23.3 Financial Elements Listed by Number
Table 23-5 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). If Effective Interest Rate, Read from column EFF_INTEREST_RATE_C. |
|
| 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 Margin Interest Cash Flow - Gross | 678 | Sum | Runoff Detail | Interest Cashflow From Margin Gross across IRR Buckets | |
| Gap Margin Interest Cash Flow - Net | 679 | Sum | Runoff Detail | Interest Cashflow From Margin Net across IRR Buckets | |
| 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.