Understand the Prospective Amortization Yield Recalculation Frequency

Owned by Nancy Cohn (Deactivated)
Last updated: Nov 22, 2023
3 min read

In the Amortization & Accretion Rules panels, you can specify a value for the Prospective Amortization Yield Recalculation Frequency (tag 16013) field, which determines when and under what conditions the system performs a prospective amortization calculation. 

Recalculate Yields Based on SMF Reference Data Changes

You can set up an amortization/accretion rule to have the system automatically recalculate yields when reference data changes. Reference data includes the following changes to SMF data.

If you set up amortization/accretion rules to automatically recalculate yields when SMF reference data changes, these changes include the following data elements for securities:

  • Issue Price (tag 69)

  • Issue Date (tag 68)

  • Dated Date (tag 1183)

  • First Coupon Date (tag 473)

  • Last Coupon Date (tag 474)

  • Maturity Date (tag 38)

  • Maturity Price (tag 42)

  • Payment Frequency Code (tag 472)

  • Business Day Convention (tag 1536)

  • Business Calendar Name (tag 1480)

  • Day of Month Override (tag 1533)

  • Interest Payment Timing (tag 1523)

  • Coupon Day of Month (tag 10551)

  • CMO First Principal Repayment Date (tag 1587)

  • OID Indicator (tag 218)

  • Trading Flat (tag 3949)

  • Coupon (tag 70)

  • Coupon Type Code (tag 97)

  • Underlying Security Alias (tag 1347)

  • Index Offset (tag 215)

  • Coupon Delay Days Type (tag 3999)

  • Coupon Delay Days (tag 4908)

  • Rate Reset Floor (tag 10910)

  • Rate Reset Cap (tag 10909)

  • Rate Reset Change Floor (tag 10908)

  • Rate Reset Change Cap (tag 10907)

  • Reset Look Back Days (tag 10547)

  • Reset Look Back Days Type (tag 5075)

  • Reset Frequency Code (tag 1788)

  • First Rate Reset Date (tag 10911)

  • Inverse Floater Rate (tag 1553)

  • Inverse Floater Multiple (tag 4532)

  • Compounding Method (tag 11876)

  • Compounding Frequency (tag 11877)

  • First Compounding Date (tag 11878)

  • Last Compounding Date (tag 11879)

  • Convert indicator (tag 1531)

Recalculate Yields Based on Prepayment Time Series Reference Data Changes

You can set up an amortization/accretion rule to have the system automatically recalculate yields when reference data for prepayment time series changes.

These changes include the following data elements for prepayment time series data. Prepayment time series data changes include new records, cancelled records, and updates from a Pending to a Released status. Or an update to the record for the following fields:

  • Begin Date (tag 220)

  • End Date (tag 221)

  • Coupon (tag 70)

  • Coupon Type Code (tag 97)

  • Day Count Basis (tag 471)

  • Payment Frequency Code (tag 472)

  • Underlying Security Alias (tag 1347)

  • Index Offset (tag 215)

Recalculate Yields Based on Schedule Reference Data Changes

If you set up amortization/accretion rules to automatically recalculate yields when reference data changes, these changes include the following data elements for schedules. The Schedule table stores the Call/Put/Sink/Pre-Refunded information for a security.

Schedule changes include new schedules, deleted schedules, or a change to the following fields:

  • Schedule Type (tag 1250)

  • Effective Date (tag 1109)

  • Price/Rate (tag 1249)

  • Schedule Amount (tag 1669)

  • Variable Rate Changes

Recalculate Yields Based on Variable Rate Reference Data Changes

If you set up amortization/accretion rules to automatically recalculate yields when reference data changes, these changes include the following data elements for variable rates.

Variable rate changes include new variable rates for the security or for the attached underlying security. Changes also include a change to the following fields:

  • Effective Date (tag 1109)

  • Variable Rate (tag 96)

  • Cash Movement Flag (tag 3664)

Recalculate Yields Based on Business Calendar Reference Data Changes

If you set up amortization/accretion rules to automatically recalculate yields when reference data changes, these changes include data elements for business calendars. Business calendar changes include an update to the business calendar dates of a security.

Recalculate Yields Based on Third Party Cash Flow Changes

When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status.

Recalculate Yields Based on Prepayment Speed Changes

When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias.