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Oracle Financial Services Reference Guide
Release 12.1
Part Number E13528-03
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Oracle Financial Services Reference Guide

Contents

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Preface

Transfer Pricing Concept

Overview of Transfer Pricing
Traditional Approaches to Transfer Pricing
A New Approach to Transfer Pricing
How Matched Rate Transfer Pricing Works
Evaluating Interest Rate Risk

Transfer Pricing Option Costs

Overview of Transfer Pricing Option Costs
Understanding the Option Cost Calculation Architecture
      Defining the Static and Option-Adjusted Spreads
      Option Cost Calculations Example
      Option Cost Calculations Process Flow
      Calculating Forward Rates
      Calculating Static Spread
      Calculating OAS
Option Cost Theory
      Equivalence of the Option Adjusted Spread and Risk-Adjusted Margin
      Equivalence of the Static Spread and Margin
Option Cost Model Usage Hints
      Nonunicity of the Static Spread
      Calibrating the Accuracy of Option Cost Calculations

The Ledger Migration Process

Overview of the Ledger Migration Process
Understanding Ledger Migration
      Transfer Rate and Option Cost Calculation
      Charge/Credit Generation
      Direct Transfer Pricing of Ledger Balances
      Ledger Migration and the Management Ledger Table
      Ledger Migration and the Virtual Memory Table
Requirements for Successful Ledger Migration
      Transfer Pricing Parameters
      Dimensions
      Entered and Functional Currency
      Transfer Pricing Rule
      Conditions and Table Selection
      Ledger Migration and Line Item Dimension Set Up
      Offset Organization Unit
      Transfer Pricing Process Rule
      Calculation Mode
Example of Transfer Rate Ledger Migration
      Account Tables Accumulation
      Management Ledger Table Processing
      Transfer Pricing Accounts with Ledger-Only Data Source
      Transfer Pricing Unpriced Accounts
      Calculation of Overall WATR (Financial Element 170)
      Generation of Charge/Credit for Funds (Financial Element 450)
      Ledger Migration of Transfer Rates Under Remaining Term Calculation Mode
Ledger Migration of Option Costs

Rate Conversion

Overview of Rate Conversion
Characteristics of Interest Rates Codes
Rate Format Usage
      Monte Carlo Rate Path Generation
      Rate Index Calculation from Monte Carlo Rate Paths
      Use in Transfer Pricing Methods
Rate Conversion Algorithms
      Conversion From Yield-to-Maturity to Zero-Coupon Yield
      Conversion From Zero-Coupon Yield to Yield-to-Maturity

Cash Flow Edit Logic

Overview of Cash Flow Edit Logic
Cash Flow Edit Logic

Cash Flow Calculations

Overview of Cash Flow Calculations
Cash Flow Calculations Characteristics and Concepts
      Instrument Level Modeling
      Modeling Flexibility
      Daily Cash Flows
      Event-Driven Logic
      Financial Elements
The Cash Flow Calculation Process
      Initialization of Modeling Data and Parameters
      Determination of Account Type
      Initialization of Interface Data
      Initialization of Cash Flow Data
      Initialization of Schedule Records
      Initialization of Pattern Records
      Determination of Modeling Start and End Dates
      Initialization of Additionally Derived Data
      Processing Modeling Events
      Payment Calculation Event
      Payment Calculation Steps
      Payment Event
      Payment Event Steps
      Payment Event Steps for Interest-in-Advance Instruments
      Prepayment Event
      Prepayment Event Steps
      Reprice Event
Detail Cash Flow Data
Financial Element Calculations
Example of the Rule of 78

