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One option to support these scenarios is to set up the security with a fixed rate of 0%, which will generate accrued interest of zero on a daily basis. In cases where manipulating the market reference data is not feasible, another option is to put the security or position in default. This allows you to suppress accruals, amortization/accretion, and/or OID. Additional details are available in Understand Default Bonds.

Putting a security in default is a two-step process that involves populating fields on the security master file (SMF) and adding Debt Default Periods. This can create challenges for automation as most clients do not have an existing source that can generate the Debt Default Period messages.

This document describes a local workaround that can be implemented to add Debt Default Periods automatically during security creation when the security is created simply by setting Default Indicator (1551) = Yes. The process works when the security is set up via automation with a message or manually in Issue Viewer.

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1. Open Web Panel Designer

2. Navigate to eagle > star > reference > Add/List Issue

3. Open Multiple Leg Swap and change to Overlay edit mode

4. Click the …LISTBOX tab

5. Locate Under the 3931i Link ID column, locate 3931i

6. In the first Script section, remove L1551 and L10142 from the “Before” line below

   1. Before: IF :4590: != "C" THEN SET(L14,L1432,L38,L1551,L10142,L3997,L3998);

   2. After: IF :4590: != "C" THEN SET(L14,L1432,L38,L3997,L3998);

7. Locate Under the 1551i Link ID column, locate 1551i

8. Comment out the whole existing Script section:

   Code Block
   1551i !Script 1551i !Defentry :1551: 1551i !class global 1551i !Text Loop(:vi:, :0:1551:, :0:1551:) [ 1551i !Text Loop(:vl:, :0:1551:, :0:1551:) [ 1551i !Text IF Not(IsEmpty(:vi:)) AND :vi:!=:vl: THEN FORCE(:vl:,:vi:) 1551i !Text ]; 1551i !Text ]; 1551i !End

9. Add this new Script section before the one we just commented out:

   Code Block
   1551i Script 1551i Defentry :1551: 1551i Text IF :1551: = "Y" AND :68: != "" THEN ASSIGN(:10142:,:68:); 1551i End

10. Locate the10142i Under the Link ID column, locate 10142i, which should immediately follow 1551i

11. Comment out this whole section:

    Code Block
    10142i !Script 10142i !Defentry :10142: 10142i !class global 10142i !Text Loop(:vi:, :0:10142:, :0:10142:) [ 10142i !Text Loop(:vl:, :0:10142:, :0:10142:) [ 10142i !Text IF Not(IsEmpty(:vi:)) AND :vi:!=:vl: THEN FORCE(:vl:,:vi:) 10142i !Text ]; 10142i !Text ]; 10142i !End

12. Locate Under the 7705i Link IDAdd the code below column, locate 7705i

13. Copy and paste the code from the Multiple Leg Swap tab of the attached

    View file
    name Create Security Debt Default Periods Automatically - New Code.xlsx page Add Security Debt Default Periods Automatically space IE

    spreadsheet to the end

14. Code Block7705i Lookup V1_20 7705i LookupName Insert Pay Leg Debt Default Period 7705i Type VALIDATOR 7705i ExecuteType AFTEREDIT 7705i Depends V1_2 7705i Condition :1551: = "Y" AND :10142: != "" AND :4590:="P" AND GetLookup("V1_2").GetLastRequestStatus() > 0 7705i Panel pan-adefaulttype-sec.htm 7705i showlookupstatus yes 7705i SourceMapIDs 21="USTAX":10=10:1551="INCOME":220=10142:4852="Created automatically during security setup.": 7705i IsQuery no 7705i End 7705i Lookup V1_21 7705i LookupName Insert Receive Leg Debt Default Period 7705i Type VALIDATOR 7705i ExecuteType AFTEREDIT 7705i Depends V1_3 7705i Condition :1551: = "Y" AND :10142: != "" AND :4590:="R" AND GetLookup("V1_3").GetLastRequestStatus() > 0 7705i Panel pan-adefaulttype-sec.htm 7705i showlookupstatus yes 7705i SourceMapIDs 21="USTAX":10=10:1551="INCOME":220=10142:4852="Created automatically during security setup.": 7705i IsQuery no 7705i End

    Save your changes

Step 3: Update Panel for Editing Multi-Leg Swaps

There are separate panels for adding and editing multi-leg swaps. If we want to be able to invoke this process for existing securities, we need to apply similar changes to Edit Multiple Leg Swap (pan-editsecmastermultilegswap.htm).

1. Open Web Panel Designer

2. Navigate to eagle > star > reference > Add/List Issue

3. Open Edit Multiple Leg Swap and change to Overlay edit mode

4. Click the …LISTBOX tab

5. Under the Link ID column, locate 3931i

6. In the fifth Script section, remove L1551 and L10142 from the “Before” line below

   1. Before: IF (RefRow(:vThisRef:)!=1) THEN SET(L14,L1432,L38,L1551,L10142,L3997,L3998);

   2. After: IF (RefRow(:vThisRef:)!=1) THEN SET(L14,L1432,L38,L3997,L3998);

7. Complete items 7-11 from Step 2 above for this panel

8. Under the Link ID column, locate 7705i

9. Copy and paste the code from the Edit Multiple Leg Swap tab of the attached

   View file
   name Create Security Debt Default Periods Automatically - New Code.xlsx page Add Security Debt Default Periods Automatically space IE

   spreadsheet to the end

10. Save your changes