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 MAY 28, 2021
Applies to:Oracle Financial Services Asset Liability Management - Version 8.0.2 to 8.0.6 [Release 8]
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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