1. User Guide
  2. Forward Date Liquidity Risk Calculation
  3. Overview of Forward Date Liquidity Risk Calculation
  4. Calculation of Forward Cash Flows
  5. Current Profile

6.1.7.2 Current Profile

The steps involved in calculating cash flows at a forward date under contractual terms when the method is selected as “Current Profile” are as follows:
  1. The un-bucketed contractual cash flows as of the current date are obtained as a download. The current date is equal to the As of Date selected during Run execution.
  2. The application calculates the current maturity profile of cash flows for each dimensional combination as follows:
    Current Profile

    Where,

    x : Day in which the contractual cash flow occurs from 1 to n

    The application applies the current maturity profile percentage to each forward balance to obtain the forward cash flows as follows:
    Forward Cash Flow

    Where,

    f : Forward dates from 1 to n The current profile method is illustrated below.

    The inputs required for this method are provided below:

    Table 5-32 Inputs

    As of Date (a) 28-Feb-16
    EOP Balance (b) 10000
    Forward Date 1 (c) 15-Apr-16
    Forward EOP Balance 1 (d) 8000
    Forward Date 2 (e) 17-Apr-2016
    Forward EOP Balance 2 (f) 8900

    The application computes the current profile and subsequently the forward cash flows as of each forward date as follows:

    Table 5-33 Calculations

    Inputs Calculation
    Cash Flow Date (g) Cash Flows (h) Current Profile [i = (h ¸ b) * 100] Calendar Day [j = (g – a)] Forward Cash Flows as of 15-Apr-2016 Forward Cash Flows as of 17-Apr-2016
    Forward Cash Flow Date (c + j) Forward Cash Flows (d * i) Forward Cash Flow Date (e + j) Forward Cash Flows (f * i)
    1-Mar-16 979.00 9.79% 2 17-Apr-16 783.20 19-Apr-16 871.31
    2-Mar-16 496.00 4.96% 3 18-Apr-16 396.80 20-Apr-16 441.44
    3-Mar-16 377.00 3.77% 4 19-Apr-16 301.60 21-Apr-16 335.53
    4-Mar-16 520.00 5.20% 5 20-Apr-16 416.00 22-Apr-16 462.80
    7-Mar-16 718.00 7.18% 8 23-Apr-16 574.40 25-Apr-16 639.02
    8-Mar-16 95.00 0.95% 9 24-Apr-16 76.00 26-Apr-16 84.55
    9-Mar-16 226.00 2.26% 10 25-Apr-16 180.80 27-Apr-16 201.14
    10-Mar-16 105.00 1.05% 11 26-Apr-16 84.00 28-Apr-16 93.45
    11-Mar-16 1035.00 10.35% 12 27-Apr-16 828.00 29-Apr-16 921.15
    14-Mar-16 726.00 7.26% 15 30-Apr-16 580.80 2-May-16 646.14
    15-Mar-16 444.00 4.44% 16 1-May-16 355.20 3-May-16 395.16
    16-Mar-16 333.00 3.33% 17 2-May-16 266.40 4-May-16 296.37
    17-Mar-16 335.00 3.35% 18 3-May-16 268.00 5-May-16 298.15
    18-Mar-16 508.00 5.08% 19 4-May-16 406.40 6-May-16 452.12
    21-Mar-16 270.00 2.70% 22 7-May-16 216.00 9-May-16 240.30
    22-Mar-16 414.00 4.14% 23 8-May-16 331.20 10-May-16 368.46
    23-Mar-16 209.00 2.09% 24 9-May-16 167.20 11-May-16 186.01
    24-Mar-16 310.00 3.10% 25 10-May-16 248.00 12-May-16 275.90
    25-Mar-16 371.00 3.71% 26 11-May-16 296.80 13-May-16 330.19
    28-Mar-16 564.00 5.64% 29 14-May-16 451.20 16-May-16 501.96
    29-Mar-16 965.00 9.65% 30 15-May-16 772.00 17-May-16 858.85

Note:

The current profile can be computed on the basis of calendar days or business days.