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You can add In Issue VIewer, you can manage 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:
- 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.
- 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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Accounting Center includes Issue Viewer, Eagle's legacy security master tool that allows you to perform a variety of security master related functions. Reference Data Center (RDC), which replaces Issue Viewer, along with other legacy data management tools, is Eagle's current and more powerful solution for centralizing and managing security reference data. Eagle recommends that you use RDC to set up and manage prepayment time series information when you use Eagle Accounting, but continues to provide access to Issue Viewer while existing clients transition to RDC. For more information, see Manage Prepayment Time Series Information. |
Add Prepayment Time Series Information
To add prepayment time series information:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.In the left navigation, double click Prepayment Time Series Information and Add Prepayment Time Series.
You see the Add Prepayment Time Series panel.Complete the options on the Add Prepayment Time Series panel.
Click Submit.
Change Prepayment Time Series Information
To change prepayment time series information:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.In the left navigation, double click Prepayment Time Series Information and Change Prepayment Time Series.
You see the Change Prepayment Time Series panel.Complete the options on the Change Prepayment Time Series panel to identify the information you want to change.
Click Submit.
You see a list of prepayment time series information that met the selection criteria in the Show All tab.Select the row you want to update so that a check mark appears in the Select column, and click Change Prepayment Records.
You see a row for each prepayment time series information record you selected.Click the row for each prepayment time series information record you want to change, and change the available options.
The effective date and valid coupon date are locked and you cannot change those values.Click Submit.
Delete Prepayment Time Series Information
To
delete prepayment time series information:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.In the left navigation, double click Prepayment Time
Series Information and Delete Prepayment Time Series.
You see the Delete Prepayment Time Series panel.Complete the options on the Delete Prepayment Time Series panel.
Click Submit.
List Prepayment Time Series Information
To list prepayment time series information:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.In the left navigation, double click Prepayment Time
Series Information and List Prepayment Time Series.
You see the List Prepayment Time Series panel.Complete the options on the List Prepayment Time Series panel.
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. Eagle Accounting uses the current WAC to calculate the mortgage model's contribution to the factor change (the other contributor is the speed). The pass through rate (coupon rate of the security) is then used to calculate the actual cash flows from the factors. If the WAC and the current pass through rate (coupon rate) are equal, it is assumed that there was no WAC. If the pass through rate is changed for a variable rate bond, the WAC is set to the new pass through rate. Note that the WAC is required and must be greater than zero when processing any MBS/ABS security with a zero coupon rate. |
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. |
The Effective Maturity Date is the projected maturity date used in place of the final maturity for purposes of calculating amortization yields. Eagle Accounting can use the effective maturity date field for credit card securities, that is, securities with a processing security type (PST) of Factor Based Debt Instrument Credit Cards (DBFBCC). |
You can additionally use the Effective Maturity with processing security type, Factor Based Debt Instrument Auto Loans (DBFBAL), Factor Based Debt Instrument (DBFBFB), Principal Only Factor Based Debt Instrument (DBFBPO), and Interest Only Factor Based Debt Instrument (DBFBIO). | ||
Prepayment Time Series Release Status | 16163 | Specifies the release status of the prepayment time series information record. Eagle Accounting only uses prepayment time series information records with a Prepayment Time Series Release Status of Released. It does not use records with a Pending release status in the processing of amortization or cash flows. However, you can use the Amortization Schedule research report to report on time series information with a Pending or Released status. Options include:
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