Oracle Financial Services Reference Guide

Contents

Title and Copyright Information

Send Us Your Comments

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 Steps

Payment Event Steps for Interest-in-Advance Instruments

Prepayment Event

Prepayment Event Steps

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)

Copyright © 2006, 2009, Oracle and/or its affiliates. All rights reserved.