Aa7n33  P0 a05P@  )0 0 @ M  U p(HH $ @ˆ -HHH̀̀̀ff@  gd Footnote TableFootnote**.\t.\t/ - :;,.!?hp11: `]( gdTOC' BondManagerCMOsCashflowDescDtEJVsEffEquivEquivPSAGovIsoFaxMacaulay MicroLauncherPrevPrinRecalcRedemReinvRolloverSybaseUniMailUniVuValVolanalyzeanalyzedcolorcolorsdialogejvfactoredpayouts prepaymentspulldown pushbuttontranchetranches volatilitiesxterm   EquationVariables3.0a(*, l$Y. 8:QWXST;  9g=   T   749975: Heading: New Columns that Contain Trigger Values 17924: H2: Mortgage Pricing ;12084: Heading: Changed Attribute Names in Portfolio System D32659: 1Head: Columns Containing Trigger Values or Calculated Values# 913027: BoH Body Side Head: Two prepayment models are used 35753: 2Head: Portfolio System      >$D32659: 1Head: Columns Containing Trigger Values or Calculated Values>$913027: BoH Body Side Head: Two prepayment models are used>$17924: H2: Mortgage Pricing>$;12084: Heading: Changed Attribute Names in Portfolio System>$ 749975: Heading: New Columns that Contain Trigger Values>$ 35753: 2Head: Portfolio System#<$lastpagenum>-<$dayname>, <$monthname> <$daynum01>, <$year>"<$monthnum>/<$daynum>/<$shortyear>I<$dayname>, <$monthname> <$daynum01>, <$year> <$hour>:<$minute00> <$ampm>"<$monthnum>/<$daynum>/<$shortyear>-<$dayname>, <$monthname> <$daynum01>, <$year>"<$monthnum>/<$daynum>/<$shortyear> <$fullfilename> <$filename> <$paratext[ChapName]> <$paratext[Heading1]> <$curpagenum> <$marker1> <$marker2> (Continued)+ (Sheet <$tblsheetnum> of <$tblsheetcount>)Heading & Page <$paratext> on page<$pagenum>Pagepage<$pagenum>See Heading & Page%See <$paratext> on page<$pagenum>. Table All7Table<$paranumonly>, <$paratext>, on page<$pagenum>Table Number & Page'Table<$paranumonly> on page<$pagenum> Table & Page7Table<$paranumonly>, <$paratext>, on page<$pagenum>Table <$paranum>Figure <$paranum>Heading <$paratext>PageNum <$pagenum>Section & Page%section <$paranum> on page <$pagenum>Figure #<$paranum[Figure]>Table Table <$paranumonly>ChapterChapter <$paranum>ChapName and Num#Chapter <$paranum>, <$paratext> ChapNumChapter <$paranum>AppendixAppendix <$paranum> AppendixnumAppendix <$paranum> Appendix Appendix <$paranumonly>A 77AA==DDAFF||??AAIX TOCg+n]fV :M/m0;}6V]?][&Nj;;]j]^l]<]^]`]Y]=]<DV]ʽ]]>P>]?,>`>a>b>c>dr]>N!]xI? ]}sNN]<l,?!]Ԕ55]515151?1l,`]N5]]]55=]@@?6?7@A]x}XX]?fǁ]5NA,iy]] P>}PN2N35N55ԕ]]4]dYV5Nr]r6]r&r'r(rrrrC,5N?dt]E6?]k ?]]9P9VG9t9t9t9tIÉ7]ll'Klll'nmUlUMO]w&P / 0-1QYU\]`f]F]X!M]DMX"YX#S}5tUt!tR]WY[]_a:n>m?:>CHIe#tgqk~e:tPl'etgtll'o8cegik)]Wmoqsuwy{}]m :S ;V <Vm o ]JN67]q s }SSu w y { }                               [               BNVɬ]                                    ! # % ' ) + - / 1 3 5 7 9 ; = ? A C E G I K M O Q RTS]UVP]%qN]S]8].Wǃ]ɮ]]]ɰ1ɲ1 ɴ1    5                 &]              ]              ,]4PPwNWy]N}~]],  2]]  hnNқ]]]]]3VzW}}]]}}}}}}}}}}}}}}}}}}}}}}}}}}}}}}}34}}}}}}}}}}}}}S}}}}}}}}}}}}}} } } } } }}}}}}}}}}}}}}}}}}} }!}"}#}$}%}&}'}(})}*}+},}-}.}/}0}2}3}4}5}6}7}8}9}:};}<}=}>}?}@}A}UB}C}D}E}F}G}H}I}J}K}L}M}O}P}Q}R}S}T}U}V}W}X}Y}Z}[}K]}^}XO  m _}       /}]  ndoN pq]v]l                ˆ ~}gUDh/TgUD|-WO<` Security Recalc Trigger Columns ˆ  ff6,z1 ff6,  3+<Fthen use those values. Remember, however, that the econometric prepay0Gment model only affects numbers that are either in the option-adjusted Iblock or the econometric block. Likewise, changes to the maturity prepayHment model or speed only affect numbers that are either in the maturity @block or the worst block. O PThe  Portfolio Cashflow  application uses the maturity prepayment model p\Rfor computing cash flows. The  Portfolio ROR  application uses either the Jmaturity or econometric model, depending on the pricing mode. If the pricFing mode is constant option-adjusted, then the econometric prepayment Mmodel is used. If the pricing mode is constant spread, then the maturity pre@payment model is used. 66 PWL8UTUT`Global Financial Assumptions ˆH~H~ l H~H~O0Ae1, 23 1e$<$symbols><$numerics><$alphabetics> 2e Level3IX 3e Level2IX 4e Level1IX BeLSymbols[\ ];Numerics[0];A;B;C;D;E;F;G;H;I;J;K;L;M;N;O;P;Q;R;S;T;U;V;W;X;Y;Z CAe <$pagenum> l{1 l3, Prepayment editing by P@Edit Column Values added HHˆ HHˆ l HHˆ HHˆ @ e<$paratext> <$pagenum> e<$paratext> <$pagenum> `e<$paratext> <$pagenum> e<$paratext> <$pagenum> e<$paratext> <$pagenum> GXe 66lcI66l4 Quick column sort buttons P@added ff,}1 Kff,3-= LThe  Edit Column Values  window can distinguish between regular colp@umns and prepayment columns and launches a prepayment edit when @appropriate. Hj%^mNԍeHj%^mNԍeHuHuCIndex Specification ffN,W SxffN,WWA> HPrior to this release, the EJV2 model was available to users of BondMan0Fager in a preview version. In Release 3.5, the EJV2 model becomes the Gdefault model for the system. Changes have been made in the EJV2 model Mthat improve the accuracy of the forecasts. (For users of previous versions, Aglobal financial assumptions are saved and do not change between Pupgrades, so if you wish EJV2 to be the default, you must change it in  GloB7@"bal FInancial Assumptions. ) ˆ5p6 !6  l 6 "6 WUTUTl 66{66w= dAbout BondManager x fThe BondManager package is a portfolio analysis system containing dozens of portfolio and single-secu@rity applications. zJ TFor every analysis, BondManager lets you define your own horizon dates, yield-curve V@@assumptions, prepayment rates, and other investment parameters. {h ]You can enter your own valuations on the fly, or compare and select from several sets of valt@DuationsBridge-supplied, user-defined, or proprietary to your firm. | RBondManager includes prepayment and OAS models customized to the security or pool @Ttype. You can change individual parameters to match your own financial assumptions. } [Indicative information comes directly from the Bridge databases. Bridge maintains detailed 0Vinformation on agency, corporate, and government securities, mortgage pools, mortgage @.generics, CMOs, and asset-backed securities. Ҫ gFormerly called UniVu, this analysis system has undergone extensive changes in the past few months. It 0ߪchas a new underlying architecture, significantly improved performance, and a user-friendly Windows-@Sstyle look and feel. With these changes, BondManager is essentially a new product. = `New Features and Enhancements _-`/Highlights of BondManager Release 3.5 include: #D`MPerformance is enhanced for both single security and portfolio applications. nV RThe new enhanced databases that underlie BondManager provide many new columns for 0bYportfolio displays and reports, and improve data quantity and quality in all BondManager @applications. 5`:User-friendly, Windows-style features improve useability. 8 [Navigating between applications, searching for securities, and sending securities from one @-application to another is faster and easier. <`BNew features simplify setting up portfolio displays and reports. ;`3New windows simplify working with skeleton bonds. W+8UTU<`Performance Enhancements ˆ$6š$6šl $6š$6šWd Nl$Nl QF Ability to save sets of P@assumptions added ff6,%$ff6,'WA`4Performance for long searches is greatly improved. 