Book Open Trades for TBA Securities

To manually book an open trade for a TBA security

Open TBA Panel Options

The following are the options in the Open TBA panel. Note options may vary according to your selections.

Entity Information

The following are the options for entity information:

• Entity ID (tag 1163). Specifies the unique identifier of the entity.
• Entity Name (tag 1164 ). Specifies the name of the entity.
• Base Currency (tag 86). Displays the base currency of the entity.

Issue Information

The following are the options for issue information:

• Trade Date (tag 35). Specifies the effective date of the trade. The trade date cannot be greater than the post date, accounting date, or settlement date.
• Accounting Date (tag 36). Specifies the date the trade is reported and has an effect on the entity's holdings and cash balances. The accounting date must be greater than the trade date.
• Monthly Accounting Date (tag 4733). Displays the month end accounting date.
• Settlement Date (tag 37). Specifies the date the trade is settled.
• Event Type (tag 55). Displays the business intent of the transaction.
• Long/Short Indicator (tag 15). Displays an L (long) or S (short) to indicate whether the position is long or short.
• Cross Reference Type (tag 1234). Specifies the cross reference type associated with the security.
• Issue Name (tag 961). Specifies the name of the security.
• Cross Reference ID (tag 1233). Specifies the cross reference identifier associated with the security.
• Instrument Type (tag 11). Displays the instrument type.
• Security Type (tag 82). Displays the security type of the asset.
• Issue Currency (tag 85). Displays the local currency of the security.
• Maturity Date (tag 38). Displays the date the final principal payment is due on the security.
• Coupon Rate (tag 70). Displays the rate at which the security accrues interest. It is expressed as an annual rate.

Accounting Information

The following are the options for accounting information:

• Create TBA Cashflow (tag 9406). Indicates whether you want to create a cash flow for the TBA security. Options include:
  –  Yes. The system creates a cash flow when you book the open trade for the TBA.
  –  No. The system creates a net cash flow when you book a close trade for the TBA. If you leave this field blank, the system treats it as No.
• Select Values to be Calculated by STAR (tag 7000). Determines whether the system automatically calculates the trade data or allows you to enter it manually. Options include:
  –  Traded Interest/Amort Yield/OID Yield/Trade Yield
  –  Traded Interest/OID Yield/Trade Yield
  –  Amort Yield/OID Yield/Trade Yield
  –  Traded Interest/Amort Yield/Trade Yield
  –  Traded Interest
  –  Amort Yield/Trade Yield
  –  OID Yield/Trade Yield
  –  Calculate None
• Accrued Interest Type (tag 3715). Displays the accrued interest type. The value in this field must be CUM.
• Original Face (tag 41). Specifies the original face value of the security. This value must be greater than zero.
• Current Factor (tag 91). Specifies the paydown factor for the mortgage backed security. This value must be greater than zero.
• Current Face (tag 40). Displays the current face value of the security.
• Price (tag 45). Specifies the price of the security per unit. This field must be greater than zero.
• Amort Yield (tag 75). Displays the rate at which a bond accretes discount or amortizes premium. It is expressed as an annual rate.
  NOTE: Amortization, amortization yield, and interest only income are not calculated for short positions, as specified in the Long/Short Indicator field.
• Trade Yield (tag 9430). Specifies the yield calculated on the trade.
• Principal (tag 165). Displays the principal amount based on the following formula: (Current Shares * Quantity Scale ) * (Price * Price Factor)). This product is rounded to the local currency precision.
• Implied Commission (tag 78). Indicates if commission is included in the price. Options include No and Yes.
• Commission (tag 47). Specifies the amount of the trade commission.
• Tax Amount (tag 46). Specifies the tax amount on the transaction.
• Stamp Duty Tax (tag 51). Specifies the stamp duty amount on the transaction.
• Other Fee (tag 3752). Specifies any additional fees on the transaction.
• Traded Interest (tag 49). Specifies the interest accrued for the period's last coupon date, dated date, or issue date through the settlement date.
• Local Net Amount (tag 50). Displays the net amount of the trade based on the following formula: Principle + Fees.
• Settlement Currency (tag 63). Displays the currency in which the trade is settled.
• Settlement Net Amount (tag 64). Displays the actual settled amount of the trade. The value must be greater than zero.
• Local to Base FX Rate (tag 87). Displays the foreign exchange rate used to calculate the net base amount. The value must be greater than zero.
• Base Net Amount (tag 478). Displays the base amount of the trade. This amount is calculated based on the following formula: Local Net Amount / Local to Base FX Rate. The value must be greater than zero.

