The full Canadian NHA Mortgage-Backed Securities Guide is attached for reference:

• View file
  name 86932_NHA-MBS-Guide.pdf

Entity Setup

Populate the following entity as specified.

• Gain/Loss on Paydowns(1871): treat gain/loss caused by a paydown transaction as Gain/loss or Amortization

• Paydown Gain/Loss Account(4519): Capital or Income; required if Gain/Loss on Paydown = Gain/loss, drives ledger posting for the gain/loss caused by factor processing

• Principal Loss on Paydown Processing Flag(2925): treat principal loss caused by a paydown as Accelerated Amortization, Realized Gain/Loss, or a Share Adjustment

Reference Data

Storage & Configuration

Each MBS is represented by a single row in Data Management.

Market Data

By law, Canadian fixed rate mortgages are compounded semiannually as opposed to monthly (as they are in the United States). However payments are still made on a monthly basis, which requires an equivalent annual rate to be calculated offline in Eagle releases prior to V17 R2. In V17 R2 and above Accounting can automatically convert the quoted Annual Percentage Rate (APR) to the Effective Interest Rate (EIR).

Security Data

NHA MBS security master files (SMFs) can be set up using Issue Viewer, Security Reference Manager (SRM), or Reference Data Center (RDC). Populate the following fields as specified.

• Processing Security Type (3931) = DBFBFB

• Coupon (70): APR or EIR depending on your current Eagle release

• Coupon Type Code (97): either F (Fixed Rate) or I (Variable Rate) depending on your Eagle version

  • V17 R2: functionality is available to convert the APR to the EIR automatically as part of the accrual process; populate the fields below as described

    • Convert Interest Rate (9154) = Yes

    • Rate Conversion Rule (12849) = 6M303601M30360 (Semiannual 30/360 to Monthly 30/360)

  • Prior to V17 R2: there are two options depending on how you prefer to view the reference data

    • Coupon Type = F (Fixed Rate): set Coupon to the EIR (there is a detailed explanation of this rate in Appendix A); it will be different from the stated rate of the security, which may impact reporting

    • Coupon Type = I (Variable Rate): set Coupon to the APR for reporting purposes and load the EIR as a variable rate as of Dated Date for accruals; note security will look like variable rate in Eagle even though it is fixed rate in the market

• Day Count Basis (471) = 30/360

• Payment Frequency (472) = 1_M (Monthly)

• Business Day Convention (10551) = None

• Issue Price (69) = 100

• Maturity Price (42) = 100

Trade Processing

NHA MBS opens can be processed as Buys or ShortSells using the Book Trade module. Closes are processed as Sells or BuytoCovers, similar to any other fixed income security.

• Current Face (40) is calculated automatically as Original Face (41) * Current Factor (91)

Accounting

Once an NHA MBS trade is booked it will be picked up in Eagle’s global workflow. Accruals and periodic coupon payments are generated using the EIR as part of the earnings process, Accounting valuation is calculated when posting unrealized gain/loss, and Data Management valuation is calculated in the STAR to PACE push. These can be scheduled or triggered manually

• Global Processes (V17)

  • Accruals: Earnings > Run Income Accruals

  • Accounting Valuation: Unrealized Gain Loss Entries > Post Daily Fund Unrealized Gain Loss-Position

  • Data Management Valuation: Eagle STAR to Eagle PACE Direct Processing > Transfer Data - Batch

• Global Process Center (prior to V17)

  • Accruals: Earnings > Accrue

  • Accounting Valuation: Unrealized Gain Loss Entries > Post Daily Fund Unrealized Gain Loss-Position

  • Data Management Valuation: STAR to PACE Direct Processing > Transfer Data - Batch

Valuation

NHA MBSs are valued using clean prices, with valuation calculated using the formula below.

• Market Value = Current Face * Price * Price Multiplier * Quantity Scale

  • Current Face = Original Face * Factor

• Market Value Income = Market Value + Accrued Interest

Prices must be clean of accrued interest and factor adjustments to avoid double-counting.

Reporting

STAR to PACE (S2P)

Almost all reports in Eagle leverage data from Data Management, which is populated by the S2P process. This will be scheduled as part of the daily workflow, but can also be triggered manually as described in the Accounting section.

The S2P process creates a single row for each NHA MBS in the POSITION, POSITION_DETAIL, TRADE, and CASH_ACTIVITY tables. The MARKET_VALUE_INCOME column captures the total market value, inclusive of price fluctuations and period-to-date accruals payable or receivable.

Accounting Reports

Eagle has a core set of accounting reports that can be used to review NHA MBS information. These are designed to support the daily operational workflow for business users, allowing Grid Reports to be easily exported to Excel and customized to provide additional details as needed. Advanced Reports are intended to be client-facing and do not provide the same level of customization.

Data Management Reporting

Performance

The performance toolkit has full functionality to calculate market value-based performance for NHA MBSs using data supplied by the S2P process. Risk and performance attribution features are available to analyze NHA MBS performance.

Automation

NHA MBS security master files (SMFs) and trades can be loaded through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to