6e#6e l 6e$6eWl=BondManager Release Notes Release 3.5 31 66%~66 ffl ff6,&ff6,Wd } Uj/ U|-Wt> e 66566'~ ffl Wl%!Wl' Portfolio Holdings P@ enhancements ˆrlAA ffW,%)ffW,'o IOn average, portfolio loads are about twice as fast in BondManager as in NUniVu 3.4.x. Some loads are about three times faster. The  Portfolio Hold7Nings  window now updates much faster after a calculation. Aggregation perB@formance is enhanced. 6l\&6l^DWN`New generics introduced 6l9+a66l9cH New Rollover window P@added ffN,YffN, RE GYou can now use a standard Windows-style dialog box to save, load, and P@delete sets of assumptions. ˆ6u'4 ff,\"7ff,^ED CSeveral changes and additions were made for mortgage generics. The pIWAMs (and ages) for all existing generics were updated to better conform Ito street consensus WAMs for all levels of seasoning. Over 100 new gener@?ics were added to more completely characterize the MBS sector. 66x%46*$Nfflˆ6y** l%!=l'7 Cashflow performance P@ enhanced 666|(66'-E0 fflˆ6}-- 66lD2'66l4}Z Wrong time period for P@ cash flows 66+6*0afflˆ60ˆQ.r666.66-3BL fflˆ633 6660 66 De  DB@><:8630-*%66160Qffl ½ k%'½ 9 6lW86lYo( More intuitive color P@ scheme added ff,;+#dff,9dI XThe new  Rollover  window (also introduced for  Gov/Corp User Security  pWand  MBS User Security ) is simpler than the old  Load and Search  win@Cdow. For more information see  MBS User Security , above. 6l\&M6l^F Generics identified by pmnemonic rather than by @ticker ff6,W5ff6,YpP IWhen you add a new curve to an existing graph, the new curve is assigned pNa new color, and the colors of the curves already in the graph stay the same. IPreviously, the new curve took on the color of the last curve added, and Geach curve already in the graph took on the color of the curve entered @ before it. 6pH&2'X6pHH4S= `Features No Longer Supported B`@This section lists features no longer supported in BondManager. WC8UTDUS`IsoFax and UniMail Zx UW&8UTUT`Historical Analytic Curve 66^66((g | YEconometric Corp Standard Spread Calculated using the cashflow assumptions described in 0:the definition of Econometric Average Life. The spread is 7computed by taking the difference between the yield on the average life, rather than set equal to the nearest on-the-@ run issue. }i NEconometric Corp YieldThe corporate bond equivalent cashflow yield using the 0u4cashflow assumptions described in the definition of @Econometric Average Life. ~ VEconometric Discount MarginUsed to analyze floating rate securities. The spread over 0=the index rate that results in discount rates that produce a ;present value of discounted cash flows equal to the settle6ment price. Calculated using the cashflow assumptions 6described in Econometric Average Life. For government 9and corporate securities, the same as Worst Discount Mar@gin. 窘 UEconometric Discount RateMethod of describing the yield on a discount security. Cal04culated using the cashflow assumptions described in 7Econometric Average Life. For government and corporate @.securities, the same as Worst Discount Rate.  OEconometric Equivalent PSACalculated by applying Bridges prepayment model to 0&6mortgage backed securities. The equivalent PSA is the :prepayment speed that results in the same average life as @$that computed using Bridges model. M OEconometric Prepay ModelIdentifies the model used to compute econometric cash Y@ flows for the current security. h REconometric Prepay SpeedThe speed used to compute econometric cash flows for the t@#current security. Defaults to 100.  WEconometric Prin Start DateThe first date principal is paid by the tranche when using 07the prepayment assumptions used to compute econometric @ cash flows.  TEconometric Prin End DateThe last date principal is paid by the tranche when using 07the prepayment assumptions used to compute econometric @ cash flows. Ѫ JEconometric Redem Date Date on which Econometric Redem Event occurs. The ݪ@ Date and Event are determined. 쪄 MEconometric Redem EventThe redemption event scheduled for Econometric Redem P@Date. Fl]WjYFlYua Users cannot override pprices for individual mort@ gage pools ff,%)lff,'   OThe  CMO/ABS Tranche Cashflow  and  CMO/ABS Deal Cashflow  winP@)dows calculate and repaint much faster. l%l?l' F New CMO database availP@able ff,d%>}ff,dd' ] CThe database that provides BondManager with CMO data now has wider 0Jcoverage of security types (whole-loan CMOs, asset-backed securities, and ECMOs), and a structure that more accurately models these complicated Jsecurities. Data access and calculation are much faster. For example, the Ldata access component of the total time required for option-adjusted spread Mcalculations averages less than one second. This new database is the default ICMO database. For more information see the  New CMO Database Release B;@ Notes . ffN,P+/1ffN,-# HThe common database is the foundation of the Portfolio system and con0Ftains all asset types covered by BondManager. The new common database Kintroduces close to 200 new pieces of information per asset. There is much Gmore indicative information, valuations data, and pricing and mortgage-Jspecific information such as FFIEC information and flux scores. Using the Qnew  Column Editor , you can select from this wealth of information when @>you set up your portfolio display or create a report format. i`Enhancements include:  8Two new blocks of historical information: changes since 07the end of the month and changes since yesterday. This =information includes prices, yields, durations, ratings, and @total return.  :A pricing recipe for every security that Bridge prices. 0:The recipe explains how Bridges evaluations desk arrived @at the published price.  ܪ 7Many new values for CMO tranches, including collateral 0誚6information. These new values allow far more powerful @database searches.  9 FFIEC values and flux scores computed by Bridge for all @)the priced CMO tranches in the database. " 8Option-adjusted durations and convexities (and other OA 0.;information), computed every day for almost all the priced @CMOs in the database. K 8Mortgage aggregates introduced as a security type. (See WH= Mortgage-Backed Securities  on page8.) h 7Calculation of values for CMOs and mortgage aggregates pt5using Bridges newly improved prepayment model. (See HCthe item below,  Two prepayment models used .) 6ro 6^H ffl ff6,n.Jff6,0(Kcause changes or that are changed when you recalculate are listed in these pPrelease notes in  Columns Containing Trigger Values or Calculated ValHues  on page15.) ˆD|HI†CFHI†EE l IV†CIV†DWzd HwCD|HwGG l HwCHwFW{l9Novemebre 18, 1996BondManager Release 3.5# 6c S6A<W8UTUTh Mortgage-Backed Securities ff6,c Pff6,5> \In  Portfolio Holdings  and  Portfolio List , you can now do a quick column P@#sort using the A-Z or Z-A buttons. 