7.1.7.2 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:
- 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.
- The application calculates the current maturity profile of cash flows for each dimensional combination as follows:
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:
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 6-32 Forward Cash Flow details
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 6-33 Forward cash flows
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.