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Eagle has full support for these securities using "time sensitiveTime Sensitive" functionality. This allows you to enter different accrual terms for specific date ranges that override the values on the security master file (SMF). You cannot override individual dates or date conventions. The eligible fields are:
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Using Time Sensitive functionality is different than simply updating accrual terms on the SMF, which does not support rollback/replay for dates prior to the change. If a backdated trade is booked or accruals rolled back for any other reason, those dates are re-accrued using the new terms. The only way to maintain integrity of the accrual terms across different periods is to use the time sensitive Time Sensitive functionality.
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A brief description of the process is provided first, followed by detailed step-by-step instructions.
High-Level
Time sensitive Sensitive functionality consists of two components:
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This is the critical piece of time sensitive Time Sensitive configuration. There are different options for managing the periods, but regardless of your preferred method, the configuration must follow these two rules:
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Existing Effective Dates (7017): returns any time sensitive Time Sensitive records that have been added and the associated data
As Of Effective Date (4212): date a time sensitive Time Sensitive change takes effects; this must be populated and is used as Begin Date when defining a time sensitive Time Sensitive data change
Option 2: Managing Records Directly
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All Versions
Editing an existing record through Issue Viewer or SRM where Begin Date is changed results in a new record being created, instead of the existing record being updated
The old record must be deleted when this happens
Tracked as SDP-34183
The records created by RDC based on SMF changes do not inherit Underlying Security (it is
NULL)In this case you must edit the records manually to populate Underlying Security
When Underlying Security is populated, the SMF Earnings Time Period tab shows its Security Alias instead of its Issue Name as shown in other screens
When using the Time Sensitive functionality to change the underlying index for a floating rate security, rates must be loaded through the fixing date when the change occurs
This is different than a standard floating rate security where the earnings process will pick up a stale rate
V17
Issue Viewer: updating a fixed income SMF results in an End Date = current date for the initial period, which will trigger an error if you try accrue through that date
In this case you must edit the initial record to set End Date = prior calendar date by following steps 1-5 above under Issue Viewer/SRM
Swaps are unaffected as the initial record is updated correctly
Fixed in V17 R2.22
V13 Custom
SRM: updating the SMF results in only the initial record being changed to reflect the new accrual terms, instead of the initial record being updated to include an End Date for the old terms plus an additional record for the new terms
In this case you will have to add/edit records SMF Earnings Time Period records manually by following steps 1-9 above under Issue Viewer/SRM
This makes updating the SMF only useful for keeping the accrual data in sync with the most recent SMF Earnings Time Period record, not for maintaining the records
V15
Issue Viewer and SRM both exhibit the same issues as described under V13 Custom above, which has two implications:
This makes updating the SMF only useful for keeping the accrual data in sync with the most recent SMF Earnings Time Period record, not for maintaining the records
All maintenance of the records must be done manually by following steps 1-9 above under Issue Viewer/SRM