6dlp.BL6dl0)(Two prepayment models P@used l1 Ol3. New Recalculation colP@umn option added ffd,r.Jffd,##0*R FThe Portfolio System now produces values based on two types of prepay0 Dment models; an econometric prepayment model and a consensus prepayIment projection. The two types are both extensively used in the mortgage Gmarkets. An econometric model such as EJV2 explicitly forecasts prepayHment changes as a function of interest rates, mortgage age, and time of Myear. This kind of model is an essential part of option-adjusted spread analIysis for mortgages. A consensus prepayment projection on the other hand, Nreflects the current market conditions but is generally stated as a given PSA Eor CPR speedthere is no embedded forecast of how speeds change with @rates, age, or season. c FThe econometric prepayment model and speed are used to compute option-0Eadjusted values and all those values prefaced by Econometric, e.g. CEconometric Average Life and Econometric Corp Mod Duration. In the Qnew common database and in the  Portfolio System  the default prepayment Emodel and speed are EJV2 100. This means that all MBS, ABS, and CMOs Ithat are priced have option-adjusted and econometric values based on the @new EJV2 prepayment model.  DThe consensus projection prepayment model and speed are used to com0Mpute all values that are prefaced by Maturity or Worst. In this case the Fprepayment model and speed used are either PSA or CPR at a speed that @represents market sentiment. / IBoth the econometric values and the maturity and worst values have appro0< Gpriate uses. The econometric values are useful because the econometric Fprepayment model reflects changes in prepayment speed as the mortgage Hages. It distinguishes between mortgages based on year of issue and WAC M(weighted average coupon), it has seasoning effects, and it seasons at a difMferent rate than is implied by the PSA ramp. All of these factors contribute Hto the validity of an option-adjusted simulation. On the other hand the Dstraightforwardness of the PSA and CPR prepayment models makes them Geasy to usethey project a simple prepayment rate over the life of the Emortgage. Moreover, because PSA and CPR models are widely available, Jcalculations in the Maturity and Worst sections of the database (data@*base blocks) are replicable by others. <Ӫ GYou can change the model and speed for both the econometric prepayment PઈEmodel and the maturity prepayment model. Any subsequent calculations ff,\7sff,^G KGenerics are now identified by mnemonic rather than by the old ticker. The pGold ticker was based on a convention used by Salomon Brothers. The mneEmonics now used for naming generics are used consistently throughout CBondManager and other Bridge products. The mnemonics are listed on Hpage 13. 6.*6&&  = `New Column Heading Definitions n`eThe following are definitions of the new column headings available in  Portfolio Holdings . p GCurrent YieldCoupon divided by price, expressed as a percent (such as I@8.27). qX PEconometric Average LifeAverage life, computed using cashflow assumptions that 0d7represent expected outcome. For mortgage backed securi5ties, EJV prepayment model assumptions are used. For 7corporate and government securities, Bridge determines duration is a measure of interest rate risk and is calculated 7by taking a present value weighted average of the time @until receipt of cash flows. wW UEconometric Corp Mod DurationCalculated using the cashflow assumptions described in 0c1the definition of Econometric Average Life. Like 5Macaulay duration, modified duration is a measure of ?interest risk but is expressed such that it represents the per@;centage change in value per unit shift in the yield curve. x`VEconometric Corp OTR PointThe on-the-run issue nearest to Econometric Average Life. y REconometric Corp OTR Spread The difference between the corporate bond equivalent 0 `Econometric Prepayment Model HkqtcHk  ff?,J1Rff?,JJ31u FYou now can choose whether or not to show cash in holdingssimply togpQgle on or off the Show Cash in Holdings option in the  Settings  window. INote that if you have toggled on Account for Cash and/or Include Cash in GSummary Statement, you should also toggle on Show Cash in Holdings. If Oyou do not, the aggregate reflects the cash security, but the cash security is @ not shown. yv'24yv> 6l296l4D IsoFax and UniMail not P@ supported ffF,^W2\BZ-)W:`Pool Mnemonic ff,#[cQff,#; NTo number rows in the  Portfolio Holdings  window, you can select the P@KNumber (No.) column and display it on the left hand side of the window. }B33@2ZfB33-)WM:` DS Ticker })})g'gW> `Percent Market Value 6.6))l  PEconometric Redem IndexInteger value identifying the redemption event that was 04assumed for the computation of the econometric cash @flows.  UEconometric Redem PriceThe price (as a percentage of par) at which the holder of an @0asset can redeem it on Econometric Redem Date.  H PEconometric Sink SpeedFor sinking fund bonds, indicates the sink speed used in 0T9the cashflow assumptions. Possible values include: none, @slowest, or fastest.  o ZEconometric Spot Analytic Spread The basis point spread to the treasury spot curve that, 0{9when used to discount econometric cash flows, results in @the value of the security.   YEconometric Standard OTR Spread For government and corporate securities, the difference 0=between the yield to worst call on the bond and the yield to :maturity of the nearest on-the-run Treasury security (the 1same as Worst Standard OTR Spread). For mortgage-7backed securities, the difference between the cashflow :yield and the yield on the on-the-run Treasury whose term ;is closest to the average life of the mortgage-backed secu8rity. Cash flows and average life are derived using the @econometric prepayment model.   UEconometric Standard OTR TermFor governments and corporates, the number of years to 0<:8630-*% = `,Changed Column Headings in Portfolio System  eSome of the column headings available in the Portfolio system have changed. The following table maps pithe old column headings to the new column headings. The definitions for these and all other headings are @Hlin BondManagers online glossary which you access via the Help button on any BondManager window.   6/6  l3 &(269;=?ACEGIKMOQSUX[_acegikmoqsuwy{} 6*6YMX,MPSV HW%<HHYtS= `Known Problems and Limitations 6`RThis section documents known problems and limitations in BondManager Release 3.5. WX8UTDUS`Mortgage Pools }XZD2fmXZ-)Wp> `FGLMC ,%=>' W:8UTUT`New Databases Available }X33F2knX33-)Wy> `FHLG })XH2mp)X-)W~> `FHLMC GOLD 30 YR ffW,cPtffW,7 \The  Portfolio Holdings  and  Portfolio List  menu options and buttons have 0Gbeen reorganized to be more user-friendly and intuitive. Windows-style @/behavior has been added. Enhancements include:  EThe  Portfolio Holdings  windows  Column Editor , a 0Aportfolio that has been saved to a file outside of the Portfo@ lio system. ? BA Windows-style  Export  window that lets you save a portP@1folio to a file outside of the Portfolio system. }iZJ2nuiZ-)W> `FHLMC lhWdzlYxWm`SBA pools not supported ,Cv 3/.,Cv,ϐ3,ϐ3> 6Al\M6Al^HO Default current coupon P@rates calculated differently 6lcow6l8? Ability to display more P@ rows added }i33L2pvi33-)W > `FHLM })iN2uy)i-)W > `FHLMC 30 YR NON-GOLD ff,ctQff,9W `OYou can enlarge the  Portfolio Holdings  window to display more rows. l:3l V) Toggle between graph and P@table formats added }zZP2vzZ-)W> `FGCI } mn/T m|.W> `Option Adjusted Prepay Speed 6$l#~6$l Overall performance P@enhancements 66z/66,... &(269;=?ACEGIKMOQSUX[_acegikmoqsuwy{} ~= (5Columns Containing Trigger Values or Calculated "@Values  eThere are now 375 columns available in the Portfolio system. Some of these are triggers, which means 0Ihthat a change to that column triggers a recalculation in other columns. Other columns are calculated, ewhich means that they change in response to changes in other columns but do not trigger changes. You fcannot recalculate based on a change to a calculated column, but you do see changes in calculated col@@umns when you recalculate based on changes to trigger columns.  `There are two kinds of trigger columnsmodal and security recalc. Modal columns are columns 0ewhose values depend upon each other, such as price, yield and spread. When you change the value in s imodal column, you set the calculator in that mode. For example, if you change the value in the Price colkumn, the calculator is in price mode, and the recalculation is based on price. All values in other modal @!columns then change accordingly. Ҫ dA security recalc value, when changed, causes a change in another column or columns. Unlike a modal 0ߪkvalue, it does not change in response to a change in any other column. For example, a change in the Settle dDate column triggers a change in the Option Adjusted Spread column, but no changes to other columns @$can cause a change to Settle Date. Q@hTThe security recalc, modal, and calculated columns are listed below. Dl-%?Dl' q New common database P@ available ff$,%{ff$,1 IThe start-up procedures have been modified and restructured to make them pHfaster and simpler. Significant performance enhancements have been made @to the shutdown procedures. }z33R2yz33-)W"> `FHNG ffD,.%}FffD,'v FThe common database, which underlies the Portfolio system, has been 0Fgreatly enhanced. The new common database introduces close to 200 new Ipieces of information per asset. This new database is the default common Hdatabase. For more information see the  New Common Database Release B;HBNotes  and  Portfolio System  on page4. })zT2)z-)W$> `FHLMC GOLD 15 YR ffA,\sIffA,^IH @The 30-year and 15-year current coupon rates for FNMA, GNMA and pGFHLMC are now calculated nightly. The calculation is derived using the Jclosing price of the TBA and its median prepayment speed. Previously, the F30-year FNMA and GNMA rates were calculated nightly as a fixed spread @9off the yield of the on-the-run ten year Treasury note. })3l(`)3E W8:`Command }ZV2Z-)W'> `FHCI 66F7cU663A [ ffl}33X2 33-)W(> `FHNM WzhYzWT8UTUT`Mortgage Total Return ˆ& })Z2 )-)W)> `FHLMC 15 YR NON-GOLD }Z\2 Z-)W*> `FGTW ff4,02ff4,e W ` 6)6^9effl 66y66 (( 2`TFFIEC Zero Shift Prepay SpeedThe prepayment speed used in the zero shift scenario. 3 QMaturity Corp OTR PointThe on-the-run issue that is nearest to Maturity Average @Life. 4 OMaturity Corp OTR Spread The difference between the corporate bond equivalent 08yield and the yield on the nearest on-the-run Treasury. 7Calculated using the cashflow assumptions described in @)the definition of Maturity Average Life. 5c LMaturity Corp OTR TermThe term to maturity (in years) to Maturity Corp OTR o@Point. 6~ QMaturity Corp OTR YieldThe yield on the on-the-run issue identified by Maturity @Corp OTR Point. 7 SMaturity Discount MarginUsed to analyze floating rate securities. The spread over 0=the index rate that results in discount rates that produce a ;present value of discounted cash flows equal to the settle6ment price. Calculated using the cashflow assumptions 8described in Maturity Average Life. For mortgage-backed @/securities, the same as Worst Discount Margin. 8䪙 RMaturity Discount RateMethod of describing the yield on a discount security. Cal04culated using the cashflow assumptions described in @Maturity Average Life. 9  SMaturity Equivalent PSAThe prepayment speed that results in the same average life @.as that computed using Maturity Prepay Model. :& NMaturity Prepay ModelThe prepayment model used to compute the cash flows for 02;the given security. This is generally a street consensus @model. ;M MMaturity Prepay SpeedThe speed used to compute the cash flows for the given Y@;security. The speed represents a street consensus value.  KMaturity Redem DateMaturity date for governments and corporates. NULL for ª@mortgages and CMOs. ?Ѫ LMaturity Redem EventMaturity for corporates and governments. NULL for mortݪ@gages and CMOs. @쪅 PMaturity Redem IndexAn integer value identifying the redemption event that was @#assumed in calculating cash flows. QA`EMaturity Redem PriceThe price (as a percentage of par) at maturity. }33^2 33-)W+> `FHTG })`2)-)W,> `FHLMC GOLD 20 YR 6 6 ))B LMaturity Sink SpeedFor sinking fund bonds, the sink speed used in the cash0:flow assumptions. Possible values include: none, slowest, @ or fastest. C YMaturity Spot Analytic Spread The basis point spread to the treasury spot curve used to @%discount the cash flows to maturity. DH VMaturity Standard OTR Spread For government and corporate securities, the difference 0T;between the yield to maturity of the bond and the yield to :maturity of the nearest on-the-run Treasury security. For 7mortgage-backed securities, the difference between the 8cashflow yield and the yield on the on-the-run Treasury :whose term is closest to the average life of the mortgage-9backed security. Cash flows and average life are derived 4using the projected PSA or CPR. For mortgage-backed @4securities, the same as Worst Standard OTR Spread. E SMaturity Standard OTR TermThe number of years to maturity of the on-the-run Treas0ê:ury that is nearest to the maturity of the bond being ana9lyzed. For mortgage-backed securities, the same as Worst @Standard OTR Term. Fꪘ VMaturity Standard OTR YieldThe yield to maturity of the on-the-run Treasury used for 05the calculation of Maturity Standard OTR Spread. For 7mortgage-backed securities, the same as Worst Standard @ OTR Yield. G SMaturity Standard YieldThe yield to maturity expressed in terms that are standard 0):for the current security. For mortgage-backed securities, @'the same as Worst Standard OTR Yield. HD`JNext Payment Reset DateThe next date on which the payment will be reset. I`DNext Rate Reset DateThe next date on which the rate will be reset. J NNumber Accrued DaysThe number of days used to calculate accrued interest for n@the given settlement date. K} WOption Adjusted AL VolatilityThe standard deviation of the average lives derived from 0:each of the interest rate paths in the Monte Carlo option @,simulation. A measure of average life risk. L ROption Adjusted Down 25 PriceThe price of the security (assuming constant option-09adjusted spread) when the term structure is shifted down @25 basis points. M˪ POption Adjusted Up 25 PriceThe price of the security (assuming constant option-0ת:adjusted spread) when the term structure is shifted up 25 @basis points. N [Option