THE RISK-BASED CAPITAL SIMULATION APPLICATION TECHNICAL REFERENCE MANUAL

Transcription

1 THE RISK-BASED CAPITAL SIMULATION APPLICATION TECHNICAL REFERENCE MANUAL OFFICE OF FEDERAL HOUSING ENTERPRISE OVERSIGHT 1700 G STREET, NW 4 TH FLOOR WASHINGTON, DC February 2004

2 CONTENTS 1. INTRODUCTION ABOUT THIS MANUAL Audiece Maual Overview Additioal Documetatio Cotact Poit ABOUT OFHEO OFHEO's Missio The Risk-Based Capital Rule SOFTWARE IDENTIFICATION SOFTWARE SUMMARY SOFTWARE APPLICATION SUMMARY Data Validatio System Simulatio Model RBC APPLICATION WORKFLOW RBC APPLICATION RULE INFORMATION FLOW SOFTWARE COMPONENT LIST RBCSIM Database Creatio ad Output Scripts Data Validatio Database, System ad Output Scripts RBCSIM Programs, ad Build, Distributio, ad Rutime Scripts RBCSIM Source Code by Compoet Whole Loa MRS RDM NMI Params DBMGR Commo IR_PV Sample Data Files SOFTWARE ORGANIZATION DATABASE COMPONENTS Database Data APPLICATION COMPONENTS MRS WLCF NMI Reportig ad Decisios Module (RDM)...50 Page 1

3 Fiacial Statemets APPLICATION BUILD AND DEPLOYMENT THE RBC_BUILD.BASH SCRIPT The rbc_build.bash Syopsis The rbc_build.bash Optios The rbc_build.bash Examples THE RBC_INSTALL.BASH SCRIPT The rbc_istall.bash Syopsis The rbc_istall.bash Optios The rbc_istall.bash Examples APPLICATION EXECUTION THE RBC_EXECUTE.BASH SCRIPT The rbc_execute.bash Syopsis The rbc_execute.bash Optios OUTPUT RESULTS CASHFLOW FILES LOGS DATABASE UPDATES...66 Figures Figure 2-1: RBCSIM Workflow...9 Figure 3-1: Compoet Diagram Figure 3-2: MRS Class Diagram Figure 3-3: Whole Loa Cash Flow Software Flow Diagram Figure 3-4: The RDM Compoets Figure 3-5: Fiacial Statemet Class Diagram Figure 3-6: Fiacial Statemet Geeratio Sequece Diagram Figure 3-7: Balace Sheet Class Diagram Figure 3-8: Cashflow Statemet Figure 3-9: Icome Statemet Figure 3-10: Assets Class Diagram Figure 3-11: Liabilities Class Diagram Tables Table 2-1: RBCSIM Database Create, Set-up ad Load Scripts Page 2

4 Table 2-2: RBCSIM Programs ad Scripts Table 2-3: Cofiguratio Files Table 2-4: Whole Loa Source Files Table 2-5: MRS Source Files Table 2-6: RDM Source Files Table 2-7: NMI Source Files Table 2-8: Params Source Files Table 2-9: DBMGR Source Files Table 2-10: Commo Source Files Table 2-11: IR_PV Source Files Table 2-12: RBC Data File Samples Table 2-13: RDM Data File Samples Page 3

5 1. INTRODUCTION 1.1 About This Maual Audiece This maual is iteded for the Software Egieer with software developmet experiece o the UNIX operatig system Maual Overview This maual lists all of the RBCSIM applicatio compoets required to compile ad build the RBCSIM executables. This maual also icludes high-level object-model diagrams Additioal Documetatio I additio to this maual, the RBCSIM applicatio icludes the followig prited ad o-lie documetatio: The Risk-Based Capital Simulatio Applicatio Istallatio Maual. The Risk-Based Capital Simulatio Applicatio User Maual. The Risk-Based Capital Report Istructios. The Risk-Based Capital Stylized Data Set Overview. OFHEO Phase 2 Busiess Rules. CreditEhacemetCotract-Phase3. MultifamilyBusiessRules-Phase3. NMI Busiess Rules-Phase3. SigleClassMBSBusRules-Phase3. SigleFamilyBusiessRules-Phase3. Additioal documetatio is available at the official OFHEO web site: Cotact Poit All questios regardig the RBCSIM applicatio should be ed to: rbcquestios@ofheo.gov. Page 4

6 1.2 About OFHEO The Housig ad Commuity Developmet Act of 1992, uder Title XIII, the Federal Housig Eterprises Fiacial Safety ad Soudess Act of 1992, established the Office of Federal Housig Eterprise Oversight (OFHEO). The primary fuctio of the Office is to perform fiacial regulatio of Faie Mae ad Freddie Mac (collectively referred to as the Eterprises ) to esure that the Eterprises are adequately capitalized ad operatig safely, i accordace with the Act OFHEO's Missio OFHEO was required by the Federal Housig Eterprises Fiacial Safety ad Soudess Act of 1992 (1992 Act) to establish miimum ad risk-based capital stadards as part of its role as safety ad soudess regulator. These capital requiremets are iteded to esure both Eterprises cotiue to operate ad perform their crucial roles i the secodary mortgage market, keepig costat the flow of fuds to mortgage leders ad prospective America homeowers. By esurig the Eterprises are adequately capitalized, OFHEO miimizes the risk that America taxpayers will ever be asked to pay for losses at these complex fiacial istitutios. OFHEO evaluates capital adequacy from other perspectives as well. OFHEO's examiatio program coducts cotiuous, comprehesive examiatios of the Eterprises to esure they are operatig uder stadards of fiacial safety ad soudess. OFHEO's examiatio of the Eterprises provides a qualitative assessmet of capital adequacy. The more direct ad quatitative tools are OFHEO's miimum ad risk-based capital stadards, which are supplemeted with other tests ad aalyses. OFHEO's miimum capital stadard is calculated based o specific percetages for assets ad off-balace sheet guaratees. The miimum capital level is therefore determied more by the size of the Eterprise tha its specific risks. The risk-based stadard, i cotrast, requires that Faie Mae ad Freddie Mac each have eough capital to survive prologed, severe problems i fiacial ad ecoomic markets, as well as maagemet or operatioal failures. It is directly related to the risks the Eterprises are exposed to i their curret busiess The Risk-Based Capital Rule The risk-based capital regulatio meets the specific requiremets of the 1992 Act. The rule utilizes a stress test to determie the amout of capital eeded to protect agaist credit ad iterest rate risks, ad requires 30 percet additioal capital to protect agaist uspecified maagemet ad operatios risk. The regulatio itself is the blueprit eeded to costruct the stress test ad calculate the risk-based capital requiremet for Freddie Mac ad Faie Mae. It is a detailed descriptio of the stress test allowig the Eterprises ad others to essetially replicate the stress test, as required by law. What is the Stress Test? OFHEO's risk-based capital stadard is based o a 10-year stress test. A stress test measures risk i the cotext of a compay's overall portfolio, icludig the effectiveess of a compay's Page 5

