22Financial Elements

This chapter contains the descriptions and calculation details of Oracle Asset Liability Management (ALM) financial elements.

Topics:

· Accumulation Methods

· Financial Element Listed by Description

· Financial Elements Listed by Number

· Financial Element Type - Cash Flow: Income Statement Accounts

· Financial Element Type - Cash Flow: Simple Accounts

· Financial Element Type – Repricing Gap

· Financial Element Type – Liquidity Gap

· Element Type - Market Value

· Financial Element Output by Account Type

· Currency Translation Methods for Financial Elements

Accumulation Methods

Accumulation methods are applied to the summary financial information calculated at each event to generate financial element data for each modeling bucket. There are five different accumulation methods:

· Average Method

· Accrual Method

· Sum Method

· At the First Method

· At Last Method

Each of these methods is described in detail in this section.

Average Method

The average method is used to calculate an average value (such as Average Balance, Average Net Rate) over a bucket. The calculation sums up the daily values and divided by the number of days in the bucket.

465\

Daily Average Balance = Sum of (Daily Balance)/days in the bucket

All simulated events (originations, payments, prepayments, and repricings) are assumed to happen at the end of the event date. This implies that the balance and rate on the day of an event are counted as the value before any changes made by the event. Changes made, impact the value of the next day.

Accrual Method

The accrual method is used to determine how much accrual has occurred over the modeling bucket. The accrual method is determined by the code value in the detail record. Interest in advance instruments calculates interest accruals from the current payment date to the next payment date. Interest in arrears instruments calculates interest accruals from the current payment date to the previous payment date.

The interest cash flow is divided by the number of days between these two dates to determine a daily accrual for each day within the modeling term. Daily interest accruals are summed by modeling bucket.

Daily Interest Accrual = Sum icon Interest Cash Flow/ number of days in payment.

The following example demonstrates an interest accrual for an arrears record:

Table 78: Interest Accrual
Payment Date	Interest Cash Flow	Days in Payment	Daily Accrual
January 15	950	31	30.64
February 15	900	31	29.03
March 15	850	28	30.36

Table 79: Interest Accrual
Payment Date	Interest Cash Flow	Days in Payment	Daily Accrual
January 15	950	31	30.64
February 15	900	31	29.03
March 15	850	28	30.36

Modeling Start Date = January 1

Table80 : Interest Accrual Calculation
Bucket End Date	Accrual Calculation	Interest Accrual
January 31	15 days @ 30.64 + 16 days @ 29.03	924.08
February 28	13 days @ 29.03 + 15 days @ 30.36	832.79
Bucket End Date	Accrual Calculation	Interest Accrual

Sum Method

Summed financial element values are calculated by adding together all values associated with events occurring during the modeling bucket.

Principal Runoff = Sum icon (Principal Runoff)

At First Method

At First accumulation, the method determines the value from the first event within a modeling bucket (for example, Beginning Balance).

At Last Method

At Last accumulation, the method determines the value from the last event within a modeling bucket (for example, End Balance). There are two Financial Element listings in this chapter. The first contains all elements by element description and the second by element number.

