The Prepayment Analysis report provides an analysis of the impact of pending vendor cash flows or prepayment speeds for currently held positions. It allows you to identify potential book value amortization adjustments for loan backed securities. The report displays the current amortization (local and base) values and current amortized cost (local and base values), as well as the what-if amortization values and amortize cost values and the difference between the calculated and projected values. The report retrieves the current amortization values as of the effective date and projects amortization based upon those records that have either prepayment assumptions (CPR, PSA, ABS values) or third-party cash flows in a pending status for that effective date of the report. The report calculates and projects the impact of third-party cash flows or prepayment assumptions on amortization, yield, and amortized cost for the effective date of the report run.
Grid and advanced report views available for this report include:
- Name. This view displays
- Name. This view displays
- Name. This view displays
To create the Prepayment Analysis report:
- In Accounting Center, in the left navigation pane, click Reports > Investment Accounting Reports > Income > Prepayment Analysis Report.
You see the Prepayment Analysis Report panel. - Complete the options on the Prepayment Analysis Report panel.
- Under Result Options, click Advanced Report or Grid Report.
- Click Submit.
The report results appear on your desktop for the view selected.
Prepayment Analysis Report Panel Options
A definition of the options on the Prepayment Analysis Report panel follows.
| Option | Description |
|---|---|
| Required Parameters | |
| Calculate Based On | Allows you to show/hide additional query filters. The system displays additional fields depending on your selection. Options include:
|
| Entity ID | Specifies the unique identifier of the entity. This field appears if you set the Calculate Based On field to a value for one entity. |
| Entity Name | Specifies the name of the entity. This field appears if you set the Calculate Based On field to a value for one entity. |
| Accounting Basis | Specifies the accounting basis for the entity. |
| Entity List Name | Specifies the name of the entity list. This field appears if you set the Calculate Based On field to a value for an entity list. |
| Entity List ID | Specifies the unique identifier of the entity list. This field appears if you set the Calculate Based On field to a value for an entity list. |
| Security Information | |
| Issue Name | Specifies the name of the security. This field appears if you set the Calculate Based On field to a value for one security. |
| Primary Asset ID | Specifies the identification number of the primary asset ID type for the security. This field appears if you set the Calculate Based On field to a value for one security. |
| Asset ID | Displays the asset identifier of the selected security. This field appears if you set the Calculate Based On field to a value for one security. |
| Report View Options | |
| View Report At | Specifies the level of the holdings. Options include:
|
| Percentage Change | Specifies the percentage of local or base amortized cost difference to include in the report results. For example, displays all records with a 5 percent difference in amortized cost. |
| Amount Change | Specifies the amount of the local or base amortized cost difference to include in the report results. For example, displays all records with a 50,000 difference in amortized cost. If you specify both a Percentage Change value and an Amount Change value, the report displays all results that either have the amount difference or percent difference in amortized cost. |
| View Cashflows | Indicates whether to view the cash flow used to calculate the retrospective yield in the report results. Options include No (Default) and Yes. |
| Source Name | Specifies the source of the data. |
| Other Details | |
| Earned Thru Date | Specifies the effective date of the earnings/income data. |
| Partition | Displays the entity partition code. This field appears if you set the Calculate Based On field for an entity list or all entities. |
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