FIXEDMBS Model

Inputs

LoanType - LOANTYPES
        Fixed MBS Collateral Type: Required

WAC - DOUBLE
        Gross Coupon(WAC) of Loan(Pool) in Percent. If ARM, this is WAC at origination : REQUIRED

RemainingTerm - INTEGER
        Remaining Term of Collateral (Months) : REQUIRED

Age - INTEGER
        AGE of Collateral (Payment # minus 1 of 1st Forecast) : REQUIRED

FirstForecastYear - INTEGER
        Year (ex. 2001) of first forecast month : REQUIRED

FirstForecastMonth - INTEGER
        Month(1-12) of first forecast month : REQUIRED

SmmTuneScale - DOUBLE
        Scale overall SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneRefi - DOUBLE
        Scale Refi SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneTurnOver - DOUBLE
        Scale Turnover SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCashout - DOUBLE
        Scale Cashout SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCure - DOUBLE
        Scale Cure SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneAge - DOUBLE
        Speed-up/Slow-down Aging(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneSlide - DOUBLE
        Slide S-Curve by adding X bp to the spread over CCY (Default 0.0, positive means slower speeds)

SmmTuneSATO - DOUBLE
        Scale SATO Effect

SmmTuneCATO - DOUBLE
        Scale CATO Effect

SmmTuneBurnout - DOUBLE
        Tune Burnout(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneLag - DOUBLE
        Adjust Lag(range [0,2], default 1.0. Bigger means more lag)

CallerData1 - UDATAPTR
        Caller Specific Data Item 1 (ex. Intex iCMO struct)

CallerData2 - UDATAPTR
        Caller Specific Data Item 2 (ex. Intex POOL struct)

TuneBack - UDATAPTR
        Callback function (see developer docs)

CCYHistory - TIMESERIES
        Current Coupon Yield History vector for Security or Rate Proxy (Percent) : Optional. Replaced Datafiles' history

HPIHistory - TIMESERIES
        Housing Price Index History vector (Percent)

CCYForecast - TIMESERIES
        Current Coupon Yield Forecast vector for Security or Rate Proxy (Percent) : REQUIRED if not providing 2, 10 year forecast(v5.1)

HPIForecast - TIMESERIES
        Housing Price Index Forecast vector

ForecastMonths - INTEGER
        Only Forecast Next N Months

ForecastOffSet - INTEGER
        Start Forecast Offset Months After AsOfMonth

OriginationYear - INTEGER
        Year (ex. 2001) of Origination (AsOf = Orig+Age+1) : Deprecated. Use FirstForecastYear instead please

OriginationMonth - INTEGER
        Month(1-12) of Origination (AsOf = Orig+Age+1) : Deprecated. Use FirstForecastYear instead please

HPIRvsnVal - DOUBLE
        Long Term Annual House Price Growth Ratio, in percent (for 6.5% enter 6.5)

AsOfYear - INTEGER
        Old Name for FirstForecastYear (ex. 2001)

AsOfMonth - INTEGER
        Old Name for FirstForecastMonth(1-12)

Psi0 - DOUBLE
        Proportion of borrowers who are active at origination, in Percent - Optional. See Active-Passive

PsiT - DOUBLE
        Proportion of borrowers who are active at FirstForecast date, in Percent - Optional. See Active-Passive

Original_LTV - DOUBLE
        Original LTV (%)

Credit_Score - DOUBLE
        Original Credit Score

Orig_Face - DOUBLE
        Original face value of the loan ($)

Regional_HPI - DOUBLE
        2-Year local HPI growth ratio prior to ff_date, in decimal (e.g 23% = 1.23)

State - STATES
        The states in which the property is located (%), in form of double array

Property_Type - PROPERTY_TYPE
        Type of Property Loan is for: (%) Single_Family, Multiple_Family, or Unknown - Optional, Enhanced

Loan_Purpose - LOAN_PURPOSE
        Purpose of Loan: (%) Purchase, Refinance or Unknown - Optional, Enhanced

Occupancy - OCCUPANCY
        Occupancy of Property: (%) Owner, Second_Home, Investor, or Unknown - Optional, Enhanced

Cashout_RM - DOUBLE
        Risk Multiplier for Cashout Incentive (range [0,2], default 1.0. Bigger means faster prepays)

Cure_RM - DOUBLE
        Risk Multiplier for Credit Curing Effect (range [0,2], default 1.0. Bigger means faster prepays)

