Deferred Runoff Calculation Generates Wrong Result in RM 4.5.39

(Doc ID 437151.1)

Last updated on JULY 31, 2017

Applies to:

Oracle Risk Manager - Version 4.5 to 4.5.40 [Release 4.5]
Information in this document applies to any platform.
Oracle Financial Services Applications (OFSA) 4.5.39
Note: All OFSA 4.5 products have reached sustaining support.

Symptoms

Oracle Risk Manager process generates incorrect deferred run off (Financial Element 540) result as follow:

  1. The deferred run off computed by Oracle Risk Manager does not reconcile with expected results when AS_OF_DATE is between LAST_PAYMENT_DATE and NEXT_PAYMENT_DATE.
  2. The deferred run off computed by Oracle Risk Manager matches expected results when AS_OF_DATE is LAST_PAYMENT_DATE and PMT_FREQ_MULT=‘D’.
  3. The deferred run off amortization is higher than expected and completes much before maturity for instruments purchased at discount.
  4. The deferred run off is positive for some instruments purchased at premium followed by large negative run off in last bucket.
  5. Yield computed by Oracle Risk Manager is higher than expected value.

Cause

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