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Logic for the Computation of HM Columns N_BASIS_COST_VALUE, N_HYPO_DERIVATIVE_FAIR_VALUE and N_MARKET_VALUE_CLEAN (Doc ID 2836004.1)

Last updated on JANUARY 26, 2022

Applies to:

Oracle Financial Services Hedge Management and IFRS Valuations - Version 8.0.7 and later
Information in this document applies to any platform.
Oracle Financial Services Hedge Management and IFRS Valuations (HM/IFRS)

Goal

Currently implementing HM 807.

In the table fct_account_fair_value, when check results, how are the following columns are computed:
1. N_BASIS_COST_VALUE
2. N_HYPO_DERIVATIVE_FAIR_VALUE
3. N_MARKET_VALUE_CLEAN

In sample data testing, it was noticed that the value in col N_HYPO_DERIVATIVE_FAIR_VALUE seems lower than N_MARKET_VALUE_CLEAN, even if the "market_value_clean" in fsi_o_fair_value is same for the account for the normal leg and the hypothetical leg.

Solution

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In this Document
Goal
Solution
References


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