The following table describes the required and optional data fields for Time Series.
Tag # – Tag Name |
Required/ Optional |
Data Type |
Value/Description of Field |
|---|---|---|---|
1076 – Update Indicator |
Required |
CHAR |
Y/N indicator used within message stream process. Valid values: |
55 – Event Type |
Required – must be TIME_SERIES |
CHAR |
Used for STAR processing |
1102 – Source Name |
Required – can be defaulted |
CHAR (15) |
Source of Time Series information |
1432 – Primary Asset ID Type |
Required |
CHAR (30) |
Security identifier type (CUSIP, ISIN, SEDOL) – Code Value |
14 – Primary Asset ID |
Required |
CHAR (100) |
Security identifier |
1109 – Effective Date |
|
DATE |
Effective date of the values being sent |
1231 – Current WAM |
Optional |
NUMBER (28,12) |
Months remaining to maturity |
1227 – Current WAC |
Optional |
NUMBER (28,12) |
Current Weighted Average Coupon |
3093 – Current WALA |
Optional |
NUMBER (28,12) |
Current WALA |
1210 – CPR 1 Month |
Optional |
NUMBER (28,12) |
Constant Prepayment Rate 1 month |
1211 – CPR 3 Month |
Optional |
NUMBER (28,12) |
Constant Prepayment Rate 3 month |
1212 – CPR 6 Month |
Optional |
NUMBER (28,12) |
Constant Prepayment Rate 6 month |
1213 – CPR 12 Month |
Optional |
NUMBER (28,12) |
Constant Prepayment Rate 12 month |
1206 – CPR Life |
Optional |
NUMBER (28,12) |
Constant Prepayment Rate Life |
1218 –PSA 1 Month |
Optional |
NUMBER (28,12) |
PSA (Public Securities Association) Prepayment speed 1 month |
1219 – PSA 3 Month |
Optional |
NUMBER (28,12) |
PSA Prepayment speed 3 month |
1220 – PSA 6 Month |
Optional |
NUMBER (28,12) |
PSA Prepayment speed 6 month |
1221 – PSA 12 Month |
Optional |
NUMBER (28,12) |
PSA Prepayment speed 12 month |
1573 – PSA Life |
Optional |
NUMBER (28,12) |
PSA Prepayment speed life |
10311 – ABS 1 Month |
Optional |
VARCHAR2 (4) |
Asset Backed Security 1 month |
10312 – ABS 3 Month |
Optional |
VARCHAR2 (4) |
Asset Backed Security 3 month |
10313 – ABS 6 Month |
Optional |
VARCHAR2 (4) |
Asset Backed Security 6 month |
10314 – ABS 12 Month |
Optional |
VARCHAR2 (4) |
Asset Backed Security 12 month |
3053 – ABS Life |
Optional |
NUMBER (28,12) |
Asset Backed Security life |
11418 – SMM |
Optional |
VARCHAR2 (255) |
Single Month Mortality |
10273 – Effective Maturity Date |
Optional |
VARCHAR2 (4) |
Effective Maturity Date |
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