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SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES

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5.20 Security Setup Activities 1 Overview ................................................................................................................ 1 2 Security Definition .................................................................................................... 2

2.1 SECURITY ADDITIONAL DATA .................................................................................... 11 3 Security Description ............................................................................................... 13 4 Security Definition - Stock ....................................................................................... 14 5 Security Definition - Bond ....................................................................................... 16 6 Model Security Set up ............................................................................................. 52 7 Security Research .................................................................................................. 58 8 Security Research - Historical .................................................................................. 60 9 Security Research Snapshot Request ........................................................................ 61 10 Security Master Override .................................................................................... 63 11 Security User-Defined Fields ............................................................................... 66 12 Security User-Defined Field Names ...................................................................... 69 13 Security Bond Historical Ratings .......................................................................... 72 14 Historical Dividend and Shares Outstanding .......................................................... 74 15 Reporting Securities .......................................................................................... 75

15.1 OVERVIEW ....................................................................................................... 75 15.2 REPORTING SECURITY SETUP ................................................................................. 75 15.3 PROCESSING .................................................................................................... 76

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES OVERVIEW


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1 OVERVIEW This series of screens allows the user to add, change, delete, and view the security data. Security data consists of the security number, name, category codes, price code, coupon/annual dividend rate, bond accrual data, etc. The definition of each security is important and should be done carefully since it controls the processing and reporting of the assets of each fund. Because of the volume of data required for each security, more than one screen is required. The available screens are as follows:

Screen Name Screen ID Description SECURITY DEFINITION STST, BOBD,

OPSD, FUSD Contains general security data (that is, security number, short description, price code, asset group, security categories).

SECURITY ADDITIONAL DATA STAD Contains a security's External Identifier (CUSIP/CINS, SEDOL or ISIN).

SECURITY DESCRIPTION FUDE, STDE, BODE, OPDE

Contains security long description.

SECURITY DEFINITION - STOCK STSS Contains additional security data required for stocks (that is, ticker symbol, annual dividend rate).

SECURITY DEFINITION - BOND BOSB Contains additional security data required for bonds (that is, bond code, maturity date, issue date, payment method).

SECURITY DEFINITION - OPTION & FUTURE

OPSO, FUSF Contains additional security data required for options and futures (that is, strike price, underlying security, expiration date). See Options & Futures.

SECURITY DEFINITION - MODEL SECURITY

STST, BOBD, OPSD, FUSD

When a group of securities has the same basic information, a Model Security may be pre-defined to speed up input time. Securities added using this model automatically have common information cascade into the appropriate fields as established.

SECURITY RESEARCH SARS Contains security research data such as Fiscal Year-end, Current Year Price Hi, 12-mo Earnings, etc.

SECURITY RESEARCH - HISTORICAL SARSH Contains historical research data for a specific year.

SECURITY RESEARCH SNAPSHOT REQUEST

SRSNAP Creates security research segment snapshots and generates control report.

ACCOUNT OVERRIDE DESO, DASO, VSSO, DDSO

This security master override establishes a relationship between an account and a security.

SECURITY USER DEFINED FIELDS SAUD, SAUD2, SAUD3, SAUD4, SAUD5, SAUD6, SAUD7, SAUD8

Allows the user to define specific dates and alphanumeric fields for a given security.

BOND HISTORICAL RATINGS BRATE Retains historical bond ratings for a specific security and rating service.

HISTORICAL DIVIDEND AND SHARES OUTSTANDING

SDHIST Defines historical data for annual Dividend and Shares/Par Outstanding for stock like and bond like securities.

REPORTING SECURITY Allows a security to represent cash and currencies for rate input, transaction input and reporting.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY DEFINITION


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2 SECURITY DEFINITION Use the STST Screen for Security Definition, Step 1.

STST Screen. Also BOBD, OPSD, FUSD NEXT STST MODE VIEW FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO SHORT NAME MODEL SECURITY IND: STATUS DATE.................. STATE CODE.. EXPENSE TYPE:....... INCEPTION DATE............... REPT/NO:... CUSIP (PRICING)...... LOAN FLAG. PRICE CODE.. FV SRCE/TYPE ASSET GROUP. OP SRC/TYPE SEGMENT... CATEGORY.. SECTOR.... INDUSTRY.. HIGH/LOW PRICE RANGE. / BENCHMARK PRICED INTERNAL SIC CODE.. ISSUER CODE.. CROSS REF CD. NAICS.. PRIMARY PRICE SOURCE/TYPE.. / PRICING FREQ. TRAN GEN. WSELIG. LAG DAYS.. LAG DAYS METHOD.. FEDERAL TAX STATUS.. TAX GROUP.... INCOME CATE MAIN/SUB..... / PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TYPE.. / 1ST ALT PRICE SOURCR/TYPE.. / 2ND ALT PRICE SOURCE/TYPE.. / 3RD ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. EXCLUDE MGT FEES EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROTECT.. EMU SCTY.. EMU DATE .. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% PEP STATUS.. GL-CODE.. SWP=>

Field Description. Fields Shaded Gray are Required.

SECURITY NUMBER User may enter any security code he/she chooses. Normally, the CUSIP number is used. NOTE: CUSIP number is MANDATORY in this field if the user is a remote processing client of SunGard and wants SunGard pricing/dividend notification service. This field is actually three fields: security number, security date, and security qualifier (NNNN). If the security number is not sufficient to uniquely identify the security, the user must enter the date and qualifier. If the security number is unique, the security date and qualifier are left blank. If setting up a model, the security number must be from 1 to 9 alpha or numeric character with a date of 01-01-1900 and 00000 as the qualifier.

MODEL SECURITY IND Enter the model security code if using a model to set up this security; otherwise, it remains blank.

SWP=> This field allows the user to designate how this database update should be processed. 0 or N- Do not Sweep or Translate the affected position(s). 1 or Y- Sweep but do not Translate the affected position(s). Under this

option, the Translation Date is re-set if the account is global (default).

2 or X- Sweep and Translate the affected position(s). 3 or H Invoke Hierarchical Valuations.

STATUS DATE System generated.

SHORT NAME Enter the Security Short Name (up to 25 characters). This description is displayed on screens and some batch reports.

STATE CODE Enter the State Code representing the Issuing State. The presence of this code allows municipal bond interest to be reported by state. See Notes for



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a list of state codes. If not applicable, skip this field (default is 80). Municipal Bonds (Asset Group M) and Stepped Municipal Bonds (Asset Group SM) require a valid state code other than 80.

EXPENSE TYPE This field indicates whether an expense is fixed or variable. Valid values are: F - Fixed fee expense V - Variable (management) fee expense) See 5.1.1 Security Unique Numbers for additional information.

INCEPTION DATE For future use. Default is current System Run Date.

REPT/NO: A number to be used for reporting purposes. Required only if different from the security number (up to 25 characters). An example is an internal security number.

CUSIP PRICING NUMBER CUSIP number. Required only if different from the security number. For remote-processing clients, this defaults to SECURITY NUMBER. If setting up a Model security, enter question mark (?).

LOAN FLAG Term Loans (Asset Group TL) require a value of “C” or “T”. C – Commitment security. T – Tranche security. Blank – Used for asset groups other than TL.

PRICE CODE This code controls the calculation of Market Value given price and carry value. Allowable values are: B - Bond like (market - price x face/100) C - Cost value (market - cost); for bonds, market - book D - Futures/Options (market - contracts x contract size x price) E - Futures/Options (market - contracts x contract size x price/100) F - Face Value (market - face) G - Cost Value (market - cost with a base of one) I - Inverse (used for Global securities) K - TIIS Unadjusted Price (market = price x face/100 x index ratio) M - Market** (market - price) S - Stock like (market - price x shares) Default. U - Units (market - shares x price/1000) X - Interpolated Market Price (used for Forward Exchange Contracts and

Currency Contracts) Z - Zero coupon (market - par x price/100 - accrued income) * - Null value (zero price) See Section 5.125, for valid The PRICE CODE utilized for Stepped Coupon Bonds. ** See Notes at the end of this section

FV SRCE/TYPE Source used with Fair Value pricing to identify fair value price source (vendor). Type used with Fair Value pricing to identify price type associated with the fair value price source. For Unit Trust accounts, two fair value price types can be input for dual fair value pricing. The first fair value price type field, mentioned above, represents the bid fair value price type and the second represents the offer fair value price type. Unless bid/offer processing is desired, only the first fair value price type should be used. See Section 5.311 Fair Value Pricing for further information.

Field descriptions continue...



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ASSET GROUP This code defines the general asset characteristics. Valid Values: AP Auction Rate Preferred Stock IR Installment Receipt B Corporate Bond IS Interest Rate Swaps (Old) BA Bankers Acceptance IT Income Fixed Expense BR Benchmark IV Income Variable Expense CA Cash IW Interest Rate Swaps (New) CB Convertible Bond JN Junior Note CC Currency Contract M Municipal Bond CD Certificates of Deposit MA Miscellaneous Asset CF Capital Fixed Expanse MB Mutual Bond Fund CL Capital Assets MD Margin Deposit CM Capital Management Expense ME Management Fee CP Commercial Paper MF Mutual Fund CS Currency Swaps (Old) MM Money Market CT Capital Fixed Expense MN Master Notes CU Currency Security MR Mortgage Related CV Capital Variable Expense MS Master Portfolio CW Currency Swaps (New) O Option DD Deep Discounted Bond OE Other Expense DE Deferred Expense P Preferred Stock DN Demand Note PL Investment Pool DW Credit Default Swap PO Principal Only Bond ED Euro Dollar R Right F Future (OLD) RE Remic FB Foreign Bond RL Revolving Loan FC Forward Contract - Short RP Repurchase Agreement FE Fixed Expense RR Reverse Repo FH FHLMC S Common Stock FL Forward Contract - Long SB Stepped Bond FM FNMA SM Stepped Municipal Bond FS Foreign Stock SN Senior Note FT Future (NEW) TD Time Deposit G Government Bond TI Treasury Bill GI Gilt Bond TL Term Loans G1 GNMA1 TN Treasury Note G2 GNMA2 TO Treasury Bond I Index TW Total Return Swap II Inflation Indexed UN Units IB Installment Bond W Warrant IC Investment Contract WE Recoupment Expense IE IOette Bond XX Other Security IO Interest Only Bond YD Yankee Dollar See Section 5.125 Stepped Coupon Bonds Documentation for additional information regarding Stepped Bond (SB) & Stepped Municipal Bond (SM). See Section 5.1204 User Defined Asset Groups for additional information regarding how to set up user defined asset groups using the base asset groups above.

