If the vendor or issuer provides an update to a Released status factor for an MBS security, you can perform the following processing tasks to revise a factor:
Cancel the corporate action announcement for the old factor.
Input the corrected factor.
Run global factor processing.
The following sections describe these tasks. Alternately, you can 1) use the rebook process to adjust the factor (Rebook Corporate Action panel). You can then 2) globally cancel the corporation action (Cancel Global Corporate Action Announcements panel) and 3) run global factor processing (Factor Processing panel).
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You can use stale factor processing to have the system automatically correct trades that are processed with incorrect or stale factors. |
Task One: Cancel the Old Factor's Corporate Action Announcement
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To cancel a corporate action announcementfor announcement for a released factor:
In Reference Data Center, in the left navigation pane, click Reference Desk > Corporate Actions > Maintain > Set Up Cancel Corporate Action Announcement.
You see the Set Up Cancel Corporate Action Announcement panel.In the Entry Panel tab, enter the query criteria in the Corporate Action table to identify the corporate action for the released factor you want to cancel.
Click Submit.
You see the corporate action announcements that met your criteria in the Show All tab.Select each corporate action announcement that you want to cancel so that a check mark appears in the Select column for that row, and then click Create Cancel Corporate Action Record.
You see each corporate action announcement you selected in the Action Entry Panel tab.Click Submit.
Eagle Accounting creates a cancel record for the corporate action. That is, Eagle Accounting sets up a cancel record for the previously established released factor.In Accounting Center, in the left navigation pane, click Processing and Exceptions > Global Processes > Corporate Actions > Cancel Global Corporate Action Announcements.
You see the Cancel Global Corporate Action Announcements panel. You can use the Global Cancel corporate action process to cancel all previously processed paydowns for the Effective Date of the factor, for all entities holding that security. The cancelling of the paydown transaction causes earnings to rollback and replay with the new current face.
Task Two: Input the Corrected Factor
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Run the global factor processing for the new factor. For more information, see Process Factors.
During factor processing, Eagle Accounting rolls back earnings to the Effective Date of the new factor, applies the new factor, and then replays earnings forward (using the newly adjusted current face) to the previous Earn Thru Date of the position.
Consider that in this example, you:
Purchased Security 31296GT32
In Portfolio MBSDEMOG
With a Trade Date of 20040105
A Settle Date of 20040106
Par of 1,000,000.00
A Price of 90.00
Eagle Accounting amortizes 241.86 (CY2) for the month of January. Then a factor for February 1 of 90, is applied. Eagle Accounting creates a Paydown of 100,000.00 vs. 90,024.19 Amortized Cost and a 9,975.81 gain. If this factor is revised for February with a factor of 0.99795196, after processing steps 1-3 above, Eagle Accounting now calculates a Paydown of 2,048.04 par versus 1,843.74 Amortized Cost, and Unrealized Gain/Loss of 204.30.
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The following figure shows the Factor Processing panel.
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