Lesson 20 of 25 · 6 min

Reconstructing a silent month from prices alone

Public prints rebuild the book; they do not reveal a draw, a unit change, or a revised haircut.

April produces no letter yet. The last sales you can see are Meridian $147.63, Calder $588.40, Collective $216.17, Oakridge $63.08, government fund $50.87. Units held at March give a book of 12,400 × $147.63 + 3,100 × $588.40 + 4,150 × $216.17 + 8,200 × $63.08 + 18,600 × $50.87 = $1,830,612 + $1,824,040 + $897,105.50 + $517,256 + $946,182 = $6,015,195.50.

Thirty days at 7.22 percent Act/360 on $1,858,563.47 add $11,182.36, for a reconstructed close of $1,869,745.83 and a trigger of $2,671,065.47. Headroom is $6,015,195.50 − $2,671,065.47 = $3,344,130.03, or 55.59 percent. Last month's advance rates applied to the new book give a lending value of $915,306 + $638,414 + $627,973.85 + $284,490.80 + $804,254.70 = $3,270,439.35 and a blended advance of 54.37 percent.

That is the whole of a silent month reconstructed from prices and the last known rate. What the reconstruction cannot see, and does not claim to see: a draw, a repayment, a 200-share Calder sale that would take 200 × $588.40 = $117,680 off the book, a haircut revision of the kind in lesson 11, or a lender mark that is not the public last sale. Prices alone rebuild one column. The other events remain assumptions set to zero.

A silent month reconstructed from the tape is a priced book and an accrued balance. It is not a complete facility.

Key terms

Price-only reconstruction: Last known units and last known rate, combined with this month's public last sales. Draws, unit changes and haircuts are assumed unchanged.
Zero-event assumption: Treating every intra-month principal and schedule event as not having occurred, because no letter has listed one.

Worked example

April rebuilt from five last sales and the March close

Last sales $147.63, $588.40, $216.17, $63.08, $50.87. Units and advance rates at March. 30 days at 7.22 percent Act/360.

Rebuilt book: $6,015,195.50
Reconstructed interest: $11,182.36
Reconstructed close: $1,869,745.83
Trigger: $2,671,065.47
Headroom: 55.59%
Unseen if 200 Calder shares were sold: $117,680 of book

Five prints and one accrual rebuild the month-end ratios. A silent sale of 200 Calder shares would still sit outside the reconstruction.

Check yourself

April is silent. Five public last sales rebuild a book of $6,015,195.50 and thirty days at 7.22 percent produce $11,182.36 of interest. What does that reconstruction not contain?

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Educational only. Nothing in this lesson is investment, legal or tax advice, or a recommendation to enter into any transaction. Figures are illustrative and computed from the inputs stated in the lesson.