Abstract:
A investment portfolio accounting system and method are provided. The system determines the percentage ownership in a number of investment securities. The system flags securities according to predetermined accounting and business rules. Consolidating or derecognizing the security with others interests is also determined by the system in accordance with predetermined rules. In one example, the accounting system flags (or communicates) a determination to consolidate according to percentage ownership. System reports generated by the accounting system are chronicled in a reporting database for downstream accounting systems.

Description:
CROSS REFERENCE TO RELATED APPLICATIONS 
       [0001]    This application claims the benefit of U.S. Prov. Ser. No. 60/944,049, filed Jun. 14, 2007, entitled “System and Method for Generating Consolidation Indicators,” hereby incorporated by reference in its entirety. 
     
    
     BACKGROUND 
       [0002]    Financial institutions and other companies frequently issue, trade, and otherwise buy and sell financial instruments. Various types of financial instruments exist that seek to satisfy different needs of investors that might purchase the instruments. For example, in the mortgage finance industry, such financial instruments include mortgage backed securities (MBSs), real estate mortgage investment conduits (REMICs), grantor trusts, stripped MBSs, whole loan REMICs, private label REMICs, MBS backed by all or portions of MBS that have been consolidated into a larger pool (MEGAs), and so on. These financial instruments may be backed directly or indirectly by interests in mortgage loans that have been sold by lenders into the secondary mortgage market, either alone or as part of a pool of loans. Upon sale of such loans, lenders can turn around and make new loans using proceeds from the sale. In effect, this arrangement facilitates the flow of capital from the global capital markets to the mortgage industry to fund home ownership. The increased availability of capital reduces interest rates as compared to the interest rates that would otherwise be available, and therefore makes home ownership more affordable for an increased number of individuals. 
         [0003]    Often, ownership of such financial instruments is divided over multiple investors (e.g., companies that invest in such instruments). For example, when a company issues a security, it may sell fractional interests in the security to a number of different investors, as well as retain the remaining ownership interest for its own portfolio. Also, for some securities, different tranches may be created that have different risk/return profiles. 
         [0004]    Issuing financial instruments often involves the creation of entities such as variable interest entities, qualified special purpose entities, bankruptcy-remote entities, trusts, and so on. (Herein, such entities are referred to generically as “investment entities.”) For example, in creating a mortgage-backed security, a bankruptcy-remote trust is established for the purpose of holding the mortgages that back the security. 
         [0005]    Various accounting standards govern accounting for investment instruments and investment entities. For example, FIN 46 (FASB Interpretation Number 46, revised December 2003), entitled “Consolidation of Variables Interest Entities” is the accounting rule that addresses the consolidation of variable interest entities (VIEs) and trusts (herein, “FIN 46 investment entities” or, more simply, “FIN 46 entities”). FIN 46 is an interpretation of Accounting Research Bulletin (ARB) No. 51, “Consolidated Financial Statements,” and provides guidance concerning whether variable interest entities must be consolidated onto a company&#39;s balance sheet. Variable interest entities, formerly known as special purpose entities (SPEs), are characterized as such based on the inadequacy of at-risk capital and the lack of control exercised by the equity owners. The investment entities discussed above are often variable interest entities. Thus, companies that have ownership interests in such entities apply FIN 46 to determine whether such entities need to be consolidated onto the company&#39;s balance sheet. 
         [0006]    Under FIN 46, companies that issue securities need to evaluate the securities for percentage ownership to determine proper accounting treatment. Securities may need to be consolidated, deconsolidated, or accounted for as secured borrowings when different ownership percentage thresholds are reached. 
         [0007]    In some instances, it may be desirable to perform FIN 46 accounting on a highly granular basis. For example, it may be desirable to perform FIN 46 accounting on a daily basis. This may be desirable, for example, where the day-to-day variations in the percentage ownership and other parameters are sufficient to potentially cause differing daily accounting results under FIN 46. Additionally, it may be desirable to perform more detailed analysis in connection with certain types of structured transactions securities (e.g., REMICs, MEGAs, and so on). For example, for such securities, a “look-through” may be performed to the underlying collateral. In other words, the security is replaced by its underlying collateral pieces for percentage in inventory analysis. The look-through may be iteratively performed on a level-by-level format. That is, if an underlying level of collateral contains another structured transaction security (e.g., another REMIC, MEGA, and so on), this level of look-through is stored, and another look-through is performed on the next underlying level security. 
         [0008]    Application of accounting standards often requires qualitative analysis including the exercise of professional judgment. However, such qualitative analysis is often not readily susceptible to being reduced to computer-implemented rules. 
         [0009]    An ongoing need exists for improved systems and tools that facilitate appropriate consolidation and de-consolidation of investment entities. However, it should be understood that the techniques described and claimed herein may also be applied to meet other needs instead of or in addition to the above needs. 
       SUMMARY 
       [0010]    In one embodiment, the invention relates to a computer-implemented data processing system comprising a consolidation engine and an accounting engine. The consolidation engine is configured to perform consolidation testing to assess whether investment entities should be consolidated onto a balance sheet of a reporting entity in accordance with predetermined accounting standards. The investment entities are associated with fungible investment instruments. The consolidation engine is configured to receive accounting treatment indicators which are at least partially manually generated and which reflect qualitative accounting assessments. The consolidation engine is configured to generate consolidation indicators that reflect results of the consolidation testing assessment. The accounting engine is configured to consolidate or deconsolidate the investment entities from the balance sheet of the reporting entity based on the consolidation indicators. 
         [0011]    In another embodiment, a computer-implemented data processing system comprises a consolidation engine, a look-through engine, and an accounting engine. The consolidation engine is configured to perform consolidation testing to assess whether investment entities should be consolidated onto a balance sheet of a reporting entity in accordance with predetermined accounting standards. The investment entities are associated with fungible investment instruments. The consolidation engine is configured to generate consolidation indicators that reflect results of the assessment. The look-through engine is coupled to the consolidation engine and is configured to replace tranches of an investment instrument by collateral that backs each tranche and transfer the owned unpaid principal balance of the tranches to the underlying collateral. The look-through engine is configured to cooperate with the consolidation engine to perform additional ownership tests on each of the underlying collateral pieces to determine if additional consolidation is to be performed on the underlying collateral. The accounting engine is to receive the consolidation indicators and to consolidate or deconsolidate the investment entities from the balance sheet of the reporting entity based on the consolidation indicators. 
     
    
     
       BRIEF DESCRIPTION OF THE DRAWINGS 
         [0012]    The exemplary embodiments will hereafter be described with reference to the accompanying drawings, wherein like numerals denote like elements. 
           [0013]      FIG. 1  is an overview of a data processing system that is configured to generate consolidation indicators in accordance with an exemplary embodiment. 
           [0014]      FIG. 2  is a flowchart of a process for the generation of consolidation indicators in accordance with an exemplary embodiment. 
           [0015]      FIG. 3  is a data flow diagram showing the generation of consolidation indicators in accordance with an exemplary embodiment. 
           [0016]      FIGS. 4-11  are flowcharts showing the operation of the consolidation system of  FIG. 1  in accordance with an exemplary embodiment. 
       
