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You can add prepayment information for amortizing securities that are backed by loans and have a schedule of principal repayments and time series information, such as the following:

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  • Certificates of amortizing revolving debt (CARDs), which are asset backed securities backed by credit card loans. These types of securities do not have a scheduled principal repayment on a specific timely basis. However, they have an effective maturity date that can change over time.

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  • Certificates for automotive receivables (CARs), which are asset backed securities backed by car loans. The monthly prepayment is expressed as a percentage of the original collateral amount, known as the absolute prepayment speed (ABS).

For example, suppose you provide prepayment time series information with an effective date of 03/01/14 and a value of 04/01/14 and a lot is earned through 04/30/14. You can roll back a position's earnings to 03/01/14 and roll the earning's forward to 04/30/14. The system uses the values in place based on the specified effective date. When earnings are rolled back to 03/01/14 and replayed to 04/30/14, the system uses the time series information on 03/01/14, from 03/01/14 through 03/31/14, and then switches to the time series information on 04/01/14, from 04/01/14 through 04/30/14.

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Add Prepayment Time Series Information

To add prepayment time series information:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Prepayment Time Series and Add Prepayment Time Series.
    You see the Add Prepayment Time Series panel.
  5. Complete the options on the Add Prepayment Time Series panel.
  6. Click Submit.

Change Prepayment Time Series Information

To change prepayment time series information:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Prepayment Time Series and Change Prepayment Time Series.
    You see the Change Prepayment Time Series panel.
  5. Complete the options on the Change Prepayment Time Series panel.
  6. Click Submit.

Delete Prepayment Time Series Information

To change prepayment time series information:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Prepayment Time Series and Delete Prepayment Time Series.
    You see the Delete Prepayment Time Series panel.
  5. Complete the options on the Delete Prepayment Time Series panel.
  6. Click Submit.

List Prepayment Time Series Information

To list prepayment time series information:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Prepayment Time Series and List Prepayment Time Series.
    You see the List Prepayment Time Series panel.
  5. Complete the options on the List Prepayment Time Series panel.
  6. Click Submit.

Add Prepayment Time Series Panel Options

The following are the options in the Add Prepayment Time Series panel. 

Option

Tag

Description

Lookup Security



Source Name

3301

Specifies the source interface.

Asset ID Type

1432

Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL.

Asset ID

14

Specifies the identification number of the primary asset ID type for the security.

Issue Name

961

Specifies the name of the security.

Pool Number

1439

Specifies the pool number.

Issue Date

68

Specifies the original date of issue of the security.

Maturity Date

38

Specifies the date that the security repays all outstanding principal and stops earning interest.

Coupon Type Code

97

Displays the specified coupon rate.

Prepayment Information



Effective Date

1109

Specifies the effective date of the prepayment information. The effective date matches the beginning coupon date of the corresponding coupon period.

Valid Coupon Date

992

Displays the first day in the earnings period.

Current WAM

1231

Specifies the months remaining to maturity.

Current WAC

1227

Specifies the current weighted average coupon. This field is used in the calculation of cash flows for the purpose of calculating amortization yields.

Current WALA

3093

Specifies the current weighted average loan age. This field is used for reporting.

CPR 1 Month

1210

Specifies the one month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow and amortization yield.

CPR 3 Month

1211

Specifies the three month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow and amortization yield.

CPR 6 Month

1212

Specifies the six month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

CPR 12 Month

1213

Specifies the twelve month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

CPR Life

1206

Specifies the life-to-date constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

PSA 1 Month

1218

Specifies the one month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

PSA 3 Month

1219

Specifies the three month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

PSA 6 Month

1220

Specifies the six-month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

PSA 12 Month

1221

Specifies the twelve month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

PSA Life

1573

Specifies the life-to-date public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

ABS 1 Month

10311

Specifies the one month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

ABS 3 Month

10312

Specifies the three month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

ABS 6 Month

10313

Specifies the six month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

ABS 12 Month

10314

Specifies the twelve month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

ABS Life

3053

Specifies the life-to-date absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.

SMM

11418

Specifies the single month mortality of the security.

Effective Maturity Date

10273

Specifies the effective maturity date. This field is used as the target amortization date for securities with a processing security type of DBFBCC. It stores the effective maturity date for credit card securities and is used for cash flow projection and amortization yield.