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Repricing Cash Flow (Cashflow CD 20) for FE 430 Is Not Matching With Expectation in ALM (Doc ID 3005260.1)

Last updated on FEBRUARY 29, 2024

Applies to:

Oracle Financial Services Asset Liability Management - Version and later
Information in this document applies to any platform.
Oracle Financial Services Asset Liability Management (ALM)
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Enterprise Performance Management (EPM)
Modern Risk and Finance (MRF)
Interest Cash Flow (FE 430)


In ALM, while calculating Interest Cash Flow (FE 430) for repricing event (Cash Flow Cd 20), engine seems to be dividing by 365 (using Actual/365) instead of dividing by 360, given the accrual basis code = 2 (Actual/360) in instrument record.

Formula used in manual computation: CUR_PAR_BAL * CUR_NET_RATE% * (NEXT_REPRICE_DATE - LAST_PAYMENT_DATE)/360

Mismatch between obtained and expected result is exactly the ratio difference between 360 vs. 365.


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