    
    
     DETAILED DESCRIPTION 
       [0017]    Referring now to  FIG. 1 , an overview of a computer-implemented data processing system  100  for generating consolidation indicators  110  according to one embodiment is shown. The consolidation indicators  110  may be used to provide downstream accounting systems with ownership and consolidation status information for instruments in a portfolio of investments. Herein, for purposes of providing an example, the data processing system  100  is described in the context of a reporting entity. The reporting entity may be a company that operates the data processing system  100 , and uses the data processing system  100  to generate filings for a regulatory body such as the Securities and Exchange Commission. The data processing system  100  may be used to facilitate accounting in compliance with FIN 46 and/or other accounting standards. 
         [0018]    As described in greater detail below, the data processing system  100  generates the consolidation indicators  110  by determining fair value percentage ownership for each financial instrument in a portfolio of financial instruments and by applying consolidation thresholds as prescribed by an accounting policy. The consolidation indicators  110  may, for example, be generated on a regular basis as collateral is purchased and sold out of the retained portfolio of the reporting entity. In an exemplary embodiment, the consolidation indicators  110  are generated on a daily basis. The consolidation indicators  110  may be used to indicate the daily consolidation status of the relevant investment entity (e.g., a trust) to downstream accounting systems  252 - 260  ( FIGS. 2-3 ). The consolidation indicators  110  may be determined based on the percentage ownership in the financial instrument, various accounting standards and interpretations (e.g., FIN 46(R) and related accounting policies and standards), and so on. 
         [0019]    The data processing system  100  includes a financial data warehouse  120  and a centralized consolidation system (CCI)  130 . The data warehouse  120  may be a database configured to hold information concerning different financial instruments that may be processed by the consolidation system  130 . The financial data warehouse  120  may receive and store daily position information from one or more databases  124  (e.g., different databases associated with different types of financial instruments). Although multiple databases  120 ,  124 ,  190  are shown, it will be appreciated that a single database may also be used. 
         [0020]    The financial data warehouse  120  may also receive and store accounting treatment indicators  128  from other upstream systems. As described in greater detail below, the accounting treatment indicators  128  may be manually generated and may reflect qualitative assessments including professional accounting judgments that may be exercised in connection with the various financial instruments for which processing is performed. 
         [0021]    The information that is received from the instrument-specific databases  124  and the information embodied in the accounting treatment indicators  128  may be received at different times and updated with different frequencies. For example, in an embodiment where the data processing system  100  provides consolidation indicators on a daily basis, at least some of the information from the databases  124  may be updated on a daily basis (e.g., the daily position information for the various securities). On the other hand, the information embodied in the accounting treatment indicators  128  may be updated less frequently (for example, once per quarter, once per annum, etc.) or not updated at all. For example, the information embodied in the accounting treatment indicators  128  may be defined once, e.g., when the financial instrument is created, or when an accounting review is performed, and not thereafter updated. 
         [0022]    The consolidation system  130  receives the daily position information and the accounting treatment indicators  128  from the financial data warehouse  120  and processes this information to generate the consolidation indicators  110 . The consolidation system  130  comprises an ETL (Extract, Transform, Load) service  170 , a consolidation service  180 , and a consolidation service database  190 . 
         [0023]    The ETL service  170  further includes a database read/insert process  172 , a daily position calculator  174 , a pre-stage data process  176  and a publishing engine  178 . The database read/insert process  172  is configured to read data from the database  120  which stores input data for the consolidation system  130 . The read/insert process  172  also reads the data in the database  190 . The read/insert process  172  also writes data to the databases  120  and  190 . 
         [0024]    The daily position calculator  174  processes data concerning the financial instruments, including initial security balances and daily trade activity, to calculate the daily final position for the financial instruments. This calculation may be performed each day for each financial instrument. Operation of the daily position calculator  174  is shown in greater detail below in  FIG. 4 . 
         [0025]    The pre-stage data process  176  receives data from the database read/insert process  172  and the daily position calculator  174  and pre-processes data in preparation for the consolidation engine  182 . The pre-processing enables the creation of optimal data structures and removes a level of dependence on the data warehouse  120  and other input sources for consolidation processing in the consolidation engine  182  and the REMIC/Mega look-through engine  184 . The pre-stage data process  176  denormalizes, aggregates and/or joins multiple sources of data in preparation for the consolidation service  180 . The pre-stage data process  176  consolidates sources of data into the structure required for the consolidation database  190 , and insulates processing of the consolidation service  180  from the implementation of the interfacing systems. The pre-stage data process  176  also determines the initial ordering of processing by sorting the results from the daily position balance calculation, by date and security type. The pre-stage data process  176  may also perform data cleansing. 
         [0026]    The publishing engine  178  publishes final data back to the financial data warehouse  120 . For example, the publishing engine  178  makes the final daily indicators  110  available to the financial data warehouse  120 . The publishing engine  178  may use the database read/insert process  172  in this process. 
         [0027]    The consolidation service  180  is coupled to receive data from the ETL service  170  and further includes a consolidation engine  182 , a REMIC/Mega look-through engine  184 , an accounting flagging engine  186  and a control reporting engine  188 . On a daily basis, the consolidation engine  182  performs “first level” consolidation and determines ownership percentage and applies consolidation tests to each instrument. The consolidation service  180  determines ownership percentage and applies consolidation tests to each CUSIP in the pre-stage data process  176 . (“CUSIP” refers to the unique nine-digit number identifying each security, administered by the Committee on Uniform Security Identification Procedures. Herein, the term “CUSIP” is also sometimes used to refer to the security itself.) The consolidation engine  182  is also a controller component and invokes the REMIC/MEGA look-through engine  184  and the accounting flagging engine  186 . The consolidation engine  182  starts the process with an order generator and retrieves CUSIP from the consolidation counter (initialized by daily position balances). After conducting a series of tests, including QSPE evaluation tests (Q-fails), ownership percentage test, issue date test, sales thresholds test, as of date test, security type test, etc., a consolidation flag is set for each of the CUSIPs. (An entity that meets the requirement to be treated as sale under FAS 140 is a qualified special purpose entity or “QSPE” and does not have to be consolidiated.) 
         [0028]    Consolidation decisions are driven by the ownership thresholds as well as by additional thresholds obtained in QSPE and primary beneficiary tests. Ownership percentage calculation is based on the fair value of the retained unpaid principal balance (UPB) of the instrument divided by the fair value of the origination UPB (issuance). UPB amounts are the approximation of the fair value for those securities that do not need to include weighted average amounts in the calculation. Operation of the consolidation engine  184  is shown in greater detail in  FIGS. 5A-5B ,  6 ,  7 A- 7 B,  8 A- 8 C, and  9 A- 9 B. 
         [0029]    The REMIC/MEGA look-through engine  184  replaces REMIC tranches by the collateral that backs each tranche and transfers the owned UPB of the tranches to the underlying collaterals. Once a REMIC or MEGA has been determined to be consolidated, the consolidation engine  182  uses the look-through tree to identify the underlying collaterals. Additional ownership tests are then performed on each of the collateral pieces to determine if additional consolidation must be performed on these securities. The REMIC/MEGA look-through engine  184  handles MEGA Securities held in portfolio in the similar way. Operation of the REMIC/MEGA look-through engine  184  is shown in greater detail in  FIGS. 10A-10C . 
         [0030]    The accounting flagging engine  186  derives the accounting flag for each instrument from the comparison of the current day consolidation flag to the prior day&#39;s accounting flag, and based on those two values, populates the current accounting flag based on a predetermined matrix. Operation of the accounting flagging engine  186  is shown in greater detail in  FIG. 11 . 
         [0031]    The control reporting engine  188  provides reports for control and monitoring. Various types of reports may be provided, including upstream data load statistics and exceptions; consolidation process statistics and exceptions; downstream data statistics and reconciliations. 
         [0032]    Referring now to  FIG. 2 ,  FIG. 2  provides an overview of the operation of the data processing system  100 . At step  202 , the consolidation system  130  interacts with multiple upstream data sources, all through the financial data warehouse  120 . The database bulk read/insert process extracts data from the financial data warehouse  120  and transfers the data to the consolidation service database  190 . At step  204 , daily position balances are calculated and reference data staged. The consolidation engine  182  sets the consolidation flag for each CUSIP based on consolidation tests and QSPE Evaluation Tests (Q-fails). For REMICs/MEGAs, the look-through engine  184  transfers UPB from tranches to underlying collaterals. At step  208 , the accounting flag is derived for each CUSIP from the prior day accounting flag and the current consolidation flag by the accounting flagging engine  186 . At step  210 , once the data is processed through the consolidation system  130 , the output is ready to be written to the financial data warehouse  120 . The data is then available to be used by downstream applications  252 - 260 . The control reporting engine  188  may also be used to generate data reports, statistic reports, and exception reports. 
         [0033]    Referring now to  FIG. 3 ,  FIG. 3  shows the flow of information through the consolidation system  130  in greater detail according to one embodiment. As a general matter, as shown in  FIG. 3 , the consolidation system  130  receives inputs (shown generally on the left side of  FIG. 3 ), performs processing on the inputs (using logic depicted generally in the middle of  FIG. 3 ), and generates outputs delivered to downstream accounting systems (shown generally on the right side of  FIG. 3 ). Detailed examples of the inputs and outputs is provided below, e.g., in the form of various tables and other information. A detailed example of the processing that may be performed by the consolidation system  130  is shown in  FIGS. 4 ,  5 A- 5 B,  6 ,  7 A- 7 B,  8 A- 8 C,  9 A- 9 B,  10 A- 10 C, and  11 . As will be appreciated, while detailed examples are provided, the set of inputs and outputs to the consolidation system  130 , as well as the processing performed by consolidation system  130 , is dependent on accounting standards, interpretations, policies and practices, which may change over time. Accordingly, while one detailed example is provided, it will be appreciated that other embodiments that receive different inputs, perform different processing on the inputs, and generate different outputs are also possible. 
         [0034]    As previously mentioned in connection with  FIG. 1 , the consolidation system  130  utilizes daily inventory position as well as the population of instruments in the investment portfolio subject to the consolidation tests. Monthly data may also be used to determine the unpaid principal balance (UPB) and a REMIC Map. In addition, a pricing data repository (PDR)  126  may be used to provide daily prices for one or more of the instruments (e.g., REMICs). 
         [0035]    As previously mentioned, the consolidation system  130  may receive information concerning a variety of different types of fungible financial instruments from one or more databases  120 . For example, information may be received concerning various proprietary instruments (e.g., proprietary Megas, proprietary REMICs, proprietary grantor trusts, proprietary SMBSs, proprietary wraps on private label REMICs, proprietary whole loan REMICs, and so on). Additionally, information may be received concerning various non-proprietary instruments (e.g., SWAPs, dealer Megas, dealer REMICs, dealer grantor trust, dealer SMBS, dealer whole loan REMICs, private label REMICs flagged as QSPE test fail (Q fail) and Primary Beneficiary, dealer DMBS. and so on). A financial instrument is considered “proprietary” to a reporting entity based on whether the reporting entity transfers the collateral from its own portfolio to the trust or other entity that is created when creating the financial instrument. For proprietary instruments, ownership is assumed to be demonstrably distinct. As will be appreciated, data concerning other financial instruments may also be received, depending on the financial instruments that are held in the investment portfolio of the reporting entity. 
         [0036]    The following tables provide examples of data that may be received from the financial data warehouse  120 . As will be appreciated, the data that is received will be dependent on a variety of factors, including the securities that are held in the investment portfolio, the accounting that is performed, and so on. 
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A1 
               
