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This section includes security setup examples for a:
Standard MBS
Principal-only MBS
Interest-only MBS
Standard MBS Example
An example of a standard MBS setup follows.
Security Information | Value |
|---|---|
MBS Identification | |
Issue Name | 31283HQ32 |
Issue Description | 31283HQ32 |
Ticker | 31283HQ32 |
CUSIP/SEDOL Check Digit Control Flag | |
Primary Asset ID Type | CUSIP |
Primary Asset ID | 31283HQ32 |
Alt Asset ID Type | |
Alt Asset ID | |
MBS Details | |
Investment Type | FI |
Processing Security Type | DBFBFB |
Security Type | |
Sub Security Type | |
Quantity Type | PAR |
Price Multiplier | 0.0100 |
Quantity Scale | 1.00 |
Country Of Risk | |
Country Of Risk Code | |
Issue Country | UNITED STATES |
Issue Country Code | US |
Asset Currency | USD |
Settlement Currency | USD |
Income Currency | USD |
Issue Tax Type | MBS - PASSTHRU |
Primary Exchange | ALL |
Primary Exchange Code | ALL |
Region | NEW ENGLAND |
Amount Issued | 0.0000 |
Amount Outstanding | 0.0000 |
Collateral Pool Type | |
SIC Code | |
Pool Number | G01374 |
MBS Debt Coupon Periods | |
Coupon | 7.000000 |
Coupon Type Code | Fixed |
Day Count Basis | 30/360 |
Payment Frequency | Monthly |
Payment Frequency Code | 1_M |
Interest Payment Timing | Same Day of Month |
MBS Dates | |
Issue Price | 100.00000000 |
Issue Date | 20020301 |
Dated Date | 20020301 |
First Coupon Date | 20020401 |
Last Coupon Date | 20320301 |
Maturity Date | 20320301 |
Maturity Price | 100.00 |
Delay Days | 14 |
CMO First Principal Repayment Date | |
MBS Prepay Information | |
WAM Remain Date | |
WAM Original Months. | 359. |
WAM Original Remain Months | 359.00 |
WAC Current | 7.500000 |
WAC Original | 7.500000 |
CPR 1month | 32.50000000 |
CPR 3month | 28.00000000 |
CPR 6month | 43.00000000 |
CPR 12month | 27.00000000 |
CPR Life | 25.25000000 |
PSA 1month | 125.0000 |
PSA 3month | 175.0000 |
PSA 6month | 250.0000 |
PSA 12month | 198.0000 |
PSA Life | |
MBS Flags | |
Trading Flat | No |
Zero Coupon Indicator | No |
OID Indicator | No |
Federal Tax Indicator | |
Default Indicator |
MBS Principal-Only Security Example
An example of an MBS Principal-Only security setup follows.
| Info |
|---|
The Coupon must be a 0 rate, and the Coupon Type must be Fixed for an MBS/ABS Principal-Only security. |
Security Information | Value |
|---|---|
MBS Identification | |
Issue Name | 31351DCD1 |
Issue Description | 31351DCD1 |
Ticker | 31351DCD1 |
CUSIP/SEDOL Check Digit Control Flag | |
Primary Asset ID Type | CUSIP |
Primary Asset ID | 31351DCD1 |
Alt Asset ID Type | |
Alt Asset ID | |
MBS Xreference Identification | |
ISIN | |
Sedol | |
Reuters | |
Bloomberg ID | |
SICOVM | |
Valoren | |
CEDEL | |
INTERNAL | |
CINS | |
XREF Exchange | NYSE |
MBS Details | |
Investment Type | FI |
Processing Security Type | DBFBPO |
Security Type | |
Sub Security Type | |
Quantity Type | PAR |
Price Multiplier | 0.0100 |
Quantity Scale | 1.00 |
Country Of Risk | |
Country Of Risk Code | |
Issue Country | UNITED STATES |
Issue Country Code | US |
Asset Currency | USD |
Settlement Currency | USD |
Income Currency | USD |
Issue Tax Type | MBS - PASSTHRU |
Primary Exchange | NEW YORK STOCK EXCHANGE |
Primary Exchange Code | NYSE |
Region | |
Amount Issued | 0.0000 |
Amount Outstanding | 0.0000 |
Collateral Pool Type | |
SIC Code | |
