Table of Contents
- Title and Copyright Information
- 1 About This Guide
- 2 Introduction to Oracle Financial Services Cash Flow Engine Reference Guide
- 3 What is New in This Release for Cash Flow Engine
- 4 Consolidation of Results
-
5
Boundaries and Limitations
-
5.1
Oracle Asset Liability
Management
- 5.1.1 Product Dimension
- 5.1.2 Modeling Buckets
- 5.1.3 Dynamic Buckets
- 5.1.4 Forward Rate Agreements (FRAs)
- 5.1.5 Product Characteristics
- 5.1.6 Transaction Strategies
- 5.1.7 Stochastic Rate Indexing
- 5.1.8 Rate Management Term Structure Parameters
- 5.1.9 ALM Processing
- 5.1.10 Formula Results
- 5.1.11 Forecast Balance
- 5.1.12 Forecast Rates
- 5.1.13 Prepayment Model
- 5.1.14 Prepayment Rule
- 5.1.15 User-defined Behavior Patterns
- 5.1.16 User-defined Payment Patterns
- 5.1.17 User-defined Repricing Patterns
- 5.1.18 Cash Flow Calculations
- 5.1.19 Stochastic (Monte Carlo)/ Historical Simulation
- 5.1.20 Bonds with Embedded Options
- 5.1.21 Column Precision for Instrument Table
- 5.2 Oracle Funds Transfer Pricing
- 5.3 Database Configuration
- 5.4 Futures
-
5.1
Oracle Asset Liability
Management
- 6 Detail Cash Flow Audit Options
-
7
Cash Flow Calculations
- 7.1 Instrument Level Modeling
- 7.2 Modeling Flexibility Defined by Instrument Data
- 7.3 Daily Cash Flows
- 7.4 Event-Driven Logic
- 7.5 Financial Elements
- 7.6 Multicurrency Accounting and Consolidation
- 7.7 Terminology Used in This Chapter
-
7.8
Cash Flow Calculation
Process
- 7.8.1 Initialization of Data
- 7.8.2 Determine Account Type of Instrument
- 7.8.3 Initialize Interface Data
- 7.8.4 Initialize Cash Flow Data
- 7.8.5 Initializing Schedule Records
- 7.8.6 Initializing Pattern Records
- 7.8.7 Modeling Start and End Dates
- 7.8.8 Additionally Derived Data
- 7.8.9 Payment Calculation Event
- 7.8.10 Payment Calculation Steps
- 7.8.11 Payment Event
- 7.8.12 Payment Event Steps
- 7.8.13 Interest in Advance Calculations
- 7.8.14 Prepayment Event
- 7.8.15 Prepayment Event Steps
- 7.8.16 Reprice Event
- 7.8.17 Notes about Reprice Event
- 7.8.18 Reprice Steps
- 7.9 Additional Processing Events
- 7.10 Accounting for Exchange Rate Fluctuations
- 7.11 Market Value Calculation
- 7.12 Consolidation of Results
- 7.13 Currency-Based Gap Modeling
- 7.14 Detail Cash Flow Data
- 7.15 Rule of 78's Example
- 7.16 Volatility Surface Calculation
- 7.17 Execution Logs
-
8
Cash Flow Dictionary
- 8.1 Introduction to Cash Flow Dictionary
-
8.2
Cash Flow Columns
- 8.2.1 Cash Flow Columns Listed
- 8.2.2 Field Definitions
- 8.2.3 Accrual Basis Code (ACCRUAL_BASIS_CD)
- 8.2.4 Accrued Interest (ACCRUED_INTEREST)
- 8.2.5 Accrued Gross Amount (ACCRUED_GROSS_AMT
- 8.2.6 Accrued Transfer Amount (ACCRUED_TRANSFER_AMT)
- 8.2.7 Adjustable Type Code (ADJUSTABLE_TYPE_CD)
- 8.2.8 All - in Transfer Rate (ALL_IN_TP_RATE)
- 8.2.9 Amortization Method for Premiums and Discounts (AMORT_METH_PDFC_CD)
