...
Eagle has full support for these securities using "time sensitive" functionality. This allows you to define different accrual terms for specific start and end dates that override the values on the security master file (SMF). Eligible fields consist of You cannot override individual dates or date conventions. These are the eligible fields:
- Coupon (70)
...
- Coupon Type (97)
...
- Day Count Basis (471)
...
- Payment Frequency (472)
...
- Underlying Security (1347)
...
- Spread/Index Offset (55)
...
Using Time Sensitive functionality is different than simply updating accrual terms on the SMF. Doing so changes the way the security accrues subsequent to the SMF update, but the prior terms are not maintained through rollback/replay. 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 functionality, as described below.
...
- 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
- 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
- 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
- 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
- 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
- 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
- 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
- Issue Viewer and SRM both exhibit the same issues as described under V13 Custom above, which has two implications: