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FRY9C, HC-L: Sourcing Impact And Design Concerns On MDRM BHCK 8698 (Doc ID 2655217.1)

Last updated on APRIL 07, 2020

Applies to:

Oracle Financial Services - Regulatory Reporting for US Federal Reserve - Lombard Risk Integration Pack - Version 8.0.9 and later
Information in this document applies to any platform.

Symptoms

RRS USFED 80910
Report - FRY9C
Schedule- HC-L

The measure for MDRM BHCK 8698 has been changed in 80910.

This change will need additional sourcing for the below attributes -
• STG_FORWARDS.F_BUY_SELL_IND
• STG_FORWARDS.N_STRIKE_RATE_PRICE
• STG_FORWARDS.V_PAY_CCY
• STG_FORWARDS.V_RCV_CCY


Issue 1 -> The other MDRMs reporting the same portfolio in the same schedule like BHCKA127/BHCK8726 do not have the similar change. The measure is still notional principal amt.

Issue 2 --> There is a similar change in MDRM BHCK8765 related to FX Spots as part of previous patch (8084). However the design is different compared to the current design for Forwards portfolio MDRM BHCK 8698. For Ex - The measure columns (Pay & Rcv leg amount) are sourced in PP table, while for BHCK 8698; its derived in FCAS based on Notional Amount, Strike Price and Buy Sell Indicator.


Issue 3- > We see that the STG_FORWARDS table has two columns related to BUY/SELL Indicator - F_BUYER_SELLER_IND and F_BUY_SELL_IND. Is there any difference in the Business definition of these two columns.

Changes

 NA

Cause

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In this Document
Symptoms
Changes
Cause
Solution


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