Adjusted Price VolatilityThe standard deviation of the prices derived from each of p9the interest rate paths in the Monte Carlo option simula@tion. A measure of price risk. 6666))O WOption Adjusted Option CostThe difference in basis points between the option-adjusted 0:spread calculated with Bridges default volatility assump:tions and the option-adjusted spread calculated with zero @ volatility. P`POption Adjusted Option ValueThe dollar value of a securitys embedded options. Q TOption Adjusted Prepay ModelThe prepayment model used to calculate option-adjusted T@ values. Rc UOption Adjusted Prepay SpeedThe speed at which the option-adjusted prepayment model o@was run. Defaults to 100. S~ VOption Adjusted Spread ConvexityThe convexity with respect to a change in the option-0:adjusted spread. The calculation is identical to that for :option-adjusted convexity except that for option-adjusted :spread convexity OAS is shifted instead of the term struc@ture. T TOption Adjusted Spread DurationThe duration with respect to a change in the option-0ɪ:adjusted spread. The calculation is identical to that for 9option-adjusted duration except that for option-adjusted 9spread duration OAS is shifted instead of the term struc@ture. U _Option Adjusted Zero Vol Equiv PSAThe PSA speed that results in the same average life as that 08generated with the option-adjusted prepayment model and ;speed at zero volatility. This provides a sense of the pre@8payment speed used in the option-adjusted calculations. V/ [Option Adjusted Zero Vol Spread  Identical to Option Adjusted Spread, but with the assump0;7tion of zero volatility. The difference between Option 4Adjusted Spread and Option Adjusted Zero Vol Spread :can be viewed as the cost in basis points of the embedded @ options. Wn OPrev Coupon ReturnThe interest return on the security since the previous busiz@ ness day. Y RPrev Moody Rating ChangeThe change in Moodys rating since the previous business 0;day. The value is expressed as an integer representing the @*increase (or decrease) in rating scores. Z FPrev OASThis value of the option-adjusted spread at the close of the @previous business day. [˪ HPrev OAS ChangeThe change in option-adjusted spread since the previous ת@business day. \檅 IPrev Prepay ModelThe prepayment model used to price the security on the @previous business day. ] IPrev Prepay SpeedThe prepayment speed used to price the security on the P @previous business day. ff,2X-ff,4E LIn order to focus Bridges technical support on core product functionality, pCBondManager no longer supports UniMail (including Address Book) or @IsoFax. }gp/zrg|/W > `Econometric Prepay Speed }Zb2Z-) W@> `FNCI }33d233-) WA> `FNCI })f2)-) WB> `FNMA CONV 15 YR SF }3Wzl(3WzE W?` BondManager })3Wl()3WE W9`BondManager.ejv -m new 6l:(b06l* Windows-style dialog box pfor managing objects @added }Zh2Z-) WC> `FNCT }33j2$33-) WD> `FNCT }}]bg'hW> ` Accrued lAW%lYrQ More intuitive color P@ scheme added }3kzl(3kzE W?` UniVu 3.4.x })3kl( )3kE W9`BondManager.ejv -m old }3zl(!3zE W ?`Portfolio Holdings })3l( ")3E W:9`BondManager.ejv -m portfolio }3zl(!#3zE W=?` (for help) })3l(")3E W>9`BondManager.ejv -h })l2&)-) WF> `FNMA CONV 20 YR SF ff,BWjff,YsR NIf no principal is found for a tranche, it is deleted from the table, and the pMcolors of the tranches already in the table stay the same. Previously, if no Nprincipal was found for a tranche it was deleted from the table and its color Mwas assigned to the next tranche in the table. All the tranches in the graph @Kchanged color, each one taking on the color of the one entered before it. }Zn2$(Z-)WG> `FNCL ff6,E2,9ff6,4~\7 DMortgage Total Return Holding Period Cashflow  computes and disrIplays cash flows from the horizon date until a security is paid down. It @7should compute the cash flows for the holding period. }33p2&,33-)WH> `FNMA 6>lf+d.6>l9ff Percent Market Value pupdates properly in Portfo@ lio Holdings ˆˆ99})r2(4)-)WI> `FNMA CONV 30 YR SF 6R 26R WZL4MPSV9= h&Mortgage Generic Mnemonics B dGenerics are now identified by mnemonic rather than by ticker. The mnemonics used in the system are P@HOlisted below, mapped to the associated generic tickers they replace.  ff>,g+)fff>,9gh PIn the  Portfolio Holdings  window, when you price an unpriced security pDand then recalculate the portfolio, the Percent Market Value column Fupdates properly. Previously when you entered a price for an unpriced Jsecurity and then recalculated, the Percent Market Value for the unpriced @security remained at zero. NlD+a@Nl-"; Data available to the Portpfolio system more than tri@pled ff,O<(ff,O*  CYou can now use a standard Windows-style dialog box to save, load, pJdelete, and perform other operations (for example, merge, export, import) Kon objects such as portfolios, assumptions, search profiles, table display @.formats, clipboards, scenarios, and reports. lE+@Al-$W%`Attribute names changed ˆnn'ˆ7|}Zt2,5Z-)WJ> `GNGP }33v24633-)WK> `GNGP })x258)-)WL> `GNMA1 GPM 5 YR 3=;;l}Zz26:Z-)WM> `GNSF 66+66 Yaq ffl}33|28<33-)WN> `GNMA 37WUTUTl  })~2:@)-)WO> `GNMA1 SINGLE FAMILY 30 YR e37?e>>l e3e=Wl:30 BondManager Release Notes Release 3.5 63=|6{{ffl}Z2 `GNJO ff,F+1zff,-%& DBecause there is a new common database, some of the attribute names p[available in the  Portfolio Holdings  window have changed. See  Mortgage PGeneric Mnemonics  on page13 for a mapping of old attribute names to @the new names. }332@C33-)WQ> `GNMG })2BD)-)WR> `GNMA1 SINGLE FAMILY 15 YR }Z2CEZ-)WS> `GNPL }332DF33-)WT> `GNPL })2EG)-)WU> `GNMA1 PROJECT LOAN }$Z2FH$Z-)WV> `G2GP }$332GI$33-)WW> `GTGP })$2HJ)$-)WX> `GNMA2 GPM 5 YR CUSTOM }5Z2IK5Z-)WY> `G2SF }5332JL533-)WZ> `GTMA })52K)5-)W[> `!GNMA2 SINGLE FAMILY 30 YR CUSTOM }vKZ*NvKZi)W\> `G2JO }K33*MOK33i)W]> `GTMG }K*NPKi)W^> `!GNMA2 SINGLE FAMILY 15 YR CUSTOM }v\Z*OQv\Zi)W_> `FGFB }\33*PR\33i)W`> `FHBF }\*QS\i)Wa> `FHLMC GOLD 30-5 BALLOON }vmZ*RTvmZi)Wb> `FGSB }m33*SUm33i)Wc> `FHBS }m*TVmi)Wd> `FHLMC GOLD 30-7 BALLOON }v~Z*UWv~Zi)We> `FNCX }~33*VX~33i)Wf> `FNBS }~*W~i)Wg> `FNMA CONV 30-7 BALLOON SF pl$Zpl S  Shifted yield curve calcuP@lator changed ffp,Y:ffp, T FThe calculator for shifted yield curves has changed. You can now edit P@/shifts and current yields quickly and easily. 