Cash Flow Dictionary

Overview of Cash Flow Columns
Cash Flow Column Descriptions
      Accrual Basis Code (ACCRUAL_BASIS_CODE)
      Adjustable Type Code (ADJUSTABLE_TYPE_CODE)
      Amortization Type Code (AMRT_TYPE_CODE)
      Amortization Term (AMRT_TERM)
      Amortization Term Multiplier (AMRT_TERM_MULT)
      Calendar Period End Date (CAL_PERIOD_ID)
      Compounding Basis Code (COMPOUND_BASIS_CODE)
      Current Book Balance (CUR_BOOK_BAL)
      Current Gross Rate (CUR_GROSS_RATE)
      Current Net Rate (CUR_NET_RATE)
      Current Option-Adjusted Spread (CUR_OAS)
      Current Par Balance (CUR_PAR_BAL)
      Current Payment (CUR_PAYMENT)
      Current Static Spread (CUR_STATIC_SPREAD)
      Current Transfer Pricing Period Average Daily Balance (CUR_TP_PER_ADB)
      Deferred Current Balance (DEFERRED_CUR_BAL)
      Deferred Original Balance (DEFERRED_ORG_BAL)
      Gross Margin (MARGIN_GROSS)
      Historic Option-Adjusted Spread (HISTORIC_OAS)
      Historic Static Spread (HISTORIC_STATIC_SPREAD)
      ID Number (ID_NUMBER)
      Instrument Type Code (INSTRUMENT_TYPE_CODE)
      Interest Type Code (INT_TYPE_CODE)
      Interest Rate Code (INTEREST_RATE_CODE)
      Issue Date (ISSUE_DATE)
      Last Payment Date (LAST_PAYMENT_DATE)
      Last Repricing Date (LAST_REPRICE_DATE)
      Last Reprice Date Balance (LRD_BALANCE)
      Margin (MARGIN)
      Matched Spread (MATCHED_SPREAD)
      Maturity Date (MATURITY_DATE)
      Negative Amortization Amount (NEG_AMRT_AMT)
      Negative Amortization Equalization Date (NEG_AMRT_EQ_DATE)
      Negative Amortization Equalization Frequency (NEG_AMRT_EQ_FREQ)
      Negative Amortization Equalization Frequency Multiplier (NEG_AMRT_EQ_MULT)
      Negative Amortization Limit (NEG_AMRT_LIMIT)
      Net Margin Code (NET_MARGIN_CODE)
      Next Payment Date (NEXT_PAYMENT_DATE)
      Next Repricing Date (NEXT_REPRICE_DATE)
      Original Payment Amount (ORG_PAYMENT_AMT)
      Original Par Balance (ORG_PAR_BAL)
      Original Term (ORG_TERM)
      Original Term Multiplier (ORG_TERM_MULT)
      Origination Date (ORIGINATION_DATE)
      Payment Adjustment Date (PMT_ADJUST_DATE)
      Payment Change Frequency (PMT_CHG_FREQ)
      Payment Change Frequency Multiplier (PMT_CHG_FREQ_MULT)
      Payment Decrease Limit - Cycle (PMT_DECR_CYCLE)
      Payment Decrease Limit - Life (PMT_DECR_LIFE)
      Payment Frequency (PMT_FREQ)
      Payment Frequency Multiplier (PMT_FREQ_MULT)
      Payment Increase Limit - Cycle (PMT_INCR_CYCLE)
      Payment Increase Limit - Life (PMT_INCR_LIFE)
      Percent Sold (PERCENT_SOLD)
      Prior Transfer Pricing Period Average Daily Balance (PRIOR_TP_PER_ADB)
      Rate Cap Life (RATE_CAP_LIFE)
      Rate Change Minimum (RATE_CHG_MIN)
      Rate Change Rounding Code (RATE_CHG_RND_CODE)
      Rate Change Rounding Factor (RATE_CHG_RND_FAC)
      Rate Decrease Limit - Cycle (RATE_DECR_CYCLE)
      Rate Floor Life (RATE_FLOOR_LIFE)
      Rate Increase Limit - Cycle (RATE_INCR_CYCLE)
      Rate Set Lag (RATE_SET_LAG)
      Rate Set Lag Multiplier (RATE_SET_LAG_MULT)
      Remaining Number of Payments (REMAIN_NO_PMTS)
      Repricing Frequency (REPRICE_FREQ)
      Repricing Frequency Multiplier (REPRICE_FREQ_MULT)
      Teaser-rate End Date (TEASER_END_DATE)
      Transfer Rate (TRANSFER_RATE)
      Transfer Rate Remaining Term (TRAN_RATE_REM_TERM)

Index