OP SRCE/TYPE Source used with Fair Value pricing to identify the next day open price source (vendor). Type used with Fair Value pricing to identify price type associated with the next



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day open price source. For Unit Trust accounts, two next day open price types can be input for dual next day open pricing. The first next day open price type field, mentioned above, represents the bid next day open price type and the second represents the offer next day open price type. Unless bid/offer processing is desired, only the first next day open price type should be used. See also Section 5.311 Fair Value Pricing.

SEGMENT The segment level security category code that must be defined on the Security Category file.

CATEGORY The category level security category code that must be defined on the Security Category file. If not applicable, omit this field (default is 0000).

SECTOR The sector level security category code that must be defined on the Security Category file. If not applicable, omit this field (default is 0000).

INDUSTRY The industry level security category code that must be defined on the Security Category file. If not applicable, omit this field (default is 0000).

HIGH PRICE RANGE

Enter the numeric value for the high price audit (99.9%). This price audit percent is used by Investment Accounting (InvestOne); to screen prices between valuation periods for potential pricing errors. The default value, if this field is left blank, is whatever was defined on the Security Category file for this segment, category, sector, industry code combination.

LOW PRICE RANGE

Enter the numeric value for the low price audit (-99.9%). This price audit percent is used by Investment Accounting (InvestOne); to screen prices between valuation periods for potential pricing errors. The default value, if this field is left blank, is whatever was defined on the Security Category file for this segment, category, sector, and industry code combination.

BENCHMARK PRICED

Indicates benchmark pricing is to be used to calculate the security's price. Valid values: Blank or N - No benchmark pricing Y - Use benchmark pricing This field is for IMpower users only. See Section 8.300.

INTERNAL Indicates if vendors are allowed to message in information to the STRE. N – (Default) Vendor messages are accepted. Y – Vendor messages are not accepted. See Section 5.25.

SIC CODE Standard Industrial Classification or user-defined industry code. If not applicable, omit this field.

ISSUER CODE A code to tie different securities from the same corporation together. Default is the first six digits of the CUSIP number. If setting up a model security, enter a question mark (?). Must be equal to a valid issuer from the issuer table (MDIS) or the security number or CUSIP number.

CROSS REFERENCE CODE

An alternate security access key such as ticker symbol, user-defined security number, etc. When a Security Definition has been successfully added and the CROSS REFERENCE CODE has been completed, this code may be used as alternate access. This code must be preceded by a “?”. To eliminate a code, enter “*” in the first position and space out the remainder of the field. For mortgage-backed securities, pool number should be entered in the CROSS REFERENCE CODE field (on BOBD).

NAICS CODE The North American Industry Classification System is an industry classification system. It allows establishments that use like processes to produce goods and services to be grouped together and they must be equal to a valid code from the NAICS Code table (MDNAIC). If not applicable to a security, this field may be left blank.



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PRIMARY PRICE SOURCE/TYPE

Source used with Universe Pricing to identify primary price source (vendor). See Interface Manual for further information on this function. Also used with Flexible Pricing to identify price source (which may be synchronized with Universe Pricing). See Section 5.300 of the Investment Accounting (InvestOne); System Manual for further information on this function. Type used with Universe Pricing to identify price type within primary price source, where applicable. See Interface Manual for further information on this function. Also used with Flexible Pricing to identify price type within price source (which may be synchronized with Universe Pricing). See Section 5.300 of the Investment Accounting (InvestOne); System Manual for further information on this function. For Unit Trust accounts, two price types may be input for dual pricing. The first price type field, mentioned above, represents the bid price type and the second represents the offer price type. Unless bid/offer processing is desired, only the first price type should be used.

PRICING FREQ Required for the Central Pricing System and defines the pricing frequency of the security. Valid values are: D - Daily (default) 1 – 9 - Weekly S & T - Semi-monthly B & C - Monthly U - Undefined; sporadic Z - Do not price These additional codes that define the pricing frequency of the security are not available for the Central Pricing System. Valid values are: K - Constant Q1 - Quarterly last Business Day of Jan., Apr., July, Oct. Q2 - Quarterly last Business Day of Feb., May, Aug., Nov. Q3 - Quarterly last Business Day of Mar., June, Sept., Dec. S1 - Semi Annual, last Business Day Jan., July S2 - Semi Annual, last Business Day Feb., Aug. S3 - Semi Annual, last Business Day Mar., Sept. S4 - Semi Annual, last Business Day Apr., Oct. S5 - Semi Annual, last Business Day May, Nov. S6 - Semi Annual, last Business Day June, Dec. AJ - Annual Jan. last Business Day AF -Annual Feb. last Business Day AM - Annual Mar. last Business Day AA - Annual Apr. last Business Day AB - Annual May last Business Day AU - Annual June last Business Day AC - Annual July last Business Day AE - Annual Aug. last Business Day AS - Annual Sept. last Business Day AO - Annual Oct. last Business Day AN - Annual Nov. last Business Day AD - Annual Dec. last Business Day See Section 5.115, for PRICING FREQ utilized for Stepped Coupon Bonds



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TRANS GENERATION

Used with Transaction Generator option. Y - Allow generation of qualifying transactions. Default. R - Allow generation of qualifying transactions where Interest Re-investment (tran

code - INTRE) is to be generated on scheduled payment dates prior to maturity. N- Do not allow generation of transactions.

WSELIG The wash sale eligibility field is used by the Wash Sale Generator to decide to allow or disallow wash sale activity for this security. Y - This security should allow for wash sale adjustment. Default. N - This security does not allow for wash sale adjustments.

LAG DAYS Used with the Transaction Generator option (selected on this screen and the AAAD screen) and the GNMA Generator option (selected on the AAAD screen). For the Transaction Generator, enter the number of days between the Contractual Settlement Date and the Actual Settlement Date for generated transactions. If no Actual Settlement Date is desired, enter 9999. For the GNMA Generator, enter the number of days between the Contractual Settlement Date and the Actual Settlement Date for generated transactions. Valid values are 0-99. Any value greater than 99 is treated as 0. If no Actual Settlement Date is desired, enter 9999 in the LAG DAYS field on the AAAD screen.

LAG DAYS METHOD

Used with the Transaction Generator and GNMA Generator options. Indicates the method by which lag days are counted from the Contractual Settlement Date to determine the Actual Settlement Date. See Section 5.260 GNMA Generator for further information. Valid values are:

1 - Actual days. Add lag days to the day of Contractual Settlement Date. Valid for all Asset Groups.

2 - 30-day months, assuming 1st of month scheduled payment date (defined on the BOSB screen). Add lag days to the day of Contractual Settlement Date inclusive. Valid only with Asset Groups “G1”, “G2”, “FH” and “FM”.

3 - 30-day months, add lag days to the day of Contractual Settlement Date. Valid only with Asset Groups “G1”, “G2”, “FH”, “FM”, “MR”, “IO”, “PO”, “IE” and “RE”.

Blank - Defaults to 2 for Asset Groups “G1”, “G2”, “FH” and “FM”. Defaults to 1 for all other Asset Groups.

Field Description

FEDERAL TAX STATUS For SEC yield calculation. Default value is “T” (taxable). If tax-exempt, enter “E”. If alternate minimum tax, enter “A”. “A” is processed as if tax exempt.

TAX GROUP Used for tax withholding and reclaim processing. Valid values are “A” through “Z”. See Section 5.800, Global Documentation for international fund accounting implications.

INCOME CATE MAIN/SUB

Enter the income main category code and the income sub-category code. If not applicable, skip these fields. Default is 0000.

PRICE INDEX SCTY Used for NAV Exception Processing in Apollo and for the Central Pricing System. When entered, this security is used for editing and comparison purposes during the exception processing.

CAL Processing calendar for the security that is used by the Central Pricing System. Must be equal to the two-character Calendar Set Code that has been defined by means of the Calendar Definition (DECAL) screen. If left blank, user bank calendar is used.



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Field Description

BACKUP PRICE SOURCE/TYPE

Source used with Universe Pricing to identify backup price source (vendor). See Interface Manual for further information. Type used with Universe Pricing to identify price type within backup price source, where applicable. See Interface Manual for further information. For Unit Trust accounts, two backup price types may be input for dual pricing. The first backup price type field, mentioned above, represents the bid backup price type and the second represents the offer backup price type. Unless bid/offer processing is desired, only the first price type should be used.

1ST ALT PRICE SOURCE/TYPE

Optional source used by the Central Pricing System and Hierarchical Pricing for first alternate source price editing. When these fields are defined, the 1st Price Source/Type overrides the Hierarchical Pricing defined on AAFP. If Hierarchical Account Pricing Override (HPAO) is defined, it overrides these options. Used to identify price type within the first alternate price source, where applicable. For Unit Trust accounts, two backup price types may be input for dual pricing. The first backup price type field represents the bid backup price type and the second represents the offer backup price type. Unless bid/offer processing is desired, only the first price type should be used.

2ND ALT PRICE SOURCE/TYPE

Optional source used by Hierarchical Pricing for second alternate source Price editing. When these fields are defined, the 2nd Price Source/Type overrides the Hierarchical Pricing defined on AAFP. If Hierarchical Account Pricing Override (HPAO) is defined, it overrides these options. Not available for the Central Pricing System. Used to identify price type within the second alternate price source, where applicable. For Unit Trust accounts, two backup price types may be input for dual pricing. The first backup price type field represents the bid backup price type and the second represents the offer backup price type. Unless bid/offer processing is desired, only the first price type should be used.