39 XWY8UTUT`Gov/Corp User Security slA]sl [1 New   Rollover window P@added ffs,\^ffs, \\ XThe new  Rollover  window is simpler than the old  Load and Search  winP@Bdow. For more information see  MBS User Security , above. l]_l ]B Skeleton Bond window P@added ff,^`ff, ^E MThe skeleton bond indicative data now displays in the new  Skeleton Bond 7RUser Security  window, separate from the  Gov/Corp User Security  winB@3dow. See  Skeleton User Security , below. _c _W`8UTUT`Skeleton User Security ff6,o+#ff6,oo9bd`Industry SubType e` Day count f` EOM flag g`Next, First, Last Coupon Date h`&all of the Options fields and buttons i`&all of the Ratings fields and buttons Aj` SIC Code })} )g'hW> `Accrued Interest l`el `J Skeleton Bond window P@added 6H+6)6HH9eU= `Problems Fixed in This Release `1The following problems are fixed in release 3.5. WV8UTDUS`Portfolio System ff,ncff,ng a% OYou can now enter indicative data for skeleton bonds via the new  Skeleton 27MBond User Security  window. (Previously, you used the  Gov/Corp User @Security  window.) a QIndicative information fields in the  Skeleton User Security  window are 0BPthe same as in the  Gov/Corp User Security  window, except that the fol@!lowing fields have been removed: Qbd`Security SubType 6l+.g6l9hb Volatilities applied in pPortfolio Holdings reflected in Portfolio Total @Return ff,+fiff,9ir TIn the  Portfolio Holdings  window, if you apply volatilities to individual pSbonds, these volatilities are reflected in  Portfolio Total Return . Previ@Qously, the volatilities were not reflected in  Portfolio Total Return . lWllY{U Mortgage Total Return pdisplays cryptic error mes@sage 6l+gk6l9ji Drag and Drop enabled pfrom Portfolio List to @Security Search ˆ( ff,+imff,9kj RYou can now drag and drop a portfolio from the  Portfolio List  window to pTthe  Security Search  window. Previously, the portfolio would not load into @'the  Security Search  window. ff,oWhff,oJY|V JWhen you load a mortgage aggregate or pool with a very small factor, such pIthat the factor is paid down at horizon, you may see the following error Hmessage: CS>Error>Internal program failure - In CS_memAlloc(), invalid Ilength: -11. Although the error message seems to imply that the applicaKtion has failed, in fact it has notthe message appears simply because the @!factor is paid down at horizon. 6+ko69lWg8UTUT`Historical Analytic Curve 66266pp ffl 6l+mq6l9mW`Error message added 66266n d? Worst Years To RedemThe number of years to Worst Redem Date. Qd ff,@+off,@9n- ISix curves are allowed in a graph. Previously, when you tried to enter a pKseventh curve, the Yield and Spot lists became blank. Now the lists remain Iand an error message is displayed explaining that you can only enter six @ curves. } r/s |/W > `Option Adjusted Volatility }gt/rtg|0W > `Maturity Prepay Model } v/su |0W > ` Settle Date }gx/tvg|1W> `Maturity Prepay Speed } z/uw |1W> ` Trade Date }g|/v g|2W> `Option Adjusted Prepay Model le lA?o Mortgage aggregates pintroduced as a security @type ff6,jff6, lH+Al-&W`Trigger columns added ff6,3ff6,?Wd T 3?TTTˆ˻6g' 6g6gg ff,7f x ff,77A@ IBondManager uses a new security type, mortgage aggregates, to facilitate 0Mthe analysis and pricing of fixed-rate mortgage-backed securities. There are Japproximately 700,000 fixed-rate pools in our database. In order to price Leach of these and provide accurate derived data like spreads and durations, JBridge groups similar pools together. All pools in a group are then given Hthe same price and derived values. The characteristics of the group are Hembodied in an invented security called an aggregate. There are approxiEmately 24,000 aggregates in the database. Currently there are no ARM @ aggregates. K IAn aggregate is formed by grouping all pools that have the same pool mne0Gmonic, net coupon bin (2 groups for every 1/8th coupon), servicing fee M(<.5, .5-.75 inclusive, >.75) and average origination date or issue date (by Iyear and quarter). Most pools are mapped by issue date for the pool. HowKever, in those cases where the average origination date precedes the issue Jdate by a year or more, Bridge groups the pool by its average origination @date.  檚 NBridge prices each of these aggregates on a daily basis and calculates a full pGrange of derived data. In the Portfolio System, a pool is mapped to an Laggregate and all calculated values are taken from the aggregate. Pools are Jmapped to aggregates for convenience and speed. Please note however, that Lif you wish to calculate the derived values for the pool with complete accuNracy, you may recalculate the pool in the Portfolio System. In this case, the @explicit pool values are used. ˆ26hr 36hr   l ff,"J+zff,"-' LSome of the new attributes are triggers. A trigger is an attribute that, if pFchanged, triggers a change in other columns when you recalculate. For Jexample, if you change the value in the Price column and recalculate, the Kvalue in the Maturity Corporate Yield column changes. (The attributes that 6hr 46hr W-UTUTd 6fUa56fUa  l 6fUa66fUaW.mANew CMO Database Release Notes Release 3.5 # 676 l 686W/d 6T9 6T6TT lg  lAAC Searching for aggregates P@using small search 2uvv3WY2uv2~2~> ff,] h ff,] WAB KTo find an aggregate using a small search line, you must identify its pool pDmnemonic and net coupon, for example, FNCL 8 for a 30 year FNMA conJventional pool with an 8% coupon. To refine the search you can define the Kissue date/average origination date bin by typing in the year and quarter. KThe four quarters are represented by 1/1, 4/1, 7/1, and 10/1. Thus, second Mquarter 1993 is entered as 4/1/93. To further refine the search you can spec@>ify the service fee bin by L (low), M (medium), and H (high). } ~/w |2W> ` }}bqg'$W> ` Average Life }gD/ gD|3W<`Modal Trigger Columns } / |3W> e }}Y]g'gWb> `% Market Value l1VQl32[ Creating portfolio dispplays and report formats made easy with Column @Editor }g/g|4W> `Current Yield } / |4W> `Maturity Standard Yield }g/g|5W> `Econometric Corp OTR Spread } / |5W> `Maturity Standard OTR Spread }g/g|6W> `Econometric Corp Yield } / |6W> `Option Adjusted Spread }g)/g)|7W> `Econometric Discount Margin 6˾}6)eggffl} )/ )|7W> `Price ˆ[))6*6egNNffl}g</g<|8W> `Econometric Discount Rate } </ <|8W> ` Worst Corp OTR Spread 6j6nyyffl}L6/"L6h9W> `"Econometric Spot Analytic Spread }6/ &6h9W> ` Worst Corp Standard Spread ˆ%HA$7++Short Single Line}LI/"'LIh:W > `!Econometric Standard OTR Spread }I/&(Ih:W!> ` Worst Corp Yield }L\/'1L\h;W"> `Econometric Standard Yield 66^663_b fflˆL,,~v‫/`%~v‫/`~v‫ƀ6O*64.iiffl66T/r66,3|| fflˆU33ˆ[ee}\/(2\h;W#> ` Worst Discount Margin }Lo/14Loh<W$> `Maturity Corporate OTR Spread 6X/6.)hhffl}o/26oh<W%> ` Worst Discount Rate Y}L/48Lh=W&> `$Maturity Corporate Standard Spread H{KE$%"H{KEHRHRCFootnote}/69h=W'> ` Worst Spot Analytic Spread }L/8:Lh>W(> `Maturity Corporate Yield }/9;h>W)> ` Worst Standard OTR Spread }L/:<Lh?W*> `Maturity Discount Margin }/;=h?W+> ` Worst Standard Yield }L/<>Lh@W,> `Maturity Discount Rate }/=?h@W-> ` Yield to Worst Call }L/>@LhAW.> `Maturity Spot Analytic Spread }/?AhAW/> ` }LD/@CLDh$BW0<`Calculated Columns }/h$BW1> e }L/ADLh$CW2> `Accrued Interest }/CEh$CW3> `Option Adjusted AL Volatility }L/DFLh$DW4> `Current Holdings (real time) }/EGh$DW5> `Option Adjusted Convexity }L$/FHL$h$EW6> `Econometric Average Life }$/GI$h$EW7> `Option Adjusted Down 25 Price }L5/HJL5h$FW8> `Econometric Average Life Date }5/IK5h$FW9> `Option Adjusted Duration }LF/JLLFh$GW:> `Econometric Corp Convexity }F/KMFh$GW;> `Option Adjusted DV01 }LW/LNLWh$HW<> `Econometric Corp DV01 }W/MOWh$HW=> `Option Adjusted Option Cost }Lh/NPLhh$IW>> `Econometric Corp Mod Duration }h/OQhh$IW?