Configuration Issues RC-B/HC-B Memo 4a/4b (FRY9C, FFIEC031/041)
(Doc ID 2706476.1)
Last updated on SEPTEMBER 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.
REG REp\P USFED: 8.0.9
Report FFIEC 031
MDRMs: 8782, 8783
Multiple clarification on configuration for Memo Line 4a/4b
HREG0512 - HIR - RR Embedded Options Future Flag = Y
HREG0515 - HIR - RR Rate Floor Cap Not Null Flag = Y
HREG0516 - HIR - RR Rate Cap Life Not Null Flag = Y
>> To identify "Structured Notes", it is not necessary (and possible) to have all above conditions true at the same time for a given structured note instrument
2) HREG1123 - HIR - RR Structured Security Type = NOT MSG#~#NOT OTH
>> Why 'NOT OTH' has been applied? OTH refers to a valid bank value which is not available in OFSAA dimension
3) HREG1292 - HIR - RR Std Interest Rates = NOT 12MBR#~#NOT 12TBI#~#NOT 1MLBR#~#NOT 1TBIL#~#NOT 2MLBR#~#NOT 3MLBR#~#NOT 3TBIL#~#NOT 6MLBR#~#NOT 6TBIL#~#NOT LIBOF#~#NOT PRATE#~#NOT USTRI
>> For a structured note, it is not necessary to have only above interest rate. Rate structuring (step up, adjustable caps/floors, etc) can be applied to any interest rate.
4) HREG2304 - HIR - RR Fair Value Option Flag = N
>> This filter is not required, as M4a requires reporting of amortized cost of all AFS/HTM structured notes, and M4b requires reporting of fair values of same securities which were reported in M4a (refer to guidelines).
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