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Incorrect ALM New Business Results for Instruments Modeled With Non-Maturity Behavior Patterns with Holiday Calendar Enabled (Doc ID 2374411.1)

Last updated on NOVEMBER 14, 2019

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 when running an ALM dynamic deterministic process having as source a single deal record modeled with non-maturity Behavior Pattern (BP), the output appears incorrect. When checking the output, even though assumption is  defined as Forecast Balances method Target Growth 0% in order to keep the balance sheet flat, after a number of buckets the beginning balance (FE60) for New Business is not equal with the Ending Balance from the previous bucket hence the balance sheet is not flat.

The issue can be reproduced at will with the following steps:

1. Create an instrument record with BP
2. Create a non-maturity behavior pattern
3. Create an IRC
4. Create one holiday calendar
5. Create Product Characteristics
6. Create Time Buckets
7. Create a Forecast Rates Scenarios definition
Note: for simplicity, one scenario is enough with “Implied Forward” method.
8. Create Forecast Balances
9. Create Maturity Mix
10. Create Pricing Margins
11. Create an ALM dynamic deterministic process by combining the source deal and assumptions presented in the previous steps.
12. Run the process. Check results in RES_DTL
13. Create a record with amrt_type_cd = 700
14. Create Product Characteristics as Non amortizing
15. Update the ALM dynamic process by combining the source deal and assumptions mentioned at steps 13-14.
Note: all the other assumptions excepting Product Characteristics are the same as the one mentioned above.
16. Run the process.

In conclusion, as it can be noticed in the two validation files, the “Flat Balance Sheet” assumption is respected for the record modeled with Non-Amortizing type but not for the one modeled with non-maturity behavior pattern although the same outcome is expected for both.

Cause

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In this Document
Symptoms
Cause
Solution
References


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