3RD ALT PRICE SOURCE/TYPE

Optional source used by Hierarchical Pricing for third alternate source price editing. When these fields are defined, the 3rd Price Source/Type overrides the Hierarchical Pricing defined on AAFP. If Hierarchical Account Pricing Override (HPAO) is defined, it overrides these options. NOTE: Not available for the Central Pricing System. Used to identify price type within the third alternate price source, where applicable. For Unit Trust accounts, two backup price types may be input for dual pricing. The first backup price type field represents the bid backup price type and the second represents the offer backup price type. Unless bid/offer processing is desired, only the first price type should be used.

FORM 13F FLAG “Y” or blank includes Form 13F Reporting. “N” excludes from Form 13F Reporting.

EXCLUDE MGT FEES Optional field for Unit Trust accounts. Indicates whether the market value of the security is to be excluded from management fee calculations as defined on UTAAFS. This exclusion is valid only for common expenses not class specific expenses. N or Blank - Include security market value in management fee calculation. Y - Exclude security market value in management fee calculation.



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Field Description

EXCLUDE FROM EXP CAP Indicates if a fund level or class of share level expense is to be included in the YTD operating expenses calculation used to determine the expense cap differential (class of shares level identified by having a value in the CLASS OF SHARES field on BOSB. N or Blank - Expense is not excluded from YTD operating expenses for the

purpose of calculating the expense cap differential. Y - Expense is excluded from YTD operating expenses (only for the purpose

of calculating the expense cap differential).

TOC If security is to be included in Form 13F reporting, enter a valid user-defined title of class code under which the security is to be reported.

ISSUE CURRENCY A code from the Currency Code (MDCU) table that identifies the issuing currency of the security. The principal effect of a redemption type transaction (maturity or call) is assumed to be in terms of this local currency. This code must exist in the currency code table and as a security before it may be assigned to a foreign stock or bond.


COUNTRY OF RISK Issuing country from MDCT table. Also used for risk management reporting.

TAXATION Taxation country from MDCT table. Used for tax withholding and reclaim processing. This field (along with the Tax Group value) determines which withholding and reclaim rates to apply to this security. See Section 5.800, Global Documentation for international fund accounting implications.

INCOME CURRENCY

A code from the Currency Code (MDCU) table that identifies the local currency which a foreign security's income is to be accrued and received. The income effect of income transactions is assumed to be in terms of this local currency. The default (if not specified) is equal to the issue currency code. This code must exist in the currency code table and as a security before it may be assigned to a foreign security. An income currency cannot be specified if an issue currency is not specified.

GUARANTOR Guarantor code from MDGD table.

ISSUED SCTY Used to identify securities issued as debt. The flag may be “Y” for yes or “N” (default) for no. The flag must be “Y” to process and report on the security as debt issued. See Section 5.180 of the Investment Accounting (InvestOne); System Manual for further information. See Notes.

TRADE CURRENCY A code from the Currency Code (MDCU) table that identifies the local currency in which a foreign security is traded. The principal and income effects of a purchase or sale transaction are assumed to be in terms of this local currency. Daily prices used to compute the local market value are also in terms of the trade currency. The default (if not specified) is equal to the issue currency code. This code must exist in the currency code table and as a security before it may be assigned to a foreign security. A trade currency cannot be specified if an issue currency is not specified.

PRICE GROUP Used with Flexible Pricing to identify price group. See Section 5.300 of the Investment Accounting (InvestOne); System Manual for further information.

PRICE PROTECT Used to protect manually entered prices from being overlayed with automatic pricing feeds.

EMU SCTY Used when re-denominating the security.

EMU DATE Date used for informational purposes.



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RPT SCTY N or Blank - Security is not a reporting security. Y - Security is a reporting security.

FRANKED/UNFR. Used by Unit Trusts to indicate the following: U or Blank - Unfranked (Untaxed) F - Franked (Taxed)

BID/OFFER SPREAD %

Percentage used by Unit Trust accounts to calculate an offer price if only a single price is entered or captured.

PEP STATUS The user defines the PEPable status of the security here. (Used primarily for UK funds). The PEP STATUS field is for informational purposes only. May be monitored by extracting the PEP status of each security through SPECTRA (Security Distribution) or through Flexible Outbound Messaging, thus checking for minimum 50% exposure to PEPable securities. Y - Security is PEPable N – Security is not PEPable

GL-CODE Used with the General Ledger to enable securities with a common GL code to be classified together. Code entered must correspond to a valid General Ledger Posting Category as seen on the GLPC screen. Press ENTER.

Next Step - In ADD mode: STST → STSS → STDE →; BOBD → BOSB → BODE; OPSD → OPSO → OPDE. In CHANGE mode: OPSD → OPSO → OPDE → is complete.



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2.1 SECURITY ADDITIONAL DATA Allows a security to be defined with one or all of the following external identifiers: CUSIP/ CINS, SEDOL or ISIN. Based on GCR reporting requirements and the Security Hierarchy defined on the GCR Master Trust Account Information (AAMT) screen, these fields may then be extracted. The Security Hierarchy on AAMT could rank ISIN as “1”, SEDOL as “2”, CUSIP/CINS as “3” and INTERNAL as “4”. In this case, the GCR reports interrogate the security record for the presence of the ISIN. If blank, the SEDOL is used, etc. NOTE: These external identifiers are not used for Investment Accounting (InvestOne); processing. The FAS 157 Effective Date and Level fields are only applicable to the FAS157 Report (R194). The Level value for each security will default to blank. Valid values are blank, 1, 2, and 3. Only the most recent FAS157 Effective Date and Level combination will appear on this screen, though multiple combinations are supported and can be stored. To Delete a FAS 157 Effective Date and Level combo, “blank out“ the Level assignment for a given FAS 157 Effective Date and accept the change. The FAS 157 Effective Date and Level combo will be deleted. Any other FAS 157 Effective Date and Level combos will remain, and the most recent will then appear on the screen. The FAS 161 definition provides the user the ability to assign risk factors that can later be extracted by holding or transaction for reporting purposes. The FAS 161 Effective Date defaults to a value of 00/00/00. The FAS 161 RISK value defaults to blank. Valid values for FAS 161 RISK must first be defined on the Risk Category Description (RSKDES) screen. To Delete a FAS 161 Effective Date and Risk combo, “blank out“ the Risk assignment for a given FAS 161 Effective Date and then Press ENTER. The FAS 161 Effective Date and Risk combo will be deleted. Any other previously defined FAS 161 Effective Date and Risk combos will remain. If requested either in VIEW or CHANGE mode, the most recent Effective Date combo is reported on the screen. Since INVEST ONE maintains both a Receivable Leg (long position) and a Payable Leg (short position) for some types of Swaps, a separate FAS161 Risk must be defined for each Leg of those Swaps. For the Payable Leg (short position) of a Swap, the FAS161 Risk should be defined with the Security Number and a qualifier of ‘00001’. For the Receivable Leg (long position) of a Swap, the FAS161 Risk should be defined with the Security Number with a blank or ‘00000’ qualifier. Once defined, the Swap’s Receivable Leg and Payable Leg positions will be reported separately with each position’s appropriate FAS 161 Risk assignment.

CONSTRAINTS CHANGE and VIEW are the only valid modes for this screen. The security must first be defined on STST before any of the external identifiers may be input.



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STAD Screen: Security Additional Data

NEXT STAD MODE CHANGE FDMP176 * * * SECURITY ADDITIONAL DATA * * * SECURITY NO: DOMSTK05 CUSIP/CINS.: 123456789 SEDOL......: 1234567 ISIN.......: 123456789012 RATING WEIGHT..: 0.00 FAS157 EFFECTIVE DATE..: 00 00 00 LEVEL..: FAS161 EFFECTIVE DATE..: 00 00 00 RISK...:


SECURITY NO A valid security number as defined on STST.

SECURITY DATE A date may be included as part of the security qualifier to distinguish it from any security which may have the same security number. Format: MM DD CCYY.

SECURITY QUALIFIER A numeric qualifier used with the date distinguishes the security from any security that may have the same security number. The format is 99999.

CUSIP/CINS An external U. S. security tracking number. Up to nine characters may be defined. CUSIP/CINS is considered as one data field because it is impossible to have both a CUSIP and CINS number for the same security. CUSIP numbers are assigned to U. S. securities while CINS numbers are assigned to non-U. S. Securities.

SEDOL An external international security tracking number. Up to seven characters may be defined.

ISIN An external international security identification number. Up to 12 characters may be defined.

RATING WEIGHT

FAS157 EFFECTIVE DATE

The FAS 157 Effective Date of the Level assignment. This field only applies to the FAS157 report (R194). This date indicates that the Level applies to all valuation dates = or > this date.

LEVEL FAS 157 Level Assignment code. This field only applies to the FAS157 report (R194). Valid values are: Blank (unassigned/default) 1 – Quoted prices in active markets. 2 – Observable inputs. 3 – Significant unobservable inputs.

FAS161 EFFECTIVE DATE

The FAS 161 Effective Date of the Level assignment. This field only applies to the FAS161 reporting. This date indicates that the Level applies to all valuation dates = or > this date.

FAS161 RISK A two character alphanumeric code. Valid values for FAS161 RISK must be defined on RSKDES.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY DESCRIPTION


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3 SECURITY DESCRIPTION Use this screen to add further Security Definition. Step 2. To delete a line of description, enter “*” as the first character of the line to be deleted and space out the rest of the line. Then Press ENTER.

STDE Screen. Also use FUDE, STDE, BODE, OPDE NEXT STDE MODE ADD FDMP44 * * * SECURITY DESCRIPTION * * * SECURITY NO: DESCRIPTION:

Field Description. Fields Shaded Gray are Required. SECURITY NO Enter security number, security date, and security qualifier. Security date

and qualifier are entered only if applicable. Security short description is displayed.

