6.1.7 Calculation of Forward Cash Flows

The application, as part of contractual Run, calculates forward cash flows based on the balances computed as of each forward date. It supports multiple methodologies for computing these forward cash flows which include:

• Contractual Profile
• Current Profile
• Current and Default Profile
• Cash Flow Download
• Incremental Run-off Assumption
• Growth Assumption
• Drawdown Assumption

The application allows users to map the forward cash flow calculation methods to the desired dimensional combinations such as product-currency or simply a single dimension such as product through a rule defined as part of the Rule Run Framework. The application supports a pre-configured rule for mapping the forward cash flow calculation methods named LRM - Cash Flow Method Reclassification - Forecast. This has default values mapped for assets and liabilities. These default mappings can be changed by the users and the rule can be re-saved to reflect these changes. Alternatively, users can create their own cash flow method mapping rules in the Rules Framework to address regulatory and risk management needs. However, only one mapping rule is allowed to be selected in the Run Management window for a given forward liquidity Run, based on which all further calculations are done as part of that forward Run. The application looks up the method for each dimensional combination and calculates the forward cash flows for each record based on the user-specified method.

The forward cash flow calculation methods supported by the application are explained in detail below: