Example B - Retrospective Amortization
- Nancy Cohn (Deactivated)
This example illustrates Rollback/Replay and Retro Amortization, the second Eagle Accounting processing principle.
Security 31283HQ32 is purchased into entity Retrodemo with a Trade Date of 20020301, Settle Date of 20020304, Par of 1,000,000.00.00 and Price of 101.7. The accounting basis and security combination utilizes the Default amortization method, pro-rata lot paydown costing method, Constant Yield 2 amortization method and has None for a Prepayment Assumption. (A value of None for a prepayment assumption is the equivalent of a zero CPR.)
You process the MBS factors, and run the earnings thru 20020430. Then the retrospective amortization is run on 20020430.
The following tables describe the security, entity, and factors used for this example.
Security Information Option | Value |
|---|---|
Investment Type | FI |
Processing Security Type | DBFBFB |
Quantity Type | PAR |
Price Multiplier | 0.0100 |
Quantity Scale | 1.00 |
Issue Country | UNITED STATES |
Issue Country Code | US |
Asset Currency | USD |
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 |
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 | 14.00 |
WAM Original Months | 359 |
WAM Original Remain Months | 359 |
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 | Â |
Â
Entity Information Option | Value |
|---|---|
Entity ID | TAXDEMO2 |
Portfolio Country | United States |
Amortization Method | Constant Yield 2 |
Prepayment Assumption | None |
Â
Date | Factor |
|---|---|
4/1/2002 | 0.9760203 |
3/1/2002 | 1.00 |
Results
When the amortization yield is calculated on the first day of earnings (Settlement Date), Eagle Accounting calculates an Amortization Yield 6.831580317367, based on the cash flows that appear in the following table. Because there are zero prepayment assumptions, Eagle Accounting calculates only schedule principal cash flow. With the first Paydown on 20020401, you receive an additional $23,237.55 dollars of unscheduled principal:
Unscheduled Principal = 23,979.70 of actual Principal Payment,
minus
$742.15 of Scheduled Principal received
If you ran a retrospective amortization calculation from Settlement Date to 20040430:
Eagle Accounting uses the actual cash flow that has transpired for the retrospective period, and calculates the future cash flows based on both the actual cash flows and projected future cash flows to generate the new amortization yield for the retrospective amortization period. It would be 6.831580317367. The retrospective amortization is applied retrospectively from the target redemption date, to the retrospective amortization earn thru date. You see an amortization entry on 4/30/04 to bring the current open position in line, based on the actual cash flows received, future projected cash flow, current period amortization and start of the coupon period amortize cost.
End of Cash Flow Period | Coupon Cash Flow | Standard Principal Cash Flows |
|---|---|---|
1 | $ 5,833.33 | $ 742.15 |
2 | $ 5,829.00 | $ 746.78 |
3 | $ 5,824.65 | $ 751.45 |
4 | $ 5,820.26 | $ 756.15 |
5 | $ 5,815.85 | $ 760.87 |
6 | $ 5,811.42 | $ 765.63 |
7 | $ 5,806.95 | $ 770.41 |
8 | $ 5,802.45 | $ 775.23 |
9 | $ 5,797.93 | $ 780.07 |
10 | $ 5,793.38 | $ 784.95 |
11 | $ 5,788.80 | $ 789.86 |
12 | $ 5,784.20 | $ 794.79 |
13 | $ 5,779.56 | $ 799.76 |
14 | $ 5,774.89 | $ 804.76 |
15 | $ 5,770.20 | $ 809.79 |
16 | $ 5,765.48 | $ 814.85 |
17 | $ 5,760.72 | $ 819.94 |
18 | $ 5,755.94 | $ 825.07 |
19 | $ 5,751.13 | $ 830.22 |
20 | $ 5,746.28 | $ 835.41 |
21 | $ 5,741.41 | $ 840.63 |
22 | $ 5,736.51 | $ 845.89 |
23 | $ 5,731.57 | $ 851.17 |
24 | $ 5,726.61 | $ 856.49 |
25 | $ 5,721.61 | $ 861.85 |
26 | $ 5,716.58 | $ 867.23 |
27 | $ 5,711.53 | $ 872.65 |
28 | $ 5,706.43 | $ 878.11 |
29 | $ 5,701.31 | $ 883.60 |
30 | $ 5,696.16 | $ 889.12 |
31 | $ 5,690.97 | $ 894.68 |
32 | $ 5,685.75 | $ 900.27 |
33 | $ 5,680.50 | $ 905.89 |
34 | $ 5,675.22 | $ 911.56 |
35 | $ 5,669.90 | $ 917.25 |
36 | $ 5,664.55 | $ 922.99 |
37 | $ 5,659.16 | $ 928.76 |
38 | $ 5,653.75 | $ 934.56 |
39 | $ 5,648.30 | $ 940.40 |
40 | $ 5,642.81 | $ 946.28 |
41 | $ 5,637.29 | $ 952.19 |
42 | $ 5,631.74 | $ 958.14 |
43 | $ 5,626.15 | $ 964.13 |
44 | $ 5,620.52 | $ 970.16 |
45 | $ 5,614.86 | $ 976.22 |
46 | $ 5,609.17 | $ 982.32 |
47 | $ 5,603.44 | $ 988.46 |
48 | $ 5,597.67 | $ 994.64 |
49 | $ 5,591.87 | $ 1,000.86 |
50 | $ 5,586.03 | $ 1,007.11 |
51 | $ 5,580.16 | $ 1,013.41 |
52 | $ 5,574.24 | $ 1,019.74 |
53 | $ 5,568.30 | $ 1,026.11 |
54 | $ 5,562.31 | $ 1,032.53 |
55 | $ 5,556.29 | $ 1,038.98 |
56 | $ 5,550.23 | $ 1,045.47 |
57 | $ 5,544.13 | $ 1,052.01 |
58 | $ 5,537.99 | $ 1,058.58 |
59 | $ 5,531.82 | $ 1,065.20 |
60 | $ 5,525.60 | $ 1,071.86 |
61 | $ 5,519.35 | $ 1,078.56 |