7 risk maagemet strategies. While compaies ofte use stress tests for iteral risk maagemet, ad ratig agecies use stress tests to rate compaies ad securities, OFHEO is amog the first fiacial istitutio regulators to use its ow stress test to determie capital adequacy. OFHEO's stress test simulates a Eterprise's fiacial performace over a 10-year period uder severe ecoomic coditios. Key aspects of the severe ecoomic coditios used i OFHEO's stress test are defied i the 1992 Act ad further specified i OFHEO's risk-based capital regulatio. These coditios iclude high levels of mortgage defaults, with associated losses ad large, sustaied movemets i iterest rates, both icreasig (up-rate sceario) ad decreasig (dow-rate sceario). OFHEO uses a detailed computer model to simulate each Eterprise's cash flows associated with mortgages ad other fiacial assets ad obligatios uder the severe ecoomic coditios of the stress test. The modelig of icomig ad outgoig cash flows captures the risks embedded i those fiacial assets ad obligatios ad the beefits of the hedges each Eterprise has set i place. To meet OFHEO's risk-based capital stadard, each Eterprise must have sufficiet capital to support ay losses geerated uder these severe ecoomic coditios plus a additioal 30 percet for uspecified maagemet ad operatios risks. The result is a striget test of the capital adequacy of each Eterprise. 1.3 Software Idetificatio RBCSIM 4/28/2004 Release. Page 6

8 2. SOFTWARE SUMMARY 2.1 Software Applicatio Summary The RBCSIM Software is composed of two subsystems: the data validatio system ad the simulatio model. Both subsystems use a Sybase database for storig iput data ad fial results Data Validatio System The Data Validatio System (DVS) performs a variety of checks to esure the iput data is model ready. The DVS checks for referetial itegrity, compliace with allowable values ad the iteral cosistecy of the fields comprisig each record usig a variety of busiess rules. As the simulatio model performs a limited set of data quality checks, it is very importat that ew data sets are validated prior to ruig them through the simulatio model. Ruig the simulatio model with data that has ot bee validated may result i iaccurate results or applicatio istability. The DVS is implemeted usig a combiatio of Perl ad SAS scripts ad Sybase stored procedures. Iformatio o istallig ad cofigurig the DVS ca be foud i sectio 4.2 of Risk-Based Capital Simulatio Applicatio Istallatio Maual. Iformatio o ruig the DVS ca be foud i sectio 3.1 of the Risk-Based Capital Simulatio Applicatio User Maual Simulatio Model The simulatio model calculates the RBC Capital Requiremet. The model is composed of three modules that project cash flows ad a module that performs accoutig, tax, ivestmet, fudig, fiacial reportig ad capital calculatios. All of the modules are implemeted i C++ ad are executed from the commad lie usig a set of cofiguratio files. These cofiguratio files cotai both applicatio cofiguratio iformatio as well as policy parameters. More iformatio o the idividual modules follows: Whole Loa Cash Flow. The Whole Loa Cash Flow (WLCF) module projects cash flows for retaied ad sold whole loas as well as for commitmets. The WLCF reads iformatio from the cofiguratio file ad iput data from the database, performs amortizatio, default ad prepaymet calculatios ad writes its output to a text file as projected cash flows. Sectios 3.2 ad 3.6 of the RBC Rule provide a detailed discussio of the calculatios performed by the WLCF module. The WLCF operates i two modes. Oe mode produces cash flows for retaied ad sold whole loas (WLCF); the other mode produces cash flows for commitmets (CMT). Mortgage Related Securities. The Mortgage Related Securities (MRS) module projects cash flows for sigle class MBS, Mortgage Reveue Bods (MRBs) ad multi-class MBS (e.g. REMICs, Strips, etc.). The MRS module uses the proprietary Itex Solutios, Ic. API to project the cash flows for multi-class MBS. The MRS reads iformatio from the cofiguratio file ad iput data from the database, performs amortizatio, default ad prepaymet calculatios ad writes its output to a text file as projected cash flows. Sectio 3.7 of the RBC Rule provides a detailed discussio of the calculatios performed by the MRS module. The MRS operates i three modes. Oe mode produces cash flows for sigle class MBS (MBS), the secod mode produces cash flows for MRBs (MRB) ad the third mode produces cash flows for multi-class MBS (REMIC). Page 7

9 No-Mortgage Istrumets. The No-Mortgage Istrumets (NMI) module projects cash flows for debt istrumets, o-mortgage related ivestmets, guarateed ivestmet cotracts, preferred stock, ad derivative cotracts. The NMI module also performs the Alterative Modelig Treatmet (AMT) calculatios. The NMI module uses the proprietary Itex Solutios, Ic. API to project the cash flows for o-mortgage-related ABS (e.g. auto loas, credit cards, etc.). The NMI module reads iformatio from the cofiguratio file ad iput data from the database, performs fiacial calculatios ad writes its output to a text file as projected cash flows. Sectios 3.8 ad 3.9 of the RBC Rule provide a detailed discussio of the calculatios performed by the NMI module. The NMI operates i three modes. Oe mode produces cash flows for Futures (FUT), the secod mode produces cash flows for items subject to AMT (AMT), ad the third mode produces cash flows for all other istrumets (NMI). Reportig ad Decisios Module. The Reportig ad Decisios Module (RDM) implemets the accoutig, tax, ivestmet, fudig, fiacial reportig ad capital calculatio processes. The RDM module reads iformatio from the cofiguratio file, iput data from the database, ad the output files from the three cash flow modules, performs fiacial ad accoutig calculatios ad writes output to the database. Sectios 3.10 ad 3.12 of the RBC Rule provide a detailed discussio of the calculatios performed by the RDM module. Iformatio o istallig ad cofigurig the simulatio module ca be foud i sectio 4.2 of Risk-Based Capital Simulatio Applicatio Istallatio Maual. Iformatio o ruig the simulatio model ca be foud i sectio 3.2 of the Risk-Based Capital Simulatio Applicatio User Maual. Page 8

