Example: Flow Cut-Off

Applies a cut-off to cash flow data according to a given reference day. The rule type deletes all cash flow items prior to the cut-off period.

This function gives two different results depending on the type of input values: for delta values (MOV values), the pattern after the cut-off starts from period one; for cumulative values (BAL values), the resulting pattern starts from zero. The function can handle the day count conventions 30/360 German and ACT/ACT. Two different examples are shown below.

Input Data

Start Date Contract ID Pattern KF Type Period Unit Period To Result Value Cut-Off Period
2019-01-01 A MOV 4 30 EUR 30 60
2019-01-01 A MOV 4 60 EUR 60 60
2019-01-01 A MOV 4 90 EUR 90 60
2018-01-01 A MOV 4 120 EUR 120 60
2019-01-01 B MOV 4 30 EUR 30 30
2019-01-01 B MOV 4 60 EUR 60 30
2019-01-01 B MOV 4 90 EUR 90 30
2019-01-01 C MOV 4 30 EUR 30 30
2019-01-01 C MOV 4 60 EUR 60 30
2019-01-01 C MOV 4 90 EUR 90 30
2019-01-01 C MOV 4 120 EUR 120 30

In the table above, there are three patterns for three contracts. The field PERIOD_UNIT is not used in the configuration. It refers to PERIOD_UNIT andPERIOD_TO and indicates that they are days.

Flow Modeling Configuration

Rules (Tab)
Rule Description Rule Type State Rule Grouping Rule Ordering Selection
FCF Flow Cut-Off Flow Cut-Off Active      
Rule Line
Line Line Granularity Day Count Convention Start Date Value Type Period To Cut-Off Comparison Period To Result Period Unit
L001 CONTRACT_ID German 30/360 START_DATE PATTERN_KF_TYPE PERIOD_TO CUT_OFF_PERIOD PERIOD_TO_RESULT PERIOD_UNIT_RESULT

Key Configuration Description

Field Meaning Notes
Line Identifier of the line. Must be unique.
Line Granularity Determines the size of one partition of data. Mandatory input that has to be inserted in the Granularity section of the Signature tag.
Day Count Convention Day count convention used to determine the result periods.

Mandatory input.

The conventions managed by the function are:
  • Actual/Actual
  • German 30/360
Start Date Starting date to compute the day count. Mandatory input.
Value Type You can select the value “MOV” or “BAL” to determine which value type the cash flow item is made of.

Mandatory input.

The user has to make sure that the field contains these two values only.
Period To Number of days of the period. Mandatory input
Cut-Off Comparison Key field to identify which cash flow items need to be deleted.

Mandatory input

Rule in case of delta items: Cut all periods <= cut-off period. If the balance is not zero, the system treats the cut-off period as a new period.
Period To Result Output field to indicate the specific period of pattern of the cut-off. Mandatory output
Period Unit Result Value type of the period result.

Mandatory output.

The value “6” stands for “month”

Expected Output

Start Date Contract ID Pattern KF Type Period To Result Value Cut-Off Period Period To Result Period Unit Result
2019-01-01 A MOV 90 EUR 90 60 1 6
2019-01-01 A MOV 120 EUR 120 60 2 6
2019-01-01 B MOV 60 EUR 60 30 1 6
2019-01-01 B MOV 90 EUR 90 30 2 6
2019-01-01 C MOV 60 EUR 60 30 1 6
2019-01-01 C MOV 90 EUR 90 30 2 6
2019-01-01 C MOV 120 EUR 120 30 3 6

All cash flow items prior to or equal to the cut-off period have been deleted.

Example with BAL Data

The configuration does not change with respect to the previous example. What is different now is the value of the field PATTERN_KF_TYPE (moreover, the field PERIOD_UNIT has been deleted).

Input Data
Start Date Contract ID Pattern KF Type Period To Result Value Cut-Off Period
2019-01-01 A BAL 30 EUR 30 60
2019-01-01 A BAL 60 EUR 60 60
2019-01-01 A BAL 90 EUR 90 60
2019-01-01 A BAL 120 EUR 120 60
Output Data
Start Date Contract ID Pattern KF Type Period To Result Value Cut-Off Period Period To Result Period Unit Result
2019-01-01 A BAL 60 EUR 60 60 0 6
2019-01-01 A BAL 90 EUR 90 60 1 6
2019-01-01 A BAL 120 EUR 120 60 2 6