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Eagle has full support for these securities using "time sensitiveTime Sensitive" functionality. This allows you to enter different accrual terms for specific date ranges that override the values on the security master file (SMF). You cannot override individual dates or date conventions. The eligible fields are:

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Using Time Sensitive functionality is different than simply updating accrual terms on the SMF, which does not support rollback/replay for dates prior to the change. 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 Time Sensitive functionality.

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A brief description of the process is provided first, followed by detailed step-by-step instructions.

High-Level

Time sensitive Sensitive functionality consists of two components:

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This is the critical piece of time sensitive Time Sensitive configuration. There are different options for managing the periods, but regardless of your preferred method, the configuration must follow these two rules:

1. Begin Date (220), which is the : effective date of the change, must

   1. Must be equal to an actual coupon date for

   underlying security changes; spread

   1. most changes

      1. Spread changes can occur on any date

   2. Must be less than/equal to Dated Date (1183) for the initial period

   3. If you are changing the underlying security and using an Adjusted day count basis such as ADJMBC (Modified Following - Adjusted), Begin Date must equal the adjusted coupon date

2. End Date (221) of one period must not overlap with Begin Date of the subsequent period
   

   Because Begin Date indicates the

   : set to one calendar day before effective date of the change,

   each End Date must be one calendar day prior to

   or leave null if there are no subsequent changes

   1. Must not overlap with Begin Date of the subsequent period

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There is additional functionality for swaps in Issue Viewer V17 to simplify the manual workflow. The following fields become available after saving a swap with Time Sensitive = Yes, then reopening

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it. They will not be available when setting Time Sensitive = Yes for the first time.

• Existing Effective Dates (7017): returns any

  time sensitive

  Time Sensitive records that have been added and the associated data

• As Of Effective Date (4212): date a

  time sensitive

  Time Sensitive change takes effects; this must be populated and is used as Begin Date when defining a

  time sensitive

  Time Sensitive data change

Option 2: Managing Records Directly

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• 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

  • When using the Time Sensitive functionality to change the underlying index for a floating rate security, rates must be loaded through the fixing date when the change occurs

    • This is different than a standard floating rate security where the earnings process will pick up a stale rate

•  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

• 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

• 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