Financial Element Listed by Description

Table 81 : List of Financial Elements by Description
Financial Element Description	Financial Element Number	Averaging Type	Weighting Factor	Account Type Processing
Accrued Interest Average Balance	470	Accrual		DCF, I
Accrued Interest Ending Balance	460	Accrual		DCF, I
Accrued Interest (Without Offset)	442	Accrual		DCF, I
Accrued Interest Net (Without Offset)	443	Accrual		DCF, I
Accumulated Interest CF Gross	448	Sum		DCF, I
Accumulated Interest CF Net	447	Sum		DCF, I
Accumulated Interest CF Transfer Rate	449	Sum		DCF, I
Accumulated Translation Amount	950	At Last		DCF
After Repricing Gross Rate	270	At Last	Repricing Balance At End	DCF
After Repricing Net Rate	290	At Last	Repricing Balance At End	DCF
After Reprice Transfer Rate	310	At Last	Repricing Balance At End	DCF
Annual Prepayment Rate	510	Sum	Balance Before PrePay	DCF
Average Account Balance	141	Daily Average	Average Balance	B, DCF
Average Bal	140	Daily Average		B, DCF
Average Basis Risk Cost Rate	175	Daily Average	Average Balance	DCF
Average Current Option Cost	173	Daily Average	Average Balance	DCF
Average Gross Rate	150	Daily Average	Average Balance	DCF
Average Historic Option Cost	171	Daily Average	Average Balance	DCF
Average Liquidity Adjustment Rate	174	Daily Average	Average Balance	DCF
Average Net Rate	160	Daily Average	Average Balance	DCF
Average Other Adjustment Rate	177	Daily Average	Average Balance	DCF
Average Percentage Active	143	Daily Average	Average Balance	B
Average Pricing Incentive Rate	176	Daily Average	Average Balance	DCF
Average Rem Term Transfer Rate	172	Daily Average	Average Balance	DCF
Average Total Balance	142	Daily Average	Average Balance	B, DCF
Average Transfer Rate	170	Daily Average	Average Balance	DCF
Average Volume Total	144	Daily Average	Average Balance	B, DCF
Balance Before PrePay	515	Sum		DCF
Basis Risk Cost Charge/Credit	415	Accrual		DCF, I
Before Reprice Transfer Rate	300	At First	Repricing Balance	DCF
Before Repricing Gross Rate	260	At First	Repricing Balance	DCF
Before Repricing Net Rate	280	At First	Repricing Balance	DCF
Beginning Balance	60	At First		B, DCF
Beginning Basis Risk Cost Rate	92	At First	Beginning Balance	DCF
Beginning Gross Rate	70	At First	Beginning Balance	DCF
Beginning Liquidity Adjustment Rate	91	At First	Beginning Balance	DCF
Beginning Net Rate	80	At First	Beginning Balance	DCF
Beginning Other Adjustment Rate	94	At First	Beginning Balance	DCF
Beginning Pricing Incentive Rate	93	At First	Beginning Balance	DCF
Beginning Transfer Rate	90	At First	Beginning Balance	DCF
Charge/Credit Rem Term	452	Accrual		DCF
Convexity	730			DCF
Current Option Cost Charge/Credit	453	Accrual		DCF
Deferred Average Balance	530	Daily Average		DCF
Deferred End Balance	520	At Last		DCF
Deferred Runoff	540	Accrual		DCF
Devolvement Runoff	204	Sum		DCF
Discount Factor	492	Daily Average		DCF
Discount Factor Term (Days)	493	Sum		DCF
Discount Rate FTP	755	At Last		DCF
Discount Rate IS	490	At Last		DCF
Discount Rate LR	1490	At Last		DCF
Dividends	940	Sum		A
DV01	721			DCF
Duration	720			DCF
End Balance	100	At Last		B, DCF
Ending Basis Risk Cost Rate	132	At Last	End Balance	DCF
Ending Gross Rate	110	At Last	End Balance	DCF
Ending Liquidity Adjustment Rate	131	At Last	End Balance	DCF
Ending Net Rate	120	At Last	End Balance	DCF
Ending Other Adjustment Rate	134	At Last	End Balance	DCF
Ending Pricing Incentive Cost Rate	133	At Last	End Balance	DCF
Ending Transfer Rate	130	At Last	End Balance	DCF
Federal Taxes	930	Sum		A
Fully Indexed Gross Rate	320	Sum		DCF
Fully Indexed Net Rate	330	Sum		DCF
First Reset Cap Balance	545
First Reset Cap Effect - Rate	555
First Reset Cap Effect – Amount	565
Gap Accrued Interest Gross	674	Accrual		DCF, I
Gap Accrued Interest Net	675	Accrual		DCF, I
Gap Accrued Interest Transfer	676	Accrual		DCF, I
Gap Interest Credited	677	Sum		DCF, I
Gap Inflation Adjustment to interest	669	Sum		DCF, I
Gap Inflation Adjustment to Principal	665	Sum		DCF
Gap Deferred Runoff	663	Sum		DCF
Gap Interest Cash Flow Gross	671	Sum		DCF, I
Gap Interest Cash Flow Net	672	Sum		DCF, I
Gap Interest Cash Flow Transfer	673	Sum		DCF, I
Gap Principal Runoff	661	Sum		DCF
Gap Repricing Runoff	662	Sum		DCF
Gap Runoff	660	Sum		DCF
Gap Runoff Gross Rate	680	Sum	Gap Runoff Balance	DCF
Gap Runoff Net Rate	690	Sum	Gap Runoff Balance	DCF
Gap Runoff Term	670	Sum	Gap Runoff Balance	DCF
Gap Runoff Transfer Rate	700	Sum	Gap Runoff Balance	DCF
Historic Option Cost Charge/Credit	451	Accrual		DCF
Index Factor	194
Inflation Adjustment to Interest	179	Sum		DCF, I
Inflation Adjustment to Principal	178	Sum		DCF
Interest	420			DCF, I
Interest Accrued	440	Accrual		DCF, I
Interest Accrued Gross	445	Accrual		DCF, I
Interest Accrued Gross (current basis)	446	Accrual		DCF, I
Interest Accrued Gross Hist Fx Basis	681	Accrual		DCF
Interest Accrued Net	441	Accrual		DCF, I
Interest Accrued Net Hist Fx Basis	682	Accrual		DCF
Interest Accrued Transfer Hist Fx Basis	683	Accrual		DCF
Interest Accrued Transfer Rate (Cur Bas)	454	Accrual		DCF, I
Interest Amount Gross	425			DCF, I
Interest Cash Flow	430	Sum		DCF, I
Interest Cash Flow Gross	435	Sum		DCF, I
Interest Cash Flow T-Rate	437	Sum		DCF
Interest CF (Without Offset)	438	Sum		DCF, I
Interest Credited	480	Sum		DCF
Life Cap Balance	580	Daily Average		DCF
Life Cap Effect - Amount	600	Accrual		DCF
Life Cap Effect - Rate	590	Daily Average	Life Cap Balance	DCF
Liquidity Adjustment Charge/Credit	414	Accrual		DCF, I
Liquidity Devolvement Runoff	1683
Liquidity GAP Accrued Interest Gross	1674	Accrual		DCF, I
Liquidity GAP Accrued Interest Net	1675	Accrual		DCF, I
Liquidity GAP Accrued Interest Transfer Rate	1676	Accrual		DCF, I
Liquidity GAP Deferred Runoff	1663	Sum		DCF
Liquidity GAP Duration	1720	Sum		DCF
Liquidity GAP DV01	1721	Sum		DCF
Liquidity Gap Inflation Adjustment to Interest	1669	Sum		DCF, I