10 2.2 RBC Applicatio Workflow Ed-User Workflow View Build ad Istall Compoets Cofigure Database Cofigure Ru Execute Ru View Results, Status Validate Data Load Data Set DB Cashflows Fial Reports RBCSIM Source Files Data Sets RBC Cofiguratio Parameters RBC Applicatio Report Aalytics System Hardware ad Network Ifrastructure System Process View System Cofiguratio Figure 2-1: RBCSIM Workflow Page 9

11 2.3 RBC Applicatio Rule Iformatio Flow 3.3 Iterest Rates Projected Iterest Rates 3.12 Risk-Based Capital Calculatio 3.4 Property Valuatio 3.10 Operatios, Taxes, ad Accoutig 3.2 Commitmets 3.5 Couterparty Defaults Pro Forma Fiacial Statemets 3.6 Whole Loa 3.5 Couterparty Defaults Cash Flow Data Projected Property Values 3.7 Mortgage Related Securities (MBS, REMIC, MRB) 3.5 Couterparty Defaults 3.8 No-Mortgage Istrumets 3.5 Couterparty Defaults RBC System (Iteral View) 3.9 Alterative Modelig Treatmet 3.5 Couterparty Defaults Page 10

12 2.4 Software Compoet List This sectio idetifies the software files, icludig database ad data files that must be istalled for the software to operate RBCSIM Database Creatio ad Output Scripts Table 2-1: RBCSIM Database Create, Set-up ad Load Scripts Script Name Path Locatio Purpose RBC_RDM_DDL.sql $RBC_HOME/db/database/bi To create the database objects associated with the Report Decisio Module (RDM) ad the Risk-based Capital (RBC) module. RBC_RDM_grats.sql $RBC_HOME/db/database/bi To grat access to the database objects. RBC_RDM_load_Acme_data.bcp $RBC_HOME/db/database/bi To load the data tables with Acme (stylized) data usig the bulk-copy (bcp) utility. RBC_RDM_load_Acme_lookup.bcp $RBC_HOME/db/database/bi To load the data tables with look-up data usig the bulk-copy (bcp) utility. Table 2-2: RBCSIM Database Create, Set-up ad Load Output Scripts Script Name Path Locatio Purpose RBC_RDM_DDL_example.txt $RBC_HOME/db/database/output To demostrate a successful executio of the RBC_RDM_DDL.sql script. Note: the scripts may ot be idetical due to techical evirometal differeces ad data segmet specificatios. RBC_RDM_grats_example.txt $RBC_HOME/db/database/output To demostrate a successful executio of the RBC_RDM_grats.sql script. Note: the scripts may ot be idetical due to techical evirometal differeces. RBC_RDM_bcp_Acme_data_example.t xt RBC_RDM_bcp_Acme_lookup_exampl e.txt $RBC_HOME/db/database/output $RBC_HOME/db/database/output To demostrate a successful executio of the RBC_RDM_load_Acme_data.bcp script based o the stylized data provided. Note: the scripts may ot be idetical due to techical evirometal differeces icludig the amout of time it takes to load the data. To demostrate a successful executio of the RBC_RDM_load_Acme_lookup.bcp script based o the data provided. Note: the scripts may ot be idetical due to techical evirometal differeces icludig the amout of time it takes to load the data. Page 11

13 2.4.2 Data Validatio Database, System ad Output Scripts Table 2-3: Data Validatio Database Create, Set-up ad Load Scripts Script Name Path Locatio Purpose Data_Validatio_System_v1.0_ddl.sql DVS_load_data.bcp DVS_busiess_rules.pro DVS_grats.sql RBC_Report_Istr_Format_Lib.sas validatio_rule_lookup.dat (data file) $RBC_HOME/db/data_validatio /bi $RBC_HOME/db/data_validatio /bi $RBC_HOME/db/data_validatio /bi $RBC_HOME/db/data_validatio /bi $RBC_HOME/db/data_validatio /bi $RBC_HOME/db/data_validatio /data To create the database objects associated with Data Validatio System (DVS) module. To load the lookup table with data usig the bulk-copy (bcp) utility. To create the Sybase stored procedures used to perform primary key, referetial itegrity ad busiess rule data checks. To grat access to the database objects. To create the SAS Format Library used to support colum level allowable value checks. Data file used to populate the validatio_rule_lookup table. Table 2-4: Data Validatio System Scripts Script Name Path Locatio Purpose sca_data.pl check_first_coupo_date.sas check_iss_date.sas check_mty_date.sas check_valid_date.sas check_vals.sas create_date_format.sas fial_report_isert.sas To search all of the data files cotaied i the directory for cotrol characters or uwated spaces. SAS macro that performs first coupo date validatio. SAS macro that performs issue date validatio. SAS macro that performs maturity date validatio. SAS macro that performs ad-hoc date validatio. SAS macro that compares the reported value to the allowable values cotaied i the SAS Format library. SAS macro that creates the valid Report Date value for a give quarter. SAS macro that produces the fial allowable value violatio report (i SAS) ad iserts the violatio(s) ito the DVS data tables. Page 12