62 | $ 5,513.06 | $ 1,085.30 |
63 | $ 5,506.73 | $ 1,092.08 |
64 | $ 5,500.36 | $ 1,098.90 |
65 | $ 5,493.95 | $ 1,105.77 |
66 | $ 5,487.50 | $ 1,112.68 |
67 | $ 5,481.01 | $ 1,119.64 |
68 | $ 5,474.48 | $ 1,126.64 |
69 | $ 5,467.90 | $ 1,133.68 |
70 | $ 5,461.29 | $ 1,140.76 |
71 | $ 5,454.64 | $ 1,147.89 |
72 | $ 5,447.94 | $ 1,155.07 |
73 | $ 5,441.20 | $ 1,162.29 |
74 | $ 5,434.42 | $ 1,169.55 |
75 | $ 5,427.60 | $ 1,176.86 |
76 | $ 5,420.73 | $ 1,184.22 |
77 | $ 5,413.83 | $ 1,191.62 |
78 | $ 5,406.88 | $ 1,199.06 |
79 | $ 5,399.88 | $ 1,206.56 |
80 | $ 5,392.84 | $ 1,214.10 |
81 | $ 5,385.76 | $ 1,221.69 |
82 | $ 5,378.63 | $ 1,229.32 |
83 | $ 5,371.46 | $ 1,237.01 |
84 | $ 5,364.25 | $ 1,244.74 |
85 | $ 5,356.99 | $ 1,252.52 |
86 | $ 5,349.68 | $ 1,260.35 |
87 | $ 5,342.33 | $ 1,268.22 |
88 | $ 5,334.93 | $ 1,276.15 |
89 | $ 5,327.49 | $ 1,284.13 |
90 | $ 5,319.99 | $ 1,292.15 |
91 | $ 5,312.46 | $ 1,300.23 |
92 | $ 5,304.87 | $ 1,308.35 |
93 | $ 5,297.24 | $ 1,316.53 |
94 | $ 5,289.56 | $ 1,324.76 |
95 | $ 5,281.83 | $ 1,333.04 |
96 | $ 5,274.06 | $ 1,341.37 |
97 | $ 5,266.23 | $ 1,349.75 |
98 | $ 5,258.36 | $ 1,358.19 |
99 | $ 5,250.44 | $ 1,366.68 |
100 | $ 5,242.46 | $ 1,375.22 |
101 | $ 5,234.44 | $ 1,383.82 |
102 | $ 5,226.37 | $ 1,392.46 |
103 | $ 5,218.25 | $ 1,401.17 |
104 | $ 5,210.07 | $ 1,409.92 |
105 | $ 5,201.85 | $ 1,418.74 |
106 | $ 5,193.57 | $ 1,427.60 |
107 | $ 5,185.24 | $ 1,436.53 |
108 | $ 5,176.86 | $ 1,445.50 |
109 | $ 5,168.43 | $ 1,454.54 |
110 | $ 5,159.95 | $ 1,463.63 |
111 | $ 5,151.41 | $ 1,472.78 |
112 | $ 5,142.82 | $ 1,481.98 |
113 | $ 5,134.17 | $ 1,491.24 |
114 | $ 5,125.47 | $ 1,500.56 |
115 | $ 5,116.72 | $ 1,509.94 |
116 | $ 5,107.91 | $ 1,519.38 |
117 | $ 5,099.05 | $ 1,528.88 |
118 | $ 5,090.13 | $ 1,538.43 |
119 | $ 5,081.16 | $ 1,548.05 |
120 | $ 5,072.13 | $ 1,557.72 |
121 | $ 5,063.04 | $ 1,567.46 |
122 | $ 5,053.90 | $ 1,577.26 |
123 | $ 5,044.70 | $ 1,587.11 |
124 | $ 5,035.44 | $ 1,597.03 |
125 | $ 5,026.12 | $ 1,607.01 |
126 | $ 5,016.75 | $ 1,617.06 |
127 | $ 5,007.32 | $ 1,627.16 |
128 | $ 4,997.82 | $ 1,637.33 |
129 | $ 4,988.27 | $ 1,647.57 |
130 | $ 4,978.66 | $ 1,657.86 |
131 | $ 4,968.99 | $ 1,668.23 |
132 | $ 4,959.26 | $ 1,678.65 |
133 | $ 4,949.47 | $ 1,689.14 |
134 | $ 4,939.61 | $ 1,699.70 |
135 | $ 4,929.70 | $ 1,710.32 |
136 | $ 4,919.72 | $ 1,721.01 |