Liquidity Gap Inflation Adjustment to Principal	1665	Sum		DCF
Liquidity GAP Interest Cash Flow Gross	1671	Sum		DCF, I
Liquidity GAP Interest Cash Flow Net	1672	Sum		DCF, I
Liquidity GAP Interest Cash Flow Transfer Rate	1673	Sum		DCF, I
Liquidity GAP Interest Credited	1677	Sum		DCF, I
Liquidity GAP Modified Duration	1725	Sum		DCF
Liquidity GAP Option Exercise Premium	1664
Liquidity GAP PV of Interest Cash Flows	1716	Sum		DCF
Liquidity GAP PV of Principal Cash Flows	1715	Sum		DCF
Liquidity GAP PV of TP Int Cash Flows	1717	Sum		DCF
Liquidity GAP Runoff (1661 + 1663)	1660	Sum		DCF
Liquidity GAP Runoff Gross Rate	1678	Daily Average	Liquidity GAP Runoff	DCF, I
Liquidity GAP Runoff Net Rate	1679	Daily Average	Liquidity GAP Runoff	DCF, I
Liquidity GAP Runoff Term	1670	Daily Average	Liquidity GAP Runoff	DCF
Liquidity GAP Runoff Transfer Rate	1680	Daily Average	Liquidity GAP Runoff	DCF, I
Liquidity GAP Total Runoff	1661	Sum		DCF
Liquidity Maturity Runoff	1668
Liquidity Non Maturity – Core Runoff	1681
Liquidity Non Maturity – Volatile Runoff	1682
Liquidity Non Performing Asset Runoff	1685
Liquidity Payment Runoff	1667
Liquidity prepayment Runoff	1666
Liquidity Recovery Runoff	1684
Local Taxes	935	Sum		A
Market Value	710	Sum		DCF
Market Value of TP Cash Flow (P+I)	495	Sum		DCF
Market Value of TP Interest Cash Flow	497	Sum		DCF
Maturity Runoff - Positive	195	Sum		DCF
Maturity Runoff - Negative	197	Sum		DCF
MOA Prepay Runoff	184	Sum		DCF
Modified Duration	725			DCF
Net New Business	342			DCF
New Add Balance	340	Sum		DCF
New Add Basis Risk Cost Rate	372	Daily Average	New Add Balance	DCF
New Add Gross Rate	350	Sum	New Add Balance	DCF
New Add Liquidity Adjustment Rate	371	Daily Average	New Add Balance	DCF
New Add Net Rate	360	Sum	New Add Balance	DCF
New Add Other Adjustment Rate	374	Daily Average	New Add Balance	DCF
New Add Pricing Incentive Rate	373	Daily Average	New Add Balance	DCF
New Add Spread	375		New Add Balance	DCF
New Add Transfer Rate	370	Sum	New Add Balance	DCF
Neg-Am Balance	640	Daily Average		DCF
Neg-Am Interest	650	Accrual		DCF
Non Maturity - Core Runoff	200	Sum		DCF
Non Maturity - Volatile Runoff	202	Sum		DCF
Non Performing Asset Runoff	208	Sum		DCF
Non Interest Expense	457	Sum		N
Non Interest Income	455	Sum		N
Option Exercise Gain/Loss	478
Option Exercise Market Value	476
Option Exercise Rate	477
Option Market Value	711
Other Adjustment Charge/Credit	417	Accrual		DCF, I
Payment Runoff - Negative	192	Sum		DCF
Payment Runoff - Positive	190	Sum		DCF
Period Cap Balance	550	Daily Average		DCF
Period Cap Effect - Amount	570	Accrual		DCF
Period Cap Effect - Rate	560	Daily Average	Period Cap Balance	DCF
Annual Prepayment Rate	510	Sum	Balance Before PrePay	DCF
Prepay Runoff - Negative	182	Sum		DCF
Prepay Runoff - Positive	180	Sum		DCF
Prepay Runoff Transfer Rate	245	Sum	Prepay Runoff	DCF
Present Value of Cashflows - Scenariowise	1710	Sum		DCF
Present Value of Interest Cash Flows	716	Sum		DCF
Present Value of Principal Cash Flows	715	Sum		DCF
Present Value of TP Interest Cash Flows	717	Sum		DCF
Pricing Incentive Charge/Credit	416	Accrual		DCF, I
Rate Lookup Term (Days)	494	Sum		DCF
Realized Currency Gain/Loss (Interest)	485	Sum		DCF
Realized Currency Gain/Loss (Interest-Gross)	486	Sum		DCF
Realized Currency Gain/Loss (Interest-T-Rate)	487	Sum		DCF
Realized Currency Gain/Loss (Principal)	475	Sum		DCF
Recovery Runoff	206	Sum		DCF
Repricing Balance	250	At First		DCF
Repricing Balance At End	255	At Last		DCF
Roll Add Balance	380	Sum		DCF
Roll Add Basis Risk Cost Rate	412	Daily Average	Roll Add Balance	DCF
Roll Add Gross Rate	390	Sum		DCF
Roll Add Liquidity Adjustment Rate	411	Daily Average	Roll Add Balance	DCF
Roll Add Net Rate	400	Sum		DCF
Roll Add Other Adjustment Rate	418	Daily Average	Roll Add Balance	DCF
Roll Add Pricing Incentive Rate	413	Daily Average	Roll Add Balance	DCF
Roll Add Transfer Rate	410	Sum		DCF
Rollover Percentage	341			DCF
Strike Rate - Rate Based Approach	218
Tease Balance	610	Daily Average		DCF
Tease Effect - Amount	630	Accrual		DCF
Tease Effect - Rate	620	Daily Average	Tease Balance	DCF
Timing of Call Runoff Amount	215
Timing of Cash Flow	1491	Sum		DCF
Timing of Cash Flow (in days)	491	Sum		DCF
Timing of Devolvement Runoff	205	Sum	Devolvement Runoff	DCF
Timing of Maturity Runoff - Positive	196	Sum	Maturity Runoff - Positive	DCF
Timing of Maturity Runoff - Negative	198	Sum	Maturity Runoff - Negative	DCF
Timing of MOA Prepay Runoff	185	Sum	MOA Prepay Runoff	DCF
Timing of Non Maturity - Core Runoff	201	Sum	Non Maturity Runoff (Core)	DCF
Timing of Non Maturity - Volatile Runoff	203	Sum	Non Maturity Runoff (Volatile)	DCF
Timing of Non Performing Asset Runoff	209	Sum	NPA Runoff	DCF
Timing of Payment Runoff - Negative	193	Sum	Payment Runoff (negative)	DCF
Timing of Payment Runoff - Positive	191	Sum	Payment Runoff (positive)	DCF
Timing of Prepay Runoff - Negative	183	Sum	Prepay Runoff (negative)	DCF
Timing of Prepay Runoff - Positive	181	Sum	Prepay Runoff (positive)	DCF
Timing of Put Runoff Amount	217
Timing of Recovery Runoff	207	Sum	Recovery Runoff	DCF
Timing of Total Runoff - Negative	213	Sum	Total Runoff (negative)	DCF
Timing of Total Runoff - Positive	211	Sum	Total Runoff (positive)	DCF
Timing of Writeoff Negative	189	Sum	Writeoff (Negative)	DCF
Timing of Writeoff Positive	187	Sum	Writeoff (Positive)	DCF
Total Call Runoff Amount	214
Total Currency Gain/Loss (Principal)	465	Sum
Total Put Runoff Amount	216
Total Runoff - Negative	212	Sum		DCF
Total Runoff - Positive	210	Sum		DCF
Total Runoff Gross Rate	220	Sum	Total Runoff (positive)	DCF
Total Runoff Net Rate	230	Sum	Total Runoff (positive)	DCF
Total Runoff Transfer Rate	240	Sum	Total Runoff (positive)	DCF
Transfer Rate Charge/Credit	450	Accrual		DCF, I
WARM	500	Sum	End Balance	DCF
Writeoff Negative	188	Sum		DCF
Writeoff Positive	186	Sum		DCF

*This specifies for which account types the financial elements will be processed. The code values are B = Balance only; I = Interest only; DCF = Detail Cash Flow; A = Autobalancing; N = Non Interest.

Financial Elements Listed by Number

Table 82: List of Financial Elements by Number
Financial Element Description	Financial Element Number	Averaging Type	Weighting Factor	Output Group	Formula Detailed Description
Beginning Balance	60	At First		Standard	If the first bucket, then it is considered as (Cur Par Balance * (100 - Percent sold)) from the instrument record. If any other bucket, it is considered as Ending Balance of the previous bucket
Beginning Gross Rate	70	At First	Beginning Balance	Standard	If the first bucket, then calculated as (Beginning Balance * (Current Gross Rate + Gross Margin) from instrument record). If any other bucket, then it is considered as Ending Net Rate of the previous bucket. The forecasted rate will be adjusted depending on the reprice characteristics.
Beginning Net Rate	80	At First	Beginning Balance	Standard	If the first bucket, it is calculated as (Beginning Balance * (Current Net Rate + Margin) from instrument record). If any other bucket, it is considered as Ending Net Rate of the previous bucket. The forecasted rate will be adjusted depending on the reprice characteristics.
Beginning Transfer Rate	90	At First	Beginning Balance	Standard	If the first bucket is calculated as (Beginning Balance * (Current Transfer Rate + Margin) from instrument record). If any other bucket, it is considered as Ending Net Rate of the previous bucket. The forecasted rate will be adjusted depending on the reprice characteristics.
Beginning Liquidity Adjustment Rate	91	At First	Beginning Balance	Standard	Calculated as: Current Liquidity Adjustments Rate * Beginning Balance
Beginning Basis Risk Cost Rate	92	At First	Beginning Balance	Standard	Calculated as: Current Basis Risk Cost Rate * Beginning Balance
Beginning Pricing Incentive Rate	93	At First	Beginning Balance	Standard	Calculated as: Current Pricing Incentive Rate * Beginning Balance
Beginning Other Adjustment Rate	94	At First	Beginning Balance	Standard	Calculated as: Current Other Adjustments Rate * Beginning Balance
End Balance	100	At Last		Standard	Calculated as: Beginning Balance - Total Runoff + New Add Balance + New Roll Add Balance - Writeoff Negative
Ending Gross Rate	110	At Last	Ending Balance	Standard	Calculated as: End Balance * (Current Gross Rate + Margin)Forecasted Rate will be adjusted depending on the reprice characteristics
Ending Net Rate	120	At Last	Ending Balance	Standard	Calculated as: End Balance * (Current Net Rate + Margin)Forecasted Rate will be adjusted depending on the reprice characteristics
Ending Transfer Rate	130	At Last	Ending Balance	Standard	End Balance * (Current Transfer Rate + Margin) Forecasted Rate will be adjusted depending on the reprice characteristics
Ending Liquidity Adjustment Rate	131	At Last	Ending Balance	Standard	Current Liquidity Adjustments Rate * Ending Balance
Ending Basis Risk Cost Rate	132	At Last	Ending Balance	Standard	Current Basis Risk Cost Rate * Ending Balance
Ending Pricing Incentive Cost Rate	133	At Last	Ending Balance	Standard	Current Pricing Incentive Rate * Ending Balance
Ending Other Adjustment Rate	134	At Last	Ending Balance	Standard	Current Other Adjustments Rate * Ending Balance
Average Bal	140	Daily Average		Standard	Sum of (Balance * Number of days)Note: It includes all balances within the bucket and the corresponding number of days.
Average Account Balance	141	Daily Average	Average Balance
Average Total Balance	142	Daily Average	Average Balance
Average Percentage Active	143	Daily Average	Average Balance
Average Volume Total	144	Daily Average	Average Balance
Average Gross Rate	150	Daily Average	Average Balance	Standard	Sum of all (Beginning Balance * (Current Gross Rate + Margin))/ Size of the bucketForecasted Rate will be adjusted depending on the reprice characteristics
Average Net Rate	160	Daily Average	Average Balance	Standard	Sum of all (Beginning Balance * (Current Net Rate + Margin))/ Size of the bucketForecasted Rate will be adjusted depending on the reprice characteristics.
Average Transfer Rate	170	Daily Average	Average Balance	Standard	Sum of all (Beginning Balance * (Current Transfer Rate + Margin))/ Size of the bucketForecasted Rate will be adjusted depending on the reprice characteristics.
Average Historic Option Cost	171	Daily Average	Average Balance
Average Rem Term Transfer Rate	172	Daily Average	Average Balance
Average Current Option Cost	173	Daily Average	Average Balance
Average Liquidity Adjustment Rate	174	Daily Average	Average Balance	Standard	Sum of (Current Liquidity Adjustments Rate * Balance) Note: It includes all balances within the bucket and the corresponding number of days.
Average Basis Risk Cost Rate	175	Daily Average	Average Balance	Standard	Sum of (Current Basis Risk Cost Rate * Balance) Note: It includes all balances within the bucket and the corresponding number of days
Average Pricing Incentive Rate	176	Daily Average	Average Balance	Standard	Sum of (Current Pricing Incentive Rate * Balance) Note: It includes all balances within the bucket and the corresponding number of days.
Average Other Adjustment Rate	177	Daily Average	Average Balance	Standard	Sum of (Current Other Adjustments Rate * Balance) Note: It includes all balances within the bucket and the corresponding number of days.
Inflation Adjustment to Principal	178	Sum		Standard	Index unadjusted Principal cash flow - Index adjusted Principal cash flow
Inflation Adjustment to Interest	179	Sum		Standard	Index unadjusted Interest cash flow - Index adjusted Interest cash flow
Prepay Runoff - Positive	180	Sum		Standard	Adjusted Prepayment Factor * Balance before Prepayment
Timing of Prepay Runoff - Positive	181	Sum	Prepay Runoff (positive)	Prepay Detail	Prepayment Runoff Positive * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucketThis formula holds good if single cashflow occurs in a bucket. If multiple cash flows occur, then all will need to be aggregated.
Prepay Runoff - Negative	182	Sum		Prepay Detail	Adjusted Prepayment Factor * Balance before Prepayment It is applicable for negative volumes.
Timing of Prepay Runoff - Negative	183	Sum	Prepay Runoff (negative)	Prepay Detail	Prepayment Runoff Negative * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
MOA Prepay Runoff	184	Sum		Prepay Detail	Interest Cashflow without offset - Interest Cashflow with offset
Timing of MOA Prepay Runoff	185	Sum	MOA Prepay Runoff	Prepay Detail	MOA Prepay Runoff * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Writeoff Positive	186	Sum		Runoff Detail
Timing of Writeoff Positive	187	Sum	Writeoff (Positive)	Runoff Detail	Writeoff Positive * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Writeoff Negative	188	Sum		Runoff Detail	Cur Par Balance on the Maturity Date
Timing of Writeoff Negative	189	Sum	Writeoff (Negative)	Runoff Detail	Writeoff Negative * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Payment Runoff - Positive	190	Sum		Runoff Detail	Current Payment - Interest Cashflow, if positive
Timing of Payment Runoff - Positive	191	Sum	Payment Runoff (positive)	Runoff Detail	Payment Runoff Positive * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Payment Runoff - Negative	192	Sum		Runoff Detail	Current Payment - Interest Cashflow, if negative
Timing of Payment Runoff - Negative	193	Sum	Payment Runoff (negative)	Runoff Detail	Payment Runoff Negative * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Index Factor	194			Standard
Maturity Runoff - Positive	195	Sum		Runoff Detail	Cur Par Balance - Payment Runoff on the maturity date, if positive
Timing of Maturity Runoff - Positive	196	Sum	Maturity Runoff - Positive	Runoff Detail	Maturity Runoff Positive * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Maturity Runoff - Negative	197	Sum		Runoff Detail	Cur Par Balance - Payment Runoff on the maturity date, if negative
Timing of Maturity Runoff - Negative	198	Sum	Maturity Runoff - Negative	Runoff Detail	Maturity Runoff Negative * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Non Maturity - Core Runoff	200	Sum		Runoff Detail	Cur Par Balance * Non Maturity Core Percentage (from Behavior Pattern)
Timing of Non Maturity - Core Runoff	201	Sum	Non Maturity Runoff (Core)	Runoff Detail	Core Runoff * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Non Maturity - Volatile Runoff	202	Sum		Runoff Detail	Cur Par Balance * Non Maturity Volatile Percentage (from Behavior Pattern)
Timing of Non Maturity - Volatile Runoff	203	Sum	Non Maturity Runoff (Volatile)	Runoff Detail	Volatile Runoff * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Devolvement Runoff	204	Sum		Runoff Detail	Devolvement Percentage * Original Par Balance
Timing of Devolvement Runoff	205	Sum	Devolvement Runoff	Runoff Detail	Devolvement Runoff * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Recovery Runoff	206	Sum		Runoff Detail	Recovery Percentage * Cur Par Balance
Timing of Recovery Runoff	207	Sum	Recovery Runoff	Runoff Detail	Recovery Runoff * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Non Performing Asset Runoff	208	Sum		Runoff Detail	Non Performing Asset Percentage * Cur Par Balance
