This section describes yield calculations for ABS/MBS securities.
Calculate Yield for MBS/ABS Amortizing Loan Securities
Cash flows for MBS/ABS amortizing loan securities consist of three components:
...
| Info |
|---|
Amortizing loan securities refer to securities that repay principal on a scheduled basis. It does not refer to the amortization of premium or accretion of discount for a tax lot. |
Calculate Yield for Non Amortizing ABS Securities
Cash flows for non-amortizing ABS securities (such as CARDS securities) are built on revolving lines of credit and thus do not repay scheduled principal amounts.
...
When you set up an amortization & accretion rule for credit card securities, by default, the panel sets the Effective Maturity Date Method to Soft Bullet Payment. You can use the effective maturity date (EMD) for both credit card and non-credit card ABS/MBS securities for the purpose of determining cash flows, deriving an amortization yield, and calculating an amortization/accretion amount in Eagle Accounting. For more information, see Amortization & Accretion Rules Panel Options and Understand the Prepayment Assumption Option.
Calculate Weighted Average Life (WAL)
During Earnings processing, the system calculates and stores the weighted average life date and weighted average life in months for all factor based securities on the Income Activity table. The calculations are driven by the cash flows derived for the yield calculations. These fields are used primarily for lot-level insurance reporting.