APL |
POSTPAYDOWN |
POSTPAYDOWN
Calculates paydowns and interest for factorable securities: MBS (Mortgage-backed), CMO (Collateralized Mortgage Obligation), ABS (Asset Backed). The function incorporates all paydown processing requirements including:
- Payment dates by security conventions - 1st of the Month
- Incorporation of Stated Delay in determining Settlement Date
- Paydown amounts based on Original Face, Current Factor, and Previous Factor
- Two methods of paydown calculation to best match your back office
- Monthly, Quarterly, or Semi-annually payment frequencies
- Full Range of Accrual Bases - 30/360, Actual/360, Actual/Actual
Processing Features
Paydowns and/or Interest
POSTPAYDOWN can be used to generate both paydowns and interest or either paydowns or interest alone. By segregating the output of the process, interest payments can be created on the paydate, usually the first of the month, long before factors are available and for securities that pay interest without a corresponding paydown. Similarly, paydowns, alone, can be generated. The function creates a trades batch that can be reviewed and then posted using TRADESNEW.
- Range of Dates
POSTPAYDOWN can be run for a single date, or for a range of dates. This facility allows you to "catch up" on securities for which factors have become available after normal factor dates.
Required Fields
POSTPAYDOWN uses factors from the Security Master File (SEC) and calculates the paydowns for the following issue types:(ISSTY).
- 444 - MBS - Mortgage Backed Securities
- 93 - CMO - Collateralized Mortgage Obligations
- 60 - ABS - Asset Backed Securities
The following security fields have become standard for Security APL PORTVUE users. Please contact your Account Manager should any additional setup need to be completed.
Security Fields: (EDITSEC)
| CPNRT | Coupon Rate |
| DTDFL | Used to override default payment assumptions: |
| Default - 30/360, Monthly | |
| Position 1 - L - Long, X - Default, D - Default (no interest), F - Flat (no interest) | |
| Position 2 - M - Monthly, Q - Quarterly, S - Semi-annually, A - Annually | |
| Position 3 - 0 - 30/360, 1 - Actual/Actual 2 - 30/Actual, 3 - Actual/360 | |
| Position 4 - P - Principal only, I - Interest only | |
| MATDT | Used to verify that the security has not matured and used for default payment date on issty 93. |
| SPPDT | Used to override default payment date. Default on issty 444 and 60 is the first of the month. Default on issty 93 is MATDT. |
| DELAY | Stated or Actual Delay, used in determining the period between trade date and settlement date of paydowns. |
| FACT | Current Factor |
| FACTDT | Current Factor Date - used only to determine last update of FACT field, not used in determining paydate of paydown. |
| FACTPR | Prior Factor |
| FACTPD | Prior Factor Date |
| ISSTY | Issue Type, must be 444 60 or 93. |
Tax Lot Fields: (EDPORT)
| BRKOUT | POSTPD indicates that a lot is a paydown. |
| FACE | Original Face, in dollars (not units) |
| SDATE | Trade Date of Paydown |
| SETOUT | Settlement Date of Paydown |
| UNITS | Current Face, in units |
Prompts
- At the APL prompt, type POSTPAYDOWN and press
Enter ↵
The following will appear:
BEGINNING DATE (MM/DD/YY) - HIT ENTER FOR CURPRDATE :
- Enter first paydown or coupon payment date to be included in process and press
Enter ↵
The following will appear:
ENDING DATE (MM/DD/YY) - HIT ENTER FOR CURPRDATE :
- Enter last paydown or coupon payment date to be included in process and press
Enter ↵
Note: POSTPAYDOWN may be run for only a single month at a time.
The following prompt will appear:
Select Specific Securities (or Hit Enter for ALL) :
- Enter the security identifier for the security or securities and press
Enter ↵
The following will appear:
Number of securities which may have a pay down during the time selected : xxx
xxx is the number of securities found.
The following will appear:
Determining next coupon dates
Please Wait...
The system will evaluate all factorable securities.
The following prompt will appear:
1689 ACCOUNTS CURRENTLY ON FILE SEARCH FOR WHAT?
- Enter the account or range of accounts for which paydowns and/or interest should be calculated and press
Enter ↵
The following prompt will appear:
Paydown Report Stored in POSTPD.LRP
PDGL.LSD
These files contain the paydown transactions as well as the interest payments.
TRADESNEW processes the paydowns.
TRADESNEW (0) HDR 0 1 30 1995 (1) CLO 4436.0970 1438984 920.50 RSQ 11/04/97 0 0 POSTPD (2) DES AI0 VP01/01/94 SD11/07/97 TOTALS OK REMEMBER: THAT WAS BATCH NUMBER 261 (Paydown batch.) ****************************************************************************** TRADE SUMMARY FOR BATCH 261 SHARES TICK/SACUS ---------- ---------- CLO 4,436.097 1438984 SUMTRD.LRP (**PRINT => TO PRINT TRADE SUMMARY) WOULD YOU LIKE TO POST THIS BATCH NOW ?
- The paydown batch may be posted by answering YES or held for later posting by answering NO and pressing
Enter ↵
The following prompt will appear:
Would you like to post to GL ?
- The interest transactions may be posted at the time you are running the function by answering YES or posted later using POSTGL. **READFILE is used to bring in the interest transactions
Output
POSTPD.LRP
Paydown Report - shows paydowns and interest calculated by POSTPAYDOWN. Also shows data problems in process.
PDGL.LSD
Interest Payments - in format for use as input to POSTGL.
BATCH
Regular trades batch, may be posted using TRADESNEW. Note: DES lines specifying AI0 to stop accrual calculation, VPmm/dd/yy specifying the lot being paid down, and SDmm/dd/yy specifying the settlement date.
Paydown Calculation
Paydown amounts are calculated by multiplying the current factor (FACT) by the original face (FACE), which gives the target current face (rounded to the nearest one-ten thousandth). The paydown amount is simply the previous current face (UNITS x 100) minus the target current face.
Paydown Calculation - Alternate
Paydown amounts are calculated as the difference between the prior factor (FACTPR) and the current factor (FACT) multiplied by the original face. This method only rounds once and often matches the dollar amount of many back office system.
Interest Calculation
Coupon Interest follows the same rules as used by POSTDIVS, relying on the security setup to control the accrual method. Of course, interest is calculated on current face before the paydown is processed.
Related Processes/Reports
SHOWNOFACE
Creates two reports:
FACE.LRP
A report of postions missing Original Face (FACE)
CURFACE.LRP
A report comparing Current Face (UNITS) with calculated Current Face (FACE times FACT)