Timing of Non Performing Asset Runoff	209	Sum	NPA Runoff	Runoff Detail	Non Performing Asset Runoff * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Total Runoff - Positive	210	Sum		Standard	Payment Runoff Positive + Prepayment Runoff Positive + Maturity Runoff Positive + Non Performing Asset Runoff + Devolvement Runoff + Core Runoff + Volatile Runoff
Timing of Total Runoff - Positive	211	Sum	Total Runoff (positive)	Standard	Total Runoff Positive * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Total Runoff - Negative	212	Sum		Standard	Payment Runoff Negative + Prepayment Runoff Negative + Maturity Runoff Negative
Timing of Total Runoff - Negative	213	Sum	Total Runoff (negative)	Standard	Total Runoff Negative * (Cashflow Date - Start Date of the bucket) / Total Number of days in the bucket
Total Call Runoff Amount	214
Timing of Call Runoff Amount	215
Total Put Runoff Amount	216
Timing of Put Runoff Amount	217
Strike Rate - Rate Based Approach	218
Total Runoff Gross Rate	220	Sum	Total Runoff (positive)	Standard	Total Runoff * (Current Gross Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Prepay Runoff Gross Rate	225				Prepay Runoff * (Current Gross Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Total Runoff Net Rate	230	Sum	Total Runoff (positive)	Standard	Total Runoff * (Current Net Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Prepay Runoff Net Rate	235				Prepay Runoff * (Current Net Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Total Runoff Transfer Rate	240	Sum	Total Runoff (positive)	Standard	Total Runoff * (Current Transfer Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Prepay Runoff Transfer Rate	245	Sum	Prepay Runoff	Prepay Detail	Prepay Runoff * (Current Transfer Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Repricing Balance	250	At First		Reprice Detail	Cur Par Balance before the reprice event
Repricing Balance At End	255	At Last		Reprice Detail	Cur Par Balance after the reprice event
Before Repricing Gross Rate	260	At First	Repricing Balance	Reprice Detail	Beginning Balance * Gross Rate before Reprice event
After Repricing Gross Rate	270	At Last	Repricing Balance At End	Reprice Detail	Beginning Balance * Gross Rate after Reprice event
Before Repricing Net Rate	280	At First	Repricing Balance	Reprice Detail	Beginning Balance * Net Rate before Reprice event
After Repricing Net Rate	290	At Last	Repricing Balance At End	Reprice Detail	Beginning Balance * Net Rate after Reprice event
Before Reprice Transfer Rate	300	At First	Repricing Balance	Reprice Detail	Beginning Balance * Transfer Rate before Reprice event
After Reprice Transfer Rate	310	At Last	Repricing Balance At End	Reprice Detail	Beginning Balance * Transfer Rate after Reprice event
Fully Indexed Gross Rate	320	Sum		Reprice Detail	Current Balance * Current Gross Rate after applying margin, minimum rate change
Fully Indexed Net Rate	330	Sum		Reprice Detail	Current Balance * Current Net Rate after applying margin, minimum rate change
New Add Balance	340	Sum		New Origination	For Forward Start Instruments, this is the cur par balance For New Add, this is the new add amount given by the user - TS Originations - FS Originations For Target Growth, if Bucket End, Beginning Balance * Growth Percentage - TS Originations - FS Originations; if Mid Bucket, (Beginning Balance * Growth Percentage) + Runoffs For Target End, if Bucket End, (Ending Balance - Beginning Balance - Transaction Strategies Originations - FS Originations + Runoffs); if Mid Bucket, (Ending Balance - Beginning Balance - Transaction Strategies Originations - FS Originations + Runoffs) For Rollover with Target Growth, if Bucket End, (Beginning Balance * Growth Percentage - TS Originations - FS Originations - Rollover originations); if Mid Bucket, (Beginning Balance * Growth Percentage - TS Originations - FS Originations - Rollover originations + Runoffs)
Rollover Percentage	341			New Origination
Net New Business	342			New Origination
New Add Gross Rate	350	Sum	New Add Balance	New Origination	New Add Balance * (Current Gross Rate + Margin) Forecasted Rate will be adjusted depending on the reprice characteristics
New Add Net Rate	360	Sum	New Add Balance	New Origination	New Add Balance * (Current Net Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
New Add Transfer Rate	370	Sum	New Add Balance	New Origination	New Add Balance * (Current Transfer Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
New Add Liquidity Adjustment Rate	371	Daily Average	New Add Balance	New Origination	Current Liquidity Adjustments Rate * New Add Balance
New Add Basis Risk Cost Rate	372	Daily Average	New Add Balance	New Origination	Current Basis Risk Cost Rate * New Add Balance
New Add Pricing Incentive Rate	373	Daily Average	New Add Balance	New Origination	Current Pricing Incentive Rate * New Add Balance
New Add Other Adjustment Rate	374	Daily Average	New Add Balance	New Origination	Current Other Adjustments Rate * New Add Balance
New Add Spread	375		New Add Balance	New Origination
Roll Add Balance	380	Sum		New Origination	Sum of (Percentage of Runoff * Actual Runoff) This can be Total runoff or any of the runoff types that make up Total Runoff
Roll Add Gross Rate	390	Sum		New Origination	Roll Add Balance * (Current Gross Rate + Margin) Forecasted Rate will be adjusted depending on the reprice characteristics
Roll Add Net Rate	400	Sum		New Origination	Roll Add Balance * (Current Net Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Roll Add Transfer Rate	410	Sum		New Origination	Roll Add Balance * (Current Transfer Rate + Margin). Forecasted Rate will be adjusted depending on the reprice characteristics
Roll Add Liquidity Adjustment Rate	411	Daily Average	Roll Add Balance	New Origination	Current Liquidity Adjustments Rate * Roll Add Balance
Roll Add Basis Risk Cost Rate	412	Daily Average	Roll Add Balance	New Origination	Current Basis Risk Cost Rate * Roll Add Balance
Roll Add Pricing Incentive Rate	413	Daily Average	Roll Add Balance	New Origination	Current Pricing Incentive Rate * Roll Add Balance
Liquidity Adjustment Charge/Credit	414	Accrual		Standard
Basis Risk Cost Charge/Credit	415	Accrual		Standard
Pricing Incentive Charge/Credit	416	Accrual		Standard
Other Adjustment Charge/Credit	417	Accrual		Standard
Roll Add Other Adjustment Rate	418	Daily Average	Roll Add Balance	New Origination	Current Other Adjustments Rate * Roll Add Balance
Interest	420
Interest Amount Gross	425
Interest Cash Flow	430	Sum		Standard	Balance * Compounded Rate per payment. Rate per payment = Accrual Basis * Current Net Rate * Payment Frequency
Interest Cash Flow Gross	435	Sum		Standard	Balance * Compounded Rate per payment. Rate per payment = Accrual Basis * Current Gross Rate * Payment Frequency
Interest Cash Flow T-Rate	437	Sum		Standard	Balance * Compounded Rate per payment. Rate per payment = Accrual Basis * Current Transfer Rate * Payment Frequency
Interest CF (Without Offset)	438	Sum		Standard
Interest Accrued1	440	Accrual		Standard	Daily Accrual * Number of Days in the bucket. Daily Accrual = Interest cashflow / Number of days in the payment period
Interest Accrued Net	441	Accrual
Accrued Interest (Without Offset)	442	Accrual		Standard
Accrued Interest Net (Without Offset)	443	Accrual		Standard
Interest Accrued Gross	445	Accrual		Standard
Interest Accrued Gross (current basis)	446	Accrual
Accumulated Interest CF Net	447	Sum		Standard
Accumulated Interest CF Gross	448	Sum		Standard
Accumulated Interest CF Transfer Rate	449	Sum		Standard
Transfer Rate Charge/Credit	450	Accrual		Standard
Historic Option Cost Charge/Credit	451	Accrual
Charge/Credit Rem Term	452	Accrual
Current Option Cost Charge/Credit	453	Accrual
Interest Accrued Transfer Rate (Cur Bas)	454	Accrual
Non Interest Income	455	Sum		Standard
Non Interest Expense	457	Sum		Standard
Accrued Interest Ending Balance	460	Accrual
Total Currency Gain/Loss (Principal)	465	Sum		Standard	(FE60 Beginning Balance) * [(1/ Current Exchange rate) - (1/ Previous Exchange Rate)]
Accrued Interest Average Balance	470	Accrual
Realized Currency Gain/Loss (Principal)	475	Sum		Standard	(FE210, 212 Total Runoff) * [(1/ Current Exchange rate) - (1/ Original Exchange Rate)]
Option Exercise Market Value	476
Option Exercise Rate	477
Option Exercise Gain/Loss	478
Interest Credited	480	Sum		Runoff Detail
Realized Currency Gain/Loss (Interest)	485	Sum		Standard	Interest Cash Flow Net * [(1/Current Exchange Rate) - (1/Original Exchange Rate)]
Realized Currency Gain/Loss (Interest-Gross)	486	Sum		Standard	Interest Cash Flow Gross * [(1/Current Exchange Rate) - (1/Original Exchange Rate)]
Realized Currency Gain/Loss (Interest-T-Rate)	487	Sum		Standard	Interest Cash Flow Transfer * [(1/Current Exchange Rate) - (1/Original Exchange Rate)]
Discount Rate IS	490	At Last		Standard	Discount Rate * Present value of the cashflows
Timing of Cash Flow (in days)	491	Sum		Standard	Days in payment * Discount Rate * Present Value of the cashflows
