11.7.3 Change in Attributes Break

For Change in Attributes Break, the engine compares the current period records with the prior period records to determine if any changes are made to critical attributes (other than balances). If any of the critical attributes have changed then it qualifies as a break event.

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 key attributes are compared when analyzing data for Change in Attributes Break:

• ACCRUAL_BASIS_CD
• ADJUSTABLE_TYPE_CD
• AMRT_TYPE_CD
• COMPOUND_BASIS_CD
• CUR_NET_RATE (for fixed-rate instruments)
• CUR_PAYMENT (for fixed-rate instruments)
• MATURITY_DATE
• NEG_AMRT_AMT
• NEG_AMRT_EQ_DATE
• NEG_AMRT_EQ_FREQ
• NEG_AMRT_EQ_MULT
• NEG_AMRT_LIMIT
• PMT_FREQ
• PMT_FREQ_MULT
• REPRICE_FREQ
• REPRICE_FREQ_MULT
• RESIDUAL_AMOUNT

The list of seeded attributes can be viewed in the FSI_BRK_DETECTION_COLUMN_LIST table. Note that some attributes such as CUR_PAYMENT are not in the seeded list, but are referred to conditionally along with other columns.

If Prior Record Adjustable Type Cd = 0 and Current Record Adjustable Type Cd = 0 and Prior Cur Payment <> Current Cur Payment, then consider a break event.

If you want to consider any change in current payment as a break event, regardless of adjustable type code, then Cur Payment can be appended to the list of seeded values.

If any of these fields are identified as changed while comparing current and prior records, the records are flagged as a 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 = 3
  • If both Partial and Change in Attributes are detected, then BREAKAGE_TYPE_CD = 5
    • BREAKAGE_AMOUNT = CUR_PAR_BAL

    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.
  • BREAKAGE_TYPE_CD = 3

    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

If prior record's Next_Reprice_Date <= active As_of_Date

• Next Payment Date: If Next Payment Date <= AS_OF_DATE then Next Payment Date +Payment Frequency/Multiplier
• Last Payment Date: If Next Payment Date <= AS_OF_DATE then Next 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 Payment Date <= AS_OF_DATE then Remaining Number of Payments -1

Note:

Active As-of-Date means the Application Preferences As-of-Date, which is also the current record,’s As-of-Date. The change applies only to the prior record. The current record will be corrected from the source system.

If an account is repriced daily and Break Identification is done for one month period (difference in As-of-Dates), then though account’s (prior period record) As-of-Date is updated to latest As-of-Date, but if the reprice dates are just rolled over by 1 Day as per reprice frequency, then the reprice dates go out of sync with As-of-Date. That is why for these accounts, the logic is updated as, if after rolling forward by one period, if the dates are not in sync with As-of-Dates, they will be rolled forward till As-of-Date, only for those adjustable accounts where reprice frequency or payment frequency is less than period over which break identification is performed. For longer reprice frequency accounts, there is no change in the logic.