Settlement Information

The following are the options for settlement information:

• Open TBA Trade ID (tag 10503). Specifies an identifier for the open TBA trade.
• Auto Settle Trade Indicator (tag 58). Indicates whether the system settles the trade, coupon, and miscellaneous income and expenses automatically. If the entity's Auto Settle Indicator field is set to Yes, as specified on the Add/Change Entity or Master Fund Setup panels, the system will create a settlement when the trade is processed. There will be no trade to settle date gain/loss. This applies even if the settlement date is in the future. Eagle recommends that you set the Auto Settle Indicator field to No for the entity and trade panels. Options include:
  –  Yes. The system automatically settles the trade, coupon, and miscellaneous income and expenses. The system retrieves the settle date FX rate if the local currency does not equal base and generates a trade to settle date gain/loss.
  –  No. Default. The system does not automatically settle the trade, coupon, and miscellaneous income and expenses. You must schedule the settlement for these transactions using the Contract Cash panel. Or, manually settle the transactions using the Multiple Settlements panel.
• Broker Name (tag 1235). Specifies the name of the primary broker.
• Broker Code (tag 88). Specifies the code that represents the broker.
• Clearing Broker (tag 1236). Specifies the name of the clearing broker, if different from the trade broker.
• Clearing Broker Code (tag 1237). Specifies the code for the clearing broker.
• Custodian Bank Name (tag 1146). Specifies the name of the custodian bank responsible for the trade.
  NOTE: You must establish a relationship between the custodian bank and your entity prior to booking the trade.
• Custodian Bank Code (tag 1240). Displays the code of the custodian bank.
• Custody Bank Account Number (tag 1660). Displays the custodian bank primary account number.
• Custody Bank Subaccount (tag 1661). Displays the custodian bank subaccount number.
• Settle Instructions 1 (tag 1897). Allows you to add settlement notes.
• Settle Instructions 2 (tag 1898). Allows you to add settlement notes.
• Settle Instructions 3 (tag 1899). Allows you to add settlement notes.
• Settle Instructions 4 (tag 1900). Allows you to add settlement notes.
• Settle Location (tag 43). Specifies the location in which the trade is settled.

Other Information

The following are the options for other information:

• Transaction Notes (tag 56). Contains user defined information about the trade.
• Original Trade Ticket Number (tag 761). Contains the trade ticket identification number. The system uses it during processing. For example, IDLOT close or cancel events use this number to locate an open lot.
• Holding Term (tag 9091). Specifies the holding term for the trade based on the number of days between the original acquisition date (tag 216) and the maturity date (tag 35) on the lot. If you use ledger reporting based on ledger granularity rules to break out accounts by holding term, the system uses this value to identify the holding term for trades related to bonds and preferred stocks. Eagle Accounting's core transaction processing calculates the holding term for you, but you can manually override the value displayed in this field. Eagle Insurance clients that use ledger granularity rules have the system calculate the holding term based on the schedule associated with a lot. Options include:
  –  Short Term. Identifies a short term holding. If the Holding Term Method field (tag 11479) in the trade's accounting basis has a value of 90 days, a short term holding term is 91 days to a year. If the Holding Term Method field has a value of 3 months, a short term holding term is 3 full months to a year.
  –  Cash Equivalent. Identifies a cash equivalent holding. If the Holding Term Method field (tag 11479) in the trade's accounting basis has a value of 90 days, a cash equivalent holding term is 90 days or less. If the Holding Term Method field has a value of 3 months, a cash equivalent holding term is 3 full months or less.
• Regulatory Intent (tag 8915). If you now hold the trade in an entity/accounting basis with the new International Financial Reporting Standards (IFRS) regulatory category of Fair Value Profit Loss (FVPL) but previously held the trade in an entity/accounting basis with the old regulatory category of Fair Value Option (FVO) or Held for Trading (HFT), you can identify the old regulatory category specified for the trade at the entity/accounting basis level. You can specify a value for reporting purposes only. Options include:
  –  Fair Value Option. Indicates the trade was previously held in a regulatory category of Fair Value Option, used for instruments managed on a fair value basis.
  –  Held for Trading. Indicates the trade was previously held in a regulatory category of Held for Trading, used for instruments held with the intent of selling them.
• Pending Trade Flag (tag 3695). Specifies whether the trade is eligible for pending trade processing prior to processing by the STAR accounting engine. If you use pending trade processing, the system can assign this value to incoming transactions that meet flagged position rule criteria. Or an incoming transaction can include this value. This field is hidden. Options include Y and N.
• Pending Trade Status (tag 3720). Specifies the trade's transaction status for pending trade processing prior to processing by the STAR accounting engine. If you use pending trade processing, the system can assign a value of Pending to incoming transactions that meet flagged position rule criteria. Or an incoming transaction can include a value of Pending or a custom pending transaction status value defined in the PEND_TRD_STATUS code category. The default status is Pending if no status is provided. This field is hidden.

