6.1.6.1.5 Interest Rate Risk Runoff
The “Interest Rate Risk Runoff” Report provides insight into the amount of assets and liability getting repriced in each time bucket. While fixed rate instruments runoff as per contractual maturity, adjustable rate instruments are assumed to runoff on the Next Reprice Date.
You can use a series of Report Prompts, as previously described, to filter the data according to key attributes pertaining to the underlying Interest Rate Risk Output results.
The report displays the underlying data according to the following Chart’ logic:
- Select Process Name
The List box filter provides you with a selection capability on the desired Process Name utilized by the Interest Rate Risk Output processes.
- Select Execution Run Identifier
The List box filter provides you with a selection capability on the desired Execution Run Identifier utilized by the Interest Rate Risk Output processes. This filter is dependent on the values selected in the Process Name filter.
- Select Scenario
The List box filter provides you with a selection capability on the desired Scenario utilized by the Interest Rate Risk Output processes. This filter is dependent on the values selected in the Process Name, Execution Run Identifier filter.
- Select Dynamic Start Date
The List box filter provides you with a selection capability on the desired Dynamic Start Date utilized by the Interest Rate Risk Output processes. This filter is dependent on the values selected in the Process Name, Execution Run Identifier, and Scenario filter.
- Select Runoff Measure
The chart provides you with a selection capability on the desired Interest Rate Risk Runoff measurement.
- Select Org Unit Hierarchy
The chart provides you with a selection capability for the desired Org Unit Hierarchical level.
- Select Product Hierarchy
The chart provides you with a selection capability for the desired Product Hierarchical level.
- Select GL Account Hierarchy
The chart provides you with a selection capability for the desired GL Account Hierarchical level.
- Select COA Hierarchy
The chart provides you with a selection capability for the desired Common COA Hierarchical level.
- Selected Runoff Measure by Product
The table and chart reports the generated Interest Rate Risk output Runoff Measure by Product for each Interest Rate Risk Output execution with respect to As of Date and Bucket Name.
The columns displayed in the chart are the following:
- Dynamic Start Date
- Bucket Name
- Account Type Category
- Process Name
- As of Date (Day)
- Execution Run Identifier
- Currency Code
- Product Hierarchy
- Runoff Measure
- Selected Runoff Measure by Org Unit
The table and chart reports the generated Interest Rate Risk output Runoff Measure by Org Unit for each Interest Rate Risk Output execution with respect to As of Date and Bucket Name.
The columns displayed in the chart are the following:
- Dynamic Start Date
- Bucket Name
- Account Type Category
- Process Name
- As of Date (Day)
- Execution Run Identifier
- Currency Code
- Org Unit Hierarchy
- Runoff Measure
- Selected Runoff Measure by GL Account
The table and chart reports the generated Interest Rate Risk output Runoff Measure by GL Account for each Interest Rate Risk Output execution with respect to As of Date and Bucket Name.
The columns displayed in the chart are the following:
- Dynamic Start Date
- Bucket Name
- Account Type Category
- Process Name
- As of Date (Day)
- Execution Run Identifier
- Currency Code
- GL Account Hierarchy
- Runoff Measure
- Selected Runoff Measure by Common COA
The chart reports the generated Interest Rate Risk Output Runoff Measure by Product for each Interest Rate Risk Output execution with respect to As of Date and Bucket Name.
The columns displayed in the chart are the following:
- Dynamic Start Date
- Bucket Name
- Account Type Category
- Process Name
- As of Date (Day)
- Execution Run Identifier
- Currency Code
- Common COA Hierarchy
- Runoff Measure
Figure 6-120 Interest Rate Risk Runoff Report