Refi_RM - DOUBLE
        Risk Multiplier for Refinance Incentive (range [0,2], default 1.0. Bigger means faster prepays)

Turnover_RM - DOUBLE
        Risk Multiplier for Turnover (range [0,2], default 1.0. Bigger means faster prepays)

2Yr_Fcst - TIMESERIES
        Time-series containing 2-yr Libor/Swap rate forecast (Percent) - must be as long as forecast_length starting at ff_date, inclusive : REQUIRED

10Yr_Fcst - TIMESERIES
        Time-series containing 10-yr Libor/Swap rate forecast (Percent) - must be as long as forecast_length starting at ff_date, inclusive : REQUIRED

2Yr_Hist - TIMESERIES
        Time-series containing 2-yr Libor/Swap rate history (Percent) - Only use if not using datafiles (Optional)

10Yr_Hist - TIMESERIES
        Time-series containing 10-yr Libor/Swap rate history (Percent) - Only use if not using datafiles (Optional)

SmmTuneScaleModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale overall SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneRefiModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Refi SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneTurnOverModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Turnover SMM(range [0,2], default 1.0. Bigger faster prepays)

SmmTuneCashoutModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Cashout SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneCureModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale Cure SMM(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneAgeModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Speed-up/Slow-down Aging(range [0,2], default 1.0. Bigger means quicker aging)

SmmTuneSlideModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Slide S-Curve by adding X bp to the spread over CCY (Default 0.0, positive means slower speeds)

SmmTuneSATOModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale SATO Effect (Default 1.0)

SmmTuneCATOModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Scale CATO Effect (Default 1.0)

SmmTuneBurnoutModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Tune Burnout(range [0,2], default 1.0. Bigger means faster prepays)

SmmTuneLagModel - DOUBLE
        Model Adjustment Tuning (affects both Precalc() and Forecast()): Adjust Lag(range [0,2], default 1.0. Bigger means more lag)

Curve_Type - CURVE_TYPES
        Yield curve type (par or spot, Treasury or swap)

V43SubStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 StdSub IO_structure. adjusted_factor!=0 => PreCalc'd

V43ItxStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 ItxSub IO_structure. adjusted_factor!=0 => PreCalc'd

V43NlhStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 NoLoadHist IO_structure. adjusted_factor!=0 => PreCalc'd

V43VbStruct - UDATAPTR
        Set Model from an old v43 VB IO_structure. adjusted_factor!=0 => PreCalc'd

V43BbgStruct - UDATAPTR
        Set Model (Excl. Vectors) from an old v43 BBG IO_structure. adjusted_factor!=0 => PreCalc'd

SmmTuneCurve - DOUBLE
        No Longer Used

SmmTuneHPI - DOUBLE
        No Longer Used

PtsEffSwtch - SWITCH
        No longer Used

CCYFcstCurrent - SWITCH
        No Longer Used

UseHistoricalLoanSize - INTEGER
        Toggle for the Historical Loan Size Effect (1=yes, 0=no, Default 1)

TuningStartYear - INTEGER
        Start year to apply tuning parameters

TuningStartMonth - INTEGER
        Start month to apply tuning parameters

TuningRampMonths - INTEGER
        Number of month for tunings to ramp up to full effect from the start date

TuningEndYear - INTEGER
        End year to apply tuning parameters

TuningEndMonth - INTEGER
        End month to apply tuning parameters

TuningFadeMonths - INTEGER
        Number of months for tunings to fade back to default effect after the end date

DUMPFILE - STRING
        ADCO PPModel Debugging Dump File (Use Only As Advised by AD&Co!)

All_Inputs - INTEGER
        After you run the collateral, UnSetParam() this parameter to reset all inputs

DealID - STRING
        Identifier of deal into which collateral is securitized (or other superset of the collateral). For logging purposes only

PoolID - STRING
        Identifier of collateral that is being run through model. For logging purposes only

ZeroVectorsFlag - STRING
        Flag to indicate that all returned vectors should be 0

TuneString - STRING
        Base string to choose tunings (ALT_A. PRIME ...)