Discount Factor	492	Daily Average		Standard	1/(1 + Discount Rate) ^ Discount Factor Term If Spot Rate, Read from Discount Rates. If Spot IRC, read the term point from the IRC Historical Rates. If Forecast Original (or Remaining Term), read from Forecast Rates corresponding to the Original Term of the instrument ( or Remaining Term as Cashflow Date - As of Date).
Discount Factor Term (Days)	493	Sum		Standard	Diff between the Cashflow Date and As of Date expressed in years
Rate Lookup Term (Days)	494	Sum		Standard	Cash Flow Date - As of Date expressed in days
Market Value of TP Cash Flow (P+I)	495	Sum		Standard	TP Cashflow * Discount Factor
Market Value of TP Interest Cash Flow	497	Sum		Standard	TP Interest Cashflow * Discount Factor
WARM	500	Sum	Ending Balance	Standard	Ending Balance * (Maturity Date - Bucket End Date)/365
Annual Prepayment Rate	510	Sum	Balance Before PrePay	Prepay Detail	CPR Rate
Balance Before PrePay	515	Sum		Prepay Detail	Cur Par Balance - Payment Runoff
Deferred End Balance	520	At Last		Standard	Deferred Beginning Balance - Deferred Runoff
Deferred Average Balance	530	Daily Average		Standard	Sum of all (Beginning Deferred Balance * Number of days for that balance)
Deferred Runoff	540	Accrual		Standard	Daily Deferred Runoff * Bucket Size (for SLA method)
Period Cap Balance	550	Daily Average		Cap/Floor/Tease/NGAM	Cur Par Balance on the cashflow date
Period Cap Effect - Rate	560	Daily Average	Period Cap Balance	Cap/Floor/Tease/NGAM	((Fully Indexed Rate - Capped Rate adjusted with Periodic Cap/Floor)* Beginning Balance)
Period Cap Effect - Amount	570	Accrual		Cap/Floor/Tease/NGAM	(Interest Cashflow Net without cap/floor adjustment - Interest Cashflow Net with cap/floor adjustment)
Life Cap Balance	580	Daily Average		Cap/Floor/Tease/NGAM	Cur Par Balance on the cashflow date
Life Cap Effect - Rate	590	Daily Average	Life Cap Balance	Cap/Floor/Tease/NGAM	((Fully Indexed Rate - Capped Rate adjusted with Life Cap/Floor)* Beginning Balance)
Life Cap Effect - Amount	600	Accrual		Cap/Floor/Tease/NGAM	(Interest Cashflow Net without cap/floor adjustment - Interest Cashflow Net with cap/floor adjustment)
Tease Balance	610	Daily Average		Cap/Floor/Tease/NGAM	Cur Par Balance on the cashflow date
Tease Effect - Rate	620	Daily Average	Tease Balance	Cap/Floor/Tease/NGAM	((Fully Indexed Rate - Tease Rate adjusted)* Beginning Balance)
Tease Effect - Amount	630	Accrual		Cap/Floor/Tease/NGAM	(Interest Cashflow Net without tease adjustment - Interest Cashflow Net with tease adjustment)
Neg-Am Balance	640	Daily Average		Cap/Floor/Tease/NGAM	Cur Par Balance on the cashflow date
Neg-Am Interest	650	Accrual		Cap/Floor/Tease/NGAM
Gap Runoff	660	Sum		Standard	GAP Principal Runoff + GAP Repricing Runoff + GAP Deferred Runoff
Gap Principal Runoff	661	Sum		Runoff Detail	Principal Runoff because of Payment event across IRR Buckets
Gap Repricing Runoff	662	Sum		Repricing	Principal Runoff because of Repricing event across IRR Buckets
Gap Deferred Runoff	663	Sum		Runoff Detail	Deferred Runoff across IRR Buckets
Gap Inflation Adjustment to Principal	665	Sum		Standard	GAP Index unadjusted Principal cash flow - GAP Index adjusted Principal cash flow
Gap Inflation Adjustment to interest	669	Sum		Standard	GAP Index unadjusted Interest cash flow - GAP Index adjusted Interest cash flow
Gap Runoff Term	670	Sum	Gap Runoff Balance	Standard
Gap Interest Cash Flow Gross	671	Sum		Runoff Detail	Interest Cashflow Gross across IRR Buckets
Gap Interest Cash Flow Net	672	Sum		Runoff Detail	Interest Cashflow Net across IRR Buckets
Gap Interest Cash Flow Transfer	673	Sum		Runoff Detail	Interest Cashflow Transfer across IRR Buckets
Gap Accrued Interest Gross	674	Accrual		Runoff Detail	Interest Accrued Gross across IRR Buckets
Gap Accrued Interest Net	675	Accrual		Runoff Detail	Interest Accrued Net across IRR Buckets
Gap Accrued Interest Transfer	676	Accrual		Runoff Detail	Interest Across Transfer across IRR Buckets
Gap Interest Credited	677	Sum		Runoff Detail
Gap Runoff Gross Rate	680	Sum	Gap Runoff Balance	Standard	GAP Runoff * Current Gross Rate across IRR Buckets
Interest Accrued Gross Hist Fx Basis	681
Interest Accrued Net Hist Fx Basis	682
Interest Accrued Transfer Hist Fx Basis	683
Gap Runoff Net Rate	690	Sum	Gap Runoff Balance	Standard	GAP Runoff * Current Net Rate across IRR Buckets
Gap Runoff Transfer Rate	700	Sum	Gap Runoff Balance	Standard	GAP Runoff * Current Transfer Rate across IRR Buckets
Market Value	710	Sum		Standard	Present Value of Principal Cash Flows + Present Value of Interest Cash Flows
Option Market Value	711
Present Value of Principal Cash Flows	715	Sum		Standard	Discount Factor * Total Runoff
Present Value of Interest Cash Flows	716	Sum		Standard	Discount Factor * Interest Cashflow Net
Present Value of TP Interest Cash Flows	717	Sum		Standard	Discount Factor * Interest Cashflow Transfer Rate
Duration	720	Sum		Standard	(Discount Factor Term * Market Value)/ Total Market Value
DV01	721	Sum		Standard	(0.01 * Modified Duration) * Total Market Value) * 0.01
Modified Duration	725	Sum		Standard	Duration/(1+(YTM/Payment per year))
Convexity	730
Discount Rate FTP	755	At Last		Standard
Federal Taxes	930	Sum		Standard
Local Taxes	935	Sum		Standard
Dividends	940	Sum		Standard
Accumulated Translation Amount	950	At Last		Standard	(FE100 Ending Balance) * [(1/ Current Exchange rate) - (1/ Original Exchange Rate)]
Discount Rate LR	1490	At Last		Standard	(Discount Rate * Present value of the cashflows) output across Liquidity Buckets
Timing of Cash Flow	1491	Sum		Standard	Days to payment * Discount Rate * Present Value of the cashflows output against Liquidity Buckets
Liquidity GAP Runoff (1661 + 1663)	1660	Sum		Standard	Liquidity GAP Total Runoff + Liquidity GAP Deferred Runoff
Liquidity GAP Total Runoff	1661	Sum		Standard	Liquidity Prepayment Runoff + Liquidity Payment Runoff + Liquidity Maturity Runoff
Liquidity GAP Deferred Runoff	1663	Sum		Standard	Deferred Runoff across Liquidity Buckets
Liquidity GAP Option Exercise Premium	1664
Liquidity Gap Inflation Adjustment to Principal	1665	Sum		Standard	Liquidity Index unadjusted Principal cash flow - Liquidity Index adjusted Principal cash flow
Liquidity prepayment Runoff	1666				Prepayment Runoff across Liquidity Buckets
Liquidity Payment Runoff	1667				Payment Runoff across Liquidity Buckets
Liquidity Maturity Runoff	1668				Maturity Runoff across Liquidity Buckets
Liquidity Gap Inflation Adjustment to Interest	1669	Sum		Standard	Liquidity Index unadjusted Interest cash flow - Liquidity Index adjusted Interest cash flow
Liquidity GAP Runoff Term	1670	Daily Average	Liquidity GAP Runoff	Standard
Liquidity GAP Interest Cash Flow Gross	1671	Sum		Standard	Interest Cashflow Gross across Liquidity Buckets
Liquidity GAP Interest Cash Flow Net	1672	Sum		Standard	Interest Cashflow Net across Liquidity Buckets
Liquidity GAP Interest Cash Flow Transfer Rate	1673	Sum		Standard	Interest Cashflow Transfer Rate across Liquidity Buckets
Liquidity GAP Accrued Interest Gross	1674	Accrual		Standard	Accrued Interest Gross across Liquidity Buckets
Liquidity GAP Accrued Interest Net	1675	Accrual		Standard	Accrued Interest Net across Liquidity Buckets
Liquidity GAP Accrued Interest Transfer Rate	1676	Accrual		Standard	Accrued Interest Transfer Rate across Liquidity Buckets
Liquidity GAP Interest Credited	1677	Sum		Standard	Interest Credited across Liquidity BucketsThis is based on the "Interest Credited" Flag from Prod Characteristics.
Liquidity GAP Runoff Gross Rate	1678	Daily Average	Liquidity GAP Runoff	Standard	Liquidity GAP Runoff * (Current Gross Rate + Margin) Forecasted Rate will be adjusted depending on the reprice characteristics
Liquidity GAP Runoff Net Rate	1679	Daily Average	Liquidity GAP Runoff	Standard	Liquidity GAP Runoff * (Current Net Rate + Margin) Forecasted Rate will be adjusted depending on the reprice characteristics
Liquidity GAP Runoff Transfer Rate	1680	Daily Average	Liquidity GAP Runoff	Standard	Liquidity GAP Runoff * (Current Transfer Rate + Margin)Forecasted Rate will be adjusted depending on the reprice characteristics
Liquidity Non Maturity – Core Runoff	1681				Non Maturity Core Runoff across Liquidity Buckets
Liquidity Non Maturity – Volatile Runoff	1682				Non Maturity Volatile Runoff across Liquidity Buckets
Liquidity Devolvement Runoff	1683				Devolvement Runoff across Liquidity Buckets
Liquidity Recovery Runoff	1684				Recovery Runoff across Liquidity Buckets
Liquidity Non Performing Asset Runoff	1685				Non Performing Asset Runoff across Liquidity Buckets
Present Value of Cashflows - Scenariowise	1710	Sum		Standard	Liquidity GAP PV of Principal Cash Flows + Liquidity GAP PV of Interest Cash Flows
Liquidity GAP PV of Principal Cash Flows	1715	Sum		Standard	Discount Factor * Total Liquidity GAP Principal Runoff
Liquidity GAP PV of Interest Cash Flows	1716	Sum		Standard	Discount Factor * Liquidity GAP Interest Cashflow
Liquidity GAP PV of TP Int Cash Flows	1717	Sum		Standard	Discount Factor * Liquidity GAP TP Interest Cashflow
Liquidity GAP Duration	1720	Sum		Standard	(Discount Factor * Liquidity GAP Market Value)/Liquidity GAP Total Market Value
Liquidity GAP DV01	1721	Sum		Standard	(0.01* Liquidity GAP Modified Duration) * Liquidity GAP Total Market Value) * 0.01
Liquidity GAP Modified Duration	1725	Sum		Standard	Liquidity GAP Duration/(1+YTM/Payment per year))

