MBSDetails: MBSDetails

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

MBSDetails creates an MBS pass-through cusip object in the local environment

Usage

MBSDetails(
  Cusip = "character",
  ID = "character",
  BondType = "character",
  Issuer = "character",
  Underwriter = "character",
  Sector = "character",
  Coupon = numeric(),
  IssueDate = "character",
  DatedDate = "character",
  Maturity = "character",
  LastPmtDate = "character",
  NextPmtDate = "character",
  Term = numeric(),
  WALA = numeric(),
  WAM = numeric(),
  PaymentDelay = numeric(),
  Moody = "character",
  SP = "character",
  BondLab = "character",
  Frequency = numeric(),
  BondBasis = "character",
  GWac = numeric(),
  OrigLoanBal = numeric(),
  OrigLTV = numeric(),
  AmortizationType = "character",
  AmortizationTerm = numeric(),
  Index = "character",
  Margin = numeric(),
  FirstPmtDate = "character",
  FinalPmtDate = "character",
  Servicing = numeric(),
  PMI = numeric(),
  GFeePremium = numeric(),
  InitialInterest = "logical",
  InterestOnlyPeriod = numeric(),
  FirstPrinPaymentDate = "character",
  BalloonPmt = "logical",
  BalloonDate = "character",
  MBSFactor = numeric(),
  OriginalBal = numeric(),
  CurrentBal = numeric(),
  Model = "character",
  Burnout = numeric(),
  SATO = numeric()
)

Arguments

Cusip	A character the Pass Through MBS cusip.
ID	A character string the pool number.
BondType	A character string the type of Bond MBS, etc.
Issuer	A character string the Issuer
Underwriter	A character string the Underwriter
Sector	A character string description of the Sector Mortgage Sector
Coupon	A numeric value the Bond Coupon.
IssueDate	A character string the issue date of the security.
DatedDate	A character sting The date following the issue when interest begins to accure.
Maturity	A character sting the final payment date to the investor in the case MBS the final payment data assuming 0 CPR.
LastPmtDate	A character string the date the last scheduled payment to the investor.
NextPmtDate	A character string the date of the next scheduled payment to the investor.
Term	A numeric value the original term of the underlying mortgages
WALA	A numeric value the weighted average loan age of the underlying mortgages
WAM	A numeric value the weighted average maturity of the underlying mortgages
PaymentDelay	A numeric value in the case of MBS the delay of the payment from the trust to the investor
Moody	A character string Moody's assigned credit rating
SP	A character string SP's assigned credit rating
BondLab	A character string BondLab's or the user's assigned credit rating
Frequency	A numeric value string the frequency of payments made to the investor
BondBasis	A character string the basis on which interest is calculated
GWac	A numeric value the borrower's note rate
OrigLoanBal	A numeric value the original balance of the loan
OrigLTV	A numeric value the borrower's original loan to value ratio
AmortizationType	A character sting the type of the loan 'fixed' or 'arm'. These values are used by the prepayment model to drive the mortgage rate either fixed or adjustable mortgage rate
AmortizationTerm	A numeric value the term of the loan in years
Index	A character string if the amortization type is adjustable the Index to which the note rate references
Margin	A numeric value the spread over the index used to determine the borrower's note rate
FirstPmtDate	A character string the date of the first payment of the borrower's note.
FinalPmtDate	A character string the date of thee final payment of the borrower's note. In the case of an MBS the final payment made to the bondholder
Servicing	A numeric value the servicing spread from the Gross WAC to the servicer of the mortgage pool's underlying loans.
PMI	A numeric value the primary mortage insurance paid by the borrower to the PMI provider
GFeePremium	A numeric value the guarantee fee taken from the borrower's note rate to guarantee timely payment of principal and interest. Applicable in the case of Fannie Mae, Freddie Mac, or Ginnie Mae pools.
InitialInterest	A logical indicating the note carries an interest only period
InterestOnlyPeriod	A numeric value indicating the note's interest only period
FirstPrinPaymentDate	A character string indicating the first principal payment date due of the mortgage.
BalloonPmt	A logical indicating the mortgage carries a balloon pmt.
BalloonDate	A character string the balloon payment date.
MBSFactor	A numeric value the current factor of the MBS.
OriginalBal	A numeric value the original balance of the MBS.
CurrentBal	A numeric value the current balance of the MBS.
Model	A character string the prepayment model to use.
Burnout	A numeric model the value of the borrower burnout.
SATO	A numeric value the borrrowers Spread AT Origination over the

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.