MBS Setup Examples

This section includes security setup examples for a:

Standard MBS
Principal-only MBS
Interest-only MBS

Standard MBS Example

An example of a standard MBS setup follows.

Security Information	Value
MBS Identification
Issue Name	31283HQ32
Issue Description	31283HQ32
Ticker	31283HQ32
CUSIP/SEDOL Check Digit Control Flag
Primary Asset ID Type	CUSIP
Primary Asset ID	31283HQ32
Alt Asset ID Type
Alt Asset ID
MBS Details
Investment Type	FI
Processing Security Type	DBFBFB
Security Type
Sub Security Type
Quantity Type	PAR
Price Multiplier	0.0100
Quantity Scale	1.00
Country Of Risk
Country Of Risk Code
Issue Country	UNITED STATES
Issue Country Code	US
Asset Currency	USD
Settlement Currency	USD
Income Currency	USD
Issue Tax Type	MBS - PASSTHRU
Primary Exchange	ALL
Primary Exchange Code	ALL
Region	NEW ENGLAND
Amount Issued	0.0000
Amount Outstanding	0.0000
Collateral Pool Type
SIC Code
Pool Number	G01374
MBS Debt Coupon Periods
Coupon	7.000000
Coupon Type Code	Fixed
Day Count Basis	30/360
Payment Frequency	Monthly
Payment Frequency Code	1_M
Interest Payment Timing	Same Day of Month
MBS Dates
Issue Price	100.00000000
Issue Date	20020301
Dated Date	20020301
First Coupon Date	20020401
Last Coupon Date	20320301
Maturity Date	20320301
Maturity Price	100.00
Delay Days	14
CMO First Principal Repayment Date
MBS Prepay Information
WAM Remain Date
WAM Original Months.	359.
WAM Original Remain Months	359.00
WAC Current	7.500000
WAC Original	7.500000
CPR 1month	32.50000000
CPR 3month	28.00000000
CPR 6month	43.00000000
CPR 12month	27.00000000
CPR Life	25.25000000
PSA 1month	125.0000
PSA 3month	175.0000
PSA 6month	250.0000
PSA 12month	198.0000
PSA Life
MBS Flags
Trading Flat	No
Zero Coupon Indicator	No
OID Indicator	No
Federal Tax Indicator
Default Indicator

MBS Principal-Only Security Example

An example of an MBS Principal-Only security setup follows.

The Coupon must be a 0 rate, and the Coupon Type must be Fixed for an MBS/ABS Principal-Only security.

Security Information	Value
MBS Identification
Issue Name	31351DCD1
Issue Description	31351DCD1
Ticker	31351DCD1
CUSIP/SEDOL Check Digit Control Flag
Primary Asset ID Type	CUSIP
Primary Asset ID	31351DCD1
Alt Asset ID Type
Alt Asset ID
MBS Xreference Identification
ISIN
Sedol
Reuters
Bloomberg ID
SICOVM
Valoren
CEDEL
INTERNAL
CINS
XREF Exchange	NYSE
MBS Details
Investment Type	FI
Processing Security Type	DBFBPO
Security Type
Sub Security Type
Quantity Type	PAR
Price Multiplier	0.0100
Quantity Scale	1.00
Country Of Risk
Country Of Risk Code
Issue Country	UNITED STATES
Issue Country Code	US
Asset Currency	USD
Settlement Currency	USD
Income Currency	USD
Issue Tax Type	MBS - PASSTHRU
Primary Exchange	NEW YORK STOCK EXCHANGE
Primary Exchange Code	NYSE
Region
Amount Issued	0.0000
Amount Outstanding	0.0000
Collateral Pool Type
SIC Code
Pool Number
MBS Debt Coupon Periods
Coupon	0.000000
Coupon Type Code	Fixed
Day Count Basis	30/360
Payment Frequency	Monthly
Payment Frequency Code	1_M
Interest Payment Timing	Same Day of Month
MBS Dates
Issue Price	100.00000000
Issue Date	19891001
Dated Date	19891019
First Coupon Date	19891101
Last Coupon Date	20181001
Maturity Date	20181001
Maturity Price	100.00
Delay Days	0.
CMO First Principal Repayment Date
MBS Prepay Information
WAM Remain Date	20030601
WAM Original Months.	322.
WAM Original Remain Months	145.00
WAC Current	9.661000
WAC Original	9.537000
CPR 1month	18.10000000
CPR 3month	26.66000000
CPR 6month	27.30000000
CPR 12month	28.00000000
CPR Life	24.10000000
PSA 1month	302.0000
PSA 3month	444.0000
PSA 6month	454.0000
PSA 12month	466.0000
PSA Life	401.0000
MBS Flags
Trading Flat	No
Zero Coupon Indicator	No
OID Indicator	No
Federal Tax Indicator	No
Default Indicator

MBS Interest-Only Example

An example of an MBS Interest-Only security setup follows.

The Maturity Price must be 0 for an MBS/ABS Interest-Only security.

Security Information	Value
MBS Identification
Issue Name	31352DCD0
Issue Description	31352DCD0
Ticker	31352DCD0
CUSIP/SEDOL Check Digit Control Flag
Primary Asset ID Type	CUSIP
Primary Asset ID	31352DCD0
Alt Asset ID Type
Alt Asset ID
MBS Xreference Identification
ISIN
Sedol
Reuters
Bloomberg ID
SICOVM
Valoren
CEDEL
INTERNAL
CINS
XREF Exchange	NYSE
MBS Details
Investment Type	FI
Processing Security Type	DBFBIO
Security Type
Sub Security Type
Quantity Type	PAR
Price Multiplier	0.0100
Quantity Scale	1.00
Country Of Risk
Country Of Risk Code
Issue Country	UNITED STATES
Issue Country Code	US
Asset Currency	USD
Settlement Currency	USD
Income Currency	USD
Issue Tax Type	MBS - PASSTHRU
Primary Exchange	NEW YORK STOCK EXCHANGE
Primary Exchange Code	NYSE
Region
Amount Issued	0.0000
Amount Outstanding	0.0000
Collateral Pool Type
SIC Code
Pool Number
MBS Debt Coupon Periods
Coupon	8.000000
Coupon Type Code	Fixed
Day Count Basis	30/360
Payment Frequency	Monthly
Payment Frequency Code	1_M
Interest Payment Timing	Same Day of Month
MBS Dates
Issue Price	0.00000000
Issue Date	19891001
Dated Date	19891019
First Coupon Date	19891101
Last Coupon Date	20181001
Maturity Date	20181001
Maturity Price	0.00
Delay Days	0.
CMO First Principal Repayment Date
MBS Prepay Information
WAM Remain Date	20030601
WAM Original Months.	322.
WAM Original Remain Months	145.00
WAC Current	9.661000
WAC Original	9.537000
CPR 1month	18.10000000
CPR 3month	26.66000000
CPR 6month	27.30000000
CPR 12month	28.00000000
CPR Life	24.10000000
PSA 1month	302.0000
PSA 3month	444.0000
PSA 6month	454.0000
PSA 12month	466.0000
PSA Life	401.0000
MBS Flags
Trading Flat	No
Zero Coupon Indicator	No
OID Indicator	No
US Federal Tax Indicator	No
Default Indicator

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