1. User Guide
  2. Business Rules Administration
  3. Break Identification Process
  4. Partial Breaks

3.20.2 Partial Breaks

For partial breaks, the engine compares the prior period-instrument records with current period records to identify instruments that have experienced a partial prepayment.

The Break Identification Process uses Identity Code to determine which record is current and which is prior. It is assumed the Prior record Identity Code will be < Current Period.

The following accounts are considered as partial breaks:

Case 1:

If the NEXT_PRIN_PAYMENT_DATE on the prior period record is less than or equal to the AS_OF_DATE of the current period record, then:

  • To detect a partial break, compare the AFTER_PAYMENT_BALANCE of the prior period record with the CUR_PAR_BAL of the current period record. If the difference is more than the MINIMUM_BREAK_AMOUNT then the instrument is classified as a Partial Break.
    For this scenario, the Break Identification Process populates the source and Break Funding Charges instrument tables with the following:
    • BREAKAGE_FLG = 2 (*Source - Current record only) (External break will populate flag=1)
    • BREAKAGE_TYPE_CD = 2
    • BREAKAGE_AMOUNT = AFTER_PAYMENT_BALANCE of prior record – CUR_PAR_BAL of the current record Additionally, the FSI_D_BREAK_FUNDING_CHARGES table is populated as follows:
    • Both the prior period record and the current record are copied into the FSI_D_BREAK_FUNDING_CHARGES table. The as of date for the prior record is changed to the current as of date.
    • The BREAKAGE_AMOUNT of the prior record =0
    • The BREAKAGE_AMOUNT of the current record = AFTER_PAYMENT_BALANCE of prior record – CUR_PAR_BAL of the current record
    • BREAKAGE_TYPE_CD = 2
    • Specific Fields updated on prior break funding record:
      • Next Interest Payment Date: If Next Interest Payment Date <= AS_OF_DATE then Next Interest Payment Date +Payment Frequency/Multiplier
      • Last Interest Payment Date: If Next Interest Payment Date <= AS_OF_DATE then Next Interest Payment Date
      • Next Principle Payment Date: If Next Principle Payment Date <= AS_OF_DATE then Next Principle Payment Date +Payment Frequency/Multiplier
      • Last Principle Payment Date: If Next Principle Payment Date <= AS_OF_DATE then Next Principle Payment Date
      • Next Reprice Date: If Next Reprice Date <= AS_OF_DATE then Next Reprice Date + Reprice Frequency/Multiplier
      • Last Reprice Date: If Next Reprice Date <= AS_OF_DATE then Next Reprice Date
      • Remaining Number of Payments: If Next Principle Payment Date <= AS_OF_DATE then Remaining Number of Payments -1
    • All additional fields are carried forward from the prior period record.

Case 2:

If the NEXT_PRIN_PAYMENT_DATE on the prior period record is greater than the As-of-Date of the current period, then:

  • To detect a partial break, compare the CUR_PAR_BAL of the prior period record with the CUR_PAR_BAL of the current record. If the difference is more than the Minimum Break Amount, then the instrument is classified as a partial break.
    For this scenario, the Break Identification Process populates the source and Break Funding Charges instrument tables with the following:
    • BREAKAGE_FLG = 2 (*Source - Current Record only)
    • BREAKAGE_TYPE_CD = 2
      • If both Partial and Change in Attributes are detected, then BREAKAGE_TYPE_CD = 5
    • BREAKAGE_AMOUNT = CUR_PAR_BAL of the prior period record – CUR_PAR_BAL of the current record
    Additionally, the FSI_D_BREAK_FUNDING_CHARGES table is populated as follows:
    • Both the prior period record and the current record are copied into the FSI_D_BREAK_FUNDING_CHARGES table. The as of date for the prior record is changed to the current As-of-Date.
    • The BREAKAGE_AMOUNT of the Prior Record =0
    • The BREAKAGE_AMOUNT of the Current Record = CUR_PAR_BAL of prior record – CUR_PAR_BAL of the Current Record
    • BREAKAGE_TYPE_CD = 2

      Note:

      If it is NULL, 0, or 1, the breakage charge calculation will treat as a full break and will not correctly calculate BREAK_FUNDING_AMT_CHG.
    • RECORD_IND = -1 for Prior Record and 1 for Current Record.
    • All additional fields are carried forward from the Prior Period Record.

      Note:

      Partial Breaks are also detected when there is an increase in balance.

    Example: Partial Break:

    • Prior Record:
      • As-of-Date = 30-SEP-2012
      • Next_Reprice_Date = 01-OCT-2012
      • Last_Reprice_Date = 01-SEP-2012
      • REPRICE_FREQ = 1M
    • Current Record:
      • As-of-Date = 01-OCT-2012
      • Next_Reprice_Date = 01-NOV-2012
      • Last_Reprice_Date = 01-OCT-2012
      • REPRICE_FREQ = 1M

    The break occurs on 01-OCT-2012 and a break is detected on this date. This is also the Application Preferences As-of-Date given by the user.

    Records moved to FSI_D_BREAK_FUNDING_CHARGES will be:
    • Prior Record:
      • Since Next_Reprice_Date (1-Oct-2012) <= active As-of-Date (1-Oct-2012),
      • As_of_Date = 01-OCT-2012
      • Next_Reprice_Date = 01-NOV-2012
      • Last_Reprice_Date = 01-OCT-2012
    • Current Record:
      • As_of_Date = 01-OCT-2012
      • Next_Reprice_Date = 01-NOV-2012
      • Last_Reprice_Date = 01-OCT-2012
      • The engine can only process the modified record in FSI_D_BREAK_FUNDING_CHARGES when Last_Reprice_Date <= As_of_Date < Next_Reprice_Date.