ALM Dynamic Deterministic Process Missing Liquidity Risk Dynamic Start Dates Output

(Doc ID 2306179.1)

Last updated on SEPTEMBER 11, 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)

Symptoms

On ALM 8.0.2.0.18, when using a large number of dynamic start dates, there are several missing results some of the dynamic start dates.

ACTUAL BEHAVIOR
After running an ALM Dynamic Deterministic process it appears that the output is incomplete - some Dynamic Start Dates are completely missing while for another Dynamic Start Date there appears to be only one financial element. In order to make sure that the engine can generate output for the missing Dynamic Start Dates, tried creating another definition from which some Dynamic Start Dates were removed. After rerunning the process using this "incomplete" structure it is observed that there are results for the Dynamic Start Dates which were missing from the previous output.

After processing a very simple record for which it is expected to see results for all these dynamic start dates, it appears that the output stops at dynamic start date = 12 although the record has a 5-year maturity. Also, there is only one FE output for Dynamic Start Date Index 12 although there should be an output similar with the previous START_DATE_INDEX.

EXPECTED BEHAVIOR
From the business perspective it is expected to see results for all 16 START_DATE_INDEX taking into account that the all Dynamic Start Dates are less than the record maturity date (in other words, the record has originated before all these dates so expect to see the amounts at each of these days).

The issue can be reproduced at will with the following steps:
1. Create a source record as the one attached in the file
select * from Fsi_d_Loan_Contracts where id_number=921;
2. Create one Time Buckets definition
select * from fsi_income_simulation_buckets a where a.time_bucket_sys_id in (228410);
select * from fsi_lr_irr_buckets_aux a where a.time_bucket_sys_id in (228410);
Make this definition “Active”.
3. Create assumptions:
- Discount methods
- Product characteristics
Note: Holiday Calendar is also used
- Forecast Rates Scenarios
Note: in this case they will be used only for New Business pricing since the source record is fixed rate
- Forecast Balances
- Maturity Mix
- Pricing Margins
4. Create a dynamic deterministic ALM process
5. Run the process and check the results START_DATE_INDEX is (0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12) but for START_DATE_INDEX=12 the output is incomplete.
6. Create a new Time Buckets definition
select * from fsi_income_simulation_buckets a where a.time_bucket_sys_id=237860;
select * from fsi_lr_irr_buckets_aux a where a.time_bucket_sys_id=237860;
Make this definition “Active”.
7. Rerun the process and check the results START_DATE_INDEX is (0, 1, 2, 3, 4, 5, 6, 7, 8, 9) but for START_DATE_INDEX=9 the output is incomplete

Cause

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