26.2.2 Cash Flow Definition Details
The Cash Flow Definition Details section is used in unique instances to specify the portion of the cash flow that is used to calculate a market value. Select from the following:
- Interest Only - ignores all principal runoff for market value purposes. Use this option for off-balance sheet items where principal is equal to notional principal, and is therefore not a true cash flow.
- Principal & Interest - calculates principal and interest both for market value purposes.
- Ignore Origination Cash Flows for Forward-Starting Instruments – This feature allows the cash flow engine to ignore the origination principal cash flows of any forward-starting instrument. The corresponding market value, duration, convexity and yield calculations will not reflect the origination amount. Origination principal cash flow will still be reported.
- Use Principal in Market Value Calculations (Off-Balance Sheet Only) – This feature allows the cash flow engine to consider principal in the calculation of market value, duration, convexity and yield calculations, even if principal is not actually exchanged.
- Mature at Repricing - calculates a market value and YTM for a given transaction up to the repricing date. For market value and YTM purposes the transaction is assumed to mature on the repricing date. Duration is always calculated to the next reprice date, not to maturity, regardless of the mature at repircing selection