6.1.7.5 Incremental Run-off Assumption

This method involves leveraging the existing incremental run-off business assumption to apply user-specified run-off pattern on the forward balances in order to generate forward cash flows based on user-specified pattern. The run-off rates for each time bucket are specified through the business assumption definition window by selecting the assumption category as ‘Incremental cash flow’ and sub category as ‘Run-off’.

You can select one or multiple incremental cash flow business assumptions as part of the forward date contractual Run definition UI. For the purpose of forward cash flow calculations, the only allowed ‘Based On’ measure is EOP balance i.e. only those assumptions which are based on EOP balance are displayed for selection as part of the contractual Run in the Run Management window. This restriction does not apply to business-as-usual or stress Runs. The application applies the user-specified run-off rates to each forward balance to compute cash flows as of each forward date. See section Run-Off in the OFS Liquidity Risk Measurement and Management User Guide on OHC Documentation Library for more details on defining the incremental run-off business assumption.