Manage Prepayment Time Series Information

You can add prepayment information for amortizing securities that are backed by loans and have a schedule of principal repayments and time series information, such as the following:

Certificates of amortizing revolving debt (CARDs), which are asset backed securities backed by credit card loans. These types of securities do not have a scheduled principal repayment on a specific timely basis. However, they have an effective maturity date that can change over time.
Certificates for automotive receivables (CARs), which are asset backed securities backed by car loans. The monthly prepayment is expressed as a percentage of the original collateral amount, known as the absolute prepayment speed (ABS).

For example, suppose you provide prepayment time series information with an effective date of 03/01/14 and a value of 04/01/14 and a lot is earned through 04/30/14. You can roll back a position's earnings to 03/01/14 and roll the earning's forward to 04/30/14. The system uses the values in place based on the specified effective date. When earnings are rolled back to 03/01/14 and replayed to 04/30/14, the system uses the time series information on 03/01/14, from 03/01/14 through 03/31/14, and then switches to the time series information on 04/01/14, from 04/01/14 through 04/30/14.

Content on this page:

Add Prepayment Time Series Information

To add prepayment time series information:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Issue Viewer in the Start Search text box.
Click the Issue Viewer link to access the tool.
You see the Issue Viewer tool.
In the left navigation, double click Prepayment Time Series and Add Prepayment Time Series.
You see the Add Prepayment Time Series panel.
Complete the options on the Add Prepayment Time Series panel.
Click Submit.

Change Prepayment Time Series Information

To change prepayment time series information:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Issue Viewer in the Start Search text box.
Click the Issue Viewer link to access the tool.
You see the Issue Viewer tool.
In the left navigation, double click Prepayment Time Series and Change Prepayment Time Series.
You see the Change Prepayment Time Series panel.
Complete the options on the Change Prepayment Time Series panel.
Click Submit.

Delete Prepayment Time Series Information

To change prepayment time series information:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Issue Viewer in the Start Search text box.
Click the Issue Viewer link to access the tool.
You see the Issue Viewer tool.
In the left navigation, double click Prepayment Time Series and Delete Prepayment Time Series.
You see the Delete Prepayment Time Series panel.
Complete the options on the Delete Prepayment Time Series panel.
Click Submit.

List Prepayment Time Series Information

To list prepayment time series information:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Issue Viewer in the Start Search text box.
Click the Issue Viewer link to access the tool.
You see the Issue Viewer tool.
In the left navigation, double click Prepayment Time Series and List Prepayment Time Series.
You see the List Prepayment Time Series panel.
Complete the options on the List Prepayment Time Series panel.
Click Submit.

Add Prepayment Time Series Panel Options

The following are the options in the Add Prepayment Time Series panel.

Option	Tag	Description
Lookup Security
Source Name	3301	Specifies the source interface.
Asset ID Type	1432	Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL.
Asset ID	14	Specifies the identification number of the primary asset ID type for the security.
Issue Name	961	Specifies the name of the security.
Pool Number	1439	Specifies the pool number.
Issue Date	68	Specifies the original date of issue of the security.
Maturity Date	38	Specifies the date that the security repays all outstanding principal and stops earning interest.
Coupon Type Code	97	Displays the specified coupon rate.
Prepayment Information
Effective Date	1109	Specifies the effective date of the prepayment information. The effective date matches the beginning coupon date of the corresponding coupon period.
Valid Coupon Date	992	Displays the first day in the earnings period.
Current WAM	1231	Specifies the months remaining to maturity.
Current WAC	1227	Specifies the current weighted average coupon. This field is used in the calculation of cash flows for the purpose of calculating amortization yields.
Current WALA	3093	Specifies the current weighted average loan age. This field is used for reporting.
CPR 1 Month	1210	Specifies the one month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow and amortization yield.
CPR 3 Month	1211	Specifies the three month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow and amortization yield.
CPR 6 Month	1212	Specifies the six month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
CPR 12 Month	1213	Specifies the twelve month constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
CPR Life	1206	Specifies the life-to-date constant prepayment rate to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
PSA 1 Month	1218	Specifies the one month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
PSA 3 Month	1219	Specifies the three month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
PSA 6 Month	1220	Specifies the six-month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
PSA 12 Month	1221	Specifies the twelve month public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
PSA Life	1573	Specifies the life-to-date public security association to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
ABS 1 Month	10311	Specifies the one month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
ABS 3 Month	10312	Specifies the three month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
ABS 6 Month	10313	Specifies the six month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
ABS 12 Month	10314	Specifies the twelve month absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
ABS Life	3053	Specifies the life-to-date absolute prepayment speed to use in the calculation of additional prepayment assumptions for cash flow projection and amortization yield.
SMM	11418	Specifies the single month mortality of the security.
Effective Maturity Date	10273	Specifies the effective maturity date. This field is used as the target amortization date for securities with a processing security type of DBFBCC. It stores the effective maturity date for credit card securities and is used for cash flow projection and amortization yield.