> `Option Adjusted Option Value }Ly/PRLyh$JWE> `Econometric Corp OTR point }y/QSyh$JWF> `!Option Adjusted Price Volatility }L/RTLh$KWG> `Econometric Equivalent PSA }/SUh$KWH> `!Option Adjusted Spread Convexity }L/TVLh$LWI> `Econometric Mac Duration }/UXh$LWJ> ` Option Adjusted Spread Duration ˆY }L/VZLh$MWK> `Econometric Prin End Date 6W 6945lffl}/X[h$MWL> `Option Adjusted Up 25 Price }L/Z]Lh$NWM> `Econometric Prin Start Date ˆs^^ }/[_h$NWN> `#Option Adjusted Zero Vol Equiv PSA 66s\66A k ffl}L/]`Lh$OWO> `Econometric Redem Date }/_ah$OWP> `!Option Adjusted Zero Vol Spread }L/`bLh$PWQ> `Econometric Redem Price }/ach$PWR> `Original Holdings (real time) }L/bdLh$QWS> `Econometric Sink Speed }/ceh$QWT> `!Percent Market Value (real time) }L/dfLh$RWU> `Econometric Year to Redemption }/egh$RWV> `Worst Average Life }L/fhLh$SWW> `Maturity Average Life }/gih$SWX> `Worst Average Life Date }L#/hjL#h$TWY> `Maturity Average Life Date }#/ik#h$TWZ> `Worst Corp OTR Point }L4 /jlL4h$UW[> `Maturity Corp Convexity }4 /k4h$UW\> `Worst Corp OTR Term }g6ng6_$VW]> `Maturity Corp DV01 } 6mo 6_$VW^> `Worst Corp OTR Yield }gGnpgG_$WW_> `Maturity Corp Mac Duration } Goq G_$WW`> `Worst Corporate DV01 }gXprgX_$XWa> `Maturity Corp Mod Duration } Xqs X_$XWb> `Worst Corporate Mod Duration }girtgi_$YWc> `Maturity Corp OTR Term } isu i_$YWd> `Worst Corporate Convexity }gztvgz_$ZWe> `Maturity Corp OTR Yield } z uw z_$ZWf> `Worst Corporate Mac Duration }g"vxg_$[Wg> `Maturity Corporate OTR Point } $wy _$[Wh> `Worst Equivalent PSA }g&xzg_$\Wi> `Maturity Equivalent PSA } (y{ _$\Wj> `Worst Principal End Date }g*z|g_$]Wk> `Maturity Principal End Date } ,{} _$]Wl> `Worst Principal Start Date }g.|~g_$^Wm> `Maturity Principal Start Date } 0} _$^Wn> `Worst Redem Date }g2~g_$_Wo> `Maturity Redem Index } 4 _$_Wp> `Worst Redem Event }g6g_$`Wq> `Maturity Redemption Date } 8 _$`Wr> `Worst Redem Price }g:g_$aWs> `Maturity Redemption Event } < _$aWt> `Worst Redemption Index }g>g_$bWu> `Maturity Redemption Price } @ _$bWv> `Worst Sink Speed }gBg_$cWw> `Maturity Sink Speed } D _$cWx> `Worst Standard OTR Term }g$F g$_$dWy> `Maturity Standard OTR Term } $H $_$dWz> `Worst Standard OTR Yield }g5J g5_$eW{> `Mkt Value (real time) } 5L 5_$eW|> `Worst Years To Redemption }gFN gF_$fW}> ` OA Yield } FP F_$fW~> `Years to Maturity  6v6))x# SEOM Worst Corp Mod DurationA measure of interest risk representing the percentage 0 WPrev Worst Corp Yield ChangeThe change in Worst Corp Yield since the close of the preJ@vious business day. gY JProjected Flux ScoreThe National Association of Insurance Commissioners 0e9index for measuring CMO cash flow variability. The value =is generated daily, based on current rates and factors. Only @0populated for Tranche and Skeleton securities. h LValuation Source A three-character code indicating the source of the valua@tion for this security. i QValuation Source DescriptionText (up to 80 characters) describing the Valuation @ Source. jª IWorst Average LifeThe average life, computed using cashflow assumptions 0Ϊ5that represent expected outcome. For mortgage backed 8securities, Bridge applies consensus prepayment speeds. 6For corporates and governments, Bridge determines the @/worst sinking fund and call, and the best put. Qk`@ Worst Average Life DateThe as-of-date for Worst Average Life. 66 66**l K Worst Corp ConvexityConvexity, calculated using the cashflow assumptions 07described in the definition of Worst Average Life. Con;vexity measures the degree of curvature of the price/yield @curve at the given price. m L Worst Corp DV01The change in price for a security given a one basis point 0E6change in corporate bond equivalent yield. Calculated ;using the cashflow assumptions described in the definition @of Worst Average Life. nl P Worst Corp Mac DurationCalculated using the cashflow assumptions described in 0x8the definition of Worst Average Life. Macaulay duration ?is a measure of interest rate risk and is calculated by taking ;a present value weighted average of the time until receipt @of cash flows. o N Worst Corp Mod DurationThe difference between the corporate bond equivalent 0the average life, rather than set equal to the nearest on-the-@ run issue. v PWorst Discount MarginUsed to analyze floating rate securities. The spread over 0=the index rate that results in discount rates that produce a ;present value of discounted cash flows equal to the settle6ment price. Calculated using the cashflow assumptions 6described in Econometric Average Life. For government 6and corporate securities, the same as Econometric Dis6count Margin. For mortgages, the same as Maturity Dis@count Margin. w쪄 P Worst Discount RateMethod of describing the yield on a discount security. Calp4culated using the cashflow assumptions described in 7Econometric Average Life. For government and corporate @4securities, the same as Econometric Discount Rate. 66))x Q Worst Equivalent PSAThe prepayment speed that results in the same average life @5as that computed using street consensus assumptions. y H Worst Prepay ModelThe prepayment model used to compute the worst cash @ flows for the current security. z K Worst Prepay SpeedThe speed used to compute the worst cash flows for the H@#current security. Defaults to 100. {W P Worst Prin Start DateOnly computed for CMOs. The first date principal is paid 0c5by the tranche when using the prepayment assumptions @&used to compute the worst cash flows. |~ M Worst Prin End DateOnly computed for CMOs. The last date principal is paid 05by the tranche when using the prepayment assumptions @&used to compute the worst cash flows. } P Worst Redem Event Indicates whether the bond is assumed to be put, called, or @matured on Worst Redem Date. ~ N Worst Redem IndexAn integer value identifying the redemption event that was ̪@5assumed for the computation of the worst cash flows. ۪ O Worst Redem PriceThe price (as a percentage of par) at which the security is 0窙5assumed to be put, called, or matured on Worst Redem @Date.  J Worst Sink SpeedFor sinking fund bonds, the sink speed used in the cash0:flow assumptions. Possible values include: none, slowest, @ or fastest. ) U Worst Spot Analytic Spread The basis point spread to the treasury spot curve that, 05;when used to discount the worst cash flows, results in the @value of the security. GP R Worst Standard OTR Spread For government and corporate securities, the yield to 0\9maturity of the on-the-run Treasury used for the calcula6tion of the Econometric or Worst Standard OTR Spread. 8This attribute is the same as Worst Standard OTR Yield. 8For mortgage-backed securities, the yield on the on-the-:run Treasury whose term is closest to the average life of :the mortgage-backed security. Cash flows and average life @-are derived using the projected PSA or CPR.  PWorst Standard OTR TermThe number of years to maturity of the on-the-run Treas0:ury that is nearest to the maturity of the bond being ana@lyzed. ڪ T Worst Standard OTR YieldThe yield to maturity of the on-the-run Treasury used for 檅@#the calculation of the OTR spread.  