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Retrospective Test Results Calculations Incorrect (Doc ID 1093153.1)

Last updated on FEBRUARY 03, 2019

Applies to:

Oracle Treasury - Version: 12 to 12.1.3 - Release: 12 to 12.1
Information in this document applies to any platform.


You calculates the "Effective","Ineffective" and "Excluded" gain/loss column values after the "Retrospective test" needs explanation and fix for the calculations.

1). Steps used to test retrospective test were:
Complete Setups as "Retrospective Effectiveness Test window allows you to perform retrospective effectiveness tests according to the method indicated on the hedge. Only those hedges that require retrospective testing will be shown in this window."

1. Create New Deal,
2. Assign this FX deal to a hedge:
This is to be done at: Navigation:
Hedging> Hedge Attributes> define New hedge and then complete the Hedge Relation ship
3. Revalue
4. Now test:Retrospective Effectiveness Test
This customer was able to perform correctly.
This can be seen in the uploaded file: Hedge_Effectivenss_test_followup_questions.doc

The Values shown against:
"Effective","Ineffective" and "Excluded" gain/loss column values after the "Retrospective test" is being questioned as you your own calculation.

2). Issues:

CCYUNRL for the hedge item should be calculated as follows.

Consider a company with USD as the set of books currency and an actual hedge of net EUR 9 million of receivables . Hedge start date:16-Mar-2003. This hedge starts being revalued in batch with dates 01-Mar-2003 to 31-Mar-2003.Hedge end date: 15-Jun-2003. This hedge stops being revalued after batch with dates 01-Jun-2003 to 30-Jun-2003. In or after the last revaluation batch for a hedge, there will be no reversal of CCYUNRL or a calculation of CCYREAL. After the end/discontinue date of the hedge, revaluation will simply stop picking up this hedge.

EUR/USD GL rate of type corporate for date 16-Mar-2003: 1.0600
EUR/USD GL rate of type corporate for date 31-Mar-2003: 1.0800

Unrealized currency gain loss for revaluation period
01-Mar-2003 to 31-Mar-2003:
(9,000,000.00 * 1.0800) (9,000,000.00 * 1.0600) = USD

Note: currency level precision should be applied to the final CCYUNRL amount.

For product type 'FORECAST' in HEDGE, the amount itself should be still taken from "current hedge amount is Original Hedge Amount in Hedge Currency (HEDGE_AMOUNT) from hedge relationship". But then the sign should be taken from the type of the hedge item selected. If it is AP, then the sign should be negative. If it is AR, then the sign should be positive.


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