15.2 Features and Calculation Process of Forward Starting Instruments

On-balance Sheet Products with issue date <= as of date < origination date, FE 212 and FE213, are output on the Origination Date Bucket in the Result Detail table. They have a negative value indicating the Principal Cash outflow. FE662 is output if it is a Repricing Instrument.

1. For Off-balance sheet products with issue date <= as of date < origination date, if principal exchange flag is on, then, FE212, FE213, FE660, FE661, FE662, FE663, FE670, FE671, FE672, FE673, FE674, FE675, FE676, FE677, FE680, FE690, FE1660, FE1661, FE1663, FE1670, FE1671, FE1672, FE1673, FE1674, FE1675, FE1676, FE1678, FE1679, FE1680, FE1710, FE1715 and FE1716 are output on the origination date bucket in Result Detail table as applicable. The same sets of FEs are output to other buckets as applicable. FE662 is output if it is a repricing instrument. FE661, FE1661, FE1710, and FE1715 represent the principal outflow.
2. For off-balance sheet products with issue date <= as of date < origination date, if the principal exchange flag is off, then all FE's except for FE 1660 and 1661 are output as described in Step 2 earlier. Since there is no principal exchange, there will be no negative output for the Liquidity related to FE's.
3. For the deferred amount (FEs 663, 1663) it is the one time output on origination, not spread across the buckets to maturity.
4. The FE212 is output to Process Cashflows as well.
5. If you have a process that reconciles your current position Instrument Data to the General Ledger, then you should exclude forward starting instruments (those having As-of-Date < Origination Date). A forward starting instrument constitutes a future origination of a new business volume (represented by a negative total runoff on the origination date). For Balance Sheet Planning: Balance Sheet Planning does not support Gap or Liquidity Gap Modeling. The highest FE produced by BSP is FE540 - Deferred Runoff.