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Some examples for prepayment time series information follow.

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.

Be aware that if you do not apply the Effective Date correctly, and use the date that the data belatedly became available rather than the coupon date, Eagle Accounting still calculates the amortization yield correctly for the security. But if you load multiple rows of PSA data for a security within a month and provide multiple effective dates, Eagle Accounting retriggers yield recalculations for the security for each Effective Date provided within that month, resulting in multiple changes to your amortization yield within that month.

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