Dates can be defined in multiple places on the platform. Dates pertaining to the collateral can be set in the Portfolio section, while dates pertaining to the bonds will be defined under the Capital Structure section.
Within the Reports, reports displaying only collateral data will follow the collateral timeline set by the Cut-Off Date. Any report that shows at least one bond-related field, will show the bond timeline.
Important to note: Cash Flow Tables, Graphs, and Price Yield Tables will align to the bond timeline as described. Concentration Risk Tables, Collateral Performance Data Tables, and the Performance Data Graphs will align with the loan timeline.
Dates View:
Once a deal has Historical data provided, the cutoff data view will be transformed to Historical Data Through (HDT) and will display the Cut-Off Date, and all the subsequent Historical distribution dates.
Understanding the Dates:
Example: the date is 2020-04-01, if the user chooses to see the deal through the Cut-Off Date, the report will show only projections, and will not include any of the historical data, nor will it take it under account in any calculation.
Using the same logic, if the user chooses 2020-06-01, the user will see the Historical data for the periods leading up to 2020-06-01, but the following months will appear as projections, and the historical data provided for any month after that, will not be included in the reports. Projection after the chosen period will take into account the previous historical data.
Historical data is always displayed in T-REX blue.
When creating the report, the user must choose Report as of Date, this is the date from which the user sees the data.
This report as of date, will always default to the last available date in the HDT. This means, the user is seeing the report as it is applicable to this date, even if there is data for dates before.
If we want to see the historical data in reports, we must choose Report as of Date as the cut off date, and roll HDT to the last available date.
Dates Specific Fields:
Location | Field name | Current Meaning |
Portfolio Settings | Cut-Off Date | The date on the collateral where the cash flow from any sort of portfolio is pledged/sold into the trust, selling them to some other party. It is also the same date that distributions are received from the underlying assets. |
Portfolio Settings | Collection Date | The day the cash flows are generated for the bond (not yet paid). From the last day of the collection period, we assume each party will be paid by this day - what is collected until this day from the payments on the loans. |
Portfolio Settings | Periods | The number of sections in which the waterfall will run. The amount of rows (months)which are shown in the reports. |
Portfolio Settings | Aggregate Prepay Interest based on | The amount of months on which the prepayment interest is accrued on, from the cutoff date or interest due date (toggle field) - this only affects the first payment. |
Portfolio Settings | DQ Recovery (delinquency) | The structure field of the loan, if there is a definition within scenarios of the DQ - then the next DQ will be pushed by the structure. Example: If the DQ scenario is every 3 months, but the structure is 6, it will be recovered on 6. |
Loans | IO Term (Interest-Only Term) | The term in which the only payment received is the interest for the loan, no principal. IO is inclusive for the amortization term. Example: If the amortization term is 300, and IO term is 10, the total term is still 300, 20 of IO only, and 280 of regular payments |
Loans | Pre-funded month | The pledging of assets that are not already in the deal. This is represented by having the loan start X months after the cutoff date, assuming this money will exist in the future, it is accounted for as if it existed now, which pushes the start of the ending balance. This assumes that the assets are in the process of closing, though they are not closed yet meaning there is no cash flow yet. These funds will be added to the trust after the set X months This prefunded month means the assumed money starts contributing to the collateral at month X. This asset has a cut off date of a month later. |
Loans | 1st default payment month | Related to pace - there is a timeline for default eligibility, which is this is the first default payment month. This frequency should coincide with the frequency of payments. |
Loans | 1st prepayment month | Projected prepayments month start - pushed from the cutoff date, in instances when an asset is eligible for prepay. |
Loans | Previous prepay | Any funds that were received previously and sold with these loans. This will not be affected by scenarios, users will see these funds on the first month of the loan timeline. |
Loans | 1st pay date (Principal and Interest) | Contractual - This is month in which payments start being made, though these payments do not go into the balance, it is structured (unlike deferral). |
Loans | Allocated month | The first month in which payments start being calculated, then this payment is calculated yearly on the same month each year. This method is only applicable with the Allocated Level Pay payment method.
The Allocated month is the month in which all yearly PMT functions are calculated. Though if the payment frequency is quarterly, the PMT function will be divided into 4 based on the payment done on the allocated month). |
Loans | Interest Capitalized term | When deferring the loan, the interest is calculated based on what should have been paid if the loan had not been deferred (the interest that should have been paid).
Once payments return to being paid, the interest payments on the loan will be re-calculated based on the new larger balance. Any interest that is accrued on the loan, is added to the balance for the amount of terms. |
Loans | 1st period accrual interest Methods | Accrued interest for the entire term of the interest frequency. If a user selects short- it is based on how many months are selected within the next column. |
Loans | Accrual months | Accrual months is the specification of the custom/short number of months that are chosen in the previous field. |
Loans | Next reset month | Defines when the calculation will reset based on the current index rate. Typically on the start of any payment date - the current rate is combined with the margin, and this is the rate that will be used until the next payment date. |
Bonds | Settlement date | The settlement date is the same as cut-off date, but on the liability side. From this date the bond has been sold to a 3rd party, this is used to then calculate how much interest will need to be paid to the buyer of the bond. This date determines interest accrual on the bonds, and determines the timeline for the bonds, and delayed draw. This is also known and referred to as the Closing date (the date in the OM).
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Bonds | Delay | The amount of time between the dated date and the settlement date. |
Bonds | First period day count | The convention used for the first period, after the settlement date. T-REX enables the option to utilize a different day count after the first period. |
Bonds | First interest accrual date | The accrual date - inclusive - includes the last day, through the date that the interest is accrued on for the first period. |
Bonds | Interest accrual day | The day of the month, inclusive, that the interest is accrued for the accrual period and for the entirety of the remaining life of the bond. |
Bonds | WAL (Weighted Average Life) | The average time in years, that it takes to receive the principal back. Equation:
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Bonds | Window | The window of time in which the principal is paid back. Example: 1-38 means from Period 1 to Period 38. |
Bonds | Benchmark Rate% | The Benchmark Rate% references the Market Rate. If the Market Rate is fixed, it pulls from the swaps, then creates a curve from the data in market rate, takes into account the WAL, and then interpolates it to show the right rate for the WA. |
Bonds | Duration | In regard to the PY relationship, duration is the linear slope of the point in the PY curve, and the convexity is the non- linear (which allows the actual price to be solved). The linear relationship approximate, it is close though not exact. |
Bonds | Maturity date | The date in which the bond matures (per tranche). Referenced in the Dynamic expressions as a variable. This is simply a date and does not affect any calculation, as opposed to having created this as a structured parameter. |
Bonds settings | 1st interest payment date | The first period in which interest cash flow gets distributed to the bonds - the day in which payments of the interest may vary from the principal payment day. |
Bonds settings | 1st principal payment month | The first period in which principal cash flow gets distributed to the bonds - principal will only be paid starting this month. Regardless of the event that there is a step in the waterfall which pays the principal, if it is before this month, it will will not be paid. Though after this month onwards, it will pay by the set frequency. |
Reports | Report As of Date | The report as of date can be set to any period after the cut-off date in the deal. |
Reports (Graph) | Time Window | The time window in which starting from cut-off to the end of the periods set. |
Reports (Performance Data) | Range of Data | Typically on a monthly basis. |
Reports (Concentration) | Data as of date |
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