<EagleML xmlns="http://www.eagleinvsys.com/2011/EagleML-2-0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" eaglemlVersion="2-0" eaglemlType="ReferenceTransactionMessage" xsi:schemaLocation="http://www.eagleinvsys.com/2011/EagleML-2-0 eagleml-main-2-0.xsd" xsi:type="ReferenceTransactionMessage">
<referenceTransaction>
<header>
<objectType>GenericIssueAnalytic</objectType>
</header>
<genericIssueAnalytic>
<objectType>GenericIssueAnalytic</objectType>
<objectId>GenericIssueAnalytic</objectId>
<sourceName>EAGLE PACE</sourceName>
<updateSource>MCADMIN</updateSource>
<effectiveDate>2014-09-30</effectiveDate>
<noLoadValidationFlag>N</noLoadValidationFlag>
<accountingValidationFlag>N</accountingValidationFlag>
<primaryAssetId>TSTCUSIP1</primaryAssetId>
<primaryAssetType>CUSIP</primaryAssetType>
<altAssetIdAndType>
<instrumentId>TSTCINS1</instrumentId>
<instrumentIdType>CINS</instrumentIdType>
</altAssetIdAndType>
<issueName>TSTISSUENAME1</issueName>
<unicodeIssueName>TSTUNIISSUENAME1</unicodeIssueName>
<issueDescription>TSTISSUEDESC1</issueDescription>
<ticker>TSTTICKER1</ticker>
<cusip>TSTCUSIP1</cusip>
<cusipPay>TSTCUSIPPAY1</cusipPay>
<cusipReceive>TSTCUSIPRECEIVE1</cusipReceive>
<isin>TSTISIN11</isin>
<sedol>TSTSEDOL1</sedol>
<reuters>TSTREUTERS</reuters>
<bloombergId>TSTBLOOMBERGID1</bloombergId>
<sicovmId>TSTSICOVM1</sicovmId>
<valorenId>TSTVALOREN1</valorenId>
<cedel>TSTCEDEL1</cedel>
<internalId>TSTINTERNAL1</internalId>
<cinsId>TSTCINS1</cinsId>
<xrefIdentifiers>
<xId1>
<xId>TSTXREFID1</xId>
<xIdType>TSTXID1</xIdType>
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<assetCurrency>USD</assetCurrency>
<assetResolutionOption>SEDOL</assetResolutionOption>
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<term>1.00</term>
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<cashFlowYield>1.00</cashFlowYield>
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<averageMaturity>2012-03-14</averageMaturity>
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<gamma>1.00</gamma>
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<pDayCount>0</pDayCount>
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<mappingCusip>string</mappingCusip>
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<usTreasuryYield>1.00</usTreasuryYield>
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<nominalYield>1.00</nominalYield>
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<nyseBeta>1.00</nyseBeta>
<quarterEnd>QUARTER_END</quarterEnd>
<recommendation>RECOMMENDATION</recommendation>
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<undAssetCode>UND_ASSET</undAssetCode>
<userGroup1>GRP1</userGroup1>
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<userGroup4>GRP4</userGroup4>
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<worstDate>2012-03-15</worstDate>
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<currentCoupon>1.00</currentCoupon>
<shortDesc>EAGLE PACE</shortDesc>
<localAccIntFactor>LOCAL_ACC_INT_FACTOR</localAccIntFactor>
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<dollarDuration>1.00</dollarDuration>
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<priceEarnEquityModel>
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<analyticsUserModel>
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<userSaChar3>USER_SA_CHAR3</userSaChar3>
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<userSaFloat57>156.053</userSaFloat57>
<userSaFloat58>202.121</userSaFloat58>
<userSaFloat59>348.281</userSaFloat59>
<userSaFloat60>187.833</userSaFloat60>
<userSaFloat61>417.564</userSaFloat61>
<userSaFloat62>112.761</userSaFloat62>
<userSaFloat63>616.508</userSaFloat63>
<userSaFloat64>781.014</userSaFloat64>
<userSaFloat65>986.544</userSaFloat65>
<userSaFloat66>383.848</userSaFloat66>
<userSaFloat67>185.365</userSaFloat67>
<userSaFloat68>139.411</userSaFloat68>
<userSaFloat69>508.16</userSaFloat69>
<userSaFloat70>693.177</userSaFloat70>
</analyticsUserModel>
<analyticDervModel>
<deltaBid>426.364</deltaBid>
<deltaAsk>286.316</deltaAsk>
<deltaMid>475.216</deltaMid>