- 8.2.10 Amortization Type Code (AMRT_TYPE_CD)
- 8.2.11 Amortization Term (AMRT_TERM)
- 8.2.12 Amortization Term Multiplier (AMRT_TERM_MULT)
- 8.2.13 As of Date (AS_OF_DATE)
- 8.2.14 Average Book Balance (AVG_BOOK_BAL)
- 8.2.15 Average Life Calculated (AVERAGE_LIFE_C)
- 8.2.16 Base Index Value (BASE_INDEX_VALUE)
- 8.2.17 Basis Risk Charge Credit (BASIS_RISK_CHARGE_CREDIT)
- 8.2.18 Basis Risk Cost Amount (BASIS_RISK_COST_AMT)
- 8.2.19 Basis Risk Cost Rate (BASIS_RISK_COST_RATE)
- 8.2.20 Behavior Type Code (BEHAVIOUR_TYPE_CODE)
- 8.2.21 Behavior Sub Type Code (BEHAVIOUR_SUB_TYPE_CODE)
- 8.2.22 Breakage Type Code (BREAKAGE_TYPE_CD)
- 8.2.23 Break Funding Market Value (BREAK_FUNDING_MV)
- 8.2.24 Break Funding Amount (BREAK_FUNDING_AMT)
- 8.2.25 Break Funding Amount Change (BREAK_FUNDING_AMT_CHG)
- 8.2.26 Capital Protection Category (CAP_PROTECTION_CATEGORY)
- 8.2.27 Charge Credit Option Cost (CHARGE_CREDIT_OCOST)
- 8.2.28 Charge Credit Option Cost Remaining Term (CHARGE_CREDIT_OCOST_REM_TERM)
- 8.2.29 Charge Credit Transfer Rate (CHARGE_CREDIT_TRATE)
- 8.2.30 Charge Credit Transfer Rate Remaining Term (CHARGE_CREDIT_TRATE_REM_TERM)
- 8.2.31 Compounding Basis Code (COMPOUND_BASIS_CD)
- 8.2.32 Convexity (CONVEXITY_C)
- 8.2.33 Current Book Balance (CUR_BOOK_BAL)
- 8.2.34 Current Gross Rate (CUR_GROSS_RATE
- 8.2.35 Current Net Rate (CUR_NET_RATE)
- 8.2.36 Current Option-Adjusted Spread (CUR_OAS)
- 8.2.37 Current Par Balance (CUR_PAR_BAL)
- 8.2.38 Current Payment (CUR_PAYMENT)
- 8.2.39 Current Static Spread (CUR_STATIC_SPREAD)
- 8.2.40 Current Transfer Pricing Period Average Daily Balance (CUR_TP_PER_ADB)
- 8.2.41 Current Yield (CUR_YIELD)
- 8.2.42 Deferred Current Balance (DEFERRED_CUR_BAL)
- 8.2.43 Deferred Original Balance (DEFERRED_ORG_BAL)
- 8.2.44 Devolvement Status Code (DEVOLVEMENT_STATUS_CD)
- 8.2.45 Duration (DURATION_C)
- 8.2.46 DV01/PV01 (DV01_C)
- 8.2.47 Effective Interest Rate (EFF_INTEREST_RATE_C)
- 8.2.48 Expected Balance (EXPECTED_BAL)
- 8.2.49 Expected Balance Growth Percentage (EXPECTED_BAL_GROWTH_PCT)
- 8.2.50 First Reset Cap Balance
- 8.2.51 First Reset Cap Effect Rate
- 8.2.52 First Reset Cap Effect Amount
- 8.2.53 Gross Margin (MARGIN_GROSS)
- 8.2.54 Historic Option-Adjusted Spread (HISTORIC_OAS)
- 8.2.55 Historic Static Spread (HISTORIC_STATIC_SPREAD)
- 8.2.56 Holiday Calculation Option Code (HOLIDAY_CALC_OPTION_CD)
- 8.2.57 Holiday Calendar Code (HOLIDAY_CALENDAR_CODE)
- 8.2.58 Holiday Rolling Convention Code (HOLIDAY_ROLLING_CONVENTION_CD)
- 8.2.59 ID Number (ID_NUMBER)
- 8.2.60 Identity Code (IDENTITY_CODE)
- 8.2.61 Index Adjustment Type (INDEX_ADJ_TYPE)
- 8.2.62 Index ID (INDEX_ID)
- 8.2.63 Instrument Type Code (INSTRUMENT_TYPE_CD)
- 8.2.64 Interest Type Code (INT_TYPE)
- 8.2.65 Interest Rate Code (INTEREST_RATE_CD)
- 8.2.66 Issue Date (ISSUE_DATE)
- 8.2.67 Last Payment Date (LAST_PAYMENT_DATE)
- 8.2.68 Last Repricing Date (LAST_REPRICE_DATE)
