Background documentationDate Determination Options for Interest Flows and Repayment Flows

 

  • To simplify entering interest flows and repayment flows, you have the option of copying the dates from the interest condition and applying them for the repayment flows (using the Int.Cond.Template indicator). For each interest flow, the system creates a corresponding repayment flow with the following dates:

    • Effective date of the repayment = (changed) calculation date of the interest flow

      The effective date of the repayment flow is the start date of the next month in which the interest calculation date falls on the month-end date (since repayments are published on the first day of the month).

    • Payment date of the repayment = due date of the interest flow

    Note Note

    The position date of a repayment corresponds to the effective date of the repayment flow; this ensures that the nominal value of the position is reduced on the effective date of the repayment. The same needs to apply for the interest flow (that is, the position date for the interest flow needs to match the calculation date). As described above, the effective date of the repayment flow is not identical to the calculation date of the interest flow. Consequently, both flows have different position dates when the interest condition is used as the basis.

    Example

    • The payment date of both the interest flow and the repayment flow is 02/05/XXXX.

    • The interest flow has as its calculation date 01/31/XXXX (= last day of the month), but the corresponding repayment factor has as its effective date 02/01/XXXX (since repayment factors are valid from the start of the month).

      This means that both flows have a different position date and have not been adjusted to match completely.

    For this reason, the system adjusts the position date of the interest flow so that it matches the position date of the repayment flow provided that the following applies: 1) The Use Calculation Date as Position Date indicator has been set for the repayment flow as well as for the interest flow in the Customizing activity Specify Update Types for Securities Account Management, and 2) You have activated the CPR/PSA method for the product type in the activity Activate Special Condition for ABS/MBS.

    In the above example, the position date of the interest flow is also 02/01/XXXX.

    End of the note.

  • In addition, in the Customizing settings for the tranche, you can set the Force First Redemption on First Redemption Date indicator. This indicator affects the position date of a repayment when the interest condition is used as the template. For this reason, it is possible that the first repayment is not made on the start date (or on the first repayment date when the start date is left empty), for example, when the calculation date of the interest condition falls after the start date (or after the first payment date). This indicator can be used to close any gaps between the first repayment date and the effective date of the first repayment:

    If the calculation date of the first interest flow falls after the start date (or after the first repayment date) but the valid-from date (the start of the calculation) of the first interest condition falls on or before the start date (or on or before the first repayment date), an additional repayment is generated for the valid-from date of the first interest condition. Consequently, the redemption schedule starts on the start date defined.

    Example Example

    • Start date (in the general redemption schedule data): 01.01.2013

    • Interest condition:

      • Valid from: 01.01.2013

      • Calculation date: 01/31/2013 => First interest flow has as its calculation date 01/31/2013.

    • The indicator is not set:

      First repayment has the effective date 02/01/2013 = calculation date of the interest flow (due to the month-end closing adjustment)

    • The indicator is set:

      The first repayment has as its a valid-from date 01/01/2013 = Valid-from date of the interest condition (in addition to the repayment on 02/01/2013).

    End of the example.

  • If you do not want to use the interest condition as a template, you have to make the settings for the repayment condition (such as the payment frequency) separately.

    In addition, you can set the indicator in the Customizing settings for the tranche. This indicator affects how the due date/payment date is determined for a repayment:

    In general, the system first uses the working day shift and then the calendar day shift. If you set this indicator, the calendar shift is applied before the working day shift.

    Example Example

    Working day shift: Shift to Next Workday

    Calendar days: + 10 days

    Effective date of the repayment: 14.03.2013

    • Default logic (the indicator is not set):

      1. Working day shift: 03/14/2013 is a Thursday, no working day shift

      2. Calendar day shift: 03/14/2013 + 10 days = 03/24/2013

      => payment data is 03/24/2013

    • The Delayed Working Day Shift setting (the indicator is set)

      1. Calendar day shift: 03/14/2013 + 10 days = 03/24/2013

      2. Working day shift: 03/24/2013 is a Sunday; the payment date is postponed until Monday 03/25/2013.

      => payment data is 03/25/13

    End of the example.

Prerequisites

If you want to use the interest condition as a template for the repayment flows, you need to activate the special conditions for ABS/MBS for the product type in Customizing.

More Information

ABS/MBS: Customizing