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APL Fixed Income Reference |
APL Fixed Income Reference
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Account Master Data
In addition to the SNAM, there are certain account master fields that should be coded for accounts holding fixed income instruments:
| ADM | Administrator. |
| DESFIX | Desired Fixed Income %. |
| FDTYPE | Fund Type. |
| INVGRP | Investment Group. |
| MGR | Manager. |
| OBJECT | Investment Objective. |
| RR | Registered Representative. |
Security Master Data
There are also certain account master fields that should be coded for accounts holding fixed income instruments:
| CPNRT | Coupon Rate. |
| CUSIP | Complete CUSIP number. |
| CUSIP1 | First 6 characters of the CUSIP. |
| CUSIP2 | Last 3 characters of the CUSIP. |
| DELAY | Payment delay in days (factorable securities). |
| DTD | Dated Date. |
| DTDFL |
Dated date flag. Used to indicate long and special payment frequency. There are 4 positions in the payment flag:
|
| FACT | Current Factor. |
| FACTDT | Date of current factor. |
| FACTPR | Previous factor. |
| FACTPD | Date of previous factor. |
| FIXTYP | Fixed income type. |
| ISSTY | Security issue type. |
| MATDT | Maturity date. |
| MCALLD | Call date. |
| MCALLP | Call price. |
| MPUTDT | Put date. |
| MPUTPR | Put price. |
| MRATNG | Moody rating. |
| MSTATE | Issuing state for municipals. |
| OTERM | Original term to maturity, in years. |
| POOL | Pool number for factorable securities. |
| PRERED | Pre-refunding date. |
| PREREP | Pre-refunding price. |
| PSAPCT | PSA pre-payment speed (1.00 = 100%) |
| RESET | Next coupon reset date for floating rate securities. |
| SNPRAT | S&P rating. |
| SPPDT | Special payment date. |
| SVCFEE | Service Fee. |
| WAC | Weighted average coupon. |
| WAM | Weighted average maturity. |
| Pre-processed Fields | |
|---|---|
| DURAT | Modified duration |
| YTM | Yield to maturity |
DURAT and YTM are calculated nightly by the system. To over-ride, enter the desired duration or yield as a negative number. Reports will use that number (without the minus sign) instead of calculating a new yield, and overnight processing will leave your override untouched. Review forced values regularly so they do not become stale.
Both of these numbers are stored in the account master field $FIXAVG. $FIXAVG is adjusted for committed trades, allowing you to see how yield and duration are affected by current activity.
Analytics
APL calculates yields and durations following the SIA calculation standards for conventional bonds and the PSA model for factorable securities.
The system determines the effective redemption date by the following rules, executed in order:
| Start by assuming the bond will be redeemed at par or maturity date. |
| Look at the call provision. If call price is less than current price, use call price for redemption price and call date for redemption date. |
Look at the put provisions. If put exists and put date comes before the assumed redemption date, use put date / price for redemption date / price. |
| Look at the pre-refunding information. If the bond is pre-refunded, use pre-refunding date / price as the redemption date / price. |
Fixed Income Specific Reports
| AMORT | Book values and amortization changes. |
| BONDEDGEALL | Downloadable file of security master data for bonds. |
| BONDFEATURE | Accounts holding fixed income calls and puts, and pre -refunded bonds. |
| DURPORT | Duration and rating of fixed income assets held across a group of selected accounts. |
| FIXEDAUDIT | Missing or inconsistent fixed income security data. |
| FIXGWK | All fixed income assets held sorted by issue type. |
| FIXMAT | All fixed income assets held in an account sorted by maturity year and issue type. |
| FIXRATE | All fixed income assets held in an account with ratings and maturity data. |
| FIXWDS | Detailed information on all fixed income assets held in an account. |
| INDSUMFIX | Bond inventory of all bonds held across a group of selected accounts. |
| MANAGEREFFMAT | Effective maturity assets held in a group of selected accounts. |
| MATREP | Accounts holding fixed income securities that mature within one year. |
| MGRORIGFACE | Accounts holding factorable securities and includes original face amount. |
| REDEMPTION | Accounts holding securities that have matured. |
| SHOWNOFACE | Accounts holding factorable securities with no or inconsistent face amounts. |
| SUMFIX | Fixed Income asset detail in a single account or group of accounts. |
| SUMFIXRATE | Ratings and maturity distribution. |
| SUMFIXRIT | Fixed income holdings. |
Fixed Income Functions
| DOCALLPUT | Process calls and puts. |
| EDITFIXTYP | Edit fix type for amortization. |
| FIXTYPMAP | Table identifying which security master fields should appear in EDITSEC when editing fixed income securities. FIXTYP field must be coded on the security level. |
| POSTACC | Post accrual over-rides with interest or dividend payments. |
| POSTPAYDOWN | Post paydowns for factorable securities. |
| YIELDSCREEN | View and calculate yield scenarios. |
Amortization
Amortization and accretion are offered as an extra service on APL. Contact your account manager if you are interested in this feature.
Original cost, purchase date and yield to maturity at cost are permanently stored in EDPORT. Amortized cost is calculated while running reports. SETAMORT is the switch for turning amortized cost on and off.
EDGLOBALMEMO determines firm-wide defaults. EDMEMO over-rides amortization methods at the account level. The two functions use the same syntax:
AMORT- (method): FIXTYP, OVERRIDE
The “method” may be NO for no amortization, YLD for yield amortization, or SL for straight-line amortization. The FIXTYP is either the code in FIXTYP or the special code ALL referring to all bonds with a valid FIXTYP. The OVERRIDE handles special circumstances relating to original purchase. The following overrides are valid:
| D | Bonds purchased at a discount. |
| P | Bonds purchased at a premium. |
| DL | Discounts with maturity > 1 yr. from purchase. |
| DS | Discounts with maturity < 1 yr. from purchase. |
| PL | Premiums with maturity > 1 yr. from purchase. |
| PS | Premiums with maturity < 1 yr. from purchase. |
The 5th level of EDPORT provides fields controlling amortization at the tax lot level.
| YLDCST | Yield to maturity at cost. |
| AMTMTH | Method: NONE, YLD or SL. |
| AMTDT | Redemption date over-ride. |
| AMTPR | Redemption price over-ride. |