WHOLELOAN Model

Inputs

Term - TERMS
Amortization term of the loan: 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)

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

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)

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

Orig_LTV - DOUBLE
Original LTV in percent

Orig_Val - DOUBLE
Value of property at origination in dollars : Deprecated.

Cur_Val - DOUBLE
Value of property at as-of date in dollars : Deprecated.

State - STATES
The state in which the property is located : Deprecated.

Original_Spread - DOUBLE
WAC - mortgage rate at origination : Deprecated.

LoanType - LOANTYPES
WHOLE Collateral Type: 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)

HPI_Rvsn_Val - DOUBLE
Long term rate of HPI growth (in Percent) if HPI forecast not set

HPI_Rvsn_Mnths - INTEGER
Months over which HPI reverts to mean if HPI forecast not set : Deprecated.

Refi - REFI
Is the loan a refinance? : Deprecated.

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)