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Liquidity Gap in ALM 5.2.2 Is Incorrect for Future Originating Deals (Doc ID 1334928.1)

Last updated on MARCH 20, 2019

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


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

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.

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

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


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