How Does Fair Value (FV) Get Generated in HM for SWAP Product?
(Doc ID 2808523.1)
Last updated on SEPTEMBER 23, 2021
Applies to:Oracle Financial Services Hedge Management and IFRS Valuations - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Hedge Management and IFRS Valuations (HM)
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)
Fair Value (FV)
The Nigerian Naira (NGN)
Question 1: It's been noticed that Fair Value (FV) for SWAP product is generated / computed for only one leg in fct_account_fair_value table.
Ex: Take a particular FSI_D_SWAP instrument which has two legs, with acct skeys a. 12345678 & b. 12345679. In the FV table, output can be seen for one leg only. Is this expected? Is the FV of the Swap correct despite only one leg is considered?
If the above behavior is incorrect, what is the cause of it and what would be correct behavior for SWAP fair value?
Question 2: Is the Market Value (fct_account_fair_value) same as the market value (financial element 710) computed by standalone ALM engine? Also, please confirm if the same ALM market value computation steps can be opted to validate the fair value in HM as well.
Question 3: Why does user see USD as the currency for the SWAP record in FCT_ACCOUNT_FAIR_VALUE table, as the SWAP legs are in NGN and USD and the selected Reporting currency in the FAIR VALUE RUN definition is NGN?
Shouldn't the FV be in reporting currency?
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