1. Asset Liability Management User Guide
  2. OFSAA Rate Management
  3. Interest Rates Details
  4. Interest Rate Code Tabs
  5. Navigating Between Interest Rate Code Tabs
  6. Attributes Tab

5.2.2.1.1 Attributes Tab

Yield curve attributes include Rate Format, Compounding Basis, Accrual Basis, and Curve Identifier.

Figure 5-3 Attribute Tab of Interest Rate Code screen


The Attribute Tab on the Interest Rate Code screen allows you to define the Rate format, compounding basis, curve identifier, and accrual basis for the new interest rate code that is being defined.

All attributes are disabled if the Volatility Curve is selected. The following list describes the fields in the Attribute Tab of Interest Rate Code screen.

  • Rate Format: To define the yield curve, you must select either the Zero Coupon or Yield to Maturity Rate Format. Rates entered into Rate Management (in the Historical Rates tab) are always entered in the nominal form, such as 5.125% or 6.875%, not as discount factors. For more information on how the two rate formats affect internal cash flow engine calculations, see the OFS Cash Flow Engine Reference Guide.
  • Compounding Basis: Select a Compounding Basis for the yield curve: Annual, Semiannual, Monthly, or Simple. Annual is the most common method. The Monthly Option is enabled based on Rate Format selection (if Rate Format is selected as Yield to Maturity). For more information on Compounding Basis and how different compounding bases affect cash flow calculations in OFSAA, see the OFS Cash Flow Engine Reference Guide.
  • Accrual Basis: Select an Accrual Basis for the yield curve. The Accrual Basis list depends on the Compounding Basis selection. If the Compounding Basis is selected as Annual, Semiannual, or Monthly, then the following Accrual Basis types are available:
    • Actual/Actual
    • 30/365
    • Actual/365
    If the Compounding Basis is selected as Simple, then the following Accrual Basis types are available:
    • 30/360
    • Actual/360
    • Actual/Actual
    • 30/365
    • 30/Actual
    • Actual/365

    For more information on Accrual Basis and how different accrual bases affect cash flow calculations in OFSAA, see the OFS Cash Flow Engine Reference Guide.

  • Curve Identifier: The curve identifiers can be mapped to the Adjustable Rate Mortgage (ARM) indices used for ADCO prepayment model processing. This is a drop-down list that contains the six Curve Identifier types, that is, Par Treasury, Zero-coupon Treasury, Par LIBOR/Swap, Zero-coupon LIBOR/Swap, Prime Lending Rate, and Cost of Funds Index. The Reference Currency for these indices is always US Dollar.

    The curve identifier is optional when the IRC is not used for ADCO prepayment model processing. This is applicable only in ALM and HM applications.