- 8.2.69 Last Reprice Date Expected Balance (LRD_EXPECTED_BAL)
- 8.2.70 Last Reprice Date Balance (LRD_BALANCE)
- 8.2.71 Liquidity Premium Charge Credit (LIQUIDITY_PREM_CHARGE_CREDIT)
- 8.2.72 Liquidity Premium Amount (LIQUIDITY_PREMIUM_AMT)
- 8.2.73 Liquidity Premium Rate (LIQUIDITY_PREMIUM_RATE)
- 8.2.74 Margin (MARGIN)
- 8.2.75 Margin Type Code (IR_MARGIN_TYPE_CD)*
- 8.2.76 Market Value (MARKET_VALUE_C)
- 8.2.77 Market Value Clean (MARKET_VALUE_CLEAN_C)
- 8.2.78 Matched Spread (MATCHED_SPREAD_C)
- 8.2.79 Matched Spread Alternate (MATCHED_SPREAD_ALT)
- 8.2.80 Maturity Amount (MATURITY_AMOUNT)
- 8.2.81 Maturity Date (MATURITY_DATE)
- 8.2.82 Max Index Value (MAX_INDEX_VALUE)
- 8.2.83 Minimum Balance (MINIMUM_BALANCE)
- 8.2.84 Modified Duration (MODIFIED_DURATION_C)
- 8.2.85 Negative Amortization Amount (NEG_AMRT_AMT)
- 8.2.86 Negative Amortization Equalization Date (NEG_AMRT_EQ_DATE)
- 8.2.87 Negative Amortization Equalization Frequency (NEG_AMRT_EQ_FREQ)
- 8.2.88 Negative Amortization Equalization Frequency Multiplier (NEG_AMRT_EQ_MULT)
- 8.2.89 Negative Amortization Limit (NEG_AMRT_LIMIT)
- 8.2.90 Net Margin Code (NET_MARGIN_CD)
- 8.2.91 Next Payment Date (NEXT_PAYMENT_DATE)
- 8.2.92 Next Repricing Date (NEXT_REPRICE_DATE)
- 8.2.93 Offset Percentage (OFFSET_PERCENT)
- 8.2.94 Option Risk-Free Rate (OPTION_RFR_IRC_CD)
- 8.2.95 Option Volatility Surface (OPTION_VOL_IRC_CD)
- 8.2.96 Option Market Value (OPTION_MARKET_VALUE_C)
- 8.2.97 Original Market Value (ORG_MARKET_VALUE)
- 8.2.98 Original Payment Amount (ORG_PAYMENT_AMT)
- 8.2.99 Original Par Balance (ORG_PAR_BAL)
- 8.2.100 Original Term (ORG_TERM)
- 8.2.101 Origination Date (ORIGINATION_DATE)
- 8.2.102 Original Expected Balance (ORG_EXPECTED_BAL)
- 8.2.103 Other Adjustment Amount Alternate (OTHER_ADJ_AMOUNT_ALT)
- 8.2.104 Other Adjustment Charge Credit (OTHER_ADJ_CHARGE_CREDIT)
- 8.2.105 Other Adjustment Rate Alternate (OTHER_ADJ_RATE_ALT)
- 8.2.106 Other Adjustments Amount (OTHER_ADJUSTMENTS_AMT)
- 8.2.107 Other Adjustments Rate (OTHER_ADJUSTMENTS_RATE)
- 8.2.108 Payment Adjustment Date (PMT_ADJUST_DATE)
- 8.2.109 Payment Change Frequency (PMT_CHG_FREQ)
- 8.2.110 Payment Decrease Limit - Cycle (PMT_DECR_CYCLE)
- 8.2.111 Payment Decrease Limit - Life (PMT_DECR_LIFE)
- 8.2.112 Payment Frequency (PMT_FREQ)
- 8.2.113 Payment Increase Limit - Cycle (PMT_INCR_CYCLE)
- 8.2.114 Payment Increase Limit - Life (PMT_INCR_LIFE)
- 8.2.115 Percent Sold (PERCENT_SOLD)
- 8.2.116 Pricing Incentive Charge Credit (PRICING_INC_CHARGE_CREDIT)
- 8.2.117 Pricing Incentive Amount (PRICING_INCENTIVE__AMT)
- 8.2.118 Pricing Incentive Rate (PRICING_INCENTIVE_RATE)
- 8.2.119 Rate Cap Life (RATE_CAP_LIFE)
- 8.2.120 Rate Change Minimum (RATE_CHG_MIN)
- 8.2.121 Rate Change Rounding Code (RATE_CHG_RND_CD)
- 8.2.122 Rate Change Rounding Factor (RATE_CHG_RND_FAC)
- 8.2.123 Rate Decrease Limit - Cycle (RATE_DECR_CYCLE)
