38.2.3 WSA Engine and OFSAA Product Characteristic Definition

The Model Integration tab is used for Moody's WSA Integration. This tab is enabled only for the account types “Structured Products - Assets” and “Structured Products - Liabilities”.

Model Selection, Tuning, and tuning parameters for the selected model can be passed through Model Integration in the Product Characteristic UI.

You should logically branch the deals (RMBS, CMBS, SLABS, Credit Cards) in their hierarchy for model­ing the behavior in the following ways:

• Passing the assumptions from a table: You can choose to pass the following assumptions (listed Table) through the FSI_D_BEHAVIOR_ASSUMPTIONS table. These are read from the table and applied to the deal with the matching INSTRUMENT_NUM in the instrument table. In the Model Selection window, you have to select Source system provided against the particular node for modeling with the user-provided assumptions.

  Table 38-1 Assumption Types/Subtype Details:

  ASSUMPTION TYPE	ASSUMPTION SUBTYPE	DESCRIPTION
  PREPAYMENT	PREPAY_CURVE_PSA	Standard prepayment curve measuring for prepayments in the residential mortgage mar­ket.
  PREPAYMENT	PREPAY_CURVE_SMM	Monthly prepayment or default rate.
  PREPAYMENT	PREPAY_CURVE_CPR	Constant Prepayment Rate (CPR): Prepayment percentage expressed as an annual com­pounded rate.
  PREPAYMENT	PREPAY_CURVE_HEP	Home Equity Prepayment: A measure of pre­payments for closed-end, fixed-rate HEL loans. This curve accounts for the faster sea­soning ramp for home equity loans.
  PREPAYMENT	PREPAY_CURVE_ABS	Asset-Backed Securities (ABS): Used in ABS markets, where prepayments differ signifi­cantly from standard mortgages. This model defines an increasing sequence of monthly prepayment rates, which correspond to a con­stant absolute level of loan prepayments in all future periods.
  DEFAULT	DEFAULT_CURVE_CDR	Constant Default Rate (CDR): Default percent­age expressed as an annual compounded rate.
  DEFAULT	DEFAULT_CURVE_SDA	Standard default curve: Measuring for defaults in the residential mortgage market.
  DEFAULT	DEFAULT_CURVE_MDR	Monthly Default Rate
  DEFAULT	DEFAULT_CURVE_SEA­SONED_CDR
  DEFAULT	DEFAULT_CURVE_SEA­SONED_MDR
  DELINQUENCY		A pointer to data for from 30 to 59 day's delin­quency.
  DELINQUENCY		A pointer to data for from 60 to 89 day's delin­quency.
  DELINQUENCY		A pointer to data for 90 plus day's delin­quency.
  RECOVERIES	RECOVERY	Vector of recoveries
  DRAW	HELOC_DRAW_RATES	Vector of annualized draw rates for HELOC.
  FORBEARANCE	FORBEARANCE	Sets the constant or vectored forbearance rate for SLABS deals.
  DEFERMENT	STUDENT_LOAN_REPAY_­TYPE_FULL_DEFER	Capitalize Interest
  DEFERMENT	STUDENT_LOAN_REPAY_­TYPE_PRIN_DEFER	Pay Interest, Balance Flat
  CREDIT_CARDS	CREDIT_CARD_ASSUMP_­YIELD	Portfolio/Annual Yield
  CREDIT_CARDS	CREDIT_CARD_AS­SUMP_REPAYMENT	Repayment Rate
  CREDIT_CARDS	CREDIT_CARD_AS­SUMP_RECOVERY	Loss Rate
  CREDIT_CARDS	CREDIT_CARD_AS­SUMP_PURCHASE	Purchase Rate
  CREDIT_CARDS	CREDIT_CARD_AS­SUMP_DEFAULT	Default Rate

  • When you are passing assumptions, for example, the Prepayment vector, the subtype values can be in; – PSA, SMM, CPR, HEP, and ABS. You must they are passing the correct and acceptable subtype to Moody's. Only one subtype can be applied for prepayment and default per each CUSIP.
  • When passing the delinquency assumptions, the dq30val, dq60Val, and dq90Val mentioned for are not subtypes; rather they are various levels of delinquencies possible. A deal would have all three vectors available.
• ADCo prepayment and default modeling: You can also choose to model through the ADCo model by selecting ADCo in the Model Selection drop-down list. ADCo can only be used against RMBS deals, as ADCo can only model Mortgage-Backed Securities.