About Report Overrides

Apply Report Overrides to Determine the Next Calculation Date

You can create report overrides for rules based on an entity/security, entity/processing security type, entity/security type, security, processing security type, or security type. You can also create report overrides based on a security processing type, security type, issuer name or ID, and/or issuer industry without specifying an entity or security. 

When you run the Weighted Average Maturity report, the system can use report overrides as rules that determine the next calculation date for the WAM calculation. As the system processes each position, it must identify whether a report override affects the report results for the position. It identifies the appropriate report override to use by matching the report override criteria to the position in the following order: 

1. Entity/security of the report override matches the position. 

2. Security of the report override matches the position's security. 

3. Entity/processing security type (PST) or processing security type of the report override matches the position. 

4. Entity/security type or security type of the report override matches the position. 

5. Issuer name of the report override matches the position, and the report override's Date Type is Demand - Max Maturity.

When the system identifies the appropriate report override to use by matching the report override criteria to the position, it uses the following default hierarchy for cases where SMF rules conflict with each other. The report logic uses the following defined order to work down the list to determine the rule to use:

1. Security Alias

2. Issuer ID

3. Issuer Name

4. Issuer Industry

5. Security Type

6. Processing Security Type

Identify Call, Put, Step, and Refund Dates to Use as the Calculation Date

The Weighted Average report can use the call date for counting days to maturity for callable bonds. Or you can use maturity date and then use report override rules to set the call date when the bond was determined as “likely” to be called. 

In the Weighted Average Report panel, you can select a Call Source value to accommodate different sources of call and put dates for use in the report. When you set the report's Call Source to Call Schedule, the report uses the Schedule table to obtain its calculation date. When you set the report's Call Source to Override Table, the report uses report override rules for call date, put date, step date, and refund date to determine the calculation date. If the system cannot find call dates, then the bond uses maturity date for the calculation. 

If the report uses a Call Source of Call Schedule, the report uses the Schedule table to identify the next call/put/step date. Otherwise, If the report uses a Call Source of Override Table, and a report override is available with a Date Type of DEMAND - CALL, DEMAND - PUT, DEMAND - STEP, or DEMAND - REFUND, the report uses the report override rule's override date. 

Identify the Next Reset Date for Variable Rate Securities

For variable rate securities, if the report cannot identify a report override rule that applies to a position, the WAM report uses the next refix date for the security's variable rate to determine the calculation date for the WAM calculation.

There is often a delay with receiving the variable rate data for the next accrual period once the current rate reset date arrives. During the wait period for the variable rate schedule to be updated, the calculation date on the WAM report defaults to maturity date. To avoid these spikes and apply a continuously correct WAM, you can use Projection type report override rules to apply calculations based on chosen attributes. The report can calculate a temporary "projected" date for use for calculation date for WAM reporting while waiting for the reference data update. The report can use projection rules off the coupon date and frequency or rate reset frequency. The report uses these rules when the next reset date is not available and you set up an override rule to project based on the last refix date or on the coupon date and frequency. 

In cases where a Next Refix Date does not exist in the Variable Rate table, the report override rules determine how the system projects the next calculation's dates. You can set up report override rules based on the following date types: 

• Projection - Refix Date. The report override rule identifies an historic refix date in the Variable Rate table and calculates a refix date based on the security variable rate reset frequency. 

• Projection - Coupon Date. The report override rule identifies the coupon date from the security and uses the coupon frequency to determine the next calculation date. 

• Projection. The report override rule uses a combination of the Projection - Refix Date option and the Projection - Coupon Date option. The report first looks to the refix projection and if it does not find an historic refix date, the report continues to the coupon date projection.

Otherwise, if the Next Refix Date is not available in the Variable Rate table, and a Projection type report overide rule is unavailable, the system uses the variable rate next reset date from the SMF. Otherwise, if the security is not Short Term Variable Rate, Long Term Variable Rate, Short Term Floating Rate, and Long Term Floating Rate and a value is present in the STAR_SECURITY_TIME_SERIES table, the report uses that value. Otherwise, the report uses the stated maturity date. 

Apply a Maximum Maturity for FNMA and GNMA Bonds

Because FNMA and GNMA mortgage backed securities are often not held to maturity, you can use a maturity shortening method to calculate their days to maturity. Variable rate FNMA and GMNA securities use the variable rate logic to determine the days to maturity calculation. Fixed rate FNMA and GMNA bonds have a maximum maturity date of 12 years or 4,380 days. Only when the maturity is less than 12 years does the bond use actual days to maturity. 

For FNMA and GNMA issued mortgaged back bonds, you can set up a report override rule to return a maximum WAM of 12 years (4380 days) on the Weighted Average report. This reflects a value of 12 years for the bond until the actual maturity is less than 12 years away from the report date. Once the maturity date is less than 12 years away, the report uses the actual maturity date as calculation date. 

To apply a max date rule for an issuer, you set up a report override rule that has the Date Type set to 12 Year Max Maturity. You must also specify a value for the Issuer Name as part of the report override to categorize the security as FNMA or GNMA. 

The max date rule for each record that meets these requirements applies as follows:

If (Maturity Date – Report Date) >= 12 years/4380 days, return days to maturity of 4380 days and calculate the Calculation Date {tag 8380} as Report Date + 4380

If (Maturity Date – Report Date) < 12, return the actual days remaining to maturity

Apply a Maturity for FNMA and GNMA Bonds

For FNMA and GNMA issued mortgaged back bonds, you can set up a report override rule to return the maturity date needed for the calculations.

To apply a maturity date for a security, you set up a report override rule that has the Date Type field set to Demand - Maturity. You must also specify a value for the Issuer Name as part of the report override to categorize the security as FNMA or GNMA. If you: 

• Set up the report override rule with the Date Type field set to Demand - Maturity and a NULL Override Date value, the report uses the maturity date of the security from the Security Master Record.

• Set up the report override rule with a defined Override Date value, the report returns this date as the maturity date.

Both options display a value of Maturity Date under the Date Type field on the report.