TuningShelf - STRING
        Tuning label chosen by TuneString, and other loan characteristics

TuningShelf1 - STRING
        Tuning label chosen by TuneString, TuningShelf and other loan characteristics

TuningShelf2 - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1 and other loan characteristics

TuningShelf3 - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1-2 and other loan characteristics

TuningShelf4 - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1-3 and other loan characteristics

CustomTuningShelf - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1-4 and other loan characteristics

Results

SMM - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal)

CashoutSMM - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal) that is based on cash-out incentive

CreditCureSMM - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal) that is based on credit-curing incentive

RefiSMM - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal) that is based on refinance incentive

TurnoverSMM - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal) that is based on turnover

MaxLag - INTEGER
        Maximum months rate lookback data required

ForecastCount - INTEGER
        Number of Months of Forecast in SMM vector

VERSION - STRING
        AD&Co System/Model Version Number <System No>.<API No>.<Model No><compile letter>

Model - MODELS
        Model Name of Model

License - STRING
        Last month license key will work with this model

SMMHistory - TIMESERIES
        Speed vector as Simple Monthly Mortality (decimal) - From Precalc()

OrigYear - INTEGER
        Year of Loan Origination (calculated from age)

OrigMonth - INTEGER
        Month of Loan Origination (calculated from age)

TuningShelf - STRING
        Tuning label chosen by TuneString, and other loan characteristics

TuningShelf1 - STRING
        Tuning label chosen by TuneString, TuningShelf and other loan characteristics

TuningShelf2 - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1 and other loan characteristics

TuningShelf3 - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1-2 and other loan characteristics

TuningShelf4 - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1-3 and other loan characteristics

CustomTuningShelf - STRING
        Tuning label chosen by TuneString, TuningShelf, TuningShelf1-4 and other loan characteristics

Other Lists


LOANTYPES - MBS Fixed Rate Loan Type
Element Name Element Description Type
FNMA_30YR FANNIE MAE 30 YEAR 30YR
FNMA_15YR FANNIE MAE 15 YEAR 15YR
FNMAB_5YR FANNIE MAE BALLOON 5 YEAR 5YRB
FNMAB_7YR FANNIE MAE BALLOON 7 YEAR 7YRB
FHL_30YR FREDDIE MAC 30 YEAR 30YR
FHL_15YR FREDDIE MAC 15 YEAR 15YR
FHLB_5YR FREDDIE MAC BALLOON 5 YEAR 5YRB
FHLB_7YR FREDDIE MAC BALLOON 7 YEAR 7YRB
GNMA_30YR GINNIE MAE 30 YEAR 30YR
GNMA_15YR GINNIE MAE 15 YEAR 15YR
GNMA2_30YR GINNIE MAE II 30 YEAR 30YR
FNMA_20YR FANNIE MAE 20 YEAR 20YR
FHL_20YR FREDDIE MAC 20 YEAR 20YR
WHOLE_30YR WHOLE 30 YEAR 30YR
WHOLE_15YR WHOLE 15 YEAR 15YR
RELO_30YR RELOCATION 30 YEAR 30YR
FNMA_10YR FANNIE MAE 10 YEAR 10YR
FHL_10YR FREDDIE MAC 10 YEAR 10YR
GNMA2_15YR GINNIE MAE II 15 YEAR 15YR
WHOLEB_5YR WHOLE BALLOON 5 YEAR 5YRB
WHOLEB_7YR WHOLE BALLOON 7 YEAR 7YRB
FNMAB_10YR FANNIE MAE BALLOON 10 YEAR 10YRB
FHLB_10YR FREDDIE MAC BALLOON 10 YEAR 10YRB
FNMAB_3YR FANNIE MAE BALLOON 3 YEAR 3YRB
FHLB_3YR FREDDIE MAC BALLOON 3 YEAR 3YRB
ALT_A_15YR ALT-A 15 YEAR 15YR
ALT_A_30YR ALT-A 30 YEAR 30YR
CUSTOM1_30 CUSTOM 30 YEAR(a) 30YR
RELO_15YR RELOCATION 15 YEAR 15YR

SWITCH - OnOffSwitch
Element Name Element Description Type
OFF Don't Include Effect STRING
ON Include Effect STRING

CCYTYPEMAP - Map MBS Fixed LoanType to CCY Calc Type
Element Name Element Description Type
FNMA_30YR FN30
FNMA_15YR FN15
FNMAB_5YR FN7
FNMAB_7YR FN7
FHL_30YR FG30
FHL_15YR FG15
FHLB_5YR FG5
FHLB_7YR FG7
GNMA_30YR GN30
GNMA_15YR GN15
GNMA2_30YR GN30
FNMA_20YR FN15
FHL_20YR FG15
WHOLE_30YR FN30
WHOLE_15YR FN15
RELO_30YR FN30
FNMA_10YR FN15
FHL_10YR FG15
GNMA2_15YR GN15
WHOLEB_5YR FG5
WHOLEB_7YR FG5
FNMAB_10YR FN7
FHLB_10YR FN7
FNMAB_3YR FG5
FHLB_3YR FG5
ALT_A_15YR FN15
ALT_A_30YR FN30
CUSTOM1_30 GN30
RELO_15YR FN15