             
             
               
                   
               
               
                 Data received from data warehouse 120 regarding 
               
               
                 opening inventory balance position 
               
             
          
           
               
                 Business Data Element 
                   
               
               
                 Field 
                 Comments 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Balance Date 
                 Default this date to opening date 
               
               
                   
                 (e.g., Mar. 31, 2001) 
               
               
                 Par Amount 
                 Par Amount of the still in position. Only include 
               
               
                   
                 records where the UPB is greater than zero. 
               
               
                 Current UPB 
                 Unpaid principal balance on opening date 
               
               
                 Expectation Reference 
                 Expectation Reference Number 
               
               
                 No 
               
               
                 Piece Sequence No 
                 Piece Sequence Number 
               
               
                 Trade Disclosure Code 
                 This indicates STIS 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A2 
               
             
             
               
                   
               
               
                 Data received from data warehouse 120 regarding 
               
               
                 portfolio purchases, internal portfolio sales, external portfolio sales, 
               
               
                 portfolio dollar roll sales, omnibus sales, and omnibus purchases 
               
               
                 (post-trade support). 
               
             
          
           
               
                 Business Data 
                   
               
               
                 Element Field 
                 Comments 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Trade Number 
                 Trade Number on the transaction 
               
               
                 Trade Treatment Code 
                 Code provided to FDW from a data team; indicates 
               
               
                   
                 what type of purchase the trade is. 
               
               
                 Re-securitization ID 
                 Code that identifies re-securitizations and helps mapping 
               
               
                   
                 to the underlying collateral. 
               
               
                 Wire Date 
                 Date of the actual wire transfer. (Time stamps not used.) 
               
               
                   
                 For collateral used in resecuritization transactions, this date 
               
               
                   
                 will be changed to equal the date of the newly formed securities 
               
               
                   
                 wire date into portfolio or CSTD (whichever is first). 
               
               
                 Wire Id 
                 Identifies wire ID in STAMPs in pre-trade support, if 
               
               
                   
                 available 
               
               
                 Par Amount 
                 Par Amount of the CUSIP 
               
               
                 Expectation Reference 
                 Expectation Reference Number of the Purchase 
               
               
                 No 
               
               
                 Piece Sequence No 
                 Piece Sequence Number of the Purchase 
               
               
                 Trade Type Code 
                 Identify internal trades or external trades. 
               
               
                 Trade Disclosure Code 
                 This indicates STIS 
               
               
                 Dollar Roll restatement 
                 This code identifies the restatement treatment for dollar 
               
               
                 code 
                 roll transactions for internal portfolio sales. 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A3 
               
             
             
               
                   
               
               
                 Data received from data warehouse 120 regarding 
               
               
                 Actual CUSIP Balances for CUSIPS in the CSTD Account as of 
               
               
                 Dec. 31, 2001 
               
             
          
           
               
                 Business 
                   
               
               
                 Data Element 
               
               
                 Field 
                 Comments 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 As of Date 
                 Date set to Mar. 31, 2001 
               
               
                 Subacct 
                 The Fed subaccount. This will be CSTD for this request. 
               
               
                 Par Balance 
                 The total PAR balance for the CUSIP as of COB on 
               
               
                   
                 Mar. 31, 2001. 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A4 
               
             
             
               
                   
               
               
                 Data received from data warehouse 120 regarding 
               
               
                 omnibus purchases and sales (pre trade support) 
               
             
          
           
               
                 Business Data 
                   
               
               
                 Element Field 
                 Comments 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Wire Date 
                 Date of the actual wire transfer. Do not include time 
               
               
                   
                 stamps. 
               
