1.30.3 Frequency-based Rebalancing

This topic provides information on frequency based rebalancing details.

The system will pick all active portfolios based on processing date. If the next process date falls on a holiday, the same will be processed on next business day.

For frequency based rebalancing, the system will compute the variance and if the computed actual variance for a portfolio breaches the maintained variance then these portfolios will be marked for periodic reporting.

These portfolios will not be rebalanced and no amendment of portfolio mapping will be done for frequency based rules. The system will compute and log the computed variance and maintained variance in the system in patb_rebalancelog data store under RULEVARIANCE and COMPUTEDVARIANCE fields.

Formula: to calculate variance is as follows:

Current Variance = 100 - [(Units * NAV)/(Units * Average cost) * 100]

Where,

NAV is the latest price of the asset from TA

Units is the current portfolio balance units (excluding blocked units)

Average cost is WAUC from TA as part of allocation handoff

Example

Scenario 1

Table 1-65 Scenario 1

Maintained Variance (in %)	20
Units	150
NAV	12
Average cost	13.5
Market value with NAV	1800
Market value with WAUC	2025
Current Variance (in %)	11.11111
-	< 20
-	No Change

Scenario 2

Table 1-66 Scenario 2

Maintained Variance (in %)	20
Units	150
NAV	11
Average cost	14
Market value with NAV	1650
Market value with WAUC	2100
Current Variance (in %)	21.42857
-	< 20
-	Report

Scenario 3

Table 1-67 Scenario 3

Maintained Variance (in %)	20
Units	150
NAV	8
Average cost	8
Market value with NAV	1200
Market value with WAUC	1200
Current Variance (in %)	0
-	< 20
-	No Change

Scenario 4

Table 1-68 Scenario 4

Maintained Variance (in %)	20
Units	150
NAV	13
Average cost	12
Market value with NAV	1950
Market value with WAUC	1800
Current Variance (in %)	-8.33333
-	< 20
-	No Change

Scenario 5

Table 1-69 Scenario 5

Maintained Variance (in %)	20
Units	150
NAV	12
Average cost	9.8
Market value with NAV	1800
Market value with WAUC	1470
Current Variance (in %)	-22.449
-	< -20
-	Report

Following are the possible rebalance statuses for both age and frequency based rebalancing rules:

Table 1-70 Status Value - Interim stages of rebalance process

Status Value	Status Description	Stage (Interim stages of rebalance process)
1	Rebalance Processing Started	When rebalance process is triggered as part of BOD
3	Amendment Completed, Rebalance Processing Pending	Post amendment of Portfolio mapping for the party meeting age based criteria
6	Amendment Skipped, Rebalancing Processing Pending	Portfolio mapping skipped for some reason, rebalance pending
7	Amendment Failed	Portfolio mapping amendment failed
8	Rebalance Processing Skipped	Rebalance process skipped due to various reason
10	Rebalance Processing Failed	Rebalance process failed – failure reason logged
20	Rebalance Order generation pending	Rebalance process completed, order generation pending
21	Adjustment Orders generated, handoff Pending	Rebalance adjustment withdrawal and investment generated, handoff pending to TA
22	Adjustment Orders generation failed	Rebalance adjustment withdrawal and investment generation failed

Table 1-71 Status Value - Post rebalance adjustment orders generation

Status Value	Status Description	Stage (Post rebalance adjustment orders generation)
24	Adjustment Withdrawal handoff completed, allocation Pending	Rebalance adjustment withdrawal handoff to TA completed, pending allocation
26	Adjustment Withdrawal Orders allocated	Rebalance adjustment withdrawal allocated
28	Adjustment Investment handoff completed, allocation Pending	Rebalance adjustment investment handoff to TA completed, pending allocation
30	Adjustment Investment Orders allocated	Rebalance adjustment investment allocated
32	Rebalance Order allocation Failed	If rebalance order allocation of either inflow or outflow failed

The system will track the Rebalance Adjustment order status of inflow and outflow in PATB_REBALANCE log data store.

Following are the possible statuses at each order level:

Table 1-72 Status Value - Order generation

Status Value	Status Description	Stage (Order generation)
1	Adjustment Orders generated, handoff Pending	Inflow/Outflow adjustment order generated and order number will be stamped
5	Adjustment Orders generation failed	Inflow/Outflow adjustment order generation failed, reason will be logged in error code and description

Post allocation of rebalance inflow adjustment order, system will mark the status as Rebalance process completed in PATB_REBALANCELOG table.

Table 1-73 Status Value - PAS Allocation import from TA

Status Value	Status Description	Stage (PAS Allocation import from TA)
40	Rebalance Processing Completed	Upon upload of allocation details of adjustment INFLOW from TA into PENSION module Interface - IF20192130001307 (PAS Allocation import from TA)

Rebalance Export from Pension- IF20192130003101

An interface for rebalance export from Pension with the interface ID IF20192130003101 will pickup the Rebalance handoff pending records from the PATB_REBALANCELOG table and its respective data from the rebalance maintenance. On successful export, the status of the rebalancing record will be updated with the status 9 - Rebalance hand-off completed.

Rebalance Import into TA - IF20192130003102

On successful import into TA, the rebalancing details from Pension will be used to create maintenance for readjustment of portfolio in TA, i.e. UTDUHPR - UH Portfolio Readjustment Detail.

The maintenance will be created for a Unitholder, i.e. for a party, portfolio, account, instrument.

As the rebalancing in Pension can be done only within the instruments, for a rebalancing maintenance in Pension, there will be a readjustment maintenance in TA, i.e. One to one maintenance.

The system generates the maintenance with the readjustment status – Not processed (N)

The PHREBALANCEPROCESSTBL process table will log the rebalance reference number from Pension and its relative readjustment ID in TA with the process status U.