FE 710 Market Value is Missing From RES_DTL When “Mature At Repricing” is Enabled for Multi-Repricing Instrument
(Doc ID 2355104.1)
Last updated on FEBRUARY 03, 2019
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)
On ALM 8.0.2, it appears that for a specific instrument adjustable rate multi-repricing record (repr_freq < pmt_freq), when “Mature at Repricing” is enabled, Market Value Financial Elements for Market Value (FE 710 / 1710 / 1715 / 1716) results are missing from the RES_DTL_XXXXXX table.
When running an ALM Process having as source an adjustable rate instrument record, the RES_DTL output table did not generate the Financial Elements for Market Value (FE 710 / 1710 / 1715 / 1716). More precisely, the definition of Discount Methods contains the “Mature at Repricing” option and the process does not generate FE 710 in RES_DTL although Market Value is populated in FSI_O_RESULT_MASTER (on MARKET_VALUE column) table, at record level (on MARKET_VALUE_C column) and in FSI_O_PROCESS_CASH_FLOWS (FINANCIAL_ELEM_ID=710).
For testing purposes, have also processed without “Mature at Repricing” option in the Discount Method Definition (change temporarily for the test) and the process did generate FEs 710 / 1710 / 1715 / 1716.
Other instrument records do output FE 710 / 1710 / 1715 / 1716 in RES_DTL for the same Discount Methods (having “Mature at Repricing” option enabled) so the issue appears to be specific to multi-repricing records.
Expect Market Value output if defined for all instrument records.
The issue can be reproduced at will with the following steps:
1. Multi-repricing instrument record used
2. Create Time Buckets details
3. Create data Filter
4. Define Product Characteristics
5. Define Forecast Rates Scenarios
6. Define Discount Methods- both with Mature at Repricing option checked and without it
7. Create ALM Process and run
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