               
                 CCI Wire Date 
                 If the wire date is identified after the issuance 
               
               
                   
                 month, use the CCI wire date (for omnibus sales) 
               
               
                 Par Amount 
                 Par Amount of the CUSIP 
               
               
                 Sale Expectation 
                 Expectation Reference Number of the Sale 
               
               
                 Reference No. 
               
               
                 Wire ID 
                 Unique Identifier for Wire 
               
               
                 Wire Id 
                 Identifies wire id in STAMPs in pre-trade support 
               
               
                 Trade No. 
                 Unique Identifier for Trade 
               
               
                 Sender Sub Account 
                 Account from which the wire is being sent 
               
               
                 Send Receive 
                 Indicator to which wire is being sent and received 
               
               
                 Indicator 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A5 
               
             
             
               
                   
               
               
                 Data received from data warehouse 120 regarding 
               
               
                 portfolio monthly balances 
               
             
          
           
               
                 Business Data 
                   
               
               
                 Element Field 
                 Comments 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Balance Date 
                 Get this for each month from Apr. 01, 2001 to 
               
               
                   
                 Dec. 31, 2004. 
               
               
                 Par Amount 
                 Par Amount of the still in position. Only include records 
               
               
                   
                 where the UPB is greater than zero. 
               
               
                 Current UPB 
                 This is unpaid principal balance on Dec. 31, 2001. 
               
               
                 Trade 
                 This indicates STIS 
               
               
                 Disclosure ID 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A6 
               
             
             
               
                   
               
               
                 REMIC look-through data received from data warehouse 
               
               
                 120 
               
             
          
           
               
                 Data Attribute 
                 Description 
               
               
                   
               
               
                 Node Identifier 
                 Node Identifier 
               
               
                 Collateral CUSIP 
                 The CUSIP that identifies the collateral 
               
               
                   
                 supporting the REMIC. 
               
               
                 Accounting Period 
                 Accounting Period 
               
               
                 Parent Deal Name 
                 Deal Name 
               
               
                 Parent Deal Group Identifier 
                 Deal Group ID 
               
               
                 Collateral CUSIP UPB in 
                 The amount of UPB of the Collateral 
               
               
                 Group 
                 CUSIP in the Group on the as of date. 
               
               
                 Collateral CUSIP Current 
                 The total UPB of the Collateral CUSIP on 
               
               
                 UPB 
                 the as of date. 
               
               
                 Collateral CUSIP UPB 
                 The percentage of UPB of the Collateral 
               
               
                 Percent in Group 
                 CUSIP in the Group on the as of date. 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE A7 
               
             
             
               
                   
               
               
                 MEGA look-through data received from data warehouse 
               
               
                 120 
               
             
          
           
               
                 Data Attribute 
                 Description 
               
               
                   
               
               
                 Mega Node Identifier 
                 Month and year of the look-through data is 
               
               
                   
                 effective. 
               
               
                 Collateral CUSIP 
                 The CUSIP of the Fannie Mae Collateral 
               
               
                   
                 Security. 
               
               
                 As of Date 
                 Effective date of the look-through Data. 
               
               
                 Parent (MEGA) CUSIP 
                 The CUSIP that identifies the parent (mega). 
               
               
                 Collateral CUSIP UPB 
                 The amount of UPB of the Collateral CUSIP in 
               
               
                 in MEGA 
                 the MEGA on the as of date. 
               
               
                 Collateral CUSIP 
                 The total UPB of the Collateral CUSIP on the 
               
               
                 Current UPB 
                 as of date 
               
               
                 Collateral CUSIP % in 
                 The percent in UPB of the Collateral CUSIP in 
               
               
                 MEGA 
                 the MEGA. 
               
               
                   
               
             
          
         
       
     
         [0037]    As will be appreciated, other data may also be received from the financial data warehouse  120 . Examples of such data may include MBS issued balance data (to identify MBS Issued Par Balances to be used in calculating percentage ownership of MBS purchased, sold, and held in inventory (percentage ownership will determine which securities will need to be consolidated under FIN 46), to identify which MBS securities are Lender Formed (SWAP) or reporting entity Formed (OOP) pools, to identify which MBS securities are MEGA pools, and so on), REMIC issue balance and attribute data (to identify each Fannie Mae REMIC (including all Structured Deals) issued and the complete list of Tranche CUSIPS that are issued from each Deal, to identify the Issue PAR amount for each Tranche CUSIP, including the notional issue par amount for securities with notional balances, and so on). REMIC factor data (to identify current UPB balances for the outstanding Tranche CUSIPS, and the effective date of the UPB Balances, needed to identify Tranches within a group that have active UPB balances to calculate group percent ownership), MBS factor data (to identify current UPB balances for the outstanding MBS CUSIPS, (including MBS, MEGA, and PPS securities), and the effective date of the UPB Balances), proprietary pricing requirements (to get daily fair market value prices, which are required to perform consolidation tests on proprietary structured products (specifically REMICS, GRANTORS, and SMBS)), other sale data requirements such as as-soon-as-pooled sale data requirements, and so on. 
         [0038]    The consolidation system  130  also receives accounting treatment indicators  128  from the financial data warehouse  120 . In one embodiment, these indicators include a silo indicator  212 , residual indicator  214 , proprietary attributes indicator  216 , an exchange SMBS indicator  218 , Q-fail and primary beneficiary population indicator  220 , and RCR grantor trust indicator  222 . As will become apparent below, the indicator may be any data (e.g., a flag, a data structure such as a table, etc.) that provides information about accounting treatment. Although certain types of indicators of indicators are described below, other indicators may also be used. 
         [0039]    The silo indicator  212  reflects the results of a manually-performed qualitative analysis performed in connection with REMIC deals to determine whether to assess percentage ownership and the related consolidation/derecognition flagging at the silo (group) level or at the deal level (entire REMIC structure) or at the subsilo level. There is a manual effort to map the subsilos to specific CUSIPS. Based on the manual effort, a qualitative determination is made by REMIC which ones are to be assessed at which level. The results of the analysis are captured by the silo indicator  212  and stored in the financial data warehouse  120  for consumption by the consolidation system  130 . 
         [0040]    The information contained in the silo indicator  212  is shown in the table below: 
         [0000]    
       
         
               
             
               
               
               
               
             
           
               
                 TABLE B1(a) 
               
             
             
               
                   
               
               
                 Data contained in the silo indicator 
               
             
          
           
               
                   
                   
                 Null/ 
                   
               
               
                 Data 
                   
                 Not 
               
               
                 Attribute 
                 Description 
                 Null 
                 Format 
               
               
                   
               
               
                 Silo Flag 
                 Indicator on whether to assess the deal 
                 Not Null 
                 Char(1) 
               
               
                   
                 at the silo (2) or deal (1) or subsilo (3) 
               
               
                   
                 level 
               
               
                 Subsilo ID 
                 Indicator populated when Subsilos are 
                 Null 
                 Number 
               
               
                   
                 being used. 
                   
