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<EagleML xmlns="http://www.eagleinvsys.com/2011/EagleML-2-0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" eaglemlVersion="2-0" eaglemlType="WarehouseTransactionMessage" xsi:schemaLocation="http://www.eagleinvsys.com/2011/EagleML-2-0 eagleml-main-2-0.xsd" xsi:type="WarehouseTransactionMessage">
<warehouseTransaction>
<header>
<batchKey>entity^20140326^EAGLE PACE</batchKey>
<objectType>WarehousePosition</objectType>
</header>
<warehousePosition>
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<updateSource>MCADMIN</updateSource>
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<equityMethodAcctTreatmentMethod>Equity Method Acct Treatment Method</equityMethodAcctTreatmentMethod>
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<accruedFactorBase>629.387</accruedFactorBase>
<accruedFactorLocal>300.008</accruedFactorLocal>
<alternativeOas>824.369</alternativeOas>
<cpr12m>360.277</cpr12m>
<cpr1m>435.186</cpr1m>
<cpr3m>267.731</cpr3m>
<cpr6m>525.327</cpr6m>
<cprLife>138.338</cprLife>
<cprWalEquivalent>116.193</cprWalEquivalent>
<currentFactor>840.644</currentFactor>
<durationMultiplier>739.759</durationMultiplier>
<dv01DollarsBase>463.643</dv01DollarsBase>
<dv01DollarsLocal>292.492</dv01DollarsLocal>
<effectiveConvexity>543.896</effectiveConvexity>
<effectiveDuration>409.066</effectiveDuration>
<expectedInflation>135.189</expectedInflation>
<factorEffectiveDate>2015-01-26</factorEffectiveDate>
<impliedVolatility>948.142</impliedVolatility>
<modelOac>732.171</modelOac>
<modelOad>483.784</modelOad>
<modifiedDuration>101.373</modifiedDuration>
<modifiedDurationWorst>895.467</modifiedDurationWorst>
<mortgageBasisDuration>396.745</mortgageBasisDuration>
<oas>607.219</oas>
<optionDelta>625.145</optionDelta>
<optionGamma>441.678</optionGamma>
<optionTheta>515.562</optionTheta>
<parCurveDuration>676.333</parCurveDuration>
<prepatConvexity>363.734</prepatConvexity>
<prepayDuration>617.794</prepayDuration>
<psaLife>920.631</psaLife>
<psaWalEquivalent>400.748</psaWalEquivalent>
<realYield>247.182</realYield>
<riskParameterDate>2015-01-26</riskParameterDate>
<riskParameterSource>RISK_PARAMETER_SOURCE</riskParameterSource>
<spreadDuration>134.606</spreadDuration>
<staticWal>225.118</staticWal>
<staticYield>507.46</staticYield>
<udfVolatilityStartDate>2015-01-26</udfVolatilityStartDate>
<userDefinedVolatility>469.792</userDefinedVolatility>
<volatility>306.816</volatility>
<volatilityConvexity>932.787</volatilityConvexity>
<volatilityDuration>422.096</volatilityDuration>
<walToWorst>323.009</walToWorst>
<yieldToMaturity>687.398</yieldToMaturity>
<zvMaturityDate>2015-01-26</zvMaturityDate>
<zvPrinBeginDate>2015-01-26</zvPrinBeginDate>
<zvSpread>975.822</zvSpread>
<longnormalVolatilityDuration>686.653</longnormalVolatilityDuration>
<dv100Base>787.132</dv100Base>
<dv100Local>114.465</dv100Local>
<sdv01Base>442.809</sdv01Base>
<sdv01Local>476.189</sdv01Local>
<stateScore>673.783</stateScore>
<priceScore>489.842</priceScore>
<issueSizeScore>357.842</issueSizeScore>
<sectorScore>845.481</sectorScore>
<subSectorScore>347.893</subSectorScore>
<indexEligibilityScore>367.682</indexEligibilityScore>
<runOffScore>145.679</runOffScore>
<highLowPriceScore>356.893</highLowPriceScore>
<fedHoldingPercentScore>145.578</fedHoldingPercentScore>
<topParentIssuerScore>356.892</topParentIssuerScore>
<ratingScore>936.692</ratingScore>
<capitalStructureScore>316.783</capitalStructureScore>
<daysToMaturityScore>365.893</daysToMaturityScore>
<issueSizeScoreTax>784.809</issueSizeScoreTax>
<fixedTradingCost>306.773</fixedTradingCost>
<miTradingCost>770.752</miTradingCost>
<totalTradingCost>254.587</totalTradingCost>
<adjustedTradingCost>779.421</adjustedTradingCost>
<dmTo3yrs>779.421</dmTo3yrs>
<dmToMaturity>779.421</dmToMaturity>
<excessSpread>741.852</excessSpread>
<interpolatedSpread>258.963</interpolatedSpread>
<inflationFactor>153.764</inflationFactor>
<parentOptionDelta>684.258</parentOptionDelta>
<ytc>156.324</ytc>
<ytfc>764.124</ytfc>
<zeroVolatilitySpread>764.214</zeroVolatilitySpread>
<zeroVolatilityMaturityYears>632.478</zeroVolatilityMaturityYears>
<kprd10yr>793.856</kprd10yr>
<kprd15yr>519.719</kprd15yr>
<kprd1yr>909.685</kprd1yr>
<kprd20yr>829.045</kprd20yr>
<kprd25yr>381.828</kprd25yr>
<kprd2yr>555.823</kprd2yr>
<kprd30yr>226.797</kprd30yr>
<kprd3mnth>383.202</kprd3mnth>
<kprd3yr>451.292</kprd3yr>
<kprd5yr>523.542</kprd5yr>
<kprd7yr>804.387</kprd7yr>
<krbc10yr>976.437</krbc10yr>
<krbc10yrBy30yr>779.186</krbc10yrBy30yr>
<krbc2yr>319.95</krbc2yr>
<krbc2yrBy10yr>566.738</krbc2yrBy10yr>
<krbc2yrBy30yr>142.921</krbc2yrBy30yr>
<krbc2yrBy5yr>837.744</krbc2yrBy5yr>
<krbc30yr>487.37</krbc30yr>
<krbc5yr>443.67</krbc5yr>
<krbc5yrBy10yr>898.893</krbc5yrBy10yr>
<krbc5yrBy30yr>435.943</krbc5yrBy30yr>
<krd10yr>568.788</krd10yr>
<krd15yr>406.354</krd15yr>
<krd1yr>805.735</krd1yr>
<krd20yr>689.57</krd20yr>
<krd25yr>253.108</krd25yr>
<krd2yr>141.799</krd2yr>
<krd30yr>912.58</krd30yr>
<krd3mnth>754.472</krd3mnth>
<krd3yr>117.622</krd3yr>
<krd5yr>513.2</krd5yr>
<krd7yr>548.329</krd7yr>
<ktrd10yr>451.307</ktrd10yr>
<ktrd1yr>422.886</ktrd1yr>
<ktrd20yr>291.342</ktrd20yr>
<ktrd2yr>733.136</ktrd2yr>
<ktrd30yr>878.709</ktrd30yr>
<ktrd3yr>332.105</ktrd3yr>
<ktrd5yr>930.304</ktrd5yr>
</analytics>
</warehousePosition>
</warehouseTransaction>
</EagleML> |
...