Rollback/Replay and Retro Amortization (2nd Principle)

Rollback and Replay of earnings allows you to "roll back" earnings to a specific earn through date (for which earnings have already run), and thus clear out or back out of the previous earnings data. In the Income Archive, when earnings are rolled backed to a previous earn through date, the income rows that have been backed out now appear in the cancel row level of the Income Archive.

After the rollback, you can then replay the earnings with the current applicable information, going forward, for each earn through date. The benefit of rollback and replay of earnings is that you can pick up reference data changes that should have occurred in prior coupon period, (or even a current coupon period), thus correcting prior period ending values and making the position correct, life-to-date. Also, rollback and replay allows you to display the correct daily values for each earnings value, for each earn through date of the position in the Income Archive, and for each earn through date for reporting purposes. Note that rollback and replay can occur automatically, when such events as backdated trades are entered in Eagle Accounting, or manually, when a user runs the accrual process for a previous earn through date.

An example follows in Example A - Rollback and Replay.

Retrospective Amortization

The other tool Eagle Accounting offers you to correct prior period earnings is the Retrospective Amortization process. The retrospective amortization functionality is available only for securities that utilize the Default, Retrospective, and PAC NPV amortization methodology. The retrospective amortization process is used when cash flow assumptions of the user differ from actual cash flows, upon which the amortization yield was originally based. The retrospective amortization process allows Eagle Accounting to bring the amortization of the security in line, based on actual principal and interest payment of the security. Eagle Accounting allows you to calculate and apply the historical cash flow from three distinct periods as part of the retrospective amortization calculation:

• From Original Settlement Date

• Settlement Date

• From a User-Specified Date

An example follows in Example B - Retrospective Amortization. For detailed information about retrospective amortization, see Manage Amortization and Yield Calculations.