                 (2, 0) 
               
               
                 CUSIP 
                 Security CUSIP Indicator 
                 Not Null 
                 Char(9) 
               
               
                   
               
             
          
         
       
     
         [0041]    For the CUSIPS that have a Silo Flag=3 (deal assessed at subsilo level), a second table captures the mapping of parent CUSIPS for subsilos to their underlying collateral CUSIPS. This mapping may be performed manually. 
         [0000]    
       
         
               
             
               
               
               
               
             
           
               
                 TABLE B1(b) 
               
             
             
               
                   
               
               
                 Additional data contained in the silo indicator where 
               
               
                 deal is assessed at subsilo level 
               
             
          
           
               
                   
                   
                 Null/ 
                   
               
               
                 Data Attribute 
                 Description 
                 Not Null 
                 Format 
               
               
                   
               
               
                 Parent CUSIP 
                 Security CUSIP Indicator 
                 Not Null 
                 Char(9) 
               
               
                 Collateral CUSIP 
                 Security CUSIP Indicator 
                 Not Null 
                 Char(9) 
               
               
                 % Contributed to 
                 % of Par of the Collateral 
                 Not Null 
                 Number 
               
               
                 CUSIP 
                 CUSIP that was contributed to 
                   
                 (14, 10) 
               
               
                   
                 the parent CUSIP 
               
               
                 PAR Contributed 
                 Par amount of the Collateral 
                 Not Null 
                 Number 
               
               
                   
                 CUSIP that was contributed to 
                   
                 (15, 2) 
               
               
                   
                 the parent CUSIP 
               
               
                   
               
             
          
         
       
     
         [0042]    The residual indicator  214  is associated with REMICS for all the non-economic residuals that the reporting entity owns. The residual indicator  214  may, for example, be in the form of a flag having a null/not null status indicating that the reporting entity is the residual owner for the REMIC. This information may be used because the reporting entity must have unilateral control of a dealer REMIC (and other non-proprietary security types) in order to collapse it (consolidation) and look-through to the underlying collateral. Unilateral control includes owning the non-economic residual. Additionally, the non-economic residual is required to be owned by the reporting entity related to the REMIC in order for any underlying lender swap collateral to be consolidated (all levels). The non-economic residual may specifically relate to a group, a number of groups, or the whole REMIC deal. Due to these possibilities, the data warehouse  120  captures the residual indicator  214  at the tranche CUSIP level. 
         [0043]    The proprietary attributes indicator  216  indicates whether the instrument is proprietary. A financial instrument is considered “proprietary” to a reporting entity based on whether the reporting entity transfers the collateral from its own portfolio to the trust or other entity that is created when creating the financial instrument. The proprietary attributes indicator  216  may, for example, be in the form of a flag having a null/not null status indicating whether the reporting entity is transferor of the collateral. The consolidation system  130  applies logic based on many different factors, including whether the security/product that is being assessed is proprietary or non-proprietary. In general terms, proprietary securities/products are assessed with a 90% threshold. Non-proprietary products are assessed at 100% ownership to be consolidated. For MBS, loans may be transferred from portfolio to the trust in order for the security to be proprietary. For structured products, the underlying collateral transferred to the deal must have at least one piece come from the reporting entity&#39;s portfolio to be considered proprietary. In an exemplary embodiment, all structured product CUSIPs are manually flagged either proprietary or non-proprietary, and these indicators  216  are captured in the data warehouse  120 . 
         [0044]    The exchangeable SMBS indicator  218  indicates whether the SMBS is exchangeable for assets. Some SMBS deals have a feature that allow the owner(s) of the class CUSIPS that are issued to exchange those in for a proportionate share of the actual underlying assets (i.e. Mega, MBS, etc). Because of this feature, it may be desirable for the consolidation system  130  to include its proportionate ownership of the underlying MEGA certificate in the consolidation system  130  for ownership when assessing the ownership of the MEGA trust for the purpose of consolidation. (This feature is different from another common feature in SMBS deals that allows for the exchanging of classes for other classes with different coupon rates.) To generate the flag, a manual assessment may be performed on all SMBS deals in the investment portfolio to determine which individual deals have this feature and which do not have this feature. The exchangeable SMBS indicator  218  may, for example, be in the form of a flag having a null/not null status indicating whether the SMBS deal has the above-described feature. 
         [0045]    The Q Fail and Primary Beneficiary indicator  220  reflects a qualitative assessments of the QSPE Evaluation Tests (“Q-fails”) and related Primary Beneficiary designations (“PB designations”). (“Q-Fail” refers to a security that fails the qualified special purpose entity (QSPE) evaluation test.) Structured product deals and or groups may be manually flagged as a Q Fail or primary beneficiary. The assessment is performed on a population of at risk trusts that may need to be consolidated (Fail QSPE status) based on qualitative factors other than just percent ownership. The Q Fail indication overrides any assessment the consolidation system  130  may have originally made. The results of the assessment is provided to the consolidation system  130  to process with the entire population of financial instruments. The consolidation system  130  incorporates the impact of the Q-fails and PB designations inputs into the overall process and stores the results and supplies downstream users with the associated accounting treatment flag. 
         [0046]    The data elements that are captured in the financial data warehouse  120  in a structured product static table at deal or group level are as follows: 
         [0000]    
       
         
               
             
               
               
               
               
             
           
               
                 TABLE B2 
               
             
             
               
                   
               
               
                 Data contained in the Q Fail and Primary Beneficiary 
               
               
                 indicator 
               
             
          
           
               
                   
                   
                 Null/ 
                   
               
               
                   
                   
                 Not 
               
               
                 Data Attribute 
                 Description 
                 Null 
                 Format 
               
               
                   
               
               
                 Deal ID 
                 Identifies the Deal 
                 Not 
                 Character 
               
               
                   
                   
                 Null 
               
               
                 Group Number 
                 Identifies the group within the deal 
                 Not 
                 Number 
               
               
                   
                   
                 Null 
               
               
                 Tranche CUSIP 
                 Security CUSIP Indicator 
                 Not 
                 Char(9) 
               
               
                   
                   
                 Null 
               
               
                 Q Fail Flag 
                 Indicates whether the group/deal is 
                 Null 
                 Flag 
               
               
                   
                 a Q Fail 
               
               
                 Primary 
                 Indicates whether the group/deal is 
                 Null 
                 Flag 
               
               
                 Beneficiary 
                 the primary beneficiary of a Q Fail 
               
               
                 Flag 
               
               
                 Q Fail Effective 
                 Indicates the date the deal/group 
                 Null 
                 Date 
               
               
                 Date 
                 became a Q Fail 
               
               
                 PB Effective Date 
                 Indicates the date the deal/group 
                 Null 
                 Date 
               
               
                   
                 became a PB 
               
               
                 Record Effective 
                 Date that the record was populated 
                 Not 
                 Date 
               
               
                 Date 
                 in the table 
                 Null 
               
               
                 Record Expiration 
                 Date that the record was no longer 
                 Null 
                 Date 
               
               
                 Date 
                 valid and replaced with a new one. 
               