137 | $ 4,909.68 | $ 1,731.77 |
138 | $ 4,899.58 | $ 1,742.59 |
139 | $ 4,889.42 | $ 1,753.49 |
140 | $ 4,879.19 | $ 1,764.44 |
141 | $ 4,868.89 | $ 1,775.47 |
142 | $ 4,858.54 | $ 1,786.57 |
143 | $ 4,848.12 | $ 1,797.74 |
144 | $ 4,837.63 | $ 1,808.97 |
145 | $ 4,827.08 | $ 1,820.28 |
146 | $ 4,816.46 | $ 1,831.65 |
147 | $ 4,805.77 | $ 1,843.10 |
148 | $ 4,795.02 | $ 1,854.62 |
149 | $ 4,784.20 | $ 1,866.21 |
150 | $ 4,773.32 | $ 1,877.88 |
151 | $ 4,762.36 | $ 1,889.61 |
152 | $ 4,751.34 | $ 1,901.42 |
153 | $ 4,740.25 | $ 1,913.31 |
154 | $ 4,729.09 | $ 1,925.26 |
155 | $ 4,717.86 | $ 1,937.30 |
156 | $ 4,706.56 | $ 1,949.41 |
157 | $ 4,695.18 | $ 1,961.59 |
158 | $ 4,683.74 | $ 1,973.85 |
159 | $ 4,672.23 | $ 1,986.19 |
160 | $ 4,660.64 | $ 1,998.60 |
161 | $ 4,648.98 | $ 2,011.09 |
162 | $ 4,637.25 | $ 2,023.66 |
163 | $ 4,625.45 | $ 2,036.31 |
164 | $ 4,613.57 | $ 2,049.04 |
165 | $ 4,601.62 | $ 2,061.84 |
166 | $ 4,589.59 | $ 2,074.73 |
167 | $ 4,577.49 | $ 2,087.70 |
168 | $ 4,565.31 | $ 2,100.74 |
169 | $ 4,553.05 | $ 2,113.87 |
170 | $ 4,540.72 | $ 2,127.08 |
171 | $ 4,528.31 | $ 2,140.38 |
172 | $ 4,515.83 | $ 2,153.76 |
173 | $ 4,503.27 | $ 2,167.22 |
174 | $ 4,490.62 | $ 2,180.76 |
175 | $ 4,477.90 | $ 2,194.39 |
176 | $ 4,465.10 | $ 2,208.11 |
177 | $ 4,452.22 | $ 2,221.91 |
178 | $ 4,439.26 | $ 2,235.79 |
179 | $ 4,426.22 | $ 2,249.77 |
180 | $ 4,413.09 | $ 2,263.83 |
181 | $ 4,399.89 | $ 2,277.98 |
182 | $ 4,386.60 | $ 2,292.22 |
183 | $ 4,373.23 | $ 2,306.54 |
184 | $ 4,359.77 | $ 2,320.96 |
185 | $ 4,346.24 | $ 2,335.46 |
186 | $ 4,332.61 | $ 2,350.06 |
187 | $ 4,318.90 | $ 2,364.75 |
188 | $ 4,305.11 | $ 2,379.53 |
189 | $ 4,291.23 | $ 2,394.40 |
190 | $ 4,277.26 | $ 2,409.37 |
191 | $ 4,263.21 | $ 2,424.42 |
192 | $ 4,249.06 | $ 2,439.58 |
193 | $ 4,234.83 | $ 2,454.82 |
194 | $ 4,220.51 | $ 2,470.17 |
195 | $ 4,206.10 | $ 2,485.61 |
196 | $ 4,191.60 | $ 2,501.14 |
197 | $ 4,177.01 | $ 2,516.77 |
198 | $ 4,162.33 | $ 2,532.50 |
199 | $ 4,147.56 | $ 2,548.33 |
200 | $ 4,132.70 | $ 2,564.26 |
201 | $ 4,117.74 | $ 2,580.28 |
202 | $ 4,102.69 | $ 2,596.41 |
203 | $ 4,087.54 | $ 2,612.64 |
204 | $ 4,072.30 | $ 2,628.97 |
205 | $ 4,056.96 | $ 2,645.40 |
206 | $ 4,041.53 | $ 2,661.93 |
207 | $ 4,026.00 | $ 2,678.57 |
208 | $ 4,010.38 | $ 2,695.31 |
209 | $ 3,994.66 | $ 2,712.16 |
210 | $ 3,978.84 | $ 2,729.11 |
