2.2.6 Key Terms
As of Date
Date at which the data is current.
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.
Balance Sheet Planning
Balance Sheet Planning performs distributed budgeting of all balance sheet and income statement accounts.
Base Rates
Section in Oracle Cash Flow Engine Service 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.
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.
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
PBSM 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.
Liquidity Premiums
A charge levied on a long-term instrument to compensate for liquidity of the funds.
Log in
To access the programs and database of any OFSAA Application by providing a valid user name and password.
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.
Next Repricing Term
Repricing frequency for an adjustable rate instrument and the original term to maturity for a fixed rate instrument.
Profitability Management
Profitability Management assists customers in developing multiple levels of profitability (Example: organizational, product, customer, account profitability).
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
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).