43 Glossary

Aggregation

To summarize detailed instruments to a table in the database that are used for faster processing in ALM.

Answers

Answers are the OBIEE (Oracle Business Intelligence Enterprise Edition), an ad-hoc reporting tool.

As of Date

The date at which the data is current.

Asset or Liability Management Committee

The Asset or 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

The section in Oracle Asset Liability Management 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

The OFSAA cash flow engine uses this column 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 is that a loan holder will be unable to repay any portion of the loan.

Current Rate Risk Profit

A component of the funding center rate risk results that are attributed to the current mismatches of assets and liabilities.

Data Filter Rule

Data Filters are used to define which data must go into a processing run.

Data Input Helper

A pop-up dialogue 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 concerning discount rate changes. It is a measure of market value sensitivity: the lower the value, the less sensitive the market value is to changes in interest rates.

Embedded Rate Risk Profit

A portion of the funding center rate risk results is attributed to prior rate bets.

Funding Center

The area is 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. General Ledger reflects all accounting entries.

Table

A logical grouping of cells is often surrounded by scroll bars.

Hierarchy

The hierarchical structure for dimension members in OFS applications, examples include 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. See also: Instrument Table

Instrument Table

A type of table contained in the OFSAA database is used to store account-level information.

Instrument Records

Rows in the OFSAA database that carry transaction account level information, examples include 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

The date the rate last changed for an adjustable-rate instrument and the origination date for a fixed-rate instrument.

Leaf Fields

OFSAA database fields are used to define the hierarchical segmentation of data. They also draw a relationship between the instrument data and the General Ledger data in Ledger or 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 must always be populated with dimension member-leaf values only.

Ledger Stat

The table in the OFSAA database 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 the illiquidity of the funds.

Log in

To access the programs and database of any OFSAA application by providing a valid username 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 the 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 must 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, the 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 contain transfer rates that reflect their specific maturity and repricing characteristics.

Matched Spread

The interest profit margin for any account is 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

The yield on a loan contracted at the beginning of a month for one month assumes 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 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 OFS Asset Liability Management Analytics and OFS Profitability Analytics.

OFS Analytical Applications Infrastructure

OFS Analytical Applications Infrastructure is a set of powerful administrative tools that provide management of the OFSAA environment and access to the database by OFS application users. Infrastructure is a required component for all OFSAA applications except Balance Sheet Planning.

OFS Advanced Analytical Applications Infrastructure

The advanced infrastructure provides the modeling framework and stress testing framework as additional complementary components to supplement core analytic applications.

Operating Cost

The non-interest-related cost of running a business.

Option Costs

Costs are assigned to measure the value of any customer option on an instrument. Examples include 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 before the contracted schedule date.

Present Value

In Monte Carlo, the sum of cash flows paid by security along with a particular rate scenario is discounted by the stochastic discount factor. In deterministic processing, the sum of the cash flows is discounted by the deterministic discount factor.

PSA

A prepayment specification method was 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, is stored in the database, also called a row.

Reporting Currency

An active currency which balances in other currencies are consolidated, is often used for reporting.

Single Rate

An interest rate code with only one point is defined. For example, the prime rate and the 11th District Cost of Funds Index.

Speed of Mean Reversion

One of the user-input parameters of 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 with 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 is used to specify the method for transfer pricing for 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

The term structure of annually compounded zero-coupon bond yield, as recorded in Rate Management > Historical Rates.