48.1 List of Glossary
Aggregation
To summarize detailed instruments to a table in the database which can be used for faster processing in ALM.
Answers
Answers is the OBIEE (Oracle Business Intelligence Enterprise Edition), ad-hoc reporting tool.
As of Date
Date at which the data is current
Asset/Liability Management Committee
The Asset/Liability Management Committee (or ALCO) is an organization within a financial institution whose charter is to manage interest rate and liquidity risk.
At-Risk Period
The time horizon for Value-at-Risk, such as the difference between the time in the future when we evaluate a portfolio loss and the As of Date.
Base Rates
Section in Oracle Asset Liability Management that stores the interest rates associated with the data As-of-Date.
Basis Points
1/100th of a percent (abbreviated as "bps")
Cash Flow Instrument Table
An instrument table that contains all of the OFSAA cash flow columns required by the cash flow engine.
Cash Flow Column
Column in an instrument table used by the OFSAA cash flow engine to perform cash flow analysis on a record.
CPR
Constant Prepayment Rate (CPR) is a measure of an annualized prepayment rate.
Credit Risk
The risk that a loan holder will be unable to repay any portion of the loan.
Current Rate Risk Profit
Component of funding center rate risk results attributed to current mismatches of assets and liabilities.
Data Filter Rule
Data Filters are used to define which data should go into a processing run.
Data Input Helper
A pop-up dialogue that facilitates the definition of a series of input values (dates or numbers) by allowing several methods for defining structured patterns in the data.
DDA
Demand Deposit Account. An example of a DDA is a checking account.
De-annualize
To compute the monthly equivalent rate of an annual rate.
Duration
Duration is the rate of market value change with respect to discount rate changes. It is a measure of market value sensitivity: the lower the value, the less sensitive the market value to changes in interest rates.
Embedded Rate Risk Profit
Portion of funding center rate risk result attributed to prior rate bets.
Funding Center
Area in a financial institution that receives the transfer pricing charge and credit for funds.
Funds Transfer Pricing
A method for valuing all sources and uses of funds for a balance sheet.
General Ledger
The main data source that defines an institution's financial reality. The General Ledger reflects all accounting entries.
Grid
A logical grouping of cells often surrounded by scroll bars.
Hierarchy
Hierarchical structure for dimension members in OFS applications (Examples: organizational and product type)
Historical Rates Table
OFSAA repository for all historical actual interest rates.
Instrument
Synonymous with an account record or an individual contract.
Instrument Table
A type of table contained in the OFSAA database used to store account level information
Instrument Records
Rows in the OFSAA database that carry transaction account level information (Example: deposit account by deposit account)
Interest Rate Code
User defined code to reference a yield curve or single rate index for historical analysis, transfer pricing, and interest rate forecasting purposes.
Last Repricing Date
Date the rate last changed for an adjustable rate instrument and the origination date for a fixed rate instrument.
Leaf Fields
OFSAA database fields used to define hierarchical segmentations of data. They also draw a relationship between the instrument data and the General Ledger data in Ledger/Stat. Also known as key dimensions
Leaf Values
Specific numeric values that make up the Leaf Fields. These are dimension members that can never be used as parent nodes on a hierarchy. The fact data should always be populated with dimension member - leaf values only.
Ledger Stat
Table in the OFSAA database that stores all General Ledger as well as statistical information for current and historical periods.
Liquidity Premiums
A charge levied on a long-term instrument to compensate for illiquidity of the funds.
Log in
To access the programs and database of any OFSAA application by providing a valid user name and password.
Long Run Rate
One of the user-input parameters of the Vasicek (discrete-time) term structure model; represents the equilibrium value of the one-month annually compounded rate.
Market Price of Risk
In financial economics theory the market price of risk is a measure of inter-temporal risk-aversion of the aggregate investor; for example, a high market price of risk during some future period means that investors will be more risk-averse, and that rates for that term should be higher to compensate for this risk; in practical terms, the market price of risk is the "plug" that makes the risk-neutral rates price risk-free bonds correctly.