14 Script Name Path Locatio Purpose mai_ffo.sas mamt_ffo.sas marm_cmt_data_elemets_ffo.sas marm_related_data_elemets_ffo.sas mce_cmt_data_elemets_ffo.sas mce_cotract_elemets_ffo.sas mce_data_elemets_ffo.sas mctrprty_cr_ffo.sas mctrprty_lkp_ffo.sas mfi_istmt_mstr_ffo.sas Mfutures_optios_ffo.sas midx_formula_ffo.sas mistmt_cred_ratig_ffo.sas mistm_ass_ffo.sas mit_paymt_formula_ffo.sas mit_paymt_sched_ffo.sas mmbs_arm_ffo.sas mmbs_ffo.sas mmf_data_elemets_ffo.sas mmrb_ffo.sas mmulti_class_derv_ffo.sas Mai (or master ) SAS Program that kicks off the colum level allowable value validatios ivokig macros as eeded. Ru-time parameters eed to be etered prior to ruig the program. SAS macro that performs colum level validatio o the AMT table. SAS macro that performs colum level validatio o the ARM Related Data Elemets Commitmets table. SAS macro that performs colum level validatio o the ARM Related Data Elemets table. SAS macro that performs colum level validatio o the CE Data Elemets Commitmets table. SAS macro that performs colum level validatio o the CE Cotract Elemets table. SAS macro that performs colum level validatio o the CE Data Elemets table. SAS macro that performs colum level validatio o the Couterparty Credit Ratigs table. SAS macro that performs colum level validatio o the Couterparty Look-up table. SAS macro that performs colum level validatio o the Fiacial Istrumet Master table. SAS macro that performs colum level validatio o the Futures/Optios table. SAS macro that performs colum level validatio o the Idex Formula table. SAS macro that performs colum level validatio o the Istrumet Credit Ratig table. SAS macro that performs colum level validatio o the Istrumet Associatio table. SAS macro that performs colum level validatio o the Istrumet Paymet Formula table. SAS macro that performs colum level validatio o the Istrumet Paymet Schedule table. SAS macro that performs colum level validatio o the MBS ARM table. SAS macro that performs colum level validatio o the MBS table. SAS macro that performs colum level validatio o the MF Data Elemets table. SAS macro that performs colum level validatio o the MRB table. SAS macro that performs colum level validatio o the MultiClass Derivatives table. Page 13

15 Script Name Path Locatio Purpose moptio_sched_ffo.sas mota_ffo.sas mperf_hist_ffo.sas mpri_chg_sched_ffo.sas mrbc_recociliatio_ffo.sas mreferece_asset_ffo.sas msf_cmt_data_elemets_ffo.sas msf_data_elemets_ffo.sas mtrade_hist_ffo.sas mwl_cmt_master_ffo.sas mwl_master_ffo.sas DVS_ru_data_checks.sql SAS macro that performs colum level validatio o the Optio Schedule table. SAS macro that performs colum level validatio o the OTA table. SAS macro that performs colum level validatio o the Performace History table. SAS macro that performs colum level validatio o the Priciple Chage Schedule table. SAS macro that performs colum level validatio o the RBC Recociliatio table. SAS macro that performs colum level validatio o the Referece Asset table. SAS macro that performs colum level validatio o the SF Data Elemets Commitmets table. SAS macro that performs colum level validatio o the SF Data Elemets table. SAS macro that performs colum level validatio o the Trade History table. SAS macro that performs colum level validatio o the Whole Loa Master - Commitmets table. SAS macro that performs colum level validatio o the Whole Loa Master table. To execute primary key, referetial itegrity ad busiess rule data checks. Ru-time parameters eed to be etered prior to ruig the program. Table 2-5: Data Validatio Output Scripts Script Name Path Locatio Purpose DVS_v1.0_ddl_example.txt DVS_bcp_example.txt DVS_busiess_rules_example.txt DVS_grats_example.txt $RBC_HOME/db/data_validatio/out put $RBC_HOME/db/data_validatio/out put $RBC_HOME/db/data_validatio/out put $RBC_HOME/db/data_validatio/out put To demostrate a successful executio of the Data_ Validatio_System_v1.0_ddl.sql script. Note: the scripts may ot be idetical due to techical evirometal differeces ad data segmet specificatios. To demostrate a successful executio of the DVS_load_data.bcp script. Note: the scripts may ot be idetical due to techical evirometal differeces icludig the amout of time it takes to load the data. To demostrate a successful executio of the DVS_busiess_rules.pro script. Note: the scripts may ot be idetical due to techical evirometal differeces ad data segmet specificatios. To demostrate a successful executio of the DVS_grats.sql script. Note: the scripts may ot be Page 14

16 RBC_format_lib_example.txt log_fil_example.txt mai_ffo_example.txt DVS_ru_data_checks_example.txt put $RBC_HOME/db/data_validatio/out put $RBC_HOME/db/data_validatio/out put $RBC_HOME/db/data_validatio/out put $RBC_HOME/db/data_validatio/out put DVS_grats.sql script. Note: the scripts may ot be idetical due to techical evirometal differeces. To demostrate a successful executio of the RBC_Report_Istr_Format_Lib.sas script. Note: the scripts may ot be idetical due to techical evirometal differeces, the versio of SAS used ad the storage locatio of the SAS Format Library. To demostrate a successful executio of the sca_data.pl script. Note: the scripts may ot be idetical due to techical evirometal differeces. To demostrate a successful executio of the mai_ffo.sas script based o the stylized data provided. Note: the scripts may ot be idetical due to techical evirometal differeces, the versio of SAS used, the locatio of the SAS Format Library ad parameter specificatios. To demostrate a successful executio of the DVS_ru_data_checks.sql script. Note: the scripts may ot be idetical due to techical evirometal differeces ad parameter specificatios. Table 2-6: Data Validatio Report Script Script Name Path Locatio Purpose DVS_ru_validatio_report.sql To execute the validatio report. Ru-time parameters eed to be etered prior to ruig the program. DVS_ru_val_upb_report.sql To execute the istrumet-level UPB validatio report. Ru-time parameters eed to be etered prior to ruig the program. Table 2-7: Data Validatio Report Output Script Script Name Path Locatio Purpose DVS_ru_val_report_example.txt $RBC_HOME/db/data_validatio/outp ut To demostrate a typical data validatio report based o executig the DVS_ru_val_report_example.txt script usig data other tha the stylized data provided. (The stylized data does ot cotai ay data validatio violatios.) Note: the report provided may ot be idetical to reports geerated from data other tha the stylized data provided due to techical evirometal differeces ad parameter specificatios. Page 15

