Capital Structure Tranche Terms Field Definitions:
Name of Field: | Definition of Field: |
Name | The Name field is the placeholder for the naming of the Tranche. |
Type | The Type field allows users to define the type of tranche. T-REX provides options for tranche types: P&I, P&I Pass-Through, P&I Pass-Through Interest, IO, IO Pass-Through Interest, Residual, Notional IO, Notional IO Pass-Through, and Custom. |
Related | If the Tranche Type is IO or IO Pass-Through Interest, the user can define the related Tranche from the drop-down menu. |
Rate Type | The Rate Type field defines the tranches rate as a fixed, floating or custom interest rate. |
Index | If the "Rate Type" is Floating or Fixed, users can define the Index Rate used in the model. The user has multiple index options to choose from including SOFR, BBSY, EURIBOR, SONIA, LIBOR, and CMT. Along with different time frames which include 1, 3, 6, & 12 months. |
| Margin (bps) | The Margin (bps) field is applicable when choosing a floating rate. This allows the user to define a margin when choosing an index. The all-in rate will be index+margin, and this rate will be used in the coupon rate calculations. |
Coupon (%) | The Coupon % field is the interest rate paid out on the bond. If the "Rate Type" is Fixed or Floating then the coupon rate is a vector. If the "Rate Type" is set to custom then the Coupon can be a dynamic expression. |
Rate Cap (%) | The Rate Cap % field defines the maximum limit on the rate built into the bond structure. If the cap is 10%, but the index goes up to 12%, the rate used in the calculations will be 10%. |
Rate Floor (%) | The Rate Floor % defines the minimum limit on the rate built into the bond structure. If the floor is 2%, and the index dips to 1.5%, the rate used in the calculations will be 2% |
Next Reset Month | The Next Reset Month defines when the calculation will reset based on the current index rate. |
Reset Frequency (Months) | The Reset Frequency field is the reset frequency of the index rate, in months. |
Carry-Forward Interest Rate (%) | The Carry-Forward Interest Rate field is the interest rate that will be applied to the shortfall balance. If the "Rate Type" is Fixed or Floating then the Carry-Forward Interest Rate is a vector. If the "Rate Type" is set to custom then the Carry-Forward Interest Rate can be set to a dynamic expression. |
Settlement Date | The Settlement Date field is the date from which all assets are pledged to the deal. From this date the bond has been sold to a 3rd party, this is used to then calculate the interest that will 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. |
1st Interest Payment Date | The first interest payment period can be specified for each tranche. This field allows users to select the calendar month and year for the 1st Interest Payment Date. The day of payment is specified in the Capital Structure Settings Editor. If this field is not populated, the first interest payment date from the Capital Structure Settings editor will be utilized.
Users can delay the start of interest payments by differientating between the Settlement Date and 1st Interest Payment Date. Ex: Tranche A's Settlement Date is 02/01/2023 and the First Interest Payment Date is 08/01/2024.
Users can set Tranches to pay interest within less than a month after the settlement date. Ex: Tranche A's Settlement Date is 02/01/2023 and the First Interest Payment Date is set to 02/22/2023, paying interest for the 21 days since its settlement date. |
Day Count | The Day Count field can be used to determine how interest is calculated for all payment periods. The user can choose among four options to calculate the interest due: 30/360, Act/360, Act/365, and Days 360. |
First Period Day Count | The First Period Day Count field can be used to determine how interest is calculated in the first interest payment period. With this functionality, T-REX enables the option to utilize a different day count after the first period. |
Interest Frequency | The Interest Frequency field allows users to define the frequency of interest payments. Users have the following options to define the frequency of interest payments: Monthly, Quarterly, Semi-Annually and Annually. |
Principal Frequency | The Principal Frequency field allows users to define the frequency of principal payments. Users have the following options to define the frequency of interest payments: Monthly, Quarterly, Semi-Annually and Annually. |
Residual Frequency | The Residual Frequency field allows users to define the frequency of payments made to the residual type tranches. |
Rating | The Rating field is a documentation field for the rating of the tranche, this is a free text field. |
Interest Accrual Based On | The Interest Accrual Based On field allows users to choose one of four different Interest accrual methods, to calculate Interest for a Tranche. Each method is set separately on each tranche.
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Beginning Balance | This field is mandatory when the tranche type is "Custom." The user has the option to input a dynamic expression or a value for the Beginning Balance. |
Beginning Interest Due | This field is mandatory when the tranche type is "Custom." The user has the option to input a dynamic expression or a value for the Beginning Interest Due. |
Beginning Interest Shortfall Due | This field is optional when the tranche type is "Custom." The user has the option to input a dynamic expression or a value for the Beginning Balance. |
Max Balance | When the tranche type is P&I, P&I pass-through interest, or Custom, there is another account that can be a source to draw from in the waterfall. In that instance, this is an optional field to add a value or dynamic expression that will be the defined maximum draw amount. |