This section includes security setup examples for a standard MBS, principal-only MBS, and 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 |
US Federal Tax Indicator |
|
Default Indicator |
|
MBS Principal-Only Security Example
An example of an MBS Principal-Only security setup follows.
Note: |
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 |
US Federal Tax Indicator |
No |
Default Indicator |
|
MBS Interest-Only Example
An example of an MBS Interest-Only security setup follows.
Note: |
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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