NOTE:

Discount Factor Term for Liquidity GAP Bucket is calculated as Diff between Cashflow Dates and Dynamic Bucket As of Date, expressed in years.

1If holiday calendar is enabled and payment dates get holiday adjusted, Number of Days in payment period will use holiday adjusted payment dates.

Instruments, which are repricing more than once within a payment period, Accrued Interest, if provided as a download, are added to Interest cashflow calculated from as of the date (for more information, see Accrued Interest (ACCRUED_INTEREST).Accrued Interest, by definition, is Interest accrued from Last Payment Date till As of date, and is not used for FE 440 calculation. For these instruments First Daily Accrual, calculated on First Interest cashflow after as of date, is calculated as follows:

First Daily Accrual = First Interest cash flow from as of the date (excluding Accrued Interest provided as download)/ Number of days from as of date till interest event date.

There is no change to Daily Accrual calculation on other interest event dates, after the first Daily Accrual calculation.

Financial Element Type - Cash Flow: Income Statement Accounts

Table : Types of Cash Flow Income Statement Account Financial Elements
Financial Element	Income Interest Income	Non Interest Expense	Taxes	Dividends
455 Non Interest Income	X
457 Non Interest Expense		X
930 Federal Taxes			X
935 Local Taxes			X
940 Dividends				X

Financial Element Type - Cash Flow: Simple Accounts

Table 84: Types of Cash Flow Simple Accounts Account Financial Elements
Financial Element	Simple Acct Type (No TP/Adj Rates)	Simple Acct Type (No Gross Rates)	Simple Acct Type (Net Rates)	Simple Acct Type (Multi Rates)
60 Beginning Balance	X	X	X	X
70 Beginning Gross Rate	X			X
80 Beginning Net Rate	X	X	X	X
90 Beginning Transfer Rate		X		X
91 Beginning Liquidity Adjustment Rate		X		X
92 Beginning Basis Risk Cost Rate		X		X
93 Beginning Pricing Incentive Rate		X		X
94 Beginning Other Adjustment Rate		X		X
100 End Balance	X	X	X	X
110 Ending Gross Rate	X			X
120 Ending Net Rate	X	X	X	X
130 Ending Transfer Rate		X		X
131 Ending Liquidity Adjustment Rate		X		X
132 Ending Basis Risk Cost Rate		X		X
133 Ending Pricing Incentive Cost Rate		X		X
134 Ending Other Adjustment Rate		X		X
140 Average Bal	X	X	X	X
150 Average Gross Rate	X			X
160 Average Net Rate	X	X	X	X
170 Average Transfer Rate		X		X
174 Average Liquidity Adjustment Rate		X		X
175 Average Basis Risk Cost Rate		X		X
176 Average Pricing Incentive Rate		X		X
177 Average Other Adjustment Rate		X		X
178 Inflation Adjustment to Principal	X	X	X	X
179 Inflation Adjustment to Interest	X	X	X	X
210 Total Runoff – Positive	X	X	X	X
211 Timing of Total Runoff – Positive	X	X	X	X
212 Total Runoff – Negative	X	X	X	X
213 Timing of Total Runoff – Negative	X	X	X	X
220 Total Runoff Gross Rate	X			X
230 Total Runoff Net Rate	X	X	X	X
240 Total Runoff Transfer Rate		X		X
340 New Add Balance	X	X	X	X
350 New Add Gross Rate	X			X
360 New Add Net Rate	X	X	X	X
370 New Add Transfer Rate		X		X
371 New Add Liquidity Adjustment Rate		X		X
372 New Add Basis Risk Cost Rate		X		X
373 New Add Pricing Incentive Rate		X		X
374 New Add Other Adjustment Rate		X		X
411 Roll Add Liquidity Adjustment Rate		X		X
412 Roll Add Basis Risk Cost Rate		X		X
413 Roll Add Pricing Incentive Rate		X		X
414 Liquidity Adjustment Charge/Credit		X		X
415 Basis Risk Cost Charge/Credit		X		X
416 Pricing Incentive Charge/Credit		X		X
417 Other Adjustment Charge/Credit		X		X
418 Roll Add Other Adjustment Rate		X		X
440 Interest Accrued	X	X	X	X
445 Interest Accrued Gross	X		X	X
450 Transfer Rate Charge/Credit		X		X

Financial Element Type – Repricing Gap

Table 85: Types of Repricing Gap Financial Elements
Element Number	Element Name
660	Gap Runoff
661	Gap Principal Runoff
662	Gap Repricing Runoff
663	Gap Deferred Runoff
665	Gap Inflation Adjustment to Principal
669	Gap Inflation Adjustment to interest
670	Gap Runoff Term
671	Gap Interest Cash Flow Gross
672	Gap Interest Cash Flow Net
673	Gap Interest Cash Flow Transfer
674	Gap Accrued Interest Gross
675	Gap Accrued Interest Net
676	Gap Accrued Interest Transfer
677	Gap Interest Credited
680	Gap Runoff Gross Rate
690	Gap Runoff Net Rate
700	Gap Runoff Transfer Rate

Financial Element Type – Liquidity Gap

Table 86: Types of Liquidity Gap Financial Elements
Element Number	Element Name
1490	Discount Rate LR
1491	Timing of Cash Flow
1660	Liquidity GAP Runoff (1661 + 1663)
1661	Liquidity GAP Total Runoff
1663	Liquidity GAP Deferred Runoff
1664	Liquidity GAP Option Exercise Premium
1665	Liquidity Gap Inflation Adjustment to Principal
1669	Liquidity Gap Inflation Adjustment to Interest
1670	Liquidity GAP Runoff Term
1671	Liquidity GAP Interest Cash Flow Gross
1672	Liquidity GAP Interest Cash Flow Net
1673	Liquidity GAP Interest Cash Flow Transfer Rate
1674	Liquidity GAP Accrued Interest Gross
1675	Liquidity GAP Accrued Interest Net
1676	Liquidity GAP Accrued Interest Transfer Rate
1677	Liquidity GAP Interest Credited
1678	Liquidity GAP Runoff Gross Rate
1679	Liquidity GAP Runoff Net Rate
1680	Liquidity GAP Runoff Transfer Rate
1710	Present Value of Cashflows - Scenarios
1715	Liquidity GAP PV of Principal Cash Flows
1716	Liquidity GAP PV of Interest Cash Flows
1717	Liquidity GAP PV of TP Int Cash Flows
1720	Liquidity GAP Duration
1721	Liquidity GAP DV01
1725	Liquidity GAP Modified Duration

NOTE:

The following changes have been done to meet the above requirement:

· A simple seeded dimension called “Product Interest Rate Sensitivity Category” has been introduced. The attribute of product dimension ‘Interest Rate Sensitivity Category’ has been introduced. This attribute is populated in processing (FSI_D) tables for each account so that it can be used in the data filter and conditional assumption. Using this attribute a product is identified as Interest Rate sensitive or Non-Interest Rate sensitive.

· Interest Rate Gap Buckets now have a default Non-Rate Sensitive Bucket, along with Interest rate Sensitive Buckets.

· In Process rule, the calculation block ‘Include Non-Rate Sensitive Bucket’ is added, which gets enabled when ‘Repricing Gap’ is selected.

· Once a product is mapped as Non-Interest Rate Sensitive, and User have selected ‘Include Non-Rate Sensitive Bucket’ in Process rule, reprice gap output of these Products, would move into Non-Interest Rate Sensitive bucket.

If ‘Include Non-Rate Sensitive Bucket’ is not enabled, the engine will ignore the ‘Interest Rate Sensitivity Category’ product attribute and would treat all products as Interest Rate Sensitive. Reprice Gap output would move into respective Reprice Gap buckets.

Element Type - Market Value

Table : Types of Market Value Financial Elements
Element Number	Element Name
490	Discount Rate - IS
491	Timing of Cash Flow (in days)
492	Discount Factor
493	Discount Factor Term (Days)
494	Rate Lookup Term (Days)
495	Market Value of TP Cash Flow (P+I)
497	Market Value of TP Interest Cash Flow
710	Market Value
715	Present Value of Principal Cash Flows
716	Present Value of Interest Cash Flows
717	Present Value of TP Interest Cash Flows
720	Duration
721	DV01
725	Modified Duration
755	Discount Rate FTP
1490	Discount Rate LR
1491	Timing of Cash Flow
1710	Present Value of Cashflows - Scenarios
1715	Liquidity GAP PV of Principal Cash Flows
1716	Liquidity GAP PV of Interest Cash Flows
1717	Liquidity GAP PV of TP Interest Cash Flows
1720	Liquidity GAP Duration
1721	Liquidity GAP DV01
1725	Liquidity GAP Modified Duration

Financial Element Output by Account Type

Account Types are assigned through the Dimension Management Set-Up interface for each Common COA dimension member. The product leaves other than Common COA are assigned the same account type as their associated Common COA. During Oracle ALM processing, the financial elements generated are dependent on the account type associated with each instrument record's product leaf value. The following table defines which financial elements are produced for instruments of a specific account type classification.