Pool Number | |
MBS Debt Coupon Periods | |
Coupon | 0.000000 |
Coupon Type Code | Fixed |
Day Count Basis | 30/360 |
Payment Frequency | Monthly |
Payment Frequency Code | 1_M |
Interest Payment Timing | Same Day of Month |
MBS Dates | |
Issue Price | 100.00000000 |
Issue Date | 19891001 |
Dated Date | 19891019 |
First Coupon Date | 19891101 |
Last Coupon Date | 20181001 |
Maturity Date | 20181001 |
Maturity Price | 100.00 |
Delay Days | 0. |
CMO First Principal Repayment Date | |
MBS Prepay Information | |
WAM Remain Date | 20030601 |
WAM Original Months. | 322. |
WAM Original Remain Months | 145.00 |
WAC Current | 9.661000 |
WAC Original | 9.537000 |
CPR 1month | 18.10000000 |
CPR 3month | 26.66000000 |
CPR 6month | 27.30000000 |
CPR 12month | 28.00000000 |
CPR Life | 24.10000000 |
PSA 1month | 302.0000 |
PSA 3month | 444.0000 |
PSA 6month | 454.0000 |
PSA 12month | 466.0000 |
PSA Life | 401.0000 |
MBS Flags | |
Trading Flat | No |
Zero Coupon Indicator | No |
OID Indicator | No |
Federal Tax Indicator | No |
Default Indicator |
MBS Interest-Only Example
An example of an MBS Interest-Only security setup follows.
| Info |
|---|
The Maturity Price must be 0 for an MBS/ABS Interest-Only security. |
Security Information | Value |
|---|---|
MBS Identification | |
Issue Name | 31352DCD0 |
Issue Description | 31352DCD0 |
Ticker | 31352DCD0 |
CUSIP/SEDOL Check Digit Control Flag | |
Primary Asset ID Type | CUSIP |
Primary Asset ID | 31352DCD0 |
Alt Asset ID Type | |
Alt Asset ID | |
MBS Xreference Identification | |
ISIN | |
Sedol | |
Reuters | |
Bloomberg ID | |
SICOVM | |
Valoren | |
CEDEL | |
INTERNAL | |
CINS | |
XREF Exchange | NYSE |
MBS Details | |
Investment Type | FI |
Processing Security Type | DBFBIO |
Security Type | |
Sub Security Type | |
Quantity Type | PAR |
Price Multiplier | 0.0100 |
Quantity Scale | 1.00 |
Country Of Risk | |
Country Of Risk Code | |
Issue Country | UNITED STATES |
Issue Country Code | US |
Asset Currency | USD |
Settlement Currency | USD |
Income Currency | USD |
Issue Tax Type | MBS - PASSTHRU |
Primary Exchange | NEW YORK STOCK EXCHANGE |
Primary Exchange Code | NYSE |
Region | |
Amount Issued | 0.0000 |
Amount Outstanding | 0.0000 |
Collateral Pool Type | |
SIC Code | |
Pool Number | |
MBS Debt Coupon Periods | |
Coupon | 8.000000 |
Coupon Type Code | Fixed |
Day Count Basis | 30/360 |
Payment Frequency | Monthly |
Payment Frequency Code | 1_M |
Interest Payment Timing | Same Day of Month |
MBS Dates | |
Issue Price | 0.00000000 |
Issue Date | 19891001 |
Dated Date | 19891019 |
First Coupon Date | 19891101 |
Last Coupon Date | 20181001 |
Maturity Date | 20181001 |
Maturity Price | 0.00 |
Delay Days | 0. |
CMO First Principal Repayment Date | |
MBS Prepay Information | |
WAM Remain Date | 20030601 |
WAM Original Months. | 322. |
WAM Original Remain Months | 145.00 |
WAC Current | 9.661000 |
WAC Original | 9.537000 |
CPR 1month | 18.10000000 |
CPR 3month | 26.66000000 |
CPR 6month | 27.30000000 |
CPR 12month | 28.00000000 |
CPR Life | 24.10000000 |
PSA 1month | 302.0000 |
PSA 3month | 444.0000 |
PSA 6month | 454.0000 |
PSA 12month | 466.0000 |
PSA Life | 401.0000 |
MBS Flags | |
Trading Flat | No |
Zero Coupon Indicator | No |
OID Indicator | No |
US Federal Tax Indicator | No |
Default Indicator |
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