17 2.4.3 RBCSIM Programs, ad Build, Distributio, ad Rutime Scripts Table 2-2: RBCSIM Programs ad Scripts Script/Program Name Path Locatio Purpose rbc_build.bash $RBC_BIN/src/rbc.build/bi Compile source files ito biaries. rbc_istall.bash $RBC_BIN/src/rbc.build/bi Build ad Istall rutime compoets. rbc_execute.bash $RBC_HOME/bi Execute etire RBCSIM ru. rbc_mrs $RBC_HOME/bi The Mortgage Related Securities (MRS) module projects cash flows for sigle class MBS, Mortgage Reveue Bods (MRBs) ad multi-class MBS (e.g. REMICs, Strips, etc.). rbc_mi $RBC_HOME/bi The No-Mortgage Istrumets module projects cash flows for debt istrumets, o-mortgage related ivestmets, guarateed ivestmet cotracts, preferred stock, ad derivative cotracts. Rdm $RBC_HOME/bi The Reportig ad Decisios Module determies ew debt issuace ad ivestmets, computig capital distributios, calculatig operatig expeses ad taxes, creatig pro forma balace sheets ad icome statemets described i sectio 3.10 Operatios, Taxes, ad Accoutig of the Risk-Based Capital Regulatio, ad the capital requiremet. wlcf $RBC_HOME/bi The Whole Loa Cash Flow module projects cash flows for retaied ad sold whole loas as well as for commitmets. Table 2-3: Cofiguratio Files File Name Path Locatio Purpose rbcev.csh rbcev.bash eviromet.cofig acme_up.cofig acme_d.cofig $RBC_HOME/cofig (deploymet path) $RBC_HOME/src/rbc.build/cofig (src directory) $RBC_HOME/cofig (deploymet path) $RBC_HOME/src/rbc.build/cofig (src directory) $RBC_HOME/cofig (deploymet path) $RBC_HOME/src/rbc.build/cofig (src directory) $RBC_HOME/cofig (deploymet path) $RBC_HOME/src/rbc.build/cofig (src directory) $RBC_HOME/cofig (deploymet path) RBCSIM eviromet script for cshell. Note: The versio i the source directory cotais tags which are replaced durig the istallatio process. RBCSIM eviromet script for bash, Boure, ad Kor shells. Note: The versio i the source directory cotais tags which are replaced durig the istallatio process. Rutime cofiguratio file. Acme, up sceario cofiguratio file. Note: The versio i the source directory cotais tags which are replaced durig the istallatio process. Acme, dow sceario cofiguratio file. Page 16

18 File Name Path Locatio Purpose path) $RBC_HOME/src/rbc.build/cofig (src directory) Note: The versio i the source directory cotais tags which are replaced durig the istallatio process. Commo.mak $RBC_HOME/src/rbc.commo/build The Commo.mak provides the eviromet cofiguratio to perform a applicatio build RBCSIM Source Code by Compoet Whole Loa Table 2-4: Whole Loa Source Files File Name Path Locatio Purpose wlcf.cpp /rbc.wlcf/src Mai fuctio of the whole loa cash flow module. It is resposible for istatiatig/destroyig parameter, database, iterest rate, property valuatio, data iput maager, data collector ad aggregator maager objects. It iitiates the user-defied umber of threads ad makes sure all the threads start properly. wlcfaggregatiobucket.h wlcfaggregatiobucket.cpp wlcfaggregator.h wlcfaggregator.cpp /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of aggregatio bucket. This class accumulates the results of the whole loa cash flow calculatio ad stores them ito a map data structure for later output to a file. Defiitio of class wlcfaggregator. This class holds a collectio of class wlcfaggregatiobucket accordig to their aggregatio types. It will pass the right data from wlcfwlcf to appropriate wlcfaggregatiobucket objects to perform aggregatio fuctios based o predefied aggregatio algorithms. wlcfaggregatormgr.h wlcfaggregatormgr.cpp /rbc.wlcf/ic /rbc.wlcf/src Defiitio of class wlcfaggregatormgr. This class is resposible for maitaiig istaces of wlcfaggregator. There is oe ad oly oe wlcfaggregator istace for each thread. Whe the calculatio of the whole loa cashflows is fiished, wlcfaggregatormgr will merge all the data ito a sigle data collectio, ad the write it out to the whole loa cash flow file. wlcfarmreldataelmt.h wlcfarmreldataelmt.h /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of arm related data elemets. This class is a data map of the arm_related_data_elemets ad arm_cmt_data_elemets tables. It provides the set/get methods for accessig the database colums. wlcfcalc.h wlcfcalc.cpp /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of WLCF calculatio. This class is resposible for the calculatio order of the steps for producig whole loa cash flows. Page 17