Market Value
In Monte Carlo, average of the (scenario specific) present values. In deterministic processing, it is the present value of the cash flows of the specific scenario.
Matched Rate Transfer Pricing
Method of Transfer Pricing where all accounts have transfer rates that reflect their specific maturity and repricing characteristics.
Matched Spread
The interest profit margin for any account, measured as the Note Rate minus the Transfer Rate for asset accounts and the Transfer Rate minus the Note Rate for Liability and Equity accounts.
Monthly Rate
Yield on a loan contracted at the beginning of a month for a period of one month assuming a continuous compounding basis; the monthly rate is a function of time and scenario; the Rate Generator also computes rates for a different term than a month.
Next Repricing Term
Repricing frequency for an adjustable rate instrument and the original term to maturity for a fixed rate instrument.
Oracle Asset Liability Management
ALM is an Asset/Liability management simulation tool that generates daily cash flows for each individual transaction record and allows users to model their balance sheet using both deterministic and stochastic methods.
Oracle Business Intelligence Enterprise Edition
OBIEE is Oracle's market leading business intelligence product. OFSAA applications are fully integrated with OBIEE through the OFSAA BI applications, including Oracle Financial Services Asset Liability Management Analytics and Oracle Financial Services Profitability Analytics.
Oracle Financial Services Balance Sheet Planning
Balance Sheet Planning performs distributed budgeting of all balance sheet and income statement accounts.
Oracle Financial Services Funds Transfer Pricing
Funds Transfer Pricing performs Matched Rate Transfer Pricing for an entire balance sheet.
Oracle Financial Services Pricing Management – Transfer Pricing Component
Pricing Management allows users to call the Transfer Pricing engine in real time, providing the line bankers with on-demand information to support deal pricing.
Oracle Financial Services Profitability Management
Profitability Management assists customers in developing multiple levels of profitability (Example: organizational, product, customer, account profitability).
Oracle Financial Services Analytical Applications Infrastructure
OFSAAI is a set of powerful administrative tools that provide management of the OFSAA environment and access to the database by OFS application users. The Infrastructure is a required component for all OFSAA applications with the exception of Balance Sheet Planning.
Oracle Financial Services Advanced Analytical Applications Infrastructure
The advanced infrastructure provides the modeling framework and stress testing framework as additional complimentary components to supplement to core analytic applications.
Operating Cost
Non-interest related cost of running a business.
Option Costs
Costs assigned to measure the value of any customer option on an instrument.(Example: prepayments on mortgage loans). These costs are typically added to the base transfer rate to compute an all-in funding rate.
Portfolio Fields
Fields in the OFSAA database that are common to multiple instrument tables. The OFSAA Administrator determines the portfolio fields.
Prepayment
A reduction in the principal balance of a transaction record prior to the contracted schedule date.
Present Value
In Monte Carlo, sum of cash flows paid by a security along a particular rate scenario, discounted by the stochastic discount factor. In deterministic processing, the sum of the cash flows discounted by the deterministic discount factor.
PSA
A prepayment specification method established by the Public Securities Association, which relates the CPR to the age of that instrument.
Reconciliation
The process of comparing information from one data source to another.
Record
Usually a single account or transaction, or aggregation of accounts, stored in the database (also called a row).
Reporting Currency
An active currency to which balances in other currencies are consolidated, often used for reporting.
Single Rate
An interest rate code with only one point defined (Examples: prime rate and 11th District Cost of Funds Index).
Speed of Mean Reversion
One of the user-input parameters of the Vasicek and Extended Vasicek (discrete time) term structure models; represents the long-run drift factor.
SQL
Structured Query Language. A direct method of accessing the raw OFSAA database.
Stochastic Discount Factor
Present value (along a rate scenario) of one dollar received at some future time; it is a function of future time, OAS, and scenario.
Transfer Pricing Rule
An OFSAA Rule used to specify the method for transfer pricing each balance sheet account.
Volatility
One of the user-input term parameters of all (discrete-time) term structure models; represents a standard deviation of the one-month annually compounded rate.
Yield Curve
Term structure of annually compounded zero-coupon bond yield, as recorded in Rate Management > Historical Rates.