Example reference data screens, trade screens, and reports are attached:

• View file
  name CLO Examples.xlsx

Entity Setup

Entities trading CLOs do not require any special setup.

Reference Data

Storage & Configuration

Eagle models CLO security master files (SMFs) as single rows in Data Management.

Market Data

CLO payments are derived from an underlying index, which is linked by entering its ID in the Underlying Information section of the CLO SMF. Index SMFs can be set up and maintained using Issue Viewer, Security Reference Manager (SRM), or Reference Data Center (RDC). Other than identifiers, the only information that must be entered is the currency.

Once the index has been set up, floating rates can be loaded using Add Variable Rate. Eagle Accounting will automatically pull the appropriate rates into the accrual process based on the First Rate Reset Date (10911), Reset Frequency (

1788), and Reset Look-Back Days (10547).

• Interest rates must be loaded to the underlying index back to Dated Date

CLOs are also eligible to have paydowns. These are treated as corporate actions in Eagle Accounting, which involve a two-step process of first setting up an announcement, then triggering the event. More details are provided in the Accounting section.

Security Data

Eagle recommends modeling CLOs as MBS and setting up separate SMFs to represent different tranches. Most fields are the same as other fixed income securities, but those specific to CLOs are highlighted below.

• Processing Security Type (3931) = DBFBFB (Factor Based Debt Instrument)

• Price Multiplier (18) = 0.01

• Quantity Scale (19) = 1.00

• Issue Price (69) = 100

• Maturity Price (42) = 100

• Coupon Type (97) = X (Floating Rate)

• Floating Rate Fields

  • First Rate Reset Date (10911): same as First Coupon Date (473)

  • Reset Frequency (

• • 1788): same as Payment Frequency (472)

  • Reset Look-Back Days (10547): # of days prior to the floating rate reset to grab new floating rate

    • Reset Look-Back Days Type (5075): measure look-back in B (Business) or C (Calendar) days

  • Fixing Date Business Center (16407, V15 R2.18): select calendar used for floating rate resets, which may be different than the calendar used for payment dates; this calendar will be used in lieu of the main Business Calendar when applying the Reset Look-Back Days for fixing dates

  • Underlying Security (1347): floating rates will be automatically retrieved from this underlying index

  • Spread/Index Offset (215): spread above or below the floating rate, entered in basis points (0.55% = 55)

    • When a floating rate (0.25%) plus negative spread (-55 bps) goes negative (effective rate = -0.3%), accruals and coupons are posted in the appropriate direction

Trade Processing

Buy

Trades are entered using the Book Trade module once entity and reference data have been configured. Enter the appropriate entity, security identifier, and trade (35)/settle (37) dates and click Submit to query for the security. Right-click it and select Open > Buy or ShortSell. The list below contains all fields required to book a CLO trade.

• Original Face (41)

• Current Factor (91): this is looked up automatically from any existing Final Factor corporate action records, otherwise it defaults to 1.00

• Current Face (40): this is calculated automatically as Original Face * Current Factor

• Price (45)

• Traded Interest (49): the accrued interest bought (or sold) on the trade

  • You can either enter this or have Eagle Accounting calculate it

• Broker (88)

Sell

The Book Trade module should also be used to process both full and partial closes. Enter the same identifiers as the open to query for the security. Right-click it and select Close > Sell or BuytoCover depending on whether the existing position is long or short. All fields on the close are the same as the open, except Lot Selection Method (27). This defaults to the entity-level election, but can be overridden.

Maturity/Expiration

CLOs are captured by Eagle’s core maturity process. Maturities are triggered using:

• V17 & Above: Accounting Center > Processing and Exceptions > Global Processes > Expirations & Maturities > Run Mature Process

• Prior to V17: Global Process Center > Expirations > Mature

Accounting

Once a CLO trade is booked, it will be picked up in Eagle’s global workflow. Daily accruals and periodic coupon payments are generated as part of the earnings process, Accounting valuation is calculated when posting unrealized gain/loss, and Data Management valuation is calculated in the STAR to PACE push.

Valuation

CLOs are valued using real clean prices, entered via Add Issue Price or Pricing Center.

• Market Value = Current Face * Clean Unit Price * Price Multiplier * Quantity Scale

Paydowns

To process a paydown on a CLO in Eagle Accounting, a Final Factor corporate action must be created and processed. Eagle Accounting maintains a record of both current and original face, plus the specific impacts of each individual paydown.

The following fields are required to set up the corporate action announcement.

• Asset ID (14) & Issue Name (961): enter one or the other to query for the CLO

• Sweep Date (1197): date when the global corporate action process will pick up and execute the corporate action (generally current date)

  • Note: this is a strictly operational data element for global processing; the corporate action will take effect on Effective Date (65)

• Effective Date = date of the paydown

• Corporate Action Status (54) = Released

• Corporate Action Sub Priority: priority with which credit events will be processed (use default of 1 unless there are two or more concurrent credit events)

• Mandatory/Voluntary Indicator (1734) = Mandatory

• Factor Rate (1696) = new factor

• Paydown Trade Flat (16994): controls whether traded interest is calculated on the paydown for paydowns that occur on non-coupon dates

  • Yes (default): no traded interest is included in the paydown

  • No: traded interest is calculated and included in the paydown

• Principal Loss Factor (2926): leave null to follow the normal process where Eagle Accounting treats the portion of a paydown that is the result of a loss at a price of zero

  • More information about this field is available in

• • Create Final Factor Panel Options

• Corporate Action Type (1728) = Factor

The corporate action is triggered using:

• V17 & Above: Accounting Center > Processing and Exceptions > Global Processes > Corporate Actions > Factor Processing

• Prior to V17: Global Process Center > Factor Processing > Factor

Set Corporation Action Begin (220) & End Sweep Date (221) to a range that includes the Sweep Date entered on the announcement.

Reporting

STAR to PACE (S2P)

Almost all reports in Eagle leverage data from Data

Management, which is populated by the S2P process. This will be scheduled as part of the daily workflow, but can also be triggered manually as described in the Accounting section.

The S2P process creates single rows for each CLO in the POSITION, POSITION_DETAIL, TRADE, and CASH_ACTIVITY tables. The MARKET_VALUE_INCOME column captures the total market value, inclusive of price fluctuations and period-to-date accruals payable or receivable.

Accounting Reports

Eagle has a core set of accounting reports that can be used to review CLO information. These are designed to support the daily operational workflow for business users, allowing Grid Reports to be easily exported to Excel and customized to provide additional details as needed. Advanced Reports are intended to be client-facing and do not provide the same level of customization.

Data Management Reporting

Performance

The performance toolkit has full functionality to calculate market value-based performance for CLOs using data supplied by the S2P process. Risk and performance attribution features are available to analyze CLO performance.

Automation

CLO SMFs and trades can be loaded through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to

https://eagledocs.atlassian.net/wiki/spaces/GENERICINTER for more information.