DESCRIPTION Enter up to ten lines of description. Each line is up to 50 characters long. This long description prints on most batch reports.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY DEFINITION - STOCK


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4 SECURITY DEFINITION - STOCK Use the STSS screen for Security Definition, Step 3. This screen may be accessed only if the security group on the Security Definition screen is “S” - Stock. Shares Outstanding and Annual Dividend may be defined for historical purposes using the Historical Dividend and Shares Outstanding (SDHIST) screen. If defined in SDHIST, then the most recent entry on SDHIST is displayed on STSS in ANNUAL DIVIDEND and/or SHARES OUTSTANDING. For more information see SDHIST.

STSS Screen

NEXT STSS MODE CHANGE FDMP45 * * * SECURITY DEFINITION - STOCK * * * SECURITY NO: STANDARD AND POOR 500 INDEX Y/N ... DOW-JONES INDUSTRIAL INDEX Y/N .... MARKET EXCHANGE ............ TICKER SYMBOL ............... ANNUAL DIVIDEND ....... SHARES OUTSTANDING QUALIFIED DIVIDEND..... INCOME TRUST START DATE...

Field Description. Fields Shaded Gray are Required. SECURITY NO Enter security number, security date, and security qualifier (security date

and qualifier, if applicable). Security short description is displayed.

STANDARD AND POOR INDEX Y/N

Enter whether or not this security is included in the Standard and Poor Index: Y - Security included. N - Security not included. Default is N. No processing implications.

DOW-JONES INDUSTRIAL INDEX Y/N

Enter whether or not this security is included in the Dow-Jones Industrial Index: Y - Security included. N - Security not included. Default is N.

MARKET EXCHANGE Enter the market exchange this security is listed upon. Used in conjunction with exchange definition on MDEXMF to determine if SEC fees should be automatically calculated for SELL and COVER transactions involving this security.

TICKER SYMBOL Enter the ticker symbol associated with this security.

ANNUAL DIVIDEND Enter the estimated annual dividend rate applicable to this security. Default is 0.00. NOTE: This field is automatically updated for remote clients.



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Field Description. Fields Shaded Gray are Required. SHARES OUTSTANDING Enter the shares outstanding in this stock. Format is:

99,999,999,999.99.

QUALIFIED DIVIDEND Enter the code indicating the status of cash dividends earned as known to the QDI report: Blank – Eligible to be qualified. N – Non-qualified. R – To be researched. See Section 3.nnn QDI Report for additional information.

INCOME TRUST START DATE

Enter the earliest date for which the security's distributions should be allocated using the Income Trust Distribution (DEINTR) screen. This date is used in conjunction with the INTR corporate action; see Section 5.290 for additional information. • For existing securities this date must be later than the pay date of the

most recently processed dividend. • For new securities this date should be earlier than the ex date of the

first Income Trust distribution on DEINTR. NOTE: Once this date has been set, dividend transactions with a date greater will no longer generate using Transaction Generator (BGTG).



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5 SECURITY DEFINITION - BOND Use the BOSB Screen for Security Definition - Bond, Step 2. The screen and field descriptions are followed by extensive details that cover various Security Definition situations. They include:

Security Unique Numbers State Code Table Mandatory Codes on the Security Category File Discount Notes Security Definition Data Reqd. on Debt Income Securities to Compute Income Accrued Income Option Pure Discount Issues Price Code Categorization Schemes for Cash and Expenses Amortization/Accretion Effective Maturity Date/Actual Maturity Date Constant DTM/Effective Maturity Date Logic: Flowchart Fund Re-sweeps and the Security Master Record Rate Changes: Variable and Floating Rate Securities Bond-Like Securities SEC Yield Advertising Detail Report and MAXIMUM SEC YIELD IO/PO/IOette Securities Manual AMORT/ACCRET Security-level Overrides Interest Rates for Variable and Floating Rate Bonds Rule 2A-7 Pricing Frequency Flag VS. Primary and Alternate Price/Source Type TIIS Securities in Default MATU Field Setting Up Interest Rate Swap Security Alternate Lock Date

BOSB Screen NEXT BOSB MODE CHANGE FDMP46 * * * SECURITY DEFINITION - BOND * * * SECURITY NO: BOND CODE . 1ST PWDN DATE.. ACCR METH. ACCR OPT. INT PUR. FIRST COUPON DATE ........... DAY COUNT. ISSUE DATE. INTEREST RATE ... MATURITY DATE ............. COMPOUNDING OPT.. PYMT FREQ.. PAYMENT MONTH/DAY ....... MOD PMT AMORT/ACCRET.. INFLAT INDEX.. DEFAULT DATE.. CPN CC MSTR NOTE FLOOR (000) .... ISSUE PRICE ... MSTR NOTE CEILING (000)... RATING: S and P MOODYS MATRIX CODE.... TBA FLAG.. ORIGINAL BAL.... EFF MATY DATE.. CCYY PREPAY.. PAR OUTSTANDING.. BENCHMARK.. CCYY CHG/CMP FREQ.. INCR.. OFFSET. BENCHMARK SPREAD ......... FIRST DATE.. MONTH-END... ANN RATE TYPE ....... GNMA GEN .. CONSTANT DTM. 2A-7. DEMAND. AMORT TO EFF MATY DATE.. ACTIVE.. CLASS OF SHARES REF X CCB DAYS... CONTRA EXPENSE... EFF MATY PRICE.. MATU SEC YIELD: MAX. MIN. SEC OVR EFF MAT LEN REPORT AS CASH. PEP EXPIRY CN EFF MAT REF-DATE SWP=>



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SECURITY NO Enter security number, security date, and security qualifier (security date and qualifier, if applicable). Security short description is displayed.

BOND CODE This code is used by Investment Accounting (InvestOne); to control what category this bond is reported under. Valid bond types: 1 - Corporate 2 - Government 3 - Municipal 9 - Fixed Expenses 0, 4-8 - not used

1ST PDWN DATE A valid date entry is optional and is valid only for securities defined as having Asset Group “G1”, “G2”, “FH”, “FM”, or “MR” coupled with Accrual Method “A”, “D”, “E”, or “F” to support the effective interest amortization method for MBS having delayed principal payments. Must be a regular payment date based on payment frequency, payment month/day, issue date, and maturity date (and optionally, effective maturity date, if amortization to effective maturity is selected). The date entered represents the first date at which principal paydowns are anticipated in calculating cash flows on which amortization is based for taxlots held in FAS91 compliant accounts. This field only effects the calculation of amortization; it does not affect how paydowns are generated.

ACCRUAL METHOD

Used to specify the calculation method. See Section 5.125 for valid interest/expense ACCRUAL METHOD utilized for Stepped Coupon Bonds. O Canadian bond N Discount note (actual/actual) A Coupon bond (actual/actual) V Variable rate: actual days closing

position H Coupon bond (actual/365) W Variable rate: actual days opening

position D Coupon bond (30/360) S Gilt bond (actual/365) Q Coupon bond (30/360e) M Fixed expenses B CD (actual/365) U Unpredictable C CD (actual/360) P PO Bond (30/360) E Floating rate (30/360) Y IO/IE Bonds (30/360) F Floating rate (actual/actual) K Investment Contract (365) G GIC: actual days compounding daily L Investment Contract (actual/actual) R Coupon bond (actual/360) X Interest Bearing Commercial Paper T Discount note (30/360) Z Gilt Variable Rate (actual/365) 4 Non-Standard

Variable/Floating/Fixed Rate (Actual/360 paying every 28 days)

5 Non-Standard Variable/Floating/Fixed Rate with optional Compounding (252 Business Days) 7 FIXED ACT/ACT 30/360

6 Non-Standard Variable/Floating/Fixed Rate with optional Compounding (Actual/360)

8 Actual/365L

ACCR INCM OPT The appropriate Accrued Income Option. See Accrued Income Option for more details. 0 – Income earned through day before payment date is paid on payment date. 1 – Income earned through day of payment date is paid on payment date. Blank – Apply option defined on Account Definitions (AAAD) Accrued Income Option.



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INTEREST PURCHASED

Interest purchased field: used in conjunction with Asset Group TL and Accrual Method “E” and “F” and with accrual methods “4”, “5”, and “6”. Y – Interest expected to be purchased or sold on trades with contractual settle

dates between payment dates. N – Interest is Not expected to be purchased or sold on trades with contractual

settle dates between payment dates. Blank – Interest accrual and payment assumptions are based on the accrual

method.

FIRST COUPON DATE

First coupon date, ordinarily used for bonds that pay long or short.

DAY COUNT Day Count is for additional flexibility and in order to handle different day conventions. Blank – Valid for existing accrual methods. A – For accrual method 7, the interest accrual will be calculated based on ACT/ACT. B – For accrual method 7, the interest accrual will be calculated based on 30/360.

ISSUE DATE The date the bond came into existence. Ordinarily used in conjunction with first coupon date; usually purchase date of the bond.

INTEREST RATE The annual rate of interest applicable to this bond. It may be any number less than or equal to 100.00000000. Percent is implied. For Ioette securities the rate may be as large as 999999999.99999999. All interest rate (coupon rate) entry for Stepped Coupon Bonds will be performed on the Corporate Actions/Rates (DECR) screen. An edit prevents entry of a non-zero value in the Interest Rate field. See Section 5.125 for information on Stepped Coupon Bonds.

MATURITY DATE The date the bond is to mature (MM DD CCYY).

COMPOUNDING OPT

For investment contracts, the appropriate compounding option. D – Daily compounding M – Monthly compounding Blank – No compounding For Accrual Methods 5 and 6, the appropriate compounding options are: Y – Interest is compounded per the rate change schedule. Blank – Interest is not compounded. Default.

PYMT FREQ The payment cycle. Note that when the Payment Frequency is “T”, the Day in Payment Month/Day cannot equal 1. Also, the Accrual Methods are limited to only “V” and “W” when the Payment Frequency is “T”. See also Section 5.125 for Stepped Coupon Bonds. Valid Values: A – Annually M –Monthly (cont...) T – Semi-Monthly Q – Quarterly S – Twice a year B – Every two months W – Weekly (valid only with payment methods “V” and “W”) D – Daily (valid only with payment methods “V” and “W”)

PAYMENT MONTH/DAY

The month and day of payment (MM/DD). This is the date when the payment is due, not the date the check is actually received. Payment month – the month in which one of the payments occurs. For example, if the bond pays in January and July, then either 01 or 07 is acceptable. Payment day – the day on which the payment occurs; that is, 15th. If the bond always pays on the last day of the



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month, 99 must be entered to signal that the payment date varies depending on which month the payment is due. Refer to the Security Definition table.

