Using FTP with AMRT_TYPE_CD = 801, Cash Flows Are Not Generated Until Maturity As Expected

(Doc ID 2337469.1)

Last updated on DECEMBER 08, 2017

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Funds Transfer Pricing (FTP)

Symptoms

On FTP 8.0.4 , it appears that for Cash Flow Duration method, the results in FSI_O_PROCESS_CASH_FLOWS are not generated all the way to maturity.

When using Cash flow duration method for FSI_D_TERM_DEPOSITS with AMRT_TYPE_CD as "801", in FSI_O_PROCESS_CASH_FLOWS, there is only generated data for five dates for all FE 710,720,190,492,493,755,60,100,430,210 even though loaded payment schedule as additional payments defined.

3/20/2017
2/20/2017
1/20/2017
12/20/2016
11/20/2016

EXPECTED BEHAVIOR
Ideally it should calculate as per payment schedule or till maturity. As per <Document 2289406.1>: "Fixed rate records: The cash flow engine starts from the record's ORIGINATION_DATE and rolls forward by the PMT_FREQ until the MATURITY_DATE.".

The issue can be reproduced at will with the following steps:
1. Testing the results for only one record with below data:

INSTRUMENT_TYPE_CD 210
CUR_PAYMENT 500000.00
CUR_BOOK_BAL 2500000.00
CUR_NET_RATE 7.200000
COMPOUND_BASIS_CD 200
AMRT_TYPE_CD 801
INT_TYPE 1
PMT_FREQ 1
PMT_FREQ_MULT M
REPRICE_FREQ 0

2. Load a payment schedule in FSI_D_PAYMENT_SCHEDULE from 10/17/2016 to 12/20/2017 with amount 500000.00 (equal to CUR_PAYMENT) and on 1/20/2018 as 0 as it maturity date. It also has INSTRUMENT_TYPE_CD 210, ID_NUMBER 801688 and IDENTITY_CODE as 20170228 ( currently running the engine for same date).

3. Run FTP Process using Cash Flow Duration as defined transfer pricing method for AMRT_TYPE_CD = 801.

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