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How Is Average Life Computed in FTP for Floating Rate Accounts? (Doc ID 2864340.1)

Last updated on APRIL 29, 2022

Applies to:

Oracle Financial Services Funds Transfer Pricing - Version 8.0.0 and later
Information in this document applies to any platform.
Oracle Financial Services Funds Transfer Pricing (FTP)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)

Goal

Question 1: Average Life computed by FTP for Floating Rate Accounts was found to be incorrect and not matching with manual calculation.
 
According to business user, engine should compute average life with same approach, irrespective of fixed vs. floating type.

Example: For a 5-year floating rate loan with linear payment schedule, average life should be around 2-3 year, whereas OFSAA is currently computing around 0.96 because it has 12M repricing frequency.
 
Question 2: Despite having selected Term as "Original Term", user found discrepancy in the results after running the process. As seen in the attached file, the cash flow does not compute till the final cash flow date.

In Transfer Pricing (TP) Method configuration, setting is for using only principal, whereas Rate Curve is based on Org Term column.
 
Question 3: What column in instrument records table (e.g. FSI_D_LOAN_CONTRACTS) stores the disbursed amount, which is used for computing average life?

Solution

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In this Document
Goal
Solution
References


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