Manage Prepayment Time Series Information in Issue Viewer

About Prepayment Time Series Information

The Time Series table stores the ABS/MBS time series data used in the calculation of trade and amortization yield. Eagle Accounting stores the following data based upon a single Effective Date in the table, rather than on the Security Master Record:

• Current WAC (Weighted Average Coupon)

• Current WAM (Weighted Average Maturity)

• Current WALA (Weighted Average Loan Age)

• CPR 1 month (Constant Prepayment Rate)

• CPR 3 Month

• CPR 6 Month

• CPR 12 Month

• CPR Life

• PSA 1 month (PSA stands for the Public Security Association)

• PSA 3 Month

• PSA 6 Month

• PSA 12 Month

• PSA Life

• ABS 1 month (ABS stands for the Absolute Prepayment model

• ABS 3 Month

• ABS 6 Month

• ABS 12 Month

• ABS Life

• SMM (Single Monthly mortality)

• Effective Maturity Date

• Prepayment Time Series Release Status

By storing the data in a time sensitive structure, the earnings process has tighter control over which values are used, and when they are used, in yield calculations during earnings roll forward and roll back. Another benefit of storing data as time sensitive elements is that when data changes from one period to the next, Eagle Accounting takes a prospective approach for the coupon period for the calculation of the amortization yield and subsequent amortization.

By storing the time series information, Eagle Accounting has the ability to correctly process ABS securities backed by credit card loans, also known as Certificates of Amortizing Revolving Debt or simply as CARDS. CARDS securities are different from other ABS/MBS securities as they do not amortize principal in a scheduled manner; there is no scheduled principal repayment on a specific basis. CARDS securities also have an Effective Maturity Date which acts as the new target Amortization Date (this also known as Soft Bullet Maturity). The Effective Maturity Date is a time sensitive element and can change over time. When the Effective Maturity Date changes, Eagle Accounting takes a prospective approach to calculation of the amortization yield and subsequent amortization.

Add Prepayment Time Series Information

To add prepayment time series information:

1. In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.

   You see the Issue Viewer tool.

2. In the left navigation, double click Prepayment Time Series Information and Add Prepayment Time Series.

   You see the Add Prepayment Time Series panel.

3. Complete the options on the Add Prepayment Time Series panel.

4. Click Submit.

Change Prepayment Time Series Information

To change prepayment time series information:

1. In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.

   You see the Issue Viewer tool.

2. In the left navigation, double click Prepayment Time Series Information and Change Prepayment Time Series.

   You see the Change Prepayment Time Series panel.

3. Complete the options on the Change Prepayment Time Series panel to identify the information you want to change.

4. Click Submit.
   You see a list of prepayment time series information that met the selection criteria in the Show All tab.

5. 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.

6. 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. 

7. Click Submit.

Delete Prepayment Time Series Information

To delete prepayment time series information:

1. In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.

   You see the Issue Viewer tool.

2. In the left navigation, double click Prepayment Time Series Information and Delete Prepayment Time Series.

   You see the Delete Prepayment Time Series panel.

3. Complete the options on the Delete Prepayment Time Series panel.

4. Click Submit.

List Prepayment Time Series Information

To list prepayment time series information:

1. In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.

   You see the Issue Viewer tool.

2. In the left navigation, double click Prepayment Time Series Information and List Prepayment Time Series.

   You see the List Prepayment Time Series panel.

3. Complete the options on the List Prepayment Time Series panel.

4. Click Submit.

Add Prepayment Time Series Panel Options

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

Prepayment Time Series Example 1

For example, you provide the Prepayment Time Series Information table with an Effective Date of 03/01/2005 and a value of 04/01/2005, and a lot is earned thru 04/30/2005.

You roll back a position’s earnings to 03/01/2005 and then roll the earnings forward to 04/30/2005. Eagle Accounting uses the values in place based on their specified Effective Date. When earnings are rolled back to 03/01/05 and then replayed to 04/30/05, Eagle Accounting uses the time series information on 03/01/05, from 03/01/05 thru 03/31/05 and then switches to use the time series information 04/01/05, from 04/01/05 thru 04/30/05.

Prepayment Time Series Example 2 - Loading PSA Data

Assume you are loading PSA time series data for a security. You ensure that effective date of the time series data matches the beginning coupon date of the corresponding coupon period. If PSA data for the security is available for the coupon period with a coupon date of 01/01/2012, you load Prepayment Times Series data for the security with an Effective Date of 01/01/2012.

Otherwise, if that PSA data does not become available until 01/12/2012, you load the Prepayment Times Series data for the security using an Effective Date of 01/01/2012, rather than the day you actually received that data. Until the most recent times series data is available and loaded into the system, Eagle uses the previous months’ time series data in the interim. Nothing is specifically loaded on 01/01/2012 (in this example) as a placeholder. Instead, the previous month’s information is leveraged but is considered stale.

If you load the PSA data with an Effective Date of 01/01/2012 on 01/12/2012, you do not need to rollback and replay earnings in order for the security to apply the corresponding time series data. Once the new time series data is available and in a Released status, when you run the Earnings process, Eagle Accounting automatically prospectively trues up the amortization and retriggers a yield recalculation, which results in a delta correction.