               
                 Source Record 
                 Identifies the source system (MF 
                 Not 
                 Number 
               
               
                   
                 Model, SF Model, etc) 
                 Null 
               
               
                   
               
             
          
         
       
     
         [0047]    The RCR grantor trust indicator  222  reflects an RCR Trust to Class mapping that is performed. RCRs are evaluated as separate entities. The results of the mapping are captured in the data warehouse  120  for consumption by the consolidation system  130 . The data elements that are captured in the financial data warehouse  120  are as follows: 
         [0000]    
       
         
               
             
               
               
               
               
             
           
               
                 TABLE B3 
               
             
             
               
                   
               
               
                 Data contained in the RCR grantor trust indicator 
               
             
          
           
               
                   
                   
                 Null/ 
                   
               
               
                   
                   
                 Not 
               
               
                 Data Attribute 
                 Description 
                 Null 
                 Format 
               
               
                   
               
               
                 Recombination Number 
                 Identifies recombination 
                 Not Null 
                 Numeric(15, 0) 
               
               
                 REMIC Deal Name 
                 Identifies the Deal 
                 Not Null 
                 VarChar(30) 
               
               
                 Accounting Period 
                 Month, day, year of transaction 
                 Not Null 
                 DATE 
               
               
                 Recombinable Class 
                 Identifies the Recombinable 
                 Not Null 
                 VarChar(20) 
               
               
                   
                 Class 
               
               
                 Recombinable Class 
                 Recombinable CUSIP Indicator 
                 Not Null 
                 Char(9) 
               
               
                 CUSIP 
               
               
                 Recombinable Class 
                 UPB of the Recombinable Class 
                 Not Null 
                 Numeric(20, 2) 
               
               
                 Balance 
               
               
                 Exchangeable Class 
                 Identifies the Exchangeable 
                 Not Null 
                 VarChar(20) 
               
               
                   
                 Class 
               
               
                 Exchangeable Class 
                 Exchangeable CUSIP Indicator 
                 Not Null 
                 Char(9) 
               
               
                 CUSIP 
               
               
                 Exchangeable Class 
                 UPB of the Exchangeable Class 
                 Not Null 
                 Numeric(20, 2) 
               
               
                 Balance 
               
               
                 Exchangeable Percent 
                 Percentage of contribution from 
                 Not Null 
                 Numeric(14, 10) 
               
               
                 Allocation 
                 Exchangeable tranche to 
               
               
                   
                 Recombinable tranche 
               
               
                 Balance Type of 
                 Principal or notional 
                 Not Null 
                 TBD 
               
               
                 Exchangeable Class 
               
               
                   
               
             
          
         
       
     
         [0048]    The consolidation service  130  processes the data from the financial data warehouse  120  to generate consolidation indicators  110  which provide downstream accounting systems with ownership and consolidation status information for instruments in the portfolio of investments. The operation of the consolidation service  130  is shown by way of example in  FIGS. 4 ,  5 A- 5 B,  6 ,  7 A- 7 B,  8 A- 8 C,  9 A- 9 B,  10 A- 10 C, and  11 . As previously indicated, the processes shown in  FIGS. 4 ,  5 A- 5 B,  6 ,  7 A- 7 B,  8 A- 8 C,  9 A- 9 B,  10 A- 10 C, and  11  are dependent on accounting standards, interpretations, policies and practices which may change over time. Accordingly, the processes shown are merely one example. 
         [0049]    Based on the data received from the financial data warehouse  120  and the accounting treatment indicators  128 , various tables may be constructed and stored in the consolidation service database  190 . For examples, tables such as upstream FDW interface tables, upstream PDR interface tables, tables with data originated from spreadsheet, consolidation process tables, and so on may be constructed. As an example, a REMIC node table may be constructed which contains REMIC look-through data including the collaterals for REMICs. Likewise, a MEGA pool node table may be created which contains MEGA look-through data including the collaterals for MEGAs. As another example, a security consolidation aggregate table may be constructed that stores the results of consolidation engine process, REMIC/MEGA look-through, and accounting flagging process. This table is referred to as the “CCI bucket” in  FIG. 5A  to  FIG. 11 . As another example, a security consolidation detail table may be created which includes detailed transactions of REMIC/MEGA look-through, including every UPB, SBGU transaction—transferring out of parent node and transferring into children nodes. This table is referred to the “staging bucket” in  FIG. 5A  to  FIG. 11 . A central consolidation indicator matrix table may also be constructed which stores the accounting matrix A, B, and C used for accounting flagging, shown in  FIG. 11 . 
         [0050]    The consolidation service  130  generates various outputs, including consolidation indicators and other outputs. The consolidation indicators  110  may be any data (e.g., a flag, a data structure such as a table, and so on) that provides consolidation status information. For example, consolidation indicators  110  may be in the form of accounting status flags that indicate the consolidation status of the security. Outputs of the consolidation system  130 , including such accounting status flags, are shown in the tables below: 
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE C1 
               
             
             
               
                   
               
               
                 Consolidation Service 130 Daily Flagging to FDW 
               
             
          
           
               
                 Business 
                   
               
               
                 Data Element 
               
               
                 Field 
                 Description 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Accounting 
                 Current accounting period - Accounting Month and Year 
               
               
                 Period 
               
               
                 Accounting 
                 Indicates the FIN 46 consolidation status of the CUSIP. Values as 
               
               
                 Status Flag 
                 shown below: 
               
               
                   
                 “S” - Secured borrowing 
               
               
                   
                 “C” - Consolidate at Fair Value 
               
               
                   
                 “L” - First time % Ownership &lt;= 90% 
               
               
                   
                 “D” - Derecognize 
               
               
                   
                 “R” - Continuous Consolidation 
               
               
                   
                 “N” - Never Consolidated or continuous derecognition 
               
               
                   
                 “P” - Continuous Secured Borrowing 
               
               
                   
                 “F” - Consolidate at Book Value 
               
               
                   
                 “T” - Transition for Pre 1997 originated PPS CUSIPs @ AOD 
               
               
                   
                 Dec. 31, 2003 
               
               
                   
                 “M” - Transition at Dec. 31, 2003 for Qfail/PB CUSIPs 
               
               
                 Transaction 
                 Date of the accounting status flag application-effective day of FIN 46 
               
               
                 Date/Effective 
                 event 
               
               
                 Date 
               
               
                 Loan 
                 Indicates the FAS65 Designation Code of the CUSIP. 
               
               
                 Designation 
                 Valid values: HFS (held for sale), HFI (held for investment) 
               
               
                 Code 
                 Logic: If security type = MBS and Collateral Type is Proprietary then 
               
               
                   
                 set to HFS otherwise HFI. 
               
               
                 UPB Owned 
                 Amount of UPB that the reporting entity (“FNMA” in FIGS. 4-11) 
               
               
                   
                 owns. This UPB includes daily position, transfers, and all gross-ups. 
               
               
                 Daily Position 
                 Amount of UPB owned in the portfolio before any transfers. 
               
               
                 UPB 
               
               
                 Transferred 
                 Amount of UPB transferred from the look-through process 
               
               
                 UPB 
               
               
                 SBGU UPB 
                 UPB pushed down as secured borrowing 
               
               
                 MBS Liability 
                 UPB pushed down as minority interest 
               
               
                 Gross Up UPB 
               
               
                 Par Owned 
                 Amount of Par that the reporting entity owns. This Par includes daily 
               
               
                   
                 position, transfers, and all gross-ups. 
               
               
                 Transferred Par 
                 Amount of UPB transferred from the look-through process. This is 
               
               
                   
                 calculated as follows: Transferred UPB/Current month factor. 
               
               
                 SBGU Par 
                 Par gross up as secured borrowing. This is calculated as follows: 
               
               
                   
                 SBGU UPB/Current month factor. 
               
               
                 MBS Liability 
                 Par gross up as minority interest. This is calculated as follows: MIGU 
               
               
                 Gross Up Par 
                 UPB/Current month factor. 
               
               
                 UPB 
                 Total outstanding UPB on the CUSIP. This is calculated in CCI and 
               
               
                 Outstanding 
                 should be provided directly to downstream users from CCI. 
               