Table 88: Financial Elements of Specific Account Type Class


FE #	Description	Autobal Accts	Earning Asset/ Interest bearing Liability	Interest Income/ Interest Expense	OBS Rec/ Pay	Equity	Other Assets/ Other Liabilities	Non Int Inc	Non Int Exp	Taxes	Dividends
60	Beginning Balance	X	X		X	X	X
70	Beginning Gross Rate	X	X		X
80	Beginning Net Rate	X	X		X
90	Beginning Transfer Rate	X	X		X
100	End Balance	X	X		X	X	X
110	Ending Gross Rate	X	X		X
120	Ending Net Rate	X	X		X
130	Ending Transfer Rate	X	X		X
140	Average Bal	X	X		X	X	X
150	Average Gross Rate	X	X		X
160	Average Net Rate	X	X		X
170	Average Transfer Rate	X	X		X
178	Inflation Adjustment to Principal		X
179	Inflation Adjustment to Interest		X
180	Prepay Runoff - Positive		X		X
181	Timing of Prepay Runoff-positive		X		X
182	Prepay Runoff-negative		X		X
183	Timing of Prepay Runoff - negative		X		X
190	Payment Runoff - Positive		X		X
191	Timing of Payment Runoff - Positive		X		X
192	Payment Runoff - Negative		X		X
193	Timing of Payment Runoff - Negative		X		X
194	Index Factor		X
195	MaturityRunoff- positive		X		X		X
196	Timing of Maturity Runoff - Positive		X		X		X
197	Maturity Runoff-negative		X		X
198	Timing of Maturity Runoff - Negative		X		X
200	Non Maturity - Core Runoff		X		X
201	Timing of Non Maturity - Core Runoff		X		X
202	Non Maturity - Volatile Runoff		X		X
203	Timing of Non Maturity - Volatile Runoff		X		X
204	Devolvement Runoff		X		X
205	Timing of Devolvement Runoff		X		X
206	Recovery Runoff		X		X
207	Timing of Recovery Runoff		X		X
208	Non Performing Asset Runoff		X		X
210	Total Runoff - positive		X		X		X
211	Timing of Total Runoff - positive		X		X		X
212	Total Runoff negative		X		X
213	Timing of Total Runoff - negative		X		X
220	Total Runoff Gross Rate		X		X
230	Total Runoff Net Rate		X		X
240	Total Runoff Transfer Rate		X		X
250	Repricing Balance		X		X
255	Repricing Balance At End		X		X
260	Before Repricing Gross Rate		X		X
270	After Repricing Gross Rate		X		X
280	Before Repricing Net Rate		X		X
290	After Repricing Net Rate		X		X
300	Before Reprice Transfer Rate		X		X
310	After Reprice Transfer Rate		X		X
320	Fully Indexed Gross Rate		X		X
330	Fully Indexed Net Rate		X		X
340	New Add Balance		X		X		X	X	X
350	New Add Gross Rate		X		X
360	New Add Net Rate		X		X
370	New Add Transfer Rate		X		X
380	Roll Add Balance		X		X
390	Roll Add Gross Rate		X		X
400	Roll Add Net Rate		X		X
410	Roll Add Transfer Rate		X		X
430	Interest Cash Flow	X	X	X	X
435	Interest Cash Flow Gross	X	X	X	X
437	Interest Cash Flow T-Rate	X	X	X	X
440	Interest Accrued	X	X	X	X
441	Interest Accrued Net	X	X	X	X
445	Interest Accrued Gross	X	X	X	X
450	Transfer Rate Charge/Credit	X	X	X	X
455	Non Interest Income							X
457	Non Interest Expense								X
480	Interest Credited		X		X
500	WARM		X		X
510	Annual Prepayment Rate		X		X
515	Balance Before PrePay		X		X
520	Deferred End Balance		X		X
530	Deferred Average Balance		X		X
540	Deferred Runoff		X		X
550	Period Cap Balance		X		X
560	Period Cap Effect - Rate		X		X
570	Period Cap Effect - Amount		X		X
580	Life Cap Balance		X		X
590	Life Cap Effect - Rate		X		X
600	Life Cap Effect - Amount		X		X
610	Tease Balance		X		X
620	Tease EffectRate		X		X
630	Tease effectAmount		X		X
640	Neg-Am Balance		X		X
650	Neg-Am Interest		X		X
660	Gap Runoff	X	X		X	X
661	Gap Principal Runoff	X	X		X	X
662	Gap Repricing Runoff	X	X		X
663	Gap Deferred Runoff	X	X		X
665	Gap Inflation Adjustment to Principal		X
669	Gap Inflation Adjustment to interest		X
670	Gap Runoff Term	X	X		X	X
671	Gap Interest Cash Flow Gross	X	X	X	X			X	X
672	Gap Interest Cash Flow Net	X	X	X	X			X	X
673	Gap Interest Cash Flow Transfer	X	X	X	X			X	X
674	Gap Accrued Interest Gross	X	X	X	X			X	X
675	Gap Accrued Interest Net	X	X	X	X			X	X
676	Gap Accrued Interest Transfer	X	X	X	X			X	X
677	Gap Interest Credited	X	X	X
680	Gap Runoff Gross Rate	X	X	X
690	Gap Runoff Net Rate	X	X	X
700	Gap Runoff Transfer Rate	X	X	X
710	Market Value	X	X		X
711	Option Market Value
715	Present Value of Principal Cash Flows	X	X		X
716	Present Value of Interest Cash Flows	X	X		X
720	Duration	X	X		X
721	DV01	X	X		X
725	Modified Duration	X	X		X
930	Federal Taxes									X
935	Local Taxes									X
940	Dividends										X
1660	Liquidity GAP Runoff (1661 + 1663)	X	X		X
1661	Liquidity GAP Principal Runoff	X	X		X
1663	Liquidity GAP Deferred Runoff	X	X		X
1665	Liquidity Gap Inflation Adjustment to Principal		X
1669	Liquidity Gap Inflation Adjustment to Interest		X
1670	Liquidity GAP Runoff Term	X	X		X
1671	Liquidity GAP Interest Cash Flow Gross	X	X	X	X
1672	Liquidity GAP Interest Cash Flow Net	X	X	X	X
1673	Liquidity GAP Interest Cash Flow Transfer Rate	X	X	X	X
1674	Liquidity GAP Accrued Interest Gross	X	X	X	X
1675	Liquidity GAP Accrued Interest Net	X	X	X	X
1676	Liquidity GAP Accrued Interest Transfer Rate	X	X	X	X
1677	Liquidity GAP Interest Credited	X	X	X
1678	Liquidity GAP Runoff Gross Rate	X	X	X
1679	Liquidity GAP Runoff Net Rate	X	X	X
1680	Liquidity GAP Runoff Transfer Rate	X	X	X
1710	Present Value of Cashflows -Scenariowise	X	X		X
1715	Liquidity GAP PV of Principal Cash Flows	X	X		X
1716	Liquidity GAP PV of Interest Cash Flows	X	X		X
1717	Liquidity GAP PV of TP Int Cash Flows	X	X		X
1720	Liquidity GAP Duration	X	X		X
1721	Liquidity GAP DV01	X	X		X
1725	Liquidity GAP Modified Duration	X	X		X

Currency Translation Methods for Financial Elements

The following table defines the translation methods used for each financial element:

Table : Financial Elements of Specific Account Type Class
Code	Financial Elements	Temporal and Current Rate Methods	Historical Basis Method
(most)	All elements not listed in the following rows.	The current bucket exchange rate should be applied to all financial elements, except those listed in the following rows.	Exchange Rate at origination should be applied to all financial elements, except those listed in the following rows.
60	Beginning Balance	Previous bucket exchange rate	The exchange rate at origination
70, 80, 90	Beginning Gross Rate, Net Rate, and Transfer Rate	Previous bucket exchange rate	The exchange rate at origination
440 [1]	Interest Accrued (historical basis)	The exchange rate at origination	The exchange rate at origination
441	Interest Accrued Net (current basis)	Current bucket exchange rate	N/A
445	Interest Accrued Gross (historical basis)	The exchange rate at origination	The exchange rate at origination
446	Interest Accrued Gross (current basis)	Current bucket exchange rate	N/A
520	Deferred End Balance	The exchange rate at origination	The exchange rate at origination
530	Deferred Average Balance	The exchange rate at origination	The exchange rate at origination
540	Deferred Runoff	The exchange rate at origination	The exchange rate at origination
465	Total Currency Gain/Loss (Principal)	No translation (used only for Temporal)	N/A
475	Realized Currency Gain/Loss (Principal)	No translation (used only for Temporal & Historical methods)	No translation
485, 486, 487	Realized Currency Gain/Loss (Interest)	No translation	No translation
950	Accumulated Translation Amount	No translation (used only for Current Rate method)	N/A
660 – 7001660-1725	All Gap financial Elements	Calculate values for reporting currencies from translated financial elements	The exchange rate at origination