Liquidity Gap in ALM 5.2.2 Is Incorrect for Future Originating Deals

(Doc ID 1334928.1)

Last updated on NOVEMBER 19, 2013

Applies to:

Oracle Financial Services Asset Liability Management - Version 5.2.2 to 5.5 [Release 5]
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications Infrastructure (OFSAAI) - Version 7.2
Oracle Financial Services Analytical Applications (OFSAA) - Version 5.5


Symptoms

On Oracle Asset Liability Management (ALM) 5.2.2, when validating future originations, the results do not appear to be correct.

ACTUAL BEHAVIOR
For deals which start in the future, so origination_date>as_of_date and issue_date<=as_of_date, liquidity gap is incorrect if there is a premium or discount at the start of the deal, because the capital flow on origination deal equals -1*cur_par_bal, so it does not contain the premium/discount.

Even after setting cur_book_bal=cur_par_bal+premium and deferred_cur_bal=premium and putting the correct initial capital outflow into the payment schedule table, the liquidity gaps do not reflect this premium on origination date.

EXPECTED BEHAVIOR
Liquidity GAP Principal Runoff should be -1075100400 in bucket 1 however, the results are not correct.

STEPS
The issue can be reproduced at will with the following steps:
1. Run liquidity GAP on investment record

Cause

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