211 | $ 3,962.92 | $ 2,746.16 |
212 | $ 3,946.90 | $ 2,763.33 |
213 | $ 3,930.78 | $ 2,780.60 |
214 | $ 3,914.56 | $ 2,797.98 |
215 | $ 3,898.24 | $ 2,815.46 |
216 | $ 3,881.81 | $ 2,833.06 |
217 | $ 3,865.29 | $ 2,850.77 |
218 | $ 3,848.66 | $ 2,868.58 |
219 | $ 3,831.92 | $ 2,886.51 |
220 | $ 3,815.08 | $ 2,904.55 |
221 | $ 3,798.14 | $ 2,922.71 |
222 | $ 3,781.09 | $ 2,940.97 |
223 | $ 3,763.94 | $ 2,959.36 |
224 | $ 3,746.67 | $ 2,977.85 |
225 | $ 3,729.30 | $ 2,996.46 |
226 | $ 3,711.82 | $ 3,015.19 |
227 | $ 3,694.24 | $ 3,034.04 |
228 | $ 3,676.54 | $ 3,053.00 |
229 | $ 3,658.73 | $ 3,072.08 |
230 | $ 3,640.81 | $ 3,091.28 |
231 | $ 3,622.77 | $ 3,110.60 |
232 | $ 3,604.63 | $ 3,130.04 |
233 | $ 3,586.37 | $ 3,149.60 |
234 | $ 3,568.00 | $ 3,169.29 |
235 | $ 3,549.51 | $ 3,189.10 |
236 | $ 3,530.91 | $ 3,209.03 |
237 | $ 3,512.19 | $ 3,229.09 |
238 | $ 3,493.35 | $ 3,249.27 |
239 | $ 3,474.40 | $ 3,269.58 |
240 | $ 3,455.33 | $ 3,290.01 |
241 | $ 3,436.13 | $ 3,310.57 |
242 | $ 3,416.82 | $ 3,331.26 |
243 | $ 3,397.39 | $ 3,352.08 |
244 | $ 3,377.84 | $ 3,373.04 |
245 | $ 3,358.16 | $ 3,394.12 |
246 | $ 3,338.36 | $ 3,415.33 |
247 | $ 3,318.44 | $ 3,436.68 |
248 | $ 3,298.39 | $ 3,458.16 |
249 | $ 3,278.22 | $ 3,479.77 |
250 | $ 3,257.92 | $ 3,501.52 |
251 | $ 3,237.49 | $ 3,523.40 |
252 | $ 3,216.94 | $ 3,545.42 |
253 | $ 3,196.26 | $ 3,567.58 |
254 | $ 3,175.45 | $ 3,589.88 |
255 | $ 3,154.51 | $ 3,612.32 |
256 | $ 3,133.44 | $ 3,634.89 |
257 | $ 3,112.23 | $ 3,657.61 |
258 | $ 3,090.90 | $ 3,680.47 |
259 | $ 3,069.43 | $ 3,703.47 |
260 | $ 3,047.82 | $ 3,726.62 |
261 | $ 3,026.08 | $ 3,749.91 |
262 | $ 3,004.21 | $ 3,773.35 |
263 | $ 2,982.20 | $ 3,796.93 |
264 | $ 2,960.05 | $ 3,820.66 |
265 | $ 2,937.76 | $ 3,844.54 |
266 | $ 2,915.34 | $ 3,868.57 |
267 | $ 2,892.77 | $ 3,892.75 |
268 | $ 2,870.06 | $ 3,917.08 |
269 | $ 2,847.21 | $ 3,941.56 |
270 | $ 2,824.22 | $ 3,966.20 |
271 | $ 2,801.08 | $ 3,990.98 |
272 | $ 2,777.80 | $ 4,015.93 |
273 | $ 2,754.38 | $ 4,041.03 |
274 | $ 2,730.80 | $ 4,066.28 |
275 | $ 2,707.08 | $ 4,091.70 |
276 | $ 2,683.22 | $ 4,117.27 |
277 | $ 2,659.20 | $ 4,143.00 |
278 | $ 2,635.03 | $ 4,168.90 |
279 | $ 2,610.71 | $ 4,194.95 |
280 | $ 2,586.24 | $ 4,221.17 |
281 | $ 2,561.62 | $ 4,247.55 |
282 | $ 2,536.84 | $ 4,274.10 |
283 | $ 2,511.91 | $ 4,300.81 |
284 | $ 2,486.82 | $ 4,327.69 |
285 | $ 2,461.58 | $ 4,354.74 |