Book Close Trades for TBA Securities

TBA securities are often traded in multiple lots (a single position can consist of one or more individual lots). The system requires that these positions are closed out with the identified lot selection method. That means, if there are three lots in a position, you must book three close transactions.

To manually book a close trade for a TBA security:

1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
2. Enter Book Trade in the Start Search text box.
3. Click the Book Trade (Accounting Center) link to access the Book Trade tool.
   You see the Query window as the default.
4. Complete the options in the Query window and click Start Search.
5. Select the row with the security you want to trade.
6. Click Close, and click Sell or Buy to Cover.
   You see the Close TBA panel.
   Complete the options on the Close TBA panel.
7. Click Submit.

Close TBA Panel Options

The following are the unique options in the Close TBA panel. See the Open TBA Panel Options section for more information about other options. Note options may vary according to your selections.

Accounting Information

The following are the unique close options for accounting information:

• Pairoff/Allocate Indicator (tag 5671). Indicates whether you are allocating a TBA turnaround.
• Position Original Face (tag 109). Displays the original quantity of the position. The value must be greater than zero.
• Position Current Face (tag 122). Displays the current quantity of the position.
  NOTE: If the value in the Current Face field is greater than the value in this field, the value in the entity's Tech Short Eligible Flag field must be set to Yes, as specified on the Add/Change Entity and Master Fund panels. If it is set to No, the trade will fail.
• Lot Selection Method (tag 27). Specifies the lot selection method the system uses to relieve (sell) lots of the security held by the entity/accounting basis. Options available in this panel include:
  –  Identified Lot (IDLOT). The specified lot or lots are sold first, which determines cost and tax implications. You can optimize this option to specific tax situations by selecting the specific lots to be sold. If you select this method, the lower pane in the panel displays lot details for each available lot, as determined by the entity's controlling basis. If no controlling basis exists, it displays lots for the primary basis. You must specify the quantity for one or more lots that you want to relieve. The total quantity you specify for the open lots must match the quantity entered for the total close. The close trade relieves the selected lots in each of the entity's accounting bases, and keeps the lot structures in sync. The system uses the lot's Orig Event ID field (tag 457) to match a single open lot in one basis to corresponding multiple open lots in another basis, as needed. This can occur for lots fractured as a result of wash sale processing.
• Prorata Credit/Noncredit Loss Reduction (tag 16157). Indicates whether any noncredit loss associated with partial sells on the transaction is reversed prorata. This field appears only when you close less than the total outstanding quantity. Options include:
  –  Yes. Any noncredit loss associated with partial sells is reversed prorata.
  –  No. Default. Any noncredit loss associated with partial sells is reversed entirely.

Allocate TBA Buys

You can allocate the underlying pools associated with a buy trade for a TBA security.

Allocate TBA Buy Panel Options

The following are the options in the Allocate TBA Buy panel. Note options may vary according to your selections.

Entity Information

The following are the options for entity information:

• Entity ID (tag 1163). Specifies the unique identifier of the entity.
• Entity Name (tag 1164). Specifies the name of the entity.