19 File Name Path Locatio Purpose wlcfce.h wlcfce.cpp wlcfcedataelmt.h wlcfcedataelmt.cpp wlcfcmt.h wlcfcmt.cpp /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of credit ehacemet, which is iherited from wlcfgls. This class performs the credit ehacemet calculatio for sigle family ad multifamily loas with the supplied iput data from wlcfiputdata, wlcfma, wlcfdp ad wlcfgls. It stores the output results i its member attributes for later calculatio of et loss severity. See sectio of the RBC rule. Class defiitio of ce_data data elemets. This class is a data map of the ce_data_elemets ad ce_cmt_data_elemets tables. It provides the set/get methods for accessig the database colums. Class defiitio of commitmets, which is iherited from wlcfiputdata. This class performs the Commitmets calculatio with the supplied iput data from wlcfiputdata ad stores the output results i its member attributes for later calculatio of mortgage amortizatio. See sectio 3.2 of the RBC rule. wlcfcofig.h wlcfcofig.cpp /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of wlcfcofig. This class is resposible for validatig all ecessary WLCF parameter values from the Parameter module. It displays warig ad error messages if the parameters are icosistet. It may also termiate the program if the errors are severe. wlcfdatacollector.h wlcfdatacollector.cpp /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of itermediate data collector. This class performs as a callback to support the register/uregister mechaism supportig data collectio throughout the calculatio of the whole loa cash flows. wlcfdp.h wlcfdp.cpp wlcfgls.h wlcfgls.cpp wlcfiputdata.h wlcfiputdata.cpp wlcfiputmgr.h wlcfiputmgr.cpp /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of default ad prepaymets, which is iherited from wlcfma. This class performs calculatio of default ad prepaymets of sigle family ad multifamily loas with the supplied iput data from wlcfiputdata ad wlcfma. It stores the output results i its member attributes for later calculatio of gross loss severity. See sectio ad of the RBC Rule. Class defiitio of gross loss severity, which is iherited from wlcfdp. This class performs the calculatio of gross loss severity for sigle family ad multifamily loas with the supplied iput data from wlcfiputdata, wlcfma ad wlcfdp. It stores the output results i its member attributes for later calculatio of credit ehacemet. See sectio of the RBC Rule. Class defiitio of sigle istrumet iput data. This class cotais all the member attributes ecessary to hold the sigle istrumet iput data received from the wlcfiputmgr. These member attributes supply the iput data for all of the whole loa cash flow calculatios. It also cotais a poiter to the irpvmgr object to get the iterest rate ad property valuatio data, the poiter to the wlcfdatacollector object to capture itermediate values ad the poiter to the wlcfaggregatormgr object to capture the output results of the whole loa cash flow simulatio. Class defiitio of the whole loa iput maager. This class is resposible for bufferig data queried from the database based o the reportig date ad submittig etity id. It is also is resposible for istatiatig/disposig the vector ad map data structures of wlcfwlmaster, wlcfarmreldataelmt, wlcfsfdataelmt, wlcfmfdataelmt ad wlcfcedataelmt. wlcfma.h wlcfma.cpp /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of mortgage amortizatio, which is iherited from wlcfcmt. This class performs the mortgage amortizatio calculatio for sigle family ad multifamily loas with the supplied iput data from wlcfiputdata ad wlcfcmt. It stores the output results i its member attributes for later calculatio of default ad prepaymet rates. See sectio of the RBC rule. Page 18

20 File Name Path Locatio Purpose wlcfmfdataelmt.h wlcfmfdataelmt.cpp wlcfnls.h wlcfnls.cpp wlcfrbciotypes.h wlcfrbciotypes.cpp /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of multifamily data elemets. This class is a data map of the multifamily_data_elemets table. It provides the set/get methods for accessig the database colums. Class defiitio of et loss severity, which is iherited from wlcfce. This class performs the et loss severity calculatio for sigle family ad multifamily loas with the supplied iput data from wlcfiputdata, wlcfma, wlcfdp, wlcfgls ad wlcfce. It stores the output results i its member attributes for later calculatio of whole loa cash flow. See sectio of the RBC Rule. Class defiitio of all itermediate iput/output eumeratio data types. This class supports the wlcfdatacollector class. wlcfsfdataelmt.h wlcfsfdataelmt.cpp /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of sigle-family data elemets. This class is a data map of the sigle_family_data_elemets ad sf_cmt_data_elemets tables. It provides the set/get methods for accessig the database colums. wlcfwlcf.h wlcfwlcf.cpp wlcfwlmaster.h wlcfwlmaster.cpp /rbc.wlcf/ic /rbc.wlcf/src /rbc.wlcf/ic /rbc.wlcf/src Class defiitio of whole loa cash flow, which is iherited from wlcfnls. This class performs the whole loa cash flow calculatio for sigle family ad multifamily loas with the supplied iput data from wlcfiputdata, wlcfma, wlcfdp, wlcfgls, wlcfce ad wlcfnls. It stores the output results i its member attributes for later feedig ito wlcfaggregator. See sectio of the RBC Rule. Class defiitio of whole loa master. This class is a data map of the whole_loa_master ad wl_cmt_master tables. It provides the set/get methods for accessig the database colums. Page 19

21 MRS Table 2-5: MRS Source Files File Name Path Locatio Purpose AdjSecurity.cpp AdjSecurity.h Amortizatio.cpp Amortizatio.h cmosubr.cpp cmosubr.h FixedSecurity.cpp FixedSecurity.h /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic Implemetatio class for the amortizatio of adjustable rate MBS. See sectio [b] of the RBC Rule. Paret class for the amortizatio of security collateral. See sectio [b] of the RBC Rule. User defied C fuctios that are provided to the Itex CMO API for calculatig projected cash flows for REMICs ad Strips. See sectio of the RBC Rule. Implemetatio class for the amortizatio of fixed rate MBS. See sectio [b] of the RBC Rule. ItRtIdxDefs.h /rbc.mrs/ic Defies a amespace for iterest rate idex ames. Mbs.cpp Mbs.h MbsCashFlow.cpp MbsCashFlow.h MbsDefPrepay.cpp MbsDefPrepay.h Mrb.cpp Mrb.h MRS.cpp MRS.h mrsaggregatiobucket.cpp mrsaggregatiobucket.h MrsCashFlow.cpp MrsCashFlow.h /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic Projects cash flows for Sigle Class Mortgage Backed Securities. See sectio of the RBC Rule. Implemets specialized cash flow processig ad formattig fuctioality for Sigle-Class MBS. See sectio [e] of the RBC Rule. Geerates projected termiatio rates. See sectios [c] ad [a] of the RBC Rule. Projects cash flows for Mortgage Reveue Bods. See sectio of the RBC Rule. Paret class for the 3 MRS types, MRB, Sigle Class MBS, ad Multi-Class MBS. Provides a cotaier for aggregatig cash flows, which share commo characteristics. Resposible for processig ad formattig the fial projected cash flows. Implemets the commo cash flow processig fuctioality for all MRS modules. MRSdefs.h /rbc.mrs/ic Defies a amespace for the costat strig defiitios used withi the MRS modules. mrsdriver.cpp /rbc.mrs/src Establishes high-level flow of cotrol for the MRS applicatio. MrsMgr.cpp MrsMgr.h rbcexplaatoryvariables.cpp rbcexplaatoryvariables.h /rbc.mrs/src /rbc.mrs/ic /rbc.mrs/src /rbc.mrs/ic Cotrollig class for the MRS modelig logic. See sectio 3.7 of the RBC Rule. Static lookup table for coefficiets used i the calculatio of termiatio rates. See sectio of the RBC Rule. Page 20