MOD PMT Determines whether contractual interest payments or actual settle dates for interest payments originally falling on a non-business day are left unmodified or are modified to the next or the preceding business day. Valid values: Blank – Payment Date is unmodified. This value is valid for all accrual method/asset group combinations. F – Payment Date modified following. An initially computed contractual interest

payment date falling on a non-business day is modified to the nearest business day immediately following the non-business day. This value is valid for accrual methods E, F, H, Q, R, V, W, 4, and 7 where the asset group is IW, CW, DW or TW.

P – Payment Date modified preceding. An initially computed contractual interest payment date falling on a non-business day is modified to the nearest business day immediately preceding the non-business day. This value is valid for accrual methods E, F, H, Q, R, V, W, 4, and 7 where the asset group is IW, CW, DW or TW.

A – Payment Actual Settle Date Modified Following. The actual settle date of an

interest payment or maturity transaction to be generated having its contractual settle date fall on a non-business day is modified to the nearest business day immediately following the non-business day. This value is valid for accrual method 6 where the asset group is IW, CW, DW or TW. This value is also valid for accrual methods A, B, C, D, E, F, H, K, L, N, O, R, S, T, V, W, X, and Z where the asset group is AP, B, BA, CA, CB, CD, CP, CW, DD, DN, DW, ED, FB, G, GI, IB, IC, II, IW, JN, M, MB, MM, MN, RP, SB, SM, SN, TD, TI, TN, TO, TW, or YD.

AMORT/ ACCRET See Section 5.115 for valid the AMORT/ACCRET method utilized for Stepped Coupon Bonds. See also Amortization/Accretion and Manual Amort /Accret. Valid values are: Y – Security qualifies for straight-line amort/accret* S – Security qualifies for scientific amort/accret L – Security qualifies for level-yield amort/accret N – Security does not qualify for amort/accret** C – Security qualifies for catch-up amort/accret I – Security qualifies for installment (NPV) method M – Security qualifies for manual amort/accret * The day count method for straight-line amort/accret is always actual days. **Must be “N” if Price Code is “Z”.

INFLAT INDEX The inflation index associated with the security (for example, CPI for consumer price index). Valid only for bonds having asset group II. Valid inputs are any inflation index table previously set up on the DEII screen.

DEFAULT DATE The effective date (MM/DD/YY) a security went into default

CPN CC Coupon currency that the income payment uses for settlement. Defaults to Income currency if left blank. Changes to CPN CC are always allowed on BOSB except when CPN CC is equal to Fund currency and equal to Income, Issue and Trade currency, then CPN CC cannot be changed back to the original currency of the fund.

ISSUE PRICE The original issue price of bond. Zero value indicates field is unused. For OID Processing, allow the issue price to be populated for accrual methods F & E, even when asset group is not MR



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MSTR NOTE FLOOR (000)

For demand notes (Master Notes), enter minimum amount to be lent to the demand note company (in thousands). The format is $99,999,999. Default is zero. This appears in a report Master Note. Applicable only for the Cash Manager option.

MSTR NOTE CEILING (000)

For demand notes (Master Notes), enter maximum amount to be lent to the demand note company (in thousands). The format is $99,999,999. Default is zero.



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RATING:

S AND P The Standard and Poor’s bond quality rating.

MOODYS The Moody’s bond quality rating.


MATRIX CODE For Matrix Pricing, enter the matrix code. Enter DELT in the field to remove a matrix code.

TBA FLAG Determines whether or not this security is eligible for TBA security processing: Values: Y – Eligible for TBA processing. N – Not eligible for TBA processing.

ORIGINAL BAL For mortgage-backed securities, enter the original pool balance. For Installment Bonds, enter the original balance.

EFFECTIVE MATURITY DATE

If desired, enter maturity date to be used for the security as reported on the Fixed Income Maturity Schedule and Maturity Cross Range Tabulation reports.

PREPAY Prepayment override. Is only used if account is FAS91 compliant. FAS91 setting on AAAD is 1, 2, 3, or 4. Valid Values: Blank – Default. FAS91 compliant amortization on this MBS will anticipate

prepayments per the account’s AAAD FAS91 option. C – FAS91 compliant amortization on this MBS will anticipate prepayments using

CPRs. Valid only for a security defined as having asset group “G1”, “G2”, “FH”, “FM”, or “MR” coupled with accrual method “A”, “D”, “E”, or “F”. Used only if account FAS91 setting is 1 or 2. Override ignored if FAS91 is 3 or 4.

P – FAS91 compliant amortization on this MBS will anticipate prepayments using PSAs. Valid only for a security defined as having asset group “G1”, “G2”, “FH”, “FM”, or “MR” coupled with accrual method “A”, “D”, “E”, or “F”. Used only if account FAS91 setting is 1 or 2. Override ignored if FAS91 is 3 or 4.

N – Security does not calculate FAS91 compliant amortization. Used for all FAS91 Accounts (1 , 2, 3, and 4).

PAR OUTSTANDING

The par outstanding in this bond. Par Outstanding may be recorded for historical purposes using SDHIST screen. If defined in SDHIST, then the most recent entry on SDHIST is displayed on BOSB in PAR OUTSTANDING. Format is 999,999,999,999.99.

BENCHMARK For a variable or floating rate security whose rate changes are tied to a benchmark, enter the security number (including date and qualifier, if applicable) of the benchmark.

CHG/CMP FREQ The rate change or compounding cycle. For Compounding, only values “D”, “M”, “Q” or “S” are valid. Valid Values for rate change: D Daily or multiples thereof MO A given Monday of each month W Weekly or multiples thereof TU A given Tuesday of each month M Monthly or multiples thereof WE A given Wednesday of each month B Bi-monthly or multiples thereof TH A given Thursday of each month Q Quarterly or multiples thereof FR A given Friday of each month S Semi-annually or multiples thereof SA A given Saturday of each month A Annually or multiples thereof SU A given Sunday of each month

INCR In fixed rate changes, INCREMENT determines which occurrence of this day within the month. Used in conjunction with RATE CHANGE FREQ. See Rate Changes.



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OFFSET Used in conjunction with a variable or floating rate security that uses Benchmark Processing. Any value entered here will override the DECAL screen value for the security. Valid values: Blank – Do not override the Calendar Set (DECAL) Fixing Date Offset. 00-00 – Override the Calendar Set (DECAL) Fixing Date Offset with this value. For variable/floating rate bonds/swaps using a calendar set per their security definitions and relying on benchmark rates processing, the benchmark rate used to derive the bond/swap rate at a given reset date is the rate in effect at the date found by adding this number of business days to the effective date of the benchmark rate entered on the DEBE screen.

BENCHMARK SPREAD

For a variable or floating bond whose rate changes are tied to a benchmark, enter the number of basis points to add to the benchmarks rate to arrive at the securities rate; the format is nn.nnnnn.

FIRST DATE A value must be entered in the FIRST DATE field to identify the first date for which a rate change is to be anticipated (by R202) and to provide a date from which subsequent anticipated rate change dates may be computed (by R202). See Rate Changes: Variable and Floating Rate Securities

MONTH-END See Rate Changes: Variable and Floating Rate Securities

ANNUAL RATE TYPE

The annual rate type associated with this security. See Section 5.70 of the Investment Accounting (InvestOne); System Manual.

GNMA GEN This field is only effective when AAAD screen GNMA GEN field has an entry of “B” to indicate that transactions should be generated according to the BOSB screen indicator. Valid values are: Y – Generate GNMA transactions for this security. N – Do not generate GNMA transactions for this security.

CONSTANT DTM

Enter constant days to maturity to be used by online report FIMS and batch reports R017 and R026 (for reporting purposes only).

RULE 2A-7

Reflects whether or not floating/variable rate bond has preset rate change dates. Valid values are: Blank – Security has preset rate change dates (variable) (Default). 1 – Security does not have preset rate change dates (floating).

DEMAND Reflects the number of days remaining until principal may be recovered through demand. Values are 00-99 (00 is default). See Effective Maturity Date/Actual Maturity Date

AMORT TO EFF MATY DATE

N or P – Do not acknowledge EFFECTIVE MATURITY DATE for amortization/accretion purposes.

Y – For amortization accretion purposes, substitute EFFECTIVE MATURITY DATE for MATURITY DATE in all calculations (unless EFFECTIVE MATURITY DATE has been reached/passed).

E – For amortization accretion purposes, substitute EFFECTIVE MATURITY DATE for MATURITY DATE in all calculations unless EFFECTIVE MATURITY DATE has been reached/passed, in which case the Amortization/Accretion freezes at the value reached on EFFECTIVE MATURITY DATE.

ACTIVE Y or Blank – Used to indicate the security is active (default). N – Used to indicate the security is not active (not actively paying down principal).

CLASS OF SHARES

Used in conjunction with the Multiple Classes of Shares optional application module to specify (for an EXPENSE security) to which class of shares a class-specific expense belongs. See Section 5.500 Multiple Classes of Shares. Valid values are 01-98, corresponding with the class identifier.



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REF X The Reference Inflation Index relating to the Issue Date of that particular Treasury Inflation Indexed Security. Investment Accounting (InvestOne); calculates this amount and it cannot be user maintained.

CCB DAYS Defines the number of days notice to call for continuously callable bonds. This is used to determine a calculated call date by applying the CCB DAYS value to the call schedule defined for the purpose of the computation of income by the SEC Advertising Yield Security Income Detail report (PARMSY).

CONTRA EXPENSE

Used to determine the classification of positive expense accrual balances. See Section 5.116 Prepaid Expenses. Valid Values: N – Prepaid Expenses (asset) Y – Accrued Expenses (liability)

EFFECTIVE MATY PRICE

The redemption value to be used on EFFECTIVE MATURITY DATE for amortization/accretion purposes. Valid values are between 000.0001 and 200.0000, inclusive. Default value is 100.0000. For OID processing, the EFF MATU Price can change to any value other than 100.00 and the process will flow in the same manner

MATU Price used for maturity transactions generated by means of the Transaction Generator. See Section 5.220 Transaction/GNMA Generators. Valid values are between 000.0001 and 999.9999, inclusive. Default value is 100.0000. See MATU Field for additional information.

SEC YIELD

MAX Defines maximum yield calculated and displayed for all YTM and/or YTC calculations as seen on the SEC Advertising Yield Security Income Detail report (PARMSY).

MIN Defines minimum yield calculated and displayed for all YTM and YTC calculations as seen on the SEC Advertising Yield Security Income Detail report (PARMSY).

SEC OVR YTM security override value used as a direct component in the SEC Advertising Yield calculation. See Section 3.20 SEC Advertising Yield Request for additional information Valid Values are between 0.001 and 999.999, inclusive. Default value is 0.000.

EFF MAT LEN Used in conjunction with EFFECTIVE MATY REF DATE to determine the effective maturity in lieu of an actual entry in the EFFECTIVE MATURITY DATE field.

REPORT AS CASH Within a Unit Trust account, this field indicates how to report the market value of a holding in this security on selected reports. See Unit Trust, Section 5.900 Security Definition Requirements for additional information. Valid Values: N or Blank – Report as Securities at Value (Default is Blank). Y – Report as Cash Equivalents.

PEP EXPIRY The date at which the security is no longer in a PEPable status (in relation to the trade date of a transaction only).

CN An entry in this field attaches a calendar defined on the DECAL screen to a specific security. This field is used in conjunction with accrual methods “4”, “5” and “6” as well as with Benchmark Rates Processing that employs Fixing Date Offset and Modified Payment Processing. Valid values: Blank – A Calendar Set is not used. Default. Non-Blank – The specified Calendar Set, which must correspond with a valid calendar set per the Calendar Definition (DECAL) screen, is used in conjunction with Fixing Date Offset and/or with accrual methods “4” and “5” and those accrual methods that use Mod Pmt of “A”.

EFFECTIVE MATY REF-DATE

Used in conjunction with EFFECTIVE MATURITY LENGTH to determine the effective maturity in lieu or an explicit entry in the EFFECTIVE MATURITY DATE field.



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5.1.1 SECURITY UNIQUE NUMBERS The user must enter security numbers of UNITS and EXPENSE that are required by Investment Accounting (InvestOne); to be defined as valid securities. To track specific types of expenses, a separate security would be set up for each type. This is accomplished by using the security number EXPENSE and the security unique field to distinguish the different items. For example:

a. Security-unique numbers from 1 to 32,767 inclusive with an EXPENSE TYPE of ‘V’

indicate Management Fees b. Numbers from 256-32,767 inclusive with an EXPENSE TYPE of ‘F’ indicate Fixed Fees. c. Asset Groups of CV, IV and CM require EXPENSE TYPE of ‘V’. d. Asset Groups of CT, IT and CF require EXPENSE TYPE of ‘F’. e. PST, GST and QST taxes on Canadian fees require EXPENSE TYPE of ‘V’.

State Code Table

State Code

Name

State Code

Name

State Code Name

State Code Name

AL Alabama IA Iowa NC North Carolina SC South Carolina

AK Alaska ID Idaho ND North Dakota SD South Dakota

AR Arkansas IL Illinois NE Nebraska TN Tennessee

AS America Samoa IN Indiana NH New Hampshire TX Texas

AZ Arizona KS Kansas NJ New Jersey UT Utah

CA California KY Kentucky NM New Mexico VA Virginia

CO Colorado State LA Louisiana NV Nevada VI Virgin Islands

CT Connecticut MA Massachusetts NY New York VT Vermont

CZ Canal Zone MD Maryland OH Ohio WA Washington

DC District of Columbia ME Maine OK Oklahoma WI Wisconsin

DE Delaware MI Michigan OM No. Marina Islands WV West Virginia

FL Florida MN Minnesota OR Oregon WY Wyoming

GA Georgia MO Missouri PA Pennsylvania XX Unknown

GU Guam MS Mississippi PR Puerto Rico 90 Other Territories

HI Hawaii MT Montana RI Rhode Island

5.1.2 MANDATORY CODES ON THE SECURITY CATEGORY FILE The security segment, category, sector, and industry code must be defined on the security category file. Also, each security must be defined with valid codes down to the level the major segment is defined to on the category file. For example, if the Common Stock major segment is defined down to the category and sector levels on the category file, all Common Stock securities must be defined with a valid segment, category, and sector code.

Security Number Security Unique Description EXPENSE 261 Audit fees EXPENSE 262 Legal expenses



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5.1.3 DISCOUNT NOTES Discount notes (securities with price code “C” on BOBD and accrual method “T” or “N” on BOSB) may contain multiple taxlots. For discount notes in an average cost account with amortization/accretion method “N” on BOSB, Taxlot for Accr T/N must be “Y” on AAAD in order for Investment Accounting (InvestOne); to properly calculate income. For discount notes in an average cost account with amortization/accretion method “Y” on BOSB, each purchase of a discount note must be set up as a unique security.

5.1.4 OID PROCESSING NOTES In the context of computing amortization/accretion, need to ensure OID processing for Accrual Methods F and E (regardless of whether or not Asset Group is MR) flows through in the same manner as the Asset Group MR/Accrual Method E combination. Refer to manual section 5.120 for details on OID processing as supported in the existing system. The following funds are required to be setup as average cost accounts, and therefore are not valid for OID processing:

• Pooled Funds where Cost Assign = A (Average Cost)

• Top Level Funds (OEIC and Mutual Funds)

• Japanese Institutional Funds

• Separate Accounts



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Summary Chart: Security Definition Data Required on Debt Income Securities in order to Compute Income

TYPE OF BOND METHOD FIRST COUPON DATE ISSUE DATE MATURITY DATE ANNUAL RATE

PAYMENT FREQUENCY

PAYMENT MONTH/DAY

CORPORATE, MUNICIPAL AND INSTALLMENT BONDS

D * * REQ’D REQ’D REQ’D REQ’D

EUROPEAN BONDS Q REQ’D REQ’D REQ’D REQ’D REQ’D REQ’D U.S. TREASURY BONDS AND NOTES (CERTIFICATE OF DEPOSIT – NON-NEGOTIABLE) AND INSTALLMENT BONDS

A * * REQ’D REQ’D REQ’D REQ’D

EUROPEAN BONDS H REQ’D REQ’D REQ’D REQ’D REQ’D REQ’D DISCOUNT NOTES (30/360) (COMMERCIAL PAPER, T-BILLS, BANKERS ACCEPTANCES)

T NOT APPLICABLE. NOT APPLICABLE. REQ’D N/A N/A N/A

DISCOUNT NOTES (ACT/ACT) (COMMERCIAL PAPER, T-BILLS, BANKERS ACCEPTANCES)

N NOT APPLICABLE. NOT APPLICABLE. REQ’D N/A N/A N/A

INTEREST AT MATURITY (CERTIFICATES OF DEPOSIT – NON-NEGOTIABLE)

C/B NOT APPLICABLE. REQUIRED. REQ’D REQ’D N/A N/A

VARIABLE RATE SECURITIES V/W **If payment frequency is Weekly (“W”), must enter payment date.

**NOT APPLICABLE.

**N/A N/A **REQ’D **REQ’D, unless frequency is daily or weekly

FLOATING RATE SECURITIES (REPURCHASE AND REVERSE REPURCHASE AGREEMENTS) ACTUAL/ACTUAL

F **NOT APPLICABLE. **NOT APPLICABLE.

**OPTIONAL N/A **N/A **N/A

FLOATING RATE SECURITIES (30/360) E **NOT APPLICABLE. **NOT APPLICABLE.

**OPTIONAL N/A **N/A unless mortgage-related

**N/A unless mortgage-related

GUARANTEED INVESTMENT CONTRACTS (ACTUAL DAY COUNT; DAILY COMPOUNDING)

G NOT APPLICABLE. NOT APPLICABLE. OPTIONAL REQ’D (efft. Annual rate)

REQ’D Reinvestment frequency

REQ’D reinvestment month/day

GILT SECURITIES S * * REQ’D REQ’D REQ’D REQ’D INTEREST ONLY Y/E * * REQ’D REQ’D (for “Y”) REQ’D REQ’D IOETTE BONDS Y * * REQ’D REQ’D REQ’D REQ’D PRINCIPAL ONLY BONDS P * * REQ’D N/A REQ’D REQ’D INTEREST RATE SWAP, CURRENCY SWAP, CREDIT DEFAULT SWAP, TOTAL RETURN SWAP

4 NOT APPLICABLE REQUIRED Must be a business day

REQUIRED Must be a business day

OPTIONAL Method can be fixed or variable/floating – is considered variable/floating if

Not Applicable Not Applicable



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TYPE OF BOND METHOD FIRST COUPON DATE ISSUE DATE MATURITY DATE ANNUAL RATE

PAYMENT FREQUENCY

PAYMENT MONTH/DAY

a Benchmark Security is specified

Interest Rate Swaps, Currency Swaps, Credit Default Swaps, Total Return Swaps

5 Not Applicable Required and must be a business day

Required and must be a business day

Optional – method can be fixed or variable/floating – is considered variable/floating if a Benchmark Security is specified

Not Applicable Not Applicable

Interest Rate Swaps, Currency Swaps, Credit Default Swaps, Total Return Swaps

6 Not Applicable Required Required Optional – method can be fixed or variable/floating – is considered variable/floating if a Benchmark Security is specified

Required – must be “S”

Required

* IF THE FIRST COUPON FOR THE BOND IS IRREGULAR (THAT IS,, THE PERIOD IS SHORT OR LONG), THIS DATE IS REQUIRED; OTHERWISE, IT MAY BE SKIPPED. FOR SECURITY DEFINITION REQUIREMENTS FOR INVESTMENT CONTRACTS, SEE SECTION 5.610 INVESTMENT CONTRACTS PROCESSING. ** WHERE SCIENTIFIC OR LEVEL-YIELD AMORTIZATION/ACCRETION IS ELECTED FOR A BOND USING ACCRUAL METHOD “E”, “F”, “V” OR “W”, ENTRIES IN THESE FIELDS. GOVERN PAYMENT CHARACTERISTICS AS THEY WOULD FOR FIXED INCOME COUPON BONDS FOR PURPOSES OR CALCULATING AMORTIZATION/ACCRETION.



