Page Comparison

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• First Payment Date and Last Payment Date

• First Payment/Valuation Date and Last Payment/Valuation Date

For securities that use When using a Business Day Convention  (1536) with an adjustment, such as ADJMBC (Modified Following - Adjusted), the dates must be valid business days.In some cases, only unadjusted dates may be available in the security reference data. Eagle has functionality to calculate the adjusted dates in these cases. This can be invoked in both Issue Viewer and Message Center. Two options are available depending on your requirements:that adjusts the length of the accrual period if ends on a non-business day, Eagle Accounting requires that adjusted/actual First Coupon Date and Last Coupon Date be entered on the security master file (SMF). Other date conventions that may adjust the length of the accrual period are Day of Month Override (1533) and Interest Payment Timing (1523).

If the adjusted dates are not available during SMF setup, Eagle Accounting has functionality to calculate them based on the date-related reference data. This is used most often for swaps because they typically have a Business Day Convention of Modified Following - Ajdusted. The unadjusted First Coupon Date must be provided, which will then be adjusted and the Last Coupon Date will be populated. The fields below drive the calculation.

• Business Day Convention (1536), Day of Month Override (1533), or Interest Payment Timing (1523)

  • Coupon Day of Month (10551) if Business Day Convention is used

• Business Calendar (1480)

• Coupon Delay Days (4908) if Coupon Delay Days Type (3999) = B (Business)

• Dated Date (1183): the adjusted/actual date must be provided, it cannot be calculated

• First Coupon Date (473): the unadjusted date

• Maturity Date (38): the adjusted/actual date must be provided, it cannot be calculated

• Calculate First/Last Coupon Dates (2301)

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Populate First Coupon Date with the unadjusted date

1. This is required to support stub periods

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• : after populating all other date-related details, set to Y in your message or select Calculate First/Last Coupon Dates

  • The field name is Calculate First/Last

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• • Payment Dates for TRS

  • The field is hidden in some screens

See attached credit default index swap (CDX) loader for an example:

Calculate/Validate Last Coupon Date (2337)

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can be used instead if the adjusted First Coupon Date is available and you only need to calculate the Last Coupon Date. Set it to Y in your message or select Calculate Last Coupon Date

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instead of populating Calculate First/Last Coupon Dates.