               
                 ASAP Flag 
                 Indicates if this is an ASAP CUSIP. Set to yes if there was ever ASAP 
               
               
                   
                 activity captured. 
               
               
                 % Ownership 
                 CCI generated % of security value owned by The reporting entity 
               
               
                 CSTD Daily 
                 Daily par balance in the CSTD account to support pre-trade support 
               
               
                 Par Balance 
                 data model 
               
               
                 (Omnibus) 
               
               
                 CSTD Daily 
                 Daily UPB balance in the CSTD account to support pre-trade support 
               
               
                 UPB Balance 
                 data model. 
               
               
                 (Omnibus) 
               
               
                 ASAP daily Par 
                 Daily ASAP Par balance to support pre-trade support data model. This 
               
               
                 balance 
                 represents the daily balance in the ASAP bucket before it moves into 
               
               
                   
                 CSTD or Portfolio. 
               
               
                 ASAP Daily 
                 Daily ASAP UPB balance to support pre-trade support data model. 
               
               
                 UPB balance 
                 This represents the daily balance in the ASAP bucket before it moves 
               
               
                   
                 into CSTD or Portfolio. 
               
               
                 % of Actual 
                 % of ownership based on the actual owned UPB in the Portfolio 
               
               
                 Ownership 
                 without gross up 
               
               
                 Actual UPB 
                 Amount of UPB owned without gross up 
               
               
                 owned 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE C2 
               
             
             
               
                   
               
               
                 Consolidation Services Look-through Data (“Staging 
               
               
                 Bucket”) to FDW (provides the one level down look-through) 
               
             
          
           
               
                 Business 
                   
               
               
                 Data Element 
               
               
                 Field 
                 Description 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Transaction 
                 Date of the accounting status flag application-effective day of FIN 46 
               
               
                 Date/Effective 
                 event 
               
               
                 Date 
               
               
                 UPB 
                 UPB of the CUSIP transferred. Does not include the minority 
               
               
                   
                 interest or secured borrowing gross up amount. The parent would 
               
               
                   
                 have negative UPB and the children would have positive UPB. 
               
               
                 Secured 
                 UPB considered secured borrowing or minority interest (allocated 
               
               
                 Borrowing 
                 from parent). Net secured borrowing transferred from the parent to the 
               
               
                 UPB 
                 children. 
               
               
                 MBS Liability 
                 Minority UPB generated for consolidated proprietary products. Net 
               
               
                 Gross Up UPB 
                 amount transferred. 
               
               
                 Par 
                 Par of the CUSIP transferred. Does not include the minority interest 
               
               
                   
                 or secured borrowing gross up amount. The parent would have 
               
               
                   
                 negative Par and the children would have positive Par. This is 
               
               
                   
                 calculated as follows: UPB (above)/Current Month Factor 
               
               
                 Secured 
                 UPB considered secured borrowing or minority interest (allocated 
               
               
                 Borrowing Par 
                 from parent). Net secured borrowing transferred from the parent to 
               
               
                   
                 the children. This is calculated as follows: Secured Borrowing UPB/ 
               
               
                   
                 Current Month Factor 
               
               
                 MBS Liability 
                 Minority UPB generated for consolidated proprietary products. This 
               
               
                 Gross Up Par 
                 is calculated as follows: MIGU UPB/Current Month Factor 
               
               
                 Parent/Child 
                 Parent or child indicator. If the transfer amount is positive it is the 
               
               
                 indicator 
                 child, negative it is the parent. 
               
               
                 From CUSIP or 
                 This is the field that holds the MEGA or group being transferred from. 
               
               
                 REMIC/group 
               
               
                 ID 
               
               
                 FV Price 
                 Fair Value Price of the Security only if it is a proprietary REMIC 
               
               
                   
                 tranche 
               
               
                 Sub-Silo Id 
                 Indicator populated when Subsilos are being used. 
               
               
                 Security 
                 Specify the data type the look-through is for. Valid values are: 
               
               
                 Record Type 
                 1 = Security Gross - up 
               
               
                   
                 2 = Mega Collateral Transfer 
               
               
                   
                 3 = Deal Collateral Transfer 
               
               
                   
                 4 = Group Collateral Transfer 
               
               
                   
                 5 = Sub-silo Collateral Transfer 
               
               
                   
                 6 = Deal Gross - up 
               
               
                   
                 7 = Group Gross - up 
               
               
                   
                 8 = Silo Gross - up 
               
               
                   
                 9 = Mega Liability 
               
               
                   
                 10 = Deal Liability 
               
               
                   
                 11 = Group Liability 
               
               
                   
                 12 = Sub - silo Liability 
               
               
                 REMIC 
                 REMIC Group/Deal Identifier, only if the CUSIP is a REMIC 
               
               
                 Group/Deal ID 
                 tranche. Otherwise this is null. 
               
               
                 Deal Name 
                 Structure deal unique identifier 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE C3 
               
             
             
               
                   
               
               
                 ASAP consolidation data 
               
             
          
           
               
                 Business 
                   
               
               
                 Data Element 
               
               
                 Field 
                 Description 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 TradeNo 
                 Trade number on the transaction that moved the security 
               
               
                   
                 from ELF to Portfolio. 
               
               
                 Wire Date 
                 The wire data on the trades. 
               
               
                 Consolidation 
                 The first consolidation date on the ASAP. 
               
               
                 Date 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE C4 
               
             
             
               
                   
               
               
                 RCR Grantor Trust 
               
             
          
           
               
                 Business 
                   
               
               
                 Data Element 
               
               
                 Field 
                 Description 
               
               
                   
               
               
                 CUSIP 
                 Nine digit security identifier 
               
               
                 Accounting 
                 Current accounting period - Accounting Month and Year 
               
               
                 Period 
               
               
                 Accounting 
                 Indicates the FIN 46 consolidation status of the CUSIP. Values as 
               
               
                 Status Flag 
                 shown below: 
               
               
                   
                 “S” - Secured borrowing 
               
               
                   
                 “C” - Consolidate at Fair Value 
               
               
                   
                 “L” - First time % Ownership &lt;= 90% 
               
               
                   
                 “D” - Derecognize 
               
               
                   
                 “R” - Continuous Consolidation 
               
               
                   
                 “N” - Never Consolidated or continuous derecognition 
               
               
                   
                 “P” - Continuous Secured Borrowing 
               
               
                   
                 “F” - Consolidate at Book Value 
               
               
                   
                 “T” - Transition for Pre 1997 originated PPS CUSIPs @ AOD 
               
               
                   
                 Dec. 31, 2003 
               
               
                   
                 “M” - Transition at Dec. 31, 2003 for Qfail/PB CUSIPs 
               
               
                 Transaction 
                 Date of the accounting status flag application-effective day of FIN 46 
               
               
                 Date/Effective 
                 event 
               
               
                 Date 
               
               
                 UPB Owned 
                 Amount of UPB that the reporting entity owns. This UPB includes 
               
               
                   
                 daily position, transfers, and all gross-ups. 
               
               
                 Daily Position 
                 Amount of UPB owned in the portfolio before any transfers. 
               
