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.