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5.1.5 ACCRUED INCOME OPTION The Security Definitions Accrued Income Option selection is only valid for Accrual Methods “A”, “B”, “C”, “D”, “H”, “K”, “L”, “Q” or “R” when defined with a value of “0” or “1”. To clarify the Accrued Income Option that is applied based on the Account Definitions and Security Definitions Accrued Income Option value, the following itemizes the possibilities:

(AAAD) Account

Definition Accr Income Opt

(BOSB) Security

Definition Accr Income Opt

Option Applied Result

Blank Blank Blank Income earned through day before payment date is paid on payment date.

Blank 0 Blank Income earned through day before payment date is paid on payment date.

Blank 1 1 Income earned through day of payment date is paid on payment date.

1 Blank 1 Income earned through day of payment date is paid on payment date.

1 0 Blank Income earned through day before payment date is paid on payment date.

1 1 1 Income earned through day of payment date is paid on payment date.

Assuming that the standard for Unit Trust processing is to set the Account Definitions (AAAD) Accrued Income Option value to “1” (Full accrual on Pay Date; bond accrual starts day after Pay Date): In order to obtain desired results for Italian bond accruals, the Security Definitions (BOSB) ACCR INCM OPT should be set to “0” (Full accrual on day before Pay Date; bond accrual starts on and includes Pay Date). When securities are bought after issue date at a premium or discount, the actual issue date of the security is required to properly calculate the accrual amount. Refer to the Appendix for detailed calculation description. See also: Section 8.30 for a detailed discussion of Investment Accounting (InvestOne); Accrued Income Calculation capabilities.

5.1.6 PURE DISCOUNT ISSUES Pure discount issues (that is, they pay no interest; example, T-bills) may be valued one of three ways: • At Market: no accrued income or amortization (increase in value effects unrealized gain/loss). • At Original Cost: difference between cost and face is accrued as income. • At Book (original cost plus amortized/accreted amount): difference between cost and face is

accrued as amortization/accretion.



29

5.1.7 PRICE CODE When a security has a PRICE CODE of “M” (market is price entered), the market value does not zero out if the security is sold out or if the transaction is deleted. In order to accomplish this, it is necessary to zero out the price on the DEPR screen and esweeps the account. In a taxlot account for cash equivalent-type securities that do not require gain/loss calculation, a PRICE CODE “F” (face is market) should be entered. An unadjusted price (PRICE CODE “K”) refers to a price that has NOT been adjusted for inflation. The Index Ratio used in the market value formula for PRICE CODE “K” is the inflation-adjusted value of $1.00 in terms of issue date purchasing power. The Index ratio may be viewed on the CALC screen or the VSHLI screen for a particular security once a holding has been established.

5.1.8 CATEGORIZATION SCHEMES FOR CASH AND EXPENSES Whether using Investment Accounting (InvestOne); default categorization or defining your own categorization scheme, the following categorization is reserved for the reporting of cash and other liabilities on “Summary of Net Assets”, the reporting of “Cash” on “Schedule of Investments”, and the reporting of “Expenses” on “Net Investment Income” reports: Description Segment Category Sector Industry CASH 9998 CASH ON HAND 9998 9995 RECEIVABLES 9998 9996 PAYABLES 9998 9997 OTHER LIABILITIES 9996 0000 0000 0000 EXPENSES 9999 9999 9998 When using a user-defined Category Master file rather than the default, these categories must be defined in addition to whatever categories are chosen. In defining securities on the Investment Accounting (InvestOne); system, the above reserved categories are never to be used for they are strictly for internal processing purposes.

5.1.9 AMORTIZATION/ACCRETION In an account defined as qualifying for straight-line amort/accret only, a security defined as qualifying for straight-line, scientific, level-yield, or catch-up amort/accret (AMORTIZATION/ ACCRETION “Y”, “S”, “L” or “C”, respectively) will accrue amort/accret on a straight-line basis. In an account defined as qualifying for straight-line, scientific, level-yield and catch-up amort/accret, amort/accret is accrued according to the security definition qualification. See Section 5.120 Amortization/ Accretion. If applicable, call/put date and price information should be entered in the BOCA screen. See Section 5.120 Amortization/Accretion. The only amortization method that interest rate swaps, total return swaps and credit default swaps can currently use is straight line. The only other option is NONE amortization method (N) to work in conjunction will all these types of swaps. Amortization method of ‘N’ would imply that given swap does not qualify for amortization or accretion. Straight Line amortization method will still be the default option.



30

5.1.10 EFFECTIVE MATURITY DATE/ACTUAL MATURITY DATE There are three variations on the formulas which are used to determine the term to maturity for a given bond holding; Days to Maturity (DTM), Rule 2A-7 Days to Maturity used to calculate Weighted Average Maturity (WAM) and Rule 2A-7 Days to Life Maturity used to calculate Weighted Average Life (WAL).

• DTM is used . . . . This calculation is referred to as DTM. The account level AMORT TO CALL flag values “A” thru “L” as defined on AAAD override the security level coding defined on BOSB. Otherwise, it is computed according to accrual method, next call/put date, next actual or scheduled rate change date, Demand date, Rule 2a-7 flag, request date, or actual maturity date.

• Rule 2A-7 Days to Maturity is used to calculate DTM and Weighted Average Maturity (WAM) on the Rule 2A-7 Mark to Market (R228) Report. This calculation is referred to as WAM.

• Rule 2A-7 Days to Life Maturity used to calculate DTML Weighted Average Life (WAL) on

the Rule 2A-7 Mark to Market (R228) Report. This calculation is referred to as WAL.

In all cases, except for WAL calculations, where Days to Maturity (DTM) as defined on the Security Definition – Bond (BOSB) screen is greater than zero, it is added to the valuation or report request to date and the result is compared to the Maturity Date as defined on the Security Definition – Bond (BOSB) screen. WAL calculations do not include Constant DTM as part of its formula.

• If the result is less than the Maturity Date, Days to Maturity (DTM) as defined on the Security Definition – Bond (BOSB) screen is used.

• If the result is greater than the Maturity Date the Maturity Date is used to calculate

Days to Maturity.

Where Days to Maturity (DTM) as defined on the Security Definition – Bond (BOSB) screen is zero and an Effective Maturity Date greater than zero is defined on the Security Definition – Bond (BOSB) screen, Effective Maturity Date is used to calculate Days to Maturity. Where Days to Maturity (DTM) as defined on the Security Definition – Bond (BOSB) screen is zero and Effective Maturity Date as defined on the Security Definition – Bond (BOSB) screen zero, the three day count methods diverge. In interpreting the following flowcharts, note the following: • DTM refers to the date resulting from adding CONSTANT DTM to the report date. • MATU and MATU DATE refer to the actual MATURITY DATE. • EFFT MATU refers to the EFFECTIVE MATURITY DATE as seen on BOSB. • AI METH refers to the bond ACCRUAL METHOD.



31

• RATE SCHED refers to the presence of a rate change schedule as defined by means of the BOSB screen.

• 2 PREV RATES AVAIL, 1 PREV; 1 NEXT AVAIL, and NEXT RATE ON SD refer to the availability if previous and/or next actual interest rates on file, based on ex-dates of rates.

• Accrual Method “Z”: o Edits on BOSB prevent “Rate Schedule Exists” decision path “Y” from being entered. o Only default values are allowed in 2A-7 and DEMAND fields on BOSB.

• RD (on flowchart) refers to request date. • Where a date is “moved” (for example, MOVE IN NEXT CALL DATE), it is used as Effective

Maturity Date unless overlaid based on subsequent flowchart decisions. • Where a date is “used” (for example, USE NEXT PUT DATE), that date is used as Effective

Maturity Date. • When STOP is reached, the last date to have been “moved” or “used” (or the actual

maturity date if no dates have been moved/used) is used as Effective Maturity Date. • The report date is excluded in determining next call date, put date or rate change date

where such a date is a potential candidate for use as Effective Maturity Date. Note that the effective maturity date for an Installment Bond (ASSET GROUP – IB) is calculated using transaction and security level data. The date calculated is truncated to whole days. The following formula is utilized: (Number of days from repayment date to actual Σ maturity date + 1) * principal repayment amount

Σ remaining principal repayment amounts See Section 5.120, Installment Bonds for additional information.



32

All Day Count Methods begin here (All):

Start

Is Security Bond Like? End

Maturity Date > Value Date

Save Maturity

Date

Valu Date = Valuation Date or

Report To Date

Matu Date = 0?

No

No No

Day Count = 0

End

Yes

Day Count = 0

Maturity Date = Valu Date + 1

Yes

Yes

Continue Continue to DTM 1, WAM 1 or WAL 1



33

Constant DTM/Effective Maturity Date Logic: Flowchart (DTM 1)

Accrual Method = V, W, E, F or

Z?

All

Day Count = Next Call Date minus

Valu Date

Day Count = Maturity Date

minus Valu Date

EndNext Call Date = 0? (see Find

Call Date)

End

No

YesYes

Put Date Found?

Next Put Date > Valu Date?

Save Next Put Date

Next Rate on File?

Rate Schedule Defined?

Save Next Rate Date

Compute and Save Next Rate

Date

Next Rate Date > Put Date?

Day Count = Next Put Date minus

Valu DateNo

Yes Yes

No

End

DTM 2No

Yes

Day Count = Next Rate Date minus

Valu DateYes

No

Yes

No


Valu Date

No

Constant DTM = 0?

Day Count = Matu Date minus Valu

Date

Day Count = DTM Date minus Valu

Date

EndMaturity Date >

DTM Date?