22 File Name Path Locatio Purpose Remic.cpp Remic.h /rbc.mrs/src /rbc.mrs/ic Projects cash flows for REMICS ad Strips. See sectio of the RBC Rule. Page 21

23 RDM Table 2-6: RDM Source Files File Name Path Locatio Purpose BatchMgr.hpp BatchMgr.il BatchMgr.cpp BoudError.hpp BoudError.cpp CommadArg.hpp CommadArg.il CommadArg.cpp Profile.hpp Profile.cpp ProfileMgr.hpp ProfileMgr.cpp /rbc.rdm/commo/ic /rbc.rdm/commo/il /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/il /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source Loads cofiguratio parameters ad maages batch executio. Validates boudary coditios for requested idexes durig program executio. Processes the commad lie argumets. Base class for the various RDM profiles which reflect the cofiguratio parameters. Maages the RDM s ru ad report profiles. RdmDefs.hpp /rbc.rdm/commo/ic Commo defiitios for RDM. ReportError.hpp ReportError.cpp ReportMgr.hpp ReportMgr.cpp ReportProfile.hpp ReportProfile.cpp RuProfile.hpp RuProfile.cpp TetativeDivideds.hpp TetativeDivideds.cpp Thread.hpp Thread.cpp AdmiistrativeExpesesCashFlow.hpp AdmiistrativeExpesesCashFlow.cpp CapitalClassificatio.hpp CapitalClassificatio.il CapitalClassificatio.cpp /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/commo/ic /rbc.rdm/commo/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/il /rbc.rdm/decisios/source Exceptio object cotaiig SQR error messages. Ivokes SQR ru-time to geerate PostScript report files. Retais parameters required for report geeratio Retais parameters required for fiacial statemet geeratio. Iitializes arrays to store divided paymets. Wrapper class which implemets the SUN Solaris Thread utilities. Collects admiistrative expese data from the mothly jourals. Calculates the mothly expese amouts. Calculates total capital positio, core capital positio ad assigs the appropriate capital classificatio. Page 22

24 File Name Path Locatio Purpose CommoShareRepurchase.hpp CommoShareRepurchase.cpp DebtMaturityStructure.hpp DebtMaturityStructure.cpp Divideds.hpp Divideds.cpp EdOfPeriod.hpp EdOfPeriod.cpp Fudig.hpp Fudig.cpp IterestRates.hpp IterestRates.cpp Liquidity.hpp Liquidity.cpp TaxCalculator.hpp TaxCalculator.il TaxCalculator.cpp Taxes.hpp Taxes.cpp UiqueMothOeAccoutigEtries.hp p UiqueMothOeAccoutigEtries.cp p AssetDebeture.hpp AssetDebeture.cpp AssetDiscoutIstrumet.hpp AssetDiscoutIstrumet.cpp CashFlow.hpp CashFlow.cpp FiacialIstrumet.hpp FiacialIstrumet.cpp FiacialIstrumetFactory.hpp FiacialIstrumetFactory.cpp IterfaceMgr.hpp IterfaceMgr.cpp /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/il /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/decisios/ic /rbc.rdm/decisios/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source Makes the decisio to repurchase commo shares, geerates the appropriate joural etries, ad adjusts the outstadig shares startig positio value. Maages the debt maturity ad the repricig matrix. Calculates iitial capital positio classificatio, GSE earigs tred, tetative stock divided paymet amouts, ad fial capital positio classificatio. Records the quarterly divided paymets to the joural for the quarter s edig moth. Maages decisios, which are to occur after all other decisios, but before the calculatio of the fial fiacial statemets. Uses ratios of short term fudig ad log-term fudig to idetify the mix of fudig to be issued if the GSE experieces a cash shortfall. Calculates the par value, coupo rate, debt issuace cost, iterest accrual ad iterest paymets for short term ad log term debt issued to cover cash shortfall. Collects iterest rate values for short term maturity debt, log term maturity debt, ad GSE debt spread Calculates the par value, iterest, discout, ad fees associated with liquidity ivestmets i U.S. Treasury bills whe the GSE experieces a cash surplus. Calculates the icome tax mothly accruals, quarterly estimated tax paymets, ad aual tax paymets or refuds. Calculates the mothly accrual ad quarterly paymets for moths prior to the first moth of the stress test. Joural etries associated with moth oe of the stress test. Processes the projected cash flow data for debetures held as assets. Processes the projected cash flow data for discouted fiacial istrumets held as assets. Base class, which defies commo attributes for cash flows. Base class for the various fiacial istrumets defiig commo structure ad processig. Idetifies the class object for processig each type of fiacial istrumet. Loads ad books the data from all cash flow files. Page 23

25 File Name Path Locatio Purpose LiabDebeture.hpp LiabDebeture.cpp LiabDiscoutIstrumet.hpp LiabDiscoutIstrumet.cpp MortgageSecurity.hpp MortgageSecurity.cpp NMI_CashFlow.hpp NMI_CashFlow.cpp PreferredDivided.hpp PreferredDivided.cpp RetaiedMortgage.hpp RetaiedMortgage.cpp RM_CashFlow.hpp RM_CashFlow.cpp SM_CashFlow.hpp SM_CashFlow.cpp SoldMortgage.hpp SoldMortgage.cpp SubordiatedDebt.hpp SubordiatedDebt.cpp Swap.hpp Swap.cpp SwaptioCashSettlemet.hpp SwaptioCashSettlemet.cpp AdmiistrativeExpeses.hpp AdmiistrativeExpeses.il AdmiistrativeExpeses.cpp AalysisReport.hpp AalysisReport.il AalysisReport.cpp Assets.hpp Assets.il Assets.cpp /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fi/ic /rbc.rdm/fi/source /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il Processes the projected cash flow data for debetures held as liabilities. Processes the projected cash flow data for discouted fiacial istrumets held as liabilities. Processes the projected cash flow data for mortgage securities. Processes the projected cash flow data for NMI type fiacial istrumets. Processes the projected cash flow data for preferred divided type fiacial istrumets. Processes the projected cash flow data for govermet isured mortgages, covetioal sigle-family whole loas, ad covetioal multi-family whole loas i the retaied portfolio. Reads the projected cash flow data for retaied mortgage portfolio fiacial istrumets. Reads the projected cash flow data for sold mortgage portfolio fiacial istrumets. Processes the projected cash flow data for 30-year fixed-rate sigle-family whole loas, 20 year fixed-rate sigle-family whole loas, 15 year fixed-rate sigle-family whole loas, adjustable-rate sigle-family whole loas, balloo/reset siglefamily whole loas, other sigle-family whole loas, ad multifamily whole loas i the sold mortgage portfolio. Processes the projected cash flow data for subordiated debt. Processes the projected cash flow data for swaps. Processes the projected cash flow data for cash settlemet swaptios. Collects the admiistrative expese iformatio for Schedule L Admiistrative Expeses from the mothly jourals ad saves admiistrative_expeses table data to the database. Collects the earigs ratios, yields ad costs, credit for loa losses, ad other ratios for the Aalytics Report. Collects the retaied portfolio, o-mortgage ivestmets, cash, accrued iterest receivable, foreclosed property et ad other assets iformatio for the balace sheet from the mothly jourals ad saves the asset data to the database. Page 24

