Negative Balance handling logic is missing for MDRM codes RISKM366 and RICKM367 (Report- FRY-15, Schedule- B)
(Doc ID 2597853.1)
Last updated on OCTOBER 20, 2019
Applies to:Oracle Financial Services - Regulatory Reporting for US Federal Reserve - Lombard Risk Integration Pack - Version 8.0.6 and later
Information in this document applies to any platform.
MDRM codes- RISKM366 (Net negative current exposure of SFTs with other financial institutions)
RICKM367 (OTC derivative contracts with other financial institutions that have a net negative fair value- Net negative fair value)
M366 uses Business processor 'BP15B006'
M367 uses Business processor 'BP15B007'
The expression of these business processors are as shown below-
SUM( CASE WHEN ([MSREG011]- DER15B08.BP15B001) < 0 THEN [MSREG011] - DER15B08.BP15B001 ELSE 0 END)
WHEN ([BP15B004] - (CASE WHEN DIM_NETTING_AGREEMENT.F_COLLATERALIZED_NETTING_SET = 'Y' THEN (DER15B08.BP15B002) ELSE 0 END)) < 0 THEN
Issue- The Negative value has been reported in Agile reporter. OFSAA/AgileREPORTER should perform an absolute value conversion for these MDRMs to handle negative balances and this is not done in the expressions mentioned above
This is a product configuration issue
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