TBA Information

The following are the options for issue information:

• TBA Primary Asset ID (tag 14). Specifies the primary asset ID of the TBA security.
• TBA Issue name (tag 961). Specifies the name of the TBA security.
• Choose TBA Lot (tag 7225). Specifies the TBA lot to be allocated.
• TBA Par (tag 40). Displays the par value of the TBA security.
• Price (tag 45). Displays the price of the TBA security per unit.
• TBA Lot Event ID (tag 26). Specifies the event ID of the TBA lot that is being allocated.
• Trade Date (tag 35). Specifies the trade date stored for the TBA security.
• Accounting Date (tag 36). Specifies the date the trade is reported and has an effect on the entity's holdings and cash balances. The accounting date must be greater than the trade date.
• Monthly Accounting Date (tag 4733). Displays the month end accounting date.
• Settlement Date (tag 37). Specifies the date the trade is settled.
• TBA Cost (tag 7669). Displays the cost of the TBA security.
• TBA Par to be Allocated (tag 4000). Specifies the par amount to be allocated for the specified TBA lot. The value must be greater than zero.
• Create TBA Cashflow (tag 9406). Indicates whether you want to create a cash flow for the TBA security. Options include:
  –  Yes. The system creates a cash flow when you book the open trade for the TBA.
  –  No. The system creates a net cash flow when you book a close trade for the TBA. If you leave this field blank, the system treats it as No.

Other Information

The following are the options for other information:

• User Defined Priority (tag 2862). Specifies the user generated number that determines the event sub priority. That is, after the system accounts for the event sequence and corporate action sequence.

Allocate TBA Turnarounds

You can allocate the underlying pools associated with a short sell trade for a TBA security. A short TBA is called a turnaround since you end up selling the mortgage you hold. The open pools must exist in the system.

To allocate the underlying pools associated with a short sell trade for a TBA security:

1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
2. Enter Book Trade in the Start Search text box.
3. Click the Book Trade (Accounting Center) link to access the Book Trade tool.
   You see the Query window as the default.
4. Complete the options in the Query window and click Start Search.
5. Select the row with the security you want to trade.
6. Click Allocate, and click Allocate TBA Turnaround.
   You see the Allocate TBA Turnaround panel.
7. Complete the options on the Allocate TBA Turnaround panel.
8. Recall the existing open pools using the pane that appears on the bottom of the Allocate TBA Turnaround panel.
   To add the underlying pools:
   –  Right click anywhere in the lower pane and select Add Rows.
   –  Enter the number of rows you want to add in the Add Rows dialog box and click OK.
   –  Complete the fields on each row you added.
9. Click Submit.
   You have closed the short position and subsequent pools.

Allocate TBA Turnaround Panel Options

The following are the options in the Allocate TBA Turnaround panel. Note options may vary according to your selections.

Entity Information

The following are the options for entity information:

• Entity ID (tag 1163). Specifies the unique identifier of the entity.
• Entity Name (tag 1164). Specifies the name of the entity.

TBA Information

The following are the options for TBA information:

• TBA Primary Asset ID (tag 14). Specifies the primary asset ID of the TBA security.
• TBA Issue Name (tag 961). Specifies the name of the TBA security.
• Choose TBA Lot (tag 7225). Specifies the TBA lot to be allocated.
• TBA Par (tag 40). Displays the par value of the TBA security.
• Price (tag 45). Displays the price of the TBA security per unit.
• TBA Lot Event ID (tag 26). Specifies the event ID of the TBA lot that is being allocated.
• Trade Date (tag 35). Specifies the trade date stored for the TBA security.
• Accounting Date (tag 36). Specifies the date the trade is reported and has an effect on the entity's holdings and cash balances. The accounting date must be greater than the trade date.
• Monthly Accounting Date (tag 4733). Displays the month end accounting date.
• Settlement Date (tag 37). Specifies the date the trade is settled.
• TBA Cost (tag 7669). Displays the cost of the TBA security.
• TBA Par to be Allocated (tag 4000). Specifies the par amount to be allocated for the specified TBA lot. The value must be greater than zero.
• Create TBA Cashflow (tag 9406). Indicates whether you want to create a cash flow for the TBA security. Options include:
  –  Yes. The system creates a cash flow when you book the open trade for the TBA.
  –  No. The system creates a net cash flow when you book a close trade for the TBA. If you leave this field blank, the system treats it as No.

Other Information

The following are the options for other information:

• User Defined Priority (tag 2862). Specifies the user generated number that determines the event sub priority. That is, after the system accounts for the event sequence and corporate action sequence.