Recalculate Yields Based on Prepayment Time Series Reference Data Changes
You can set up an amortization/accretion rule to have the system automatically recalculate yields when reference data for prepayment time series changes.
These changes include the following data elements for prepayment time series data. Prepayment time series data changes include new records, cancelled records, and updates from a Pending to a Released status. Or an update to the record for the following fields:
- Begin Date (tag 220)
- End Date (tag 221)
- Coupon (tag 70)
- Coupon Type Code (tag 97)
- Day Count Basis (tag 471)
- Payment Frequency Code (tag 472)
- Underlying Security Alias (tag 1347)
- Index Offset (tag 215)
Recalculate Yields Based on Schedule Reference Data Changes
If you set up amortization/accretion rules to automatically recalculate yields when reference data changes, these changes include the following data elements for schedules. The Schedule table stores the Call/Put/Sink/Pre-Refunded information for a security.
Schedule changes include new schedules, deleted schedules, or a change to the following fields:
- Schedule Type (tag 1250)
- Effective Date (tag 1109)
- Price/Rate (tag 1249)
- Schedule Amount (tag 1669)
- Variable Rate Changes
Recalculate Yields Based on Variable Rate Reference Data Changes
If you set up amortization/accretion rules to automatically recalculate yields when reference data changes, these changes include the following data elements for variable rates.
Variable rate changes include new variable rates for the security or for the attached underlying security. Changes also include a change to the following fields:
- Effective Date (tag 1109)
- Variable Rate (tag 96)
- Cash Movement Flag (tag 3664)
Recalculate Yields Based on Business Calendar Reference Data Changes
If you set up amortization/accretion rules to automatically recalculate yields when reference data changes, these changes include data elements for business calendars. Business calendar changes include an update to the business calendar dates of a security.
Recalculate Yields Based on Third Party Cash Flow Changes
When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status.
Recalculate Yields Based on Prepayment Speed Changes
When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias.