Incorrect ALM Interest Cash Flow and Interest Accrued Results Using Early Redemption Constant User Defined Redemption Tenors (Doc ID 2243862.1)

Last updated on MARCH 14, 2017

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.2 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)

Symptoms

On OFSAA 8.0.2, the interest cash flow and interest accrued appear to be incorrectly calculated for a fixed rate instrument when Early Redemption-Constant-User Defined Redemption Tenors is used.

ACTUAL BEHAVIOR
Some difficulties encountered when validating FE 430 (Interest Cash Flow) and FE 440 (Interest Accrued) when using a Constant Early Redemption with User Defined Redemption Tenors. It seems that Interest Income is half expected value as it appears to be calculated from As Of Date to Next payment date instead of from Last Payment date as expected.

EXPECTED BEHAVIOR
Expected the interest income to be calculated from last payment date to next payment date, not from as of date to next payment date. Expected results for interest accrued and interest cash flow would be similar to a process without prepayment/early redemption (please see attached document No redemption)

The issue can be reproduced at will with the following steps:
1. Create new Prepayment rule with Early Redemption -> Constant Calculation Method -> User Defined Redemption Tenors
2. Create new ALM process and run and check FE 430 and FE 440 output in RES_DTL table
3. Output if half if expected value

Cause

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