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RC-H Line 14/15 Configuration Issues (Doc ID 2678398.1)

Last updated on JUNE 25, 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

 Multiple issues reported.

 

Issue:
1) RC-H 14/15 and RC-B 5a requires reporting of all asset backed securities
(excluding MBS, structured financial products)
Configuration for RC-H 14/15 and RC-B 5a uses criteria
V_SECURITIZED_PROD_CODE = ABCP

ABCP does not represent all Asset backed securities
a) While DIM_SECURITIZED_PRODUCTS dimension has only ABCP as valid value
b) Standard Product has multiple values ABS, ABCP, IOSTRIPABS

2) RC-H 14/15 and RC-B 5b requires reporting of all Structured Financial
Products (excluding MBS, Asset backed securities)
Configuration for RC-H 14/15 and RC-B 5b uses criteria
V_REG_INSTR_CLASS_CODE = OTHSTRFINPRO

a) Only OSFP (Other Structured Financial Products) has been mapped in Rule to
[OTHDEBTSEC].[OTHSTRFINPRO]
b) CDO from DIM_SECURITIZED_PRODUCTS has not been mapped
c) Standard Product offers more granularity that DIM_SECURITIZED_PRODUCTS
(STRBOND, OTHSTRCDS, CILBOND, STRUCNOTES, IRSPOTDCB, CEIO, CATS, STEURNOTE,
STEURBOND, LOANPOOLCERTI, LIONS, STRCBOND, IOODS, POODS), what should be the
equivalent value against each std product in DIM_SECURITIZED_PRODUCTS?

3) RC-H 14/15 and RC-B 6a requires reporting of all other domestic debt
securities (excluding MBS, Asset backed securities, structured financial
products )
Configuration for RC-H 14/15 uses criteria
V_REG_INSTR_CATEGORY_CD = OTHDEBTSEC
V_REG_INSTR_CLASS_CODE = NOT OTHSTRFINPRO#~#NOT USGASEC#~#NOT
USGSASEC#~#NOT USSTAPOLSUBSEC#~#NOT USTSEC
V_SECURITIZED_PROD_CODE = MSG#~#OTH

a) How are Preferred Stock , TRUPS (subjected to mandatory redemption) being
included in configuration?

b) Based on rule configurations for OTHDEBTSEC
o Rules have following deprecated values mapped (IRSPOTMBS, EQFWDSFWD,
CMSWAPSWP, CMFWDSFWD, EQSPOTCIU, EQRCPS)
o Various instrument types are getting assigned to OTHDEBSEC which are not
debt securities (e.g. BFO, BONFUT, CMFUOPFUT, CMOPTSBSK, CMSPOTSPT,
EQFUOPFUT, EQFUTSBFUE, EQOPTSBSK, EQSPOTPSHR, IOSTRIPABS, IRSPOTBKA,
IRSWAPBCDS, IRSWAPCDS, IXXSSPOT, SWAPTION, XSOPTSBSK, XSSWAPSWP, etc)

c) RCB 6a and RCH 14/15 have configuration mismatch for Other debt security
reporting
o RC-H 14/15 > V_REG_INSTR_CLASS_CODE = NOT OTHSTRFINPRO#~#NOT USGASEC#~#NOT
USGSASEC#~#NOT USSTAPOLSUBSEC#~#NOT USTSEC
o RC-B 6a > V_INSTR_TYPE_CODE = NOT COMTRUSTFUND#~#NOT CS#~#NOT EQFUND#~#NOT
EQPRIVATE#~#NOT EQRCPS#~#NOT EQSPOTCIU#~#NOT EQSPOTEFG#~#NOT EQSPOTMMF#~#NOT
EQSPOTOPFS#~#NOT EQSPOTPFS#~#NOT EQSPOTSPT#~#NOT EXCTRADEDF#~#NOT
MUTUALFUND#~#NOT TRESTO

Cause

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In this Document
Symptoms
Cause
Solution


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