7 Days 100% Volatility - As_of_Date)/366*Cur Net Rate /100 * Cur Par Bal

The issue can be reproduced at will with the following steps:
1. Define non maturity bp with 7 day tenor
2. Run ALM process
3. Check results

Cause

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