P Worst Standard YieldThe yield on the bond expressed the standard form for the p4security. Calculated using the cashflow assumptions @3described in the definition of Worst Average Life. }D0%D2'mW > `Worst Standard Yield  W8YqW,8UTUT`CMO/ABS Deal Cashflow Table dYk_3.0dYkdYdY}D0*%D2'nW"> `Worst Corp Yield  Ho. E$7#Ho. EHzHzC Single LineH$"(''Footnote 6l%6l'= Security Search performP@ance enhancement }0 2'mW#> `Yield To Worst  #  H. DfE$#\H. DfEHHC Double Line}D0-*D2'oW$> `Maturity Corp Yield }0) 2'nW%> `Yield To Eff Redem }D 00-D2'pW&> `Option Adjusted Volatility 5} 0+)2'oW'> `Yield ˆfll}D030D2'qW(> `Maturity Corp Standard Spread } 0/+2'pW)> ` Volatility }D063D2'rW*> ` Trade Date ˆ4W}01/2'qW+> `Spread 662W66Y,,- ffl}D086D2'sW,> `Econometric Prepay Speed }0512'rW-> ` Pricing Date }D0:8D2'tW.> `Econometric Prepayment Model }0752'sW/> `Prepayment Speed }D0<:D2'uW0> `Original Holdings ($000s) }0972'tW2> `Prepayment Model }D~0><D~2'vW3> `Option Adjusted Yield }0;92'uW4> `Original Holdings }Dm0@>Dm2'wW5> `Option Adjusted Duration }~0=;~2'vW6> ` OA Yield }D\0B@D\2'xW7> `Option Adjusted DV01 }m0?=m2'wW8> ` OA Duration }DK0DBDK2'yW9> `Option Adjusted Convexity }\0A?\2'xW:> `OA DV01 })3}F)3g'|W;> `Option Adjusted Spread }K0AK2'yW<> ` OA Convexity })"}HF)"g'}W>> `Maturity Corp Mod Duration }3}EC3g'|W?> `OAS })}JH)g'~W@> `Maturity Date }"}GE"g'}WB> `Modified Duration })}LJ)g'WC> `Market Value ($000s) }}IGg'~WD> ` Maturity })}NL)g'WE> `Maturity Corp Mac Duration }}KIg'WF> `Mkt Val ($000) })}PN)g'WG> `First Coupon Date }}MKg'WH> `Macaulay Duration })}RP)g'WI> `Worst Corp Standard Spread }}OMg'WJ> `First Coupon Dt })}TR)g'WK> `Worst Redem Price }}QOg'WL> `Eff Redem Spread })}VT)g'WM> `Worst Redem Event }}SQg'WN> `Eff Redem Price })}ZV)g'WP> `Worst Redem Date }}USg'Wd> `Eff Redem Event })}aZ)g'We> `Worst Corp OTR Point }}Yg'{WQ:`Old Column Heading })}X)g'{W^:`New Column Heading }}WUg'W> `Eff Redem Date })x}ka)xg'W> `Debt Type Description H$(`]_ Double Line \_ˆ_gg \]H$\sdd Single Line}}[Wg'W > `Eff Redem Benchmark })g}|k)gg'W > ` Accrual Date  `66^0662  ffl66b^66l;; ffl}x}c[xg'W> `Debt Type Desc 6i.6gr^^fflˆlrr66on66lxee fflHZ$`t TableFootnote EDRbE$sEDRbEEPwEPwC TableFootnoteˆrxx })V}|)Vg'W> `Maturity Corp DV01 6uv6r fflˆx ! ff,jWqff,YyWs7`3MBS User Security  does not support SBA pools. }g}wcgg'W> `Dated  Hb@E$tHb@EHYHYCShort Single Line ff6,| \"ff6,||  ^C`9Here are some examples of valid searches for aggregates.  9FNCL 8 4/1/93 MReturns the 30 year FNMA conventional 8 0)issued 2nd quarter 93 with a service fee @ between 50 and 75 basis points. D 5GNJO 7.5 95Returns all 15 year single family GNMAs P@(issued in 1995 with a net coupon of 7.5 a 7FGCI 93 HReturns all 15 year Freddie Golds issued in pm.1993 with a service fee greater than 75 basis @points. })E} )Eg'W> `Factored Holdings ($000s) }V}wVg'W> `DV01 })4}P )4g'W*> `Maturity Corp Convexity 66{y66x  ffl}E}Eg'WN> `Current Holdings ˆ~"6ށ 6 fflˆބ#66އ66 fflˆފ$6ލ6fflˆސ%66ޓ66 fflˆޖ&6ޙ6nffl })#}TP)#g'WO> `Collateral Remaining Term  ff,x[ff, W* OIn the  Historic Analytic Curve  window and in all other windows where pFyou can view data in either table or graph format, you can now toggle @Bbetween graph and table formats instead of using an option menu.  l[Al YWZ`Data entry simpler  ff,i9\ff,ii Z0`(Several changes make data entry easier: C :The Security Type and Industry Type selection tables have @"been replaced by pulldown menus. [`%Asset Status is now a pulldown menu. D`+Status Changed Date is a data entry field. 7 9Rating has been changed from a table to a pushbutton and Pf@data entry field.  ff6,q*(Gff6,qq`#*W'@h  %H'W@8UTUT`System-Wide Enhancements 6l+(EK6l* More powerful small P@search capability added l%FJl'  Main window faster and P@ data-driven 6\a6^JWW8UTUT`MBS User Security ff,%HLff,' @The new BondManager main window is data-driven rather than menu-pLdriven, and uses a different, faster method of navigation. You can go to an Oapplication by entering a security id (such as CUSIP, ticker, or asset id, for @ ` Convexity ff,1ff,  33] PThe new  Column Editor  window makes it easy to select and organize the @;columns you want to use in a portfolio display or report.  PMany new columns are available, and the  Column Editor  lets you select 0Jviews (subsets) of this huge selection. For example, you can choose All Dattributes, CMO attributes, Econometric attributes, Option-Adjusted Pattributes, or Pricing attributes, to name only a few of the views available. @FThis makes it possible to easily create displays or reports such as: q 9An end-of-month report using the comprehensive selection }@of EOM attributes `5A comparison of econometric and maturity attributes A!`0An explanation of how Bridge derived its prices })}XT)g'WQ> `(attribute no longer exists) ff+,L1(OWff+,LL*3`;The  Search Results  window has three new options: 4`6Select All Lets you select all securities in a list. 5`!Deselect All Undoes Select All. 6 7Send To Lets you send one or more selected securities PI@to a selected application. }#}R&#g'WS> `Collateral WAM })}]X)g' WT> `(attribute no longer exists)  6l3(SZ6l* Send To button added to P@application windows }}URg'WV> `Collateral WAC })}f])g'!WW> `(attribute no longer exists) ff,5(W\ff,*9 EBondManager windows have a Send To button which lets you send a secuP@ rity to a selected application.  6l7(Z^6l* Easier entry of security P@search criteria allowed }}YUg' WY> `Collateral Program ff,9(\`ff,* CEntering search criteria is simpler. You no longer need to use the 9Rx.ticker  notation. (For example, you do not have to enter  m. before bTagency for a mortgage generic, or  t.  before the issue id and series for a @CMO tranche.) })}of)g'"WZ> `(attribute no longer exists) 6l;(^b6l*W `Security Search 6l\Ie6l^KX New Rollover window P@added ff,=(`ff,* HYou can now search specifically for mortgage pools, mortgage aggregates P@and mortgage generics.  ff,\agff,^L^ XThe new  Rollover  window (also introduced for  Gov/Corp User Security  pXand  Skeleton User Security ) is simpler than the old  Load and Search  Iwindow. There are now only two steps: first enter the name of the actual Nsecurity replacing the user security, and then select the portfolios in which @ you want the rollover to apply. }}_Yg'!W\> `Collateral Percent 6\ei6^MWl8UTUT`Mortgage Description  6l\gk6l^Nr New fields added for SBA P@pools })}uo)g'#W]> ` Agency Name ff,@ \iff,@ ^O GThree new fields are available for SBA pools in the  Mortgage Pass-7IThrough Description  window: Original Loans, Remaining Loans and PreB@paid Balance. }}j_g'"W_> `Collateral Net Coupon })} u)g'$W`> `Maturity Average Life }}qjg'#Wa> `Collateral Agency HlCFHl}} l HlCHl|W d (ˆ3LeftˆRightˆ$ Referenceˆˆ%ˆ(ˆ+ˆ .ˆ 1ˆ ˆ cˆ ˆ \ˆˆC AllOthersˆ +ˆ Wˆ 2ˆFirstˆTOCˆIXˆ *ˆ/ˆ/ˆregularˆ}ˆ0ˆ*ˆ^ˆ.ˆ nˆ!vˆ "yˆ!# ˆ"$ˆ#%ˆ$&ˆ%'ˆ&(2ˆ'jf@T   TableTitle T:Table .  $f@B  1BuB:\t. f@ Body. f@   TableHeading. ~$ f@B  1BuLastB:\t. ~$ f@  1DefList. $f@    1Defstruct. f@T 1HeadBody. ~$f@S 1Step10UnB S:\t. $$f@S $.StepEx10UnBS:\t. f@  TableBody. f@T   TableTitleT:Table : . f@  TableBody. 6$$f@B 6 BullB:\t. f@ BodyHead. f@ BodyHead.  $f@B  1BuB:\t. &f@ CellBody. f@ BoH Body Side Head. $$ f@ Body.  f@T   H2Body. 6$$f@B 6 BullB:\t. 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