Overview

There may be a requirement to shut off accruals for a security or position in Eagle Accounting for market or operational reasons. The most common drivers are going into default, being priced dirty in the market, or having an unsupported accrual calculation.

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.

Assumptions

This process will create two Debt Default Periods with:

• Add Periods Based On (1256) = Security

• Accounting Basis (21) null

  While this field is required in the panel for security-level records, it is not required on the underlying event and testing confirms accruals are successfully suppressed when it is left null

  : one with USTAX and one with GAAP

• Default Type (1551) = Income

...

Securities created in Reference Data Center will not invoke this process.

Implementation

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Task 1: Copy Create Debt Default Period Panel to Lookups Folder

The Create Debt Default Period panel (pan-adefaulttype.htm) has logic to change the Event Type (55) between ADD_POS_DEFAULT and ADD_SEC_DEFAULT depending on whether a position-level or security-level record is being added. However, the default Submessage in the panel’s Global Properties, which is also the default Event Type, is ADD_POS_DEFAULT.

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1. Open Web Panel Designer

2. Navigate to eagle > star > reference > Debt Default Periods

3. Right-click Add Debt Default Periods/Inhibit Earnings and select Copy

4. Navigate to eagle > star > LOOKUPS

5. Right-click LOOKUPS and select Paste as

6. Name the panel pan-adefaulttype-sec.htm

7. Open the panel and change to Overlay edit mode

8. Click Global Properties…

9. Change Submessage to ADD_SEC_DEFAULT and click OK

10. You will receive a message asking if you want to change the default value for tag 55

11. Click Yes

12. Save your changes

Task 2: Copy List Debt Default Period Panel to Lookups Folder

...

Repeat the procedure from Task 1 above except:

• In Step 3, right-click List Debt Default Periods/Inhibit Earnings and select Copy

• In Step 6, name the panel pan-ldefaulttype-sec.htm

Task 3: Update Panel for Adding Multi-Leg Swaps

Once we have a panel that can create the appropriate records when called as a lookup, we can add the logic to call that panel from the Multiple Leg Swap panel (pan-addsecmastermultilegswap.htm). There are also tweaks to allow Default Indicator (1551) and Default Date (10142) to be set independently on each leg when creating a swap manually via Issue Viewer. Currently the values are entered on the contract and then propagated down to the legs.

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 Copy and paste the code from the 1551i section of the Multiple Leg Swap tab of the attached

   View file
   name Create Security Debt Default Periods Automatically - New Code.xlsx

   spreadsheet before the Script we just commented out:

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

   Locate the10142i Link ID

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

11. Comment out this the 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 ID

    Add the code below to the end

    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

    column, locate 7705i

13. Copy and paste the code from the 7705i section of the Multiple Leg Swap tab of the attached

    View file
    name Create Security Debt Default Periods Automatically - New Code.xlsx

    spreadsheet to the end

14. Save your changes

Task 4: 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. Under the 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. Copy and paste the code from the 1551i section of the Edit Multiple Leg Swap tab of the attached

   View file
   name Create Security Debt Default Periods Automatically - New Code.xlsx

   spreadsheet before the Script we just commented out

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

11. Comment out the 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. Under the Link ID column, locate 7705i

13. Copy and paste the code from the 7705i section of the Edit Multiple Leg Swap tab of the attached

    View file
    name Create Security Debt Default Periods Automatically - New Code.xlsx

    spreadsheet to the end

14. Save your changes