Cash Flow Simulations
1. Understanding Cash Flow Events
Each simulation generates a series of cash flow events, which are categorized as follows:
- IED (Initial Exchange of Documents) - Principal transfer at contract initiation.
- IP (Interest Payment) - Periodic interest payments.
- MD (Maturity Date) - Loan principal repayment at maturity.
- RR (Rate Reset) - Changes the interest rate in variable-rate contracts.
- PRF (Principal Redemption Fix) - Adjusts the principal payment based on rate changes.
- PR (Principal Redemption) - Scheduled loan repayment of principal.
2. Simulation Results
2.1 Fixed Rate Bullet Loan (PAMnoRF)
- Contract: Fixed interest, annual payments, full repayment at maturity.
- Events Summary:
- IED: Loan disbursed (-1000.0 USD).
- IP: Annual interest payments of 20.0 USD.
- MD: Final repayment of 1000.0 USD at maturity.
| Type | Date | Payoff (USD) | Nominal Value | Nominal Rate |
|---|---|---|---|---|
| IED | 2015-01-02 | -1000.0 | 1000.0 | 0.02 |
| IP | 2016-01-02 | 20.0 | 1000.0 | 0.02 |
| IP | 2017-01-02 | 20.0 | 1000.0 | 0.02 |
| IP | 2018-01-02 | 20.0 | 1000.0 | 0.02 |
| IP | 2019-01-02 | 20.0 | 1000.0 | 0.02 |
| IP | 2020-01-02 | 20.0 | 1000.0 | 0.02 |
| MD | 2020-01-01 | 1000.0 | 0.0 | 0.02 |
2.2 Variable Rate Bullet Loan (PAMwRF)
source scn01PAMwRF_eb.txt
- Contract: Variable interest rate, semi-annual payments.
- Events Summary:
- IED: Loan disbursed (-1000.0 USD).
- RR: Rate resets periodically.
- IP: Interest payments every 6 months.
- MD: Final repayment at maturity.
| Type | Date | Payoff (USD) | Nominal Value | Nominal Rate |
|---|---|---|---|---|
| IED | 2015-01-02 | -1000.0 | 1000.0 | 0.02 |
| RR | 2015-07-02 | 0.0 | 1000.0 | 0.049 |
| IP | 2016-01-02 | 34.05 | 1000.0 | 0.049 |
| IP | 2016-07-02 | 24.50 | 1000.0 | 0.049 |
| RR | 2016-07-02 | 0.0 | 1000.0 | 0.048 |
| IP | 2017-01-02 | 24.00 | 1000.0 | 0.048 |
| IP | 2017-07-02 | 24.00 | 1000.0 | 0.048 |
| MD | 2020-01-01 | 1000.0 | 0.0 | 0.045 |
2.3 Fixed Rate Annuity Loan (ANNnoRF)
source scn01ANNnoRF_eb.txt
- Contract: Fixed periodic payments, reducing principal.
- Events Summary:
- IED: Loan disbursed (-1000.0 USD).
- PRF: Initial principal redemption fix.
- PR: Periodic principal repayments.
- IP: Interest payments decrease over time.
- MD: Final settlement at maturity.
| Type | Date | Payoff (USD) | Nominal Value | Nominal Rate |
|---|---|---|---|---|
| IED | 2015-01-02 | -1000.0 | 1000.0 | 0.02 |
| PRF | 2016-01-01 | 0.0 | 1000.0 | 0.02 |
| PR | 2016-01-02 | 192.16 | 807.84 | 0.02 |
| IP | 2016-01-02 | 20.00 | 807.84 | 0.02 |
| PR | 2017-01-02 | 196.00 | 611.84 | 0.02 |
| IP | 2017-01-02 | 16.16 | 611.84 | 0.02 |
| PR | 2018-01-02 | 199.92 | 411.92 | 0.02 |
| MD | 2020-01-02 | 208.00 | 0.0 | 0.02 |
2.4 Variable Rate Annuity Loan (ANNwRF)
source scn01ANNwRF_eb.txt
- Contract: Variable interest rate, fixed periodic payments adjusted at rate reset.
- Events Summary:
- IED: Loan disbursed (-1000.0 USD).
- RR: Rate resets periodically.
- PRF: Principal redemption fixed after rate reset.
- PR & IP: Payments adjusted after rate changes.
- MD: Final settlement at maturity.
| Type | Date | Payoff (USD) | Nominal Value | Nominal Rate |
|---|---|---|---|---|
| IED | 2015-01-02 | -1000.0 | 1000.0 | 0.02 |
| RR | 2015-07-02 | 0.0 | 1000.0 | 0.049 |
| PRF | 2015-07-02 | 0.0 | 1000.0 | 0.049 |
| PR | 2016-01-02 | 91.88 | 908.12 | 0.049 |
| IP | 2016-01-02 | 34.50 | 908.12 | 0.049 |
| PR | 2017-01-02 | 106.85 | 697.14 | 0.048 |
| IP | 2017-01-02 | 19.29 | 697.14 | 0.048 |
| PR | 2019-01-02 | 117.59 | 243.37 | 0.046 |
| MD | 2020-01-02 | 123.07 | 0.0 | 0.045 |
3. Key Takeaways
- Fixed Rate Loans: Payments remain constant, interest does not change.
- Variable Rate Loans: Payments vary based on rate reset (RR) events.
- Bullet Loans (PAM): Interest-only payments, full principal repaid at maturity.
- Annuity Loans (ANN): Fixed periodic payments including both principal and interest.
This document serves as a reference for understanding ACTUS-generated cash flow events in various contract simulations.