26 File Name Path Locatio Purpose BalaceSheet.hpp BalaceSheet.il BalaceSheet.cpp CapitalStatemet.hpp CapitalStatemet.il CapitalStatemet.cpp CashFiacig.hpp CashFiacig.il CashFiacig.cpp CashflowStatemet.hpp CashflowStatemet.il CashflowStatemet.cpp CashIvestig.hpp CashIvestig.il CashIvestig.cpp CashOperatig.hpp CashOperatig.il CashOperatig.cpp CreditForLoaLosses.hpp CreditForLoaLosses.il CreditForLoaLosses.cpp DebtIstrumets.hpp DebtIstrumets.il DebtIstrumets.cpp DebtSecurities.hpp DebtSecurities.cpp Derivatives.hpp Derivatives.il Derivatives.cpp DerivativesWrap.hpp DerivativesWrap.il DerivativesWrap.cpp EarigRatios.hpp EarigRatios.il EarigRatios.cpp /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il Collects the balace sheet lie item data from the assets, liabilities, stockholder s equity, sold mortgage portfolio, derivative ad capital positio objects ad saves the balace_sheet table data to the database. Collects the divideds ad capital adequacy iformatio to calculate ad report the fial Risk Based Capital classificatio Collects the cash flow statemet data for fiacig activities from the mothly jourals ad calculates the total cash from operatig activities. Saves data to the database. Collects the cash flow statemet iformatio from the CashOperatig, CashIvestig, ad CashFiacig objects. Collects the cash positio data from the mothly jourals ad calculates the mothly chage i cash positio. Saves data to the database. Collects the cash flow statemet data for ivestig activities from the mothly jourals ad calculates the total cash from ivestig activities. Saves data to the database. Collects the cash flow statemet data for operatig activities from the mothly jourals ad calculates the total cash from operatig activities. Collects the icome statemet loss iformatio for retaied ad sold mortgage loas from the mothly jourals ad saves the data to the database. Collects the debt istrumet expeses for Schedule I Iterest o Debt Securities from the mothly jourals ad saves the data to the database. Collects the debt istrumet accout balaces for Schedule D Debt Securities ad Schedule N Debt Portfolio by Maturity by Coupo. Saves the data to the database. Collects the iterest rate swaps, caps, floors, corridors, etc. data from the mothly jourals ad saves the data to the database. Wraps all types of derivatives. Collects the data ad calculates the earigs ratios for the aalytics report from mothly jourals. Saves the data to the database. Page 25

27 File Name Path Locatio Purpose FiacialStatemet.hpp FiacialStatemet.il FiacialStatemet.cpp FiacialStatemetMgr.hpp FiacialStatemetMgr.il FiacialStatemetMgr.cpp FiacialStatemetsKeyIfo.hpp FiacialStatemetsKeyIfo.il FiacialStatemestKeyIfo.cpp GuarateeFee.hpp GuarateeFee.il GuarateeFee.cpp IcomeONoMortgageIvestmets.hp p IcomeONoMortgageIvestmets.il IcomeONoMortgageIvestmets.cp p IcomeStatemet.hpp IcomeStatemet.il IcomeStatemet.cpp IcomeTaxes.hpp IcomeTaxes.il IcomeTaxes.cpp IterestIcome.hpp IterestIcome.il IterestIcome.cpp IerestODebtSecurities.hpp IerestODebtSecurities.il IerestODebtSecurities.cpp IterestRateSwaps.hpp IterestRateSwaps.il IterestRateSwaps.cpp Ivestmets.hpp Ivestmets.il Ivestmets.cpp /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il /rbc.rdm/fs/ic /rbc.rdm/fs/il Collects data for fiacial statemets ad sets the appropriate moth. The Schedule K ad Schedule M provisio calculatios are treated uiquely withi this class. Maages the fiacial statemet geeratio. Obsolete. Collects guaratee fee data from the mothly jourals ad saves the data to the database Collects o-mortgage ivestmet data from the mothly jourals. Saves the data to the database. Collects the Icome Statemet lie item data for icome (i.e., et iterest ad guaratee fee icome) expeses (i.e., admiistrative, mortgage loss, icome tax) ad stock divideds from the mothly jourals. Calculates et icome both before ad after taxes. Saves the data to the database. Collects the icome tax provisio, amout paid or refudable, valuatio adjustmet, ad accout balace from the mothly jourals for Schedule M Icome Taxes. Saves the data to the database. Collects the iterest icome ad et amortized balace amouts from the mothly jourals for Schedule G, G1, G2 Icome from Retaied Mortgages. Saves the data to the database. Collects the iterest o debt securities from the mothly jourals for Schedule I Iterest o Debt Securities. Saves the data to the database. Collects iterest rate swap data from the mothly jourals for Schedule O Derivatives. Saves the data to the database. Collects o-mortgage ivestmet data for Schedule B Ivestmets ad Schedule H Icome o Ivestmet Securities from the mothly jourals. Saves the data to the database. Page 26