ALM FRA Cash Flows Appear to be Significantly Higher Than Expected

(Doc ID 2291207.1)

Last updated on JULY 27, 2017

Applies to:

Oracle Financial Services Asset Liability Management - Version 8.0.2 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, generated forward rate agreement (FRA) cash flow results seem to be significantly higher than expected.

FRA cash flows generated from ALM are significantly higher than expected:

Interest cash flow expected 27,903.31
Actual 220,281.73

Formula for FRA cash flow: Formula 16.1

((Underlying rate at expiration - Forward contract rate)(days in underlying rate/360))
1 + underlying rate (days in underlying rate / 360)

The issue can be reproduced at will with the following steps:
1. Load interest rates
2. Load instrument records
3. Run ALM process


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