HPITYPEMAP - Map MBSFIX LoanType to HPI from HistCache
Element Name Element Description Type
FNMA_30YR CONF_HPI
FNMA_15YR CONF_HPI
FNMAB_5YR CONF_HPI
FNMAB_7YR CONF_HPI
FHL_30YR CONF_HPI
FHL_15YR CONF_HPI
FHLB_5YR CONF_HPI
FHLB_7YR CONF_HPI
GNMA_30YR CONF_HPI
GNMA_15YR CONF_HPI
GNMA2_30YR CONF_HPI
FNMA_20YR CONF_HPI
FHL_20YR CONF_HPI
WHOLE_30YR CONF_HPI
WHOLE_15YR CONF_HPI
RELO_30YR CONF_HPI
FNMA_10YR CONF_HPI
FHL_10YR CONF_HPI
GNMA2_15YR CONF_HPI
WHOLEB_5YR CONF_HPI
WHOLEB_7YR CONF_HPI
FNMAB_10YR CONF_HPI
FHLB_10YR CONF_HPI
FNMAB_3YR CONF_HPI
FHLB_3YR CONF_HPI
ALT_A_15YR CONF_HPI
ALT_A_30YR CONF_HPI
CUSTOM1_30 CONF_HPI
RELO_15YR CONF_HPI

CCYHISTMAP - Map MBS Fixed LoanType to CCY History from HistCache
Element Name Element Description Type
FNMA_30YR FN30_MAVG
FNMA_15YR FN15_MAVG
FNMAB_5YR FN7_MAVG
FNMAB_7YR FN7_MAVG
FHL_30YR FG30_MAVG
FHL_15YR FG15_MAVG
FHLB_5YR FG5_MAVG
FHLB_7YR FG7_MAVG
GNMA_30YR GN30_MAVG
GNMA_15YR GN15_MAVG
GNMA2_30YR GN30_MAVG
FNMA_20YR FN15_MAVG
FHL_20YR FG15_MAVG
WHOLE_30YR FN30_MAVG
WHOLE_15YR FN15_MAVG
RELO_30YR FN30_MAVG
FNMA_10YR FN15_MAVG
FHL_10YR FG15_MAVG
GNMA2_15YR GN15_MAVG
WHOLEB_5YR FG5_MAVG
WHOLEB_7YR FG5_MAVG
FNMAB_10YR FN7_MAVG
FHLB_10YR FN7_MAVG
FNMAB_3YR FG5_MAVG
FHLB_3YR FG5_MAVG
ALT_A_15YR FN15_MAVG
ALT_A_30YR FN30_MAVG
CUSTOM1_30 GN30_MAVG
RELO_15YR FN15_MAVG

PROPERTY_TYPE - Distribution of Type of Property for Pool: Single_Family, Multiple_Family and Unknown
Element Name Element Description Type
Single_Family Percentage of Pool that is Single-Family Property DOUBLE
Multiple_Family Percentage of Pool that is Occupied by 2-4 Families DOUBLE
Unknown Percentage of Pool for which Number of Occupying Families Unknown DOUBLE

LOAN_PURPOSE - Purpose of Loan distribution of Pool(%): Purchase, Refinance and Unknown
Element Name Element Description Type
Purchase Percent of Pool for which Loan is for Purchase of Property DOUBLE
Refinance Percent of Pool for which Loan is for Refinance of Property DOUBLE
Unknown Percent of Pool for which Purpose of Loan is Unknown DOUBLE

OCCUPANCY - Occupancy distribution of Pool(%): Owner, Second_Home, Investor, and Unknown. Should sum to 100.0
Element Name Element Description Type
Owner Percent of pool that is Owner-Occupied Property DOUBLE
Second_Home Percent of pool that is Second Home of Owner DOUBLE
Investor Percent of pool for which Owner is Investing in Property DOUBLE
Unknown Percent of pool that for which Occupancy of Property is Unknown DOUBLE