- 8.2.124 Rate Floor Life (RATE_FLOOR_LIFE)
- 8.2.125 Rate Increase Limit - Cycle (RATE_INCR_CYCLE)
- 8.2.126 Rate Set Lag (RATE_SET_LAG)
- 8.2.127 Rate Set Lag Multiplier (RATE_SET_LAG_MULT)
- 8.2.128 Remaining Number of Payments (REMAIN_NO_PMTS_C)
- 8.2.129 Repricing Frequency (REPRICE_FREQ)
- 8.2.130 Repricing Frequency Multiplier (REPRICE_FREQ_MULT)
- 8.2.131 Residual Amount (RESIDUAL_AMOUNT)
- 8.2.132 Teaser-rate End Date (TEASER_END_DATE)
- 8.2.133 Transfer Price Average Life (TP_AVERAGE_LIFE)
- 8.2.134 Transfer Price Duration (TP_DURATION)
- 8.2.135 Transfer Price Effective Date (TP_EFFECTIVE_DATE)
- 8.2.136 Transfer Rate Margin (MARGIN_T_RATE)
- 8.2.137 Transfer Rate (TRANSFER_RATE)
- 8.2.138 Transfer Rate Alternate (TRANSFER_RATE_ALT)
- 8.2.139 Transfer Rate Remaining Term (TRAN_RATE_REM_TERM)
- 8.2.140 Transfer Rate Remaining Term Alternate (TRAN_RATE_REM_TERM_ALT)
- 8.2.141 Derivative Only Columns
- 8.2.142 Binary Rate (BINARY_RATE)
- 8.2.143 Exchange of Principal Flag (EXCHG_OF_PRINCIPAL)
- 8.2.144 Leg Type (LEG_TYPE)
- 8.2.145 Minimum Balance Amortizing Swap (MIN_BAL_AMORT)
- 8.2.146 Purchase Sale Logic (PURCHASE_SALE_LOGIC)
- 8.2.147 Swap Classification Code (SWAP_CLASS_CD)
- 9 Distributed Originations
- 10 Transfer Pricing Option Costs
-
11
Rate Conversion
- 11.1 Definitions
- 11.2 Rate Format Usage
- 11.3 Rate Conversion Algorithms
- 12 Forecast Rate Calculations
-
13
Monte Carlo Analytics
- 13.1 Overview
- 13.2 The Architecture of the Rate Generator
- 13.3 Arbitrage Term Structure Model
- 13.4 No-Arbitrage Term Structure Models
- 13.5 Yield Curve Smoothing
- 13.6 Calibration
- 13.7 Random Number Generation
- 13.8 Rate Conversion
- 13.9 Output from Monte Carlo
- 13.10 Value-at-Risk
- 13.11 Varying the At-Risk Period
- 13.12 Earnings-at-Risk
- 13.13 Recommended Configuration
- 13.14 Term Structure Models
- 13.15 Term Structure Parameters Format
- 13.16 Choosing a Smoothing Method
- 13.17 Defining a Rate Index Formula
- 13.18 References
- 14 Autobalancing
- 15 Forward Starting Instruments
- 16 Historical Simulation
- 17 Derivatives in Stochastic Processes - Introduction
- 18 Embedded Options Valuation
- 19 Bonds with Embedded Options
- 20 Inflation-Indexed Instrument
- 21 Tiered Balance Interest Rate
- 22 FX Swaps Contracts
-
23
Financial Elements
- 23.1 Accumulation Methods
- 23.2 Financial Element Listed by Description
- 23.3 Financial Elements Listed by Number
- 23.4 Financial Element Type - Cash Flow: Income Statement Accounts
- 23.5 Financial Element Type - Cash Flow: Simple Accounts
- 23.6 Financial Element Type - Repricing Gap
- 23.7 Financial Element Type – Liquidity Gap
- 23.8 Element Type - Market Value
- 23.9 Financial Element Output by Account Type
- 23.10 Currency Translation Methods for Financial Elements
- 24 IRRBB
- 25 Cash Flow Edit Error Messages
- 26 Calculating ALM Application Memory Requirements
- 27 Glossary