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Incorrect ALM Principal Cash Flow for Interest Rate Swaps for Forward Starting Derivative Swaps With EXCHG_OF_PRINCIPAL= 0 (Doc ID 2157850.1)

Last updated on APRIL 22, 2021

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.1 and later
Information in this document applies to any platform.
Oracle Financial Services Analytical Applications (OFSAA)
Oracle Financial Services Asset Liability Management (ALM)


On ALM 8.0.1, it appears that there are incorrect results for derivative instruments.

The cash flow engine is not taking into account attribute FSI_D_SWAPS.EXCHG_OF_PRINCIPAL when generating Swap Cash Flows. It appears to be working when the amortization code for the swaps contract is 700 (Non-Amortizing) but not working for AMRT_TYPE_CD = 801 (Payment Schedules).

The cash flow engine (CFE) process should not generate FE 210 Total Principal Runoff for forward starting derivative instruments ( where Origination Date > As of date) swap when the exchange of principal is No.

The issue can be reproduced at will with the following steps:
1. Populate instrument swaps with FSI_D_SWAPS.EXCHG_OF_PRINCIPAL= 0.
2. Run ALM process
3. Check results


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