               
                 UPB 
               
               
                 Par 
                 Par of the CUSIP transferred. Does not include the minority interest 
               
               
                   
                 or secured borrowing gross up amount. The parent would have 
               
               
                   
                 negative Par and the children would have positive Par. This is calculated 
               
               
                   
                 as follows: UPB (above)/Current Month Factor 
               
               
                 FV Price 
                 Fair Value Price of the Security only if it is a proprietary REMIC 
               
               
                   
                 tranche 
               
               
                   
               
             
          
         
       
     
         [0000]    
       
         
               
             
               
               
             
           
               
                 TABLE C5 
               
             
             
               
                   
               
               
                 Other FDW Provided Data Elements 
               
             
          
           
               
                 Business 
                   
               
               
                 Data Element 
               
               
                 Field 
                 Description 
               
               
                   
               
               
                 SF/MF 
                 Indicates security Single Family or Multifamily status 
               
               
                 Indicator 
               
               
                 Proprietary 
                 Indicates the type of underlying collateral 
               
               
                 Flag 
                 Valid Values: Yes or No. 
               
               
                   
                 These values are not part of any lookup table in MAST 
               
               
                   
                 or IRIS. This data is loaded into CCI directly from 
               
               
                   
                 spreadsheets provided to them. This field must come 
               
               
                   
                 from CCI directly. 
               
               
                 Security Type 
                 Indicate structure product type. 
               
               
                   
                 Valid Values: REMIC, STRIP, Grantor Trust, MEGA, 
               
               
                   
                 DMBS 
               
               
                 Class Collateral 
                 Indicates that the REMIC is backed by whole loan loans 
               
               
                 Issuer 
                 or whether it is a wrap on a Private Label REMIC. 
               
               
                 Issuer 
                 Identifies issuer of security 
               
               
                 Par Issued 
                 The original issued amount on the security. 
               
               
                 Qfail/PB 
                 Indicates the date the security failed Q or became a 
               
               
                 Effective Date 
                 primary beneficiary 
               
               
                 Qfail Flag 
                 Indicates that the product is a Q-fail 
               
               
                 PB Flag 
                 Indicates the security was the Primary Beneficiary of a 
               
               
                   
                 Q-Fail 
               
               
                 Residual Flag 
                 Indicates whether the product was ever in a REMIC (or is 
               
               
                   
                 a REMIC) and the residual was owned 
               
               
                   
               
             
          
         
       
     
         [0051]    The embodiments of the present invention have been described with reference to drawings. The drawings illustrate certain details of specific embodiments that implement the systems and methods and programs of the present invention. However, describing the invention with drawings should not be construed as imposing on the invention any limitations that may be present in the drawings. The present invention contemplates methods, systems and program products on any machine-readable media for accomplishing its operations. The embodiments of the present invention may be implemented using an existing computer processor, or by a special purpose computer processor incorporated for this or another purpose or by a hardwired system. 
         [0052]    As noted above, embodiments within the scope of the present invention include program products comprising machine-readable media for carrying or having machine-executable instructions or data structures stored thereon. Such machine-readable media can be any available media that can be accessed by a general purpose or special purpose computer or other machine with a processor. By way of example, such machine-readable media can comprise RAM, ROM, EPROM, EEPROM, CD-ROM or other optical disk storage, magnetic disk storage or other magnetic storage devices, or any other medium which can be used to carry or store desired program code in the form of machine-executable instructions or data structures and which can be accessed by a general purpose or special purpose computer or other machine with a processor. Thus, any such a connection is properly termed a machine-readable medium. Combinations of the above are also included within the scope of machine-readable media. Machine-executable instructions comprise, for example, instructions and data which cause a general purpose computer, special purpose computer, or special purpose processing machines to perform a certain function or group of functions. 
         [0053]    Embodiments of the present invention have been described in the general context of method steps which may be implemented in one embodiment by a program product including machine-executable instructions, such as program code, for example in the form of program modules executed by machines in networked environments. Generally, program modules include routines, programs, objects, components, data structures, etc. that perform particular tasks or implement particular abstract data types. Machine-executable instructions, associated data structures, and program modules represent examples of program code for executing steps of the methods disclosed herein. The particular sequence of such executable instructions or associated data structures represent examples of corresponding acts for implementing the functions described in such steps. 
         [0054]    As previously indicated, embodiments of the present invention may be practiced in a networked environment using logical connections to one or more remote computers having processors. Those skilled in the art will appreciate that such network computing environments may encompass many types of computers, including personal computers, hand-held devices, multi-processor systems, microprocessor-based or programmable consumer electronics, network PCs, minicomputers, mainframe computers, and so on. Embodiments of the invention may also be practiced in distributed computing environments where tasks are performed by local and remote processing devices that are linked (either by hardwired links, wireless links, or by a combination of hardwired or wireless links) through a communications network. In a distributed computing environment, program modules may be located in both local and remote memory storage devices. 
         [0055]    An exemplary system for implementing the overall system or portions of the invention might include a general purpose computing computers in the form of computers, including a processing unit, a system memory or database, and a system bus that couples various system components including the system memory to the processing unit. The database or system memory may include read only memory (ROM) and random access memory (RAM). The database may also include a magnetic hard disk drive for reading from and writing to a magnetic hard disk, a magnetic disk drive for reading from or writing to a removable magnetic disk, and an optical disk drive for reading from or writing to a removable optical disk such as a CD ROM or other optical media. The drives and their associated machine-readable media provide nonvolatile storage of machine-executable instructions, data structures, program modules and other data for the computer. It should also be noted that the word “terminal” as used herein is intended to encompass computer input and output devices. User interfaces, as described herein may include a computer with monitor, keyboard, a keypad, a mouse, joystick or other input devices performing a similar function. 
         [0056]    It should be noted that although the diagrams herein may show a specific order and composition of method steps, it is understood that the order of these steps may differ from what is depicted. For example, two or more steps may be performed concurrently or with partial concurrence. Also, some method steps that are performed as discrete steps may be combined, steps being performed as a combined step may be separated into discrete steps, the sequence of certain processes may be reversed or otherwise varied, and the nature or number of discrete processes may be altered or varied. The order or sequence of any element or apparatus may be varied or substituted according to alternative embodiments. Accordingly, all such modifications are intended to be included within the scope of the present invention. Such variations will depend on the software and hardware systems chosen and on designer choice. It is understood that all such variations are within the scope of the invention. Likewise, software and web implementations of the present invention could be accomplished with standard programming techniques with rule based logic and other logic to accomplish the various database searching steps, correlation steps, comparison steps and decision steps. 
         [0057]    The foregoing description of embodiments of the invention has been presented for purposes of illustration and description. It is not intended to be exhaustive or to limit the invention to the precise form disclosed, and modifications and variations are possible in light of the above teachings or may be acquired from practice of the invention. The embodiments were chosen and described in order to explain the principals of the invention and its practical application to enable one skilled in the art to utilize the invention in various embodiments and with various modifications as are suited to the particular use contemplated. Other substitutions, modifications, changes and omissions may be made in the design, operating conditions and arrangement of the embodiments without departing from the scope of the present invention. 
         [0058]    Throughout the specification, numerous advantages of the exemplary embodiments have been identified. It will be understood of course that it is possible to employ the teachings herein without necessarily achieving the same advantages. Additionally, although many features have been described in the context of a particular data processing unit, it will be appreciated that such features could also be implemented in the context of other hardware configurations. 
         [0059]    While the exemplary embodiments illustrated in the figures and described above are presently preferred, it should be understood that these embodiments are offered by way of example only. Other embodiments may include, for example, structures with different data mapping or different data. The invention is not limited to a particular embodiment, but extends to various modifications, combinations, and permutations that nevertheless fall within the scope and spirit of the appended claims.