Securitization and Structured Finance Post Credit Crunch: A Best Practice Deal Lifecycle Guide

• DM. The discounted margin, which is the margin relative to the base index rate, such that the present value of cash flows equals the price plus accrued interest.

• Extend applies to commercial mortgage-backed securities only. The percentage of the balloon amount to default. For any loans that have a balloon payment on the maturity date, the Extend field allows you to push out the final balloon payment past the loan’s maturity date to simulate a loan extension, or a balloon default scenario.

Please note

You can use the Extend field in combination with the Svrty/Lag field. For example, to extend a balloon for 5 years with a 35% principal loss, enter 100 in the Extend field, and 35 and 60 in the Svrty and Lag fields, respectively. If you enter a value in the Extend field and the Svrty and Lag fields are left blank, then the cash flow assumes zero for the Svrty and Lag fields.

• Factor {date}. The date of the most current factor available for the security.

• For. The number of days in the current accrual period, based on the settlement date.

• FP applies to commercial mortgage-backed securities only. The FP field allows you to enter a trigger value that determines when prepayments are applied. The following are valid inputs:

• LOCK applies prepayments after the fixed penalty period.

• (Numeric Value) applies prepayments if the projected fixed penalty rate for the loan falls below the value you enter in the FP field. The value you enter is the minimum fixed penalty (a prepayment penalty) ...