<deltaLast>667.328</deltaLast>
<gammaBid>876.186</gammaBid>
<gammaAsk>744.17</gammaAsk>
<gammaMid>677.556</gammaMid>
<gammaLast>744.867</gammaLast>
<vegaBid>774.368</vegaBid>
<vegaAsk>169.764</vegaAsk>
<vegaMid>326.387</vegaMid>
<vegaLast>789.645</vegaLast>
<impliedVolatility>471.364</impliedVolatility>
<impliedVolatilityBid>498.637</impliedVolatilityBid>
<impliedVolatilityAsk>678.698</impliedVolatilityAsk>
<impliedVolatilityMid>988.227</impliedVolatilityMid>
<impliedVolatilityLast>765.388</impliedVolatilityLast>
<intrinsicValue>787.367</intrinsicValue>
<tradeMatchVolatilityPrice>765.667</tradeMatchVolatilityPrice>
<theoreticalValue>567.314</theoreticalValue>
<optionUndNotionallRisk>787.889</optionUndNotionallRisk>
<optionBeyRisk>893.577</optionBeyRisk>
<optionPointValue>673.876</optionPointValue>
<daysToExpiration>534.397</daysToExpiration>
<ctdBeyRisk>774.238</ctdBeyRisk>
<financeRate>784.234</financeRate>
<financeRateCurrency>774.796</financeRateCurrency>
<timeValue>587.225</timeValue>
</analyticDervModel>
<analyticExtModel>
<roundLotSize>754.369</roundLotSize>
<priceToCashFlow>421.247</priceToCashFlow>
<tradeLotSize>637.568</tradeLotSize>
<sortinoRatio>896.345</sortinoRatio>
<abbrevTradingPeriod>ABBREV_TRADING_PERIOD</abbrevTradingPeriod>
<averageVolume5d>569.364</averageVolume5d>
<averageVolume20d>445.227</averageVolume20d>
<interpolYieldSpread>896.346</interpolYieldSpread>
<interpolYieldSpreadGovt>781.216</interpolYieldSpreadGovt>
<zBasisConstMaturity>411.337</zBasisConstMaturity>
<assetSwapSpread>769.336</assetSwapSpread>
<ytmBid>421.118</ytmBid>
<ytmAsk>765.585</ytmAsk>
<ytmMid>747.336</ytmMid>
<pricePositionMultiplier>454.397</pricePositionMultiplier>
<maxDrawdownLength>765.372</maxDrawdownLength>
<maxDrawdownPercent>251.219</maxDrawdownPercent>
<dvdYield12m>114.346</dvdYield12m>
<peRatioEst>787.364</peRatioEst>
<epsLtg>448.861</epsLtg>
<downsideRisk>897.459</downsideRisk>
<totalVotingShares>799.211</totalVotingShares>
<totalNonVotingShares>115.359</totalNonVotingShares>
<convexityOasBid>687.003</convexityOasBid>
<convexityOasAsk>204.369</convexityOasAsk>
<convexityOasMid>742.523</convexityOasMid>
<modDurationBid>766.104</modDurationBid>
<modDurationAsk>745.364</modDurationAsk>
<modDurationMid>283.345</modDurationMid>
<macaulayDurationBid>775.239</macaulayDurationBid>
<macaulayDurationAsk>768.367</macaulayDurationAsk>
<macaulayDurationMid>441.136</macaulayDurationMid>
<sharpeRatio>568.344</sharpeRatio>
<underlyingContValue>809.559</underlyingContValue>
<volatility30d>774.234</volatility30d>
<benchmarkSpreadBid>443.423</benchmarkSpreadBid>
<benchmarkSpreadMid>4234.764</benchmarkSpreadMid>
<benchmarkSpreadAsk>465.234</benchmarkSpreadAsk>
<benchmarkId>BENCHMARK_ID</benchmarkId>
<indexSide>INDEX_SIDE</indexSide>
<workoutDate>2022-06-27</workoutDate>
<workoutPrice>13.00</workoutPrice>
</analyticExtModel>
<analyticMtgModel>
<amortizationAverageMaturity>265.894</amortizationAverageMaturity>
<averageLoanAge>678.802</averageLoanAge>
<averageLoanSize>225.114</averageLoanSize>
<averageLoanToValueRatio>783.337</averageLoanToValueRatio>
<averageOriginalLoanSize>161.109</averageOriginalLoanSize>
<averageMaturityFromSettlementDt>161.387</averageMaturityFromSettlementDt>
<fullDocLoanPercent>856.788</fullDocLoanPercent>
<loanMargin>773.316</loanMargin>
<internalLoanToValueRatio>526.784</internalLoanToValueRatio>
<loanCount>265.845</loanCount>
<loanPurposeEquityPercent>468.436</loanPurposeEquityPercent>
<loanPurposePurchasePercent>763.386</loanPurposePurchasePercent>
<loanPurposeRefinancePercent>905.78</loanPurposeRefinancePercent>
<marketLoanToValueRatio>868.447</marketLoanToValueRatio>
<ownerOccupiedPropertyPercent>255.375</ownerOccupiedPropertyPercent>
<prepayLockoutMonths>654.467</prepayLockoutMonths>
<principalLockoutMonths>154.376</principalLockoutMonths>
<singleFamilyPropertyPercent>884.478</singleFamilyPropertyPercent>
<weightedAverageLoanAge>926</weightedAverageLoanAge>
</analyticMtgModel>
</genericIssueAnalytic>
</referenceTransaction>
</EagleML>
General
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Integrations