STATES - States available as model input
Element Name Element Description Type
AK Alaska DOUBLE
AL Alabama DOUBLE
AR Arkansas DOUBLE
AZ Arizona DOUBLE
CA California DOUBLE
CO Colorado DOUBLE
CT Connecticut DOUBLE
DC District of Columbia DOUBLE
DE Delaware DOUBLE
FL Florida DOUBLE
GA Georgia DOUBLE
HI Hawaii DOUBLE
IA Iowa DOUBLE
ID Idaho DOUBLE
IL Illinois DOUBLE
IN Indiana DOUBLE
KS Kansas DOUBLE
KY Kentucky DOUBLE
LA Louisiana DOUBLE
MA Massachusetts DOUBLE
MD Maryland DOUBLE
ME Maine DOUBLE
MI Michigan DOUBLE
MN Minnesota DOUBLE
MO Missouri DOUBLE
MS Mississippi DOUBLE
MT Montana DOUBLE
NC North Carolina DOUBLE
ND North Dakota DOUBLE
NE Nebraska DOUBLE
NH New Hampshire DOUBLE
NJ New Jersey DOUBLE
NM New Mexico DOUBLE
NV Nevada DOUBLE
NY New York DOUBLE
OH Ohio DOUBLE
OK Oklahoma DOUBLE
OR Oregon DOUBLE
PA Pennsylvania DOUBLE
RI Rhode Island DOUBLE
SC South Carolina DOUBLE
SD South Dakota DOUBLE
TN Tennessee DOUBLE
TX Texas DOUBLE
UT Utah DOUBLE
VA Virginia DOUBLE
VT Vermont DOUBLE
WA Washington DOUBLE
WI Wisconsin DOUBLE
WV West Virginia DOUBLE
WY Wyoming DOUBLE
Other Other DOUBLE
Unknown Unknown DOUBLE

QUARTILES - Quartiles Array. If only average known, pass this is a double instead of passing an array.
Element Name Element Description Type
WeightedAverage Weighted Average of Item (%) DOUBLE
PercentMissing Percent of data that is missing (%) DOUBLE
Q1Min Minimum Value in First (lowest) Quartile DOUBLE
Q1Max Maximum Value in First (lowest) Quartile DOUBLE
Q2Min Minimum Value in Second Quartile DOUBLE
Q2Max Maximum Value in Second Quartile DOUBLE
Q3Min Minimum Value in Third Quartile DOUBLE
Q3Max Maximum Value in Third Quartile DOUBLE
Q4Min Minimum Value in Fourth (highest) Quartile DOUBLE
Q4Max Maximum Value in Fourth (highest) Quartile DOUBLE

AmortTypes - Amortization Types For TermType
Element Name Element Description Type
FULLAMORT Fully Amortizing STRING
BALLOON Balloon Loan STRING

TermTypes - Term Types For Mortgages
Element Name Element Description Type
30YR 30 Year FULLAMORT
20YR 20 Year FULLAMORT
15YR 15 Year FULLAMORT
15YRB 15 Year Balloon BALLOON
10YR 10 Year FULLAMORT
10YRB 10 Year Balloon BALLOON
7YRB 7 Year Balloon BALLOON
5YRB 5 Year Balloon BALLOON
3YRB 3 Year Balloon BALLOON

CURVE_TYPES - Interest Rate Curve Types
Element Name Element Description Type
PAR_TSY Par Treasury STRING
SPOT_TSY Zero-coupon Treasury STRING
PAR_SWAP Par LIBOR/Swap STRING
SPOT_SWAP Zero-coupon LIBOR/Swap STRING

Models - All Known Models
Element Name Element Description Type
FIXEDMBS MBS Fixed Rate Model POOL
ARMMBS MBS Adjustable Rate Model POOL
HYBRIDMBS MBS Fixed Rate Model POOL
ABSHEL ABS Fixed Rate Home Equity LOANTYPE Model POOL
ABSMH ABS Manufactured Housing Model POOL
ABSAUTO ABS Automobile Loan Model POOL
ABSARMHEL ABS ARM Home Equity Loan Model POOL
WHOLELOAN Jumbo Loan-Level Fixed Rate Model LOAN
NONAGENCYPRIME Jumbo Loan-Level Fixed Rate Model LOAN
LOAN_DYNAMICS Loan Dynamics Credit Model LOAN
CCYCALC Current Coupon Yield Calculator UTILITY
HISTCACHE Index History Cache PseudoModel UTILITY
PPCALC Prepayment Utility Calculations UTILITY
HPICALC House Price Index Forecast Model UTILITY
UNIFIED Unified Model LOAN
CF_CALC Schedule Cashflow Calculator UTILITY