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HM Notional Amount for Interest Rate Swaps is Not Matched with Bond (Doc ID 2386926.1)

Last updated on MAY 04, 2018

Applies to:

Oracle Financial Services Hedge Management and IFRS Valuations - Version 8.0.5 and later
Information in this document applies to any platform.
Oracle Financial Services Hedge Management and IFRS Valuations (HM/IFRS)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)
Interest Rate Swap (IRS)

Symptoms

The critical terms match results are ineffective due to the fact that notional amount is not matched, for bond v.s. IRS (Interest Rate Swap).

However, par balances and booking balances are the same for bond and IRS.  Also, the nominal_value * volume_of_instruments = par balance for bond.

Changes

 

Cause

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