UNIFIED Model

Inputs

LoanType - LOANTYPES
Unified Collateral Type. This is an output you can GetParam. It is in the INPUTS list

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)

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

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

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

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)

ShortRateForecast - TIMESERIES
6 month libor forecast : For future use

ShortRateHistory - TIMESERIES
Optional Short Rate History : For future use

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

Original_LTV - DOUBLE
Original LTV (%)

WacForecast - TIMESERIES
Gross ARM WAC Forecast vector (Percent) : REQUIRED

PPMonths - INTEGER
Number of months from origination the loan has a prepay penalty

IOMonths - INTEGER
Number of months from origination the loan is interest-only

FirstResetAge - INTEGER
Age when loan first resets: REQUIRED

MonthsBetweenReset - INTEGER
Number of months between reset periods: REQUIRED

IsConvertible - INTEGER
1 if convertible to Fixed, 0 if not

CanNegAm - INTEGER
1 if can negatively amortize, 0 if not

TeaserMonths - INTEGER
Number of months of initial teaser period

GrossMargin - DOUBLE
Gross margin of loan, in %: REQUIRED

Documentation - DOCUMENTATION
Documentation of Loan - Full, Limited, or None

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

Credit_Score - DOUBLE
Original Credit Score

ServicingFee - DOUBLE
Servicing Fee, in %

GuarantyFee - DOUBLE
Guaranty Fee, in %

Cur_Face - DOUBLE
Current face value of the loan ($)

Cur_LTV - DOUBLE
Current LTV of loan, in %

ZipCode - STRING
Zip Code of property

CurFICO - INTEGER
Current FICO score

IsSecondMortgage - INTEGER
0 = not second mortgage, 1 = second mortgage, 2 = unknown

PrepayPenaltyPercent - DOUBLE
Amount of prepay penalty, as percentage of remaining balance (%)

Points - DOUBLE
Points paid at origination, as percentage of original balance (%)

Issuer - ISSUERS
Issuer of loan: REQUIRED

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)

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

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

WacIsFixed - INTEGER
Flag for whether fixed or arm loantype. 1 for fixed, 0 for arm: REQUIRED

WacHistory - TIMESERIES
Gross ARM WAC History vector (Percent) : REQUIRED if floating rate loan and index not set

Index - INDICES
Index of Underlying: REQUIRED

LifeCap - DOUBLE
Lifetime Cap of Arm, in (%)

LifeFloor - DOUBLE
Lifetime Floor of Arm, in (%)

PeriodicCap - DOUBLE
Periodic Cap of Arm, in (%)

PeriodicFloor - DOUBLE
Periodic Floor of Arm, in (%)

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

OriginalTerm - INTEGER
Original Term, in Months

IsSubprime - INTEGER
Set to 1 for subprime collateral, 0 for prime: REQUIRED

HasOptionalPayment - INTEGER
Set to 1 if collateral allows flexible payments (option arm), 0 of UnSetParam() if not

BalloonMonths - INTEGER
Months from Origination that collateral has balloon payment. UnSetParam() if not balloon

IsRelo - INTEGER
Set to 1 if RELO loan. Set to 0 or UnSetParam() if not

PostResetScale - DOUBLE
Multiplicative Scale on Post-Reset SMM. To set smm to 1.0, use -999

PostResetScaleModel - DOUBLE
Multiplicative Scale on Post-Reset SMM, both Precalc() and Forecast(). To set smm to 1.0, use -999

LookBackMonths - INTEGER
For Arms - the lookback for the Index to use for the reset. Default 1 month

IndexHistory - TIMESERIES
For Arms - Timeseries of underlying index's history

FirstResetCap - DOUBLE
Periodic Cap of Arm's first rate adjustment, in (%)

FirstResetFloor - DOUBLE
Periodic Floor of Arm's first rate adjustment, in (%)

IndexForecast - TIMESERIES
Monthly Forecast of underlying index, in (%)

CurMinimumPayment - DOUBLE
For Option Arms - Current minimum payment ($)

RecastPeriod - INTEGER
For Number of months between recasts

PayResetFreq - INTEGER
For Arms - the months between payment resets

PayCap - DOUBLE
For Arms - Maximum percentage change of payment at each reset (%)

MaxNegAm - DOUBLE
For Arms - Maximum percentage of original balance that loan can negatively amortize (%) For example 121 would be 121%

GenerateCashflows - INTEGER
Flag to indicate if you want to generate schedule cashflow for the loan

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

StartingWac - DOUBLE
Gross Current Coupon (Percent) at first forecast date

ResetScale - DOUBLE
Multiplicative Scale on Reset SMM. To set smm to 1.0, use -999

ResetScaleModel - DOUBLE
Multiplicative Scale Reset SMM, both Precalc() and Forecast(). To set smm to 1.0, use -999

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

InputsGetParamMode - INPUTS_GETPARAM_MODES
Input List GetParams only return values set by user

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

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

Balance - TIMESERIES
Beginning Balance

Payment - TIMESERIES
Monthly Payment

Principal - TIMESERIES
Monthly Principal

Interest - TIMESERIES
Monthly Interest

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

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

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