286 | $ 2,436.17 | $ 4,381.96 |
287 | $ 2,410.61 | $ 4,409.35 |
288 | $ 2,384.89 | $ 4,436.91 |
289 | $ 2,359.01 | $ 4,464.64 |
290 | $ 2,332.96 | $ 4,492.54 |
291 | $ 2,306.76 | $ 4,520.62 |
292 | $ 2,280.39 | $ 4,548.87 |
293 | $ 2,253.85 | $ 4,577.30 |
294 | $ 2,227.15 | $ 4,605.91 |
295 | $ 2,200.28 | $ 4,634.70 |
296 | $ 2,173.25 | $ 4,663.67 |
297 | $ 2,146.04 | $ 4,692.81 |
298 | $ 2,118.67 | $ 4,722.14 |
299 | $ 2,091.12 | $ 4,751.66 |
300 | $ 2,063.40 | $ 4,781.35 |
301 | $ 2,035.51 | $ 4,811.24 |
302 | $ 2,007.45 | $ 4,841.31 |
303 | $ 1,979.21 | $ 4,871.57 |
304 | $ 1,950.79 | $ 4,902.01 |
305 | $ 1,922.19 | $ 4,932.65 |
306 | $ 1,893.42 | $ 4,963.48 |
307 | $ 1,864.47 | $ 4,994.50 |
308 | $ 1,835.33 | $ 5,025.72 |
309 | $ 1,806.02 | $ 5,057.13 |
310 | $ 1,776.52 | $ 5,088.74 |
311 | $ 1,746.83 | $ 5,120.54 |
312 | $ 1,716.96 | $ 5,152.54 |
313 | $ 1,686.91 | $ 5,184.75 |
314 | $ 1,656.66 | $ 5,217.15 |
315 | $ 1,626.23 | $ 5,249.76 |
316 | $ 1,595.60 | $ 5,282.57 |
317 | $ 1,564.79 | $ 5,315.59 |
318 | $ 1,533.78 | $ 5,348.81 |
319 | $ 1,502.58 | $ 5,382.24 |
320 | $ 1,471.18 | $ 5,415.88 |
321 | $ 1,439.59 | $ 5,449.73 |
322 | $ 1,407.80 | $ 5,483.79 |
323 | $ 1,375.81 | $ 5,518.06 |
324 | $ 1,343.62 | $ 5,552.55 |
325 | $ 1,311.23 | $ 5,587.25 |
326 | $ 1,278.64 | $ 5,622.17 |
327 | $ 1,245.85 | $ 5,657.31 |
328 | $ 1,212.84 | $ 5,692.67 |
329 | $ 1,179.64 | $ 5,728.25 |
330 | $ 1,146.22 | $ 5,764.05 |
331 | $ 1,112.60 | $ 5,800.08 |
332 | $ 1,078.76 | $ 5,836.33 |
333 | $ 1,044.72 | $ 5,872.80 |
334 | $ 1,010.46 | $ 5,909.51 |
335 | $ 975.99 | $ 5,946.44 |
336 | $ 941.30 | $ 5,983.61 |
337 | $ 906.40 | $ 6,021.01 |
338 | $ 871.28 | $ 6,058.64 |
339 | $ 835.93 | $ 6,096.50 |
340 | $ 800.37 | $ 6,134.61 |
341 | $ 764.59 | $ 6,172.95 |
342 | $ 728.58 | $ 6,211.53 |
343 | $ 692.34 | $ 6,250.35 |
344 | $ 655.88 | $ 6,289.41 |
345 | $ 619.19 | $ 6,328.72 |
346 | $ 582.28 | $ 6,368.28 |
347 | $ 545.13 | $ 6,408.08 |
348 | $ 507.75 | $ 6,448.13 |
349 | $ 470.13 | $ 6,488.43 |
350 | $ 432.28 | $ 6,528.98 |
351 | $ 394.20 | $ 6,569.79 |
352 | $ 355.87 | $ 6,610.85 |
353 | $ 317.31 | $ 6,652.17 |
354 | $ 278.51 | $ 6,693.75 |
355 | $ 239.46 | $ 6,735.58 |
356 | $ 200.17 | $ 6,777.68 |
357 | $ 160.63 | $ 6,820.04 |
358 | $ 120.85 | $ 6,862.66 |
359 | $ 80.82 | $ 6,905.56 |
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