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Queries On RC-B/HC-B M3 Configuration (RCON1778) (Doc ID 2650893.1)

Last updated on MARCH 24, 2020

Applies to:

Oracle Financial Services - Regulatory Reporting for US Federal Reserve - Lombard Risk Integration Pack - Version 8.0.8 and later
Information in this document applies to any platform.

Goal

Queries on RC-B/HC-B M3 Configuration (RCON1778)
Report/Line : FFIEC 031 RC-B/Y9C
MDRM: RCON1778 / BHCK1778
RRS Version: 8084

1. Why there is a restriction on debt securities with interest type as floating rate?

2. How does filter V_REG_INSTR_CATEGORY_CD = OTHDEBTSEC#~#TREASSEC covers all debt securities? As per dimension table, OTHDEBTSEC does not covers ABS, RMBS, RPTS, Municipal Bond, etc securities

3. How such debt securities where a substantial portion of at least 85% is collected are being excluded?
 Current value for the filter is set to Y(inclusion) instead of N (exclusion)?

4. As per the instructions, exclude the amortized cost of any held-to-maturity debt security that has been sold near enough to (e.g., within three months of) its maturity date (or call date if exercise of the call is probable)OFSAA has configured this requirement using HIR - RR Maturity Term Less than 3 Months as Y and HIR - RR Embedded Call Term lt 3 Months as Y which is exactly opposite of the expectations in the instructions. Why OFSAA has included debt securities only with the maturity of less three months but instead of excluding such debt securities?

5. OFSAA has configured holding type transfer from HTM to AFS and HFT in cell group id 1 and HTM sold in cell group id 2, 3.Cell group id 1 contains HIR - RR Reg Instrument Category as OTHDEBTSEC#~#TREASSEC (list to be updated as per point 2) but the same filter is missing in the case holding type sold that cell group is 2 and 3.Clarification sought on why instrument category is missing in cell group id 2 and 3 and how does OFSAA ensures that these conditions are only applied to debt securities.
 

Solution

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