The main highlights associated with this release include, but are not limited to:

CMBS:

• Enhanced cash flow precision by incorporating reported ASERs effect on servicer advanced interest payments. Added ability to allow customers to provide assumptions on future ASERs.
• Clarified cash flow treatment of decreased loans to never default in default scenarios.

ABS:

• Added PACE loan features to process its unique cashflow for various states.

Modelling:

• Added SOFR Average variants (based on averaging method, reference period,
• tenure) as independent indexes.
• Added Ameribor, BSBY indexes of various tenures.

PA/MPA:

• PA - Enabled PA model for Consumer Loans, Timeshare Receivables, Small Business Loans.
• MPA - Added 2020 version of Prepay and Default models for a) First and Second Lien Mortgages, b) First Lien IO Mortgage, c) Freddie Mac and Fannie Mae Agency Mortgages.

The main highlights associated with this release include, but are not limited to:

Equity Asset Liquidation Treatment:

• Added the optionality for users to select which collection account(Principal/Interest) to receive the liquidation value of equity assets.
• Modified the test balance logic to exclude equity asset balance from OC/IC/IDT tests even when the equity asset is not nullified.

Reinvest End Date Extension Rule:

• Enhanced the "Auto Reinvest Feature" by adding the ability to dynamically reference the reinv end date + an offset to define this parameter, next to the more "static" custom date option.

Reinvestment option:

• Added an option to allow users to buy reinvestment assets instantaneously at the time of receiving the principle.

Benchmark Index Rate Enhancement:

• Added Ameribor index, BSBY index, and TONA rates.

New feature highlights:

• Created a test to set the flag, save and checked in a new session for “Exclude prior to first trustee report (PT)”.
• Updated “Macro Scenarios “tab to include SOFR factor in Reg Module Custom Scenarios hub.
• Added MV Metrics and WAL at portfolio level.
• Added new field index adjustment (bps).
• Sorted new deals widget by the latest date by default.
• Added seniority to capital structure and interest balance to notable metrics for CLO deal pages.
• Fixed Asset level data for collateral information to show up on BWIC page.
• Applied portfolio cashflow stratifications for property types.
• Removed Market Value Metrics (Biz Rules) in deal/tranche page.

New feature highlights:

• Enabled “benchmark” option for floating tranches in price/yield calculation.
• Added Original and Current Ratings for union of Moody’s/S&P/Fitch ratings to one list in screener/alerts Tranche characteristics.
• Added S&P and Fitch common industry to Asset-level widget on Deal/ Manager/ Portfolio/ Asset Universe levels.
• Added various Industry-related fields to Transaction widget on Deal/Manager/Portfolio Levels.
• Added reported and calculated ABS prepayment speed to enhanced BWIC page and screener page.

New feature highlights:

• Added BB_MVOC field in the portfolio key stats column chooser and to the key differentiator section of deal summary page.
• Enhanced the UI to show CDOEdge Deal Creator Library instead of submitted deals.
• Upgraded the custom rates feature to display table &graphs with blank values in the Cashflow run.
• Updated the forward curve to show Moody’s by default.
• Added PPC to Prepay Type in Cashflow page on both deal and portfolio level.
• Added reported and calculated ABS prepayment speed to portfolio, deal history and Key Stats pages.
• Added warning message “SOFR Swap is unavailable prior to 1/1/2022“if client choose running pricing with benchmark ='SOFR Swap' and a Settles Date prior to2022 for SOFR swap benchmark.
• Automated the addition of forecasts.
• Switched from run_date to trustee_run_date to minimize the trustee reports to 1 per month.

New feature highlights:

• Added KBRA and DBRS ratings.
• Added “Index Adjustment” to capital structure.
• Added BB_MVOC data.
• Display Bloomberg tickers alongside the MA deal name on for all CMBS deals.
• Add "suspect terminated" to non-CLO screener filter.
• Modified backend logic to retrieve the correct AP/DP values from latest update date.
• “Issuance" curve can now be saved.
• Added the SOFR Swap curve to the Spot Rates section on the cashflows pages, and made SOFR Swaps available for use in price/yield calculations.
• Added more test data for Primary Market CLOs (PL, PC,PT) in the "Test Summary" widget.

LIBOR to SOFR

• Updated UI to make sure the metrics are filtering specific index only and do not mix different benchmark index together.
• Limited the calculation of senior tranche spread and dm/yield to include only Libor tranches/assets for US deals.
• Added disclaimer on UI “For CLO USD deals, Senior Tranche Spread metric is calculated for LIBOR based tranche only

• Added Fitch, DBRS and KBRA ratings to various pages.
• Add Issuance as an option in the Forward Curve dropdown.
• Added feature to be able to define a custom forward curve for various indices and use it during cashflow run.
• Price Date is now updated to be consistent across various pages.

New feature highlights:

• For loan movers, changed the ES side to use Bid Price in the price calculation
• Changed the price in the graph to use BidPrice instead of MidPrice (BidPrice alias provided by ES change)
• Added Fitch WARF to Portfolio Composition page on SF Portal
• Added a checkbox to control whether to include "Index Adjustment" in cashflow runs
• Added TONA in the following: Forward Curve -> Custom Forward: When "Base" is "JPY", added "TONA" to the Index drop-down list
• Changed the prepopulated assumptions for the five inputs in clickwrap deals
• Auto-fill custom forward curves using the latest month input by a user

New feature highlights:

• Added Term SOFR on Dynamic CFs pages (Portfolio or Deal), customers can now see the forward rates that are being run, and can also a custom Term SOFR curve
• For all currency and all indexes, the forward curve table month column should start from 0 instead of 1

Highlights

• Exposed Ameribor indices (AMERIBOR,AMBOR 30D, AMBOR 90D, AMBOR 30DT, and AMBOR_90DT) and BSBY indices (BSBY,BSBY_1MO, BSBY_3MO, BSBY_6MO, and BSBY_12MO) to SF-API.
• Exposed SOFR SWAP rate and TONA rate to SF-API.
• Exposed SONIA rate in the CDOnet engine.
• Upgraded AD&Co integration to support LDM Ver.3.0 new features.
• Exposed current tranche record date at MOODYS_BOND_INFO::record_date.
• Enabled Natural Disasters setting in MPA.
• Added Aggregate Climate Scenario into CMM pre-defined scenarios.

Highlights

• Exposed Term SOFR rates (TRFR 1MO,3MO, 6MO, 1YR)  and SOFR index in the CDOnet engine.
• Exposed index rate SIFMA in the SFW engine.
• Added Chatham Term SOFR Curve and Term SOFR Spot Rate (1MO, 3MO, 6MO, 1YR) in MWSA DB.
• Updated Bond Interest Arrears to be Interest shortfall occurred during the period and exposed FLOW_BOND_TOTAL_INTEREST_SHORTFALL in the SFW engine.