End

No

YesYes

NoDTM Date = Valu

Date + CONSTANT DTM

No

Eft Matu Date = 0?

Day Count = Eft Matu Date minus

Valu DateEnd

Valu > Eft Matu Date?No

No

Yes

Continue

Yes

Yes



34

DTM/Effective Maturity Date Logic continued, long term bonds (DTM 2):

DTM 1

Matu Date minus Valu Date > 397?

DTM 3

No

2A-7 Flag = Blank? DEMAND = 0?

Demand Date = Valu Date + DEMAND

Maturity Date > Demand Date?Yes

Day Count = Maturity Date

minus Valu Date

Day Count = Demand Date

minus Valu Date

No

No

No

Yes

End

DEMAND > 0?

Yes

Yes

No

Next Rate on File?


Save Next Rate Date


Date

No

Yes Yes

NoDay Count = Maturity Date

minus Valu Date


Valu Date

End

Next Rate on File?


Save Next Rate Date


Date

No

Yes Yes

NoDay Count =

Demand Date minus Valu Date

End


Maturity Date > Demand Date? Yes

Demand Date > Next Rate

Date?


minus Valu Date


Valu Date

Yes No

Yes

No



35

DTM/Effective Maturity Date Logic concluded, short term bonds (DTM 3):

DTM 2

2A-7 Flag = Blank? DEMAND > 0?Yes

No

Next Rate on File?


Save Next Rate Date


Date

No

Yes Yes

NoDay Count = Maturity Date

minus Valu Date


Valu DateEnd

Day Count = Valu Date Plus 1 day

End

No


Maturity Date > Demand Date?

No

Yes

Next Rate on File?


Save Next Rate Date


Date

No

Yes Yes

End

Yes

Next Rate Date > Demand

Date?

No


minus Valu DateYes


Valu Date

No



36

Rule 2A-7 Days to Maturity (WAM) Day Count Logic (WAM 1):


Z?

WAM 1


DateEnd

Yes

Valid Next Put Date?

(See Find Put Date)

Valid Demand Date? (See

Find Demand Date)

No

Yes

No

Constant DTM = 0?


Date

Day Count = DTM Date minus Valu

Date

EndMaturity Date >

DTM Date?

End

No

YesYes

NoDTM Date = Valu

Date + CONSTANT DTM

Eft Matu Date = 0?


Valu DateEnd

Valu > Eft Matu Date?

No

No

Yes Continue

Yes

Yes

No

Saved Date = MaturityNo


Find Demand Date)

Saved Date = Demand DateYes

WAM 2

Saved Date = Next Put Date

Next Put Date > Demand

Date?Yes Saved Date =

Demand Date

Yes

Saved Date = Next Put Date

No



37

Rule 2A-7 Days to Maturity (WAM) Day Count Logic, continued (WAM 2):

WAM 1

Rule 2-A7 Blank?

No

Day Count = Valu Date Plus 1 day

End

Next Rate on File?


Use Actual Next Rate

Date

Calculate Next Rate

Date

No

Yes Yes

Yes

Saved Date > Next Rate

Date?


Valu Date

Day Count = Saved Date minus

Valu Date

Yes No


Valu DateNo End

End End

Conclusion of short term bond flow, long term bond flow follows on next page.

Matu Date minus Valu Date > 397?

No

Yes WAM 3

Choose the lesser of Put/Demand date or Next Rate Change date.

Saved Date = Maturity Date?

No


Valu DateYes End



38

Rule 2A-7 Days to Maturity (WAM) Day Count Logic, continued (WAM 3):

WAM 2

Next Rate on File?


Use Actual Next Rate

Date

Calculate Next Rate

Date

No

Yes Yes


Valu DateNo End

Next Rate > Saved Date?


Valu Date


Valu Date

Yes No

End End

Choose the greater of Put/Demand date or Next Rate Change date.

Conclusion of long term bond flow, short term bond flow appears on previous page.

Saved Date = Maturity Date?


Valu DateYes End

No



39

Rule 2A-7 Days to Life Maturity (WAL) Day Count Logic, continued (WAL 1):


Z?

WAL 1


DateEnd

Yes

Valid Next Put Date?

(See Find Put Date)


Find Demand Date)

No

Yes

No

Eft Matu Date = 0?


Valu DateEnd

Valu > Eft Matu Date?

No

No

Yes Continue

Yes

Yes

No


minus Valu DateYes


Find Demand Date)


DateNo


Valu Date

Next Put Date > Demand

Date?Yes


minus Valu Date

Yes


Valu Date

No

End



40

Find Call Date:

Find Call Date

Call Date Found?

Save Next Call Date

Next Call Date> Valu

Date?

NoNo

YesYes

Next Call Date = 0

Find Put Date:

Find Put Date

Put Date Found?

Save Next Call Date

Next Put Date> Valu Date?

NoNo

YesYes

Drop Next Put Date

Find Demand Date:

Find Demand

Date

Demand Date > 0?

Save Demand Date

Matu Date > Demand Date?

NoNo

YesYes

Drop Demand Date

Demand Date = Valu Date plus

DemandYes



41

5.1.11 FUND RE-SWEEPS AND THE SECURITY MASTER RECORD If a security master record is modified, there is no need to esweeps all of the funds that hold the security. When any data elements of a security record are changed causing the market value or accrued income/amortization to need to be re-calculated, all funds holding that security are automatically re-swept by the security change programs. Changing the following fields can cause income/amortization accruals or market value to need to be re-calculated:

Screen 1 Screen 2 PRICE CODE ASSET GROUP

COUPON RATE ACCRUAL METHOD ACCR INCM OPT FIRST COUPON ISSUE DATE

MATURITY DATE PAYMENT MONTH/DAY PAYMENT FREQUENCY AMORT METHOD

A change to any of the fields above causes the accounts holding the changed security to be reswept from their verification dates to their current balance dates.

5.1.12 RATE CHANGES: VARIABLE AND FLOATING RATE SECURITIES For variable and floating rate securities whose rates change at regular intervals, a rate change schedule may be established on the Security Definition – Bond (BOSB) screen. The schedule is used by the Rate Change Exception Report (R202) to determine when a scheduled rate change has been missed and is also potentially used in determining maturity date for purposes of reporting on the Fixed Income Maturity Schedule (FIMS) screen and Maturity Cross Range Tabulation (R017) and Maturity Schedule (R026) reports. See also Effective Maturity Date/Actual Maturity Date. The schedule supports the following types of rate change frequencies: Rates change at regular intervals such as daily, weekly, monthly, bi-monthly, where for monthly or larger intervals the date is always the same day of the month (for example: 1st of the month, 15th of the month, last of the month). In such a case, the value of RATE CHANGE FREQ determines (in part) the frequency, where:

D Daily, or multiples thereof Q Quarterly, or multiples thereof W Weekly, or multiples thereof S Semi-annually, or multiples thereof M Monthly, or multiples thereof A Annually, or multiples thereof B Bi-monthly, or multiples thereof

If the rate change frequency is a multiple of one of the above values, INCREMENT (a numeric value from 1 to 99) determines the multiple (for example: every 3 days, every 2 weeks). If one of the above RATE CHANGE FREQ values is entered, but INCREMENT is left blank, its value will default to “01”. A value must be entered in the FIRST DATE field to identify the first date for which a rate change is to be anticipated (by R202) and to provide a date from which subsequent anticipated rate change dates may be computed (by R202). For RATE CHANGE FREQ other than D or W, if the value of FIRST DATE is a month-end date involving a month having less than 31 days, the system prompts you to indicate whether this is to mean month-end for all subsequent rate changes (enter “Y”) or the specified day of the month for all subsequent rate changes (enter “N”).



42

Rate changes monthly on a fixed day-of-the-week (MO-SU) and within the same week of the month (for example: every 2nd Monday, every 3rd Wednesday, the last Friday of the month). In such a case, the value of RATE CHANGE FREQ determines the day of the week and the value of INCREMENT determines which occurrence of this day within the month. Examples:

RATE CHANGE FREQ is TH and INCREMENT is “03” indicates the 3rd Thursday of each month RATE CHANGE FREQ is WE and INCREMENT – “01” indicates the 1st Wednesday of each month

For this type of rate change schedule, possible values for RATE CHANGE FREQ are the first two letters of each day of the week, and possible values for INCREMENT are 1-5 (where “5” indicates the last occurrence of the specified day of the week, for example: the last Tuesday of the month). If one of the above RATE CHANGE FREQ values is entered, but INCREMENT is left blank, its value will default to “01”. If a rate change schedule is defined for a given security, the ANNUAL RATE TYPE field is used to indicate which type of annual rates are associated with the security. A value must be entered in this field for securities tied to benchmarks (see Section 5.160) and investment contracts (see Section 5.610) and may optionally be entered for any variable or floating rate security for which a rate change schedule is defined. The presence of a value in this field allows the “Rate Change Exception Report” (R202) to convert daily rates to annual rates. Valid values correspond with annual rate types enterable in the Corporate Actions/Rates (DECR) screen and are as follows: 360* - Annual yield (based on 360-day year) 365* - Annual yield (based on 365-day year) 360R - Annual yield (which, if divided by 360, results in daily percentage

rate) 365R - Annual yield (which, if divided by 365, results in daily percentage

rate) 360F - 360R method allocated over actual number of days (for which the rate

is effective) to next pay date IC - Annual rate for investment contracts 365I - Actual/365 variable rate GILT (accrual method “Z” only) 252R - Annual rate for accrual method 5 (based on 252 business day year) *formula used to arrive at a daily percentage rate is as follows:

Daily Rate = Annual Yield 1 - Annual Yield * 365 (or 360) 36500 (or 36000)



43

For variable and floating rate securities whose rate changes are tied to benchmarks (market indicators such as the Prime Interest Rate), the system can compute rate change dates and rates based on rate change schedule, BENCHMARK, BENCHMARK SPREAD and ANNUAL RATE TYPE entries, and data entered in the Benchmark Rates (DEBE) screen. Additionally in such a scenario, missed rate changes may be reported on by means of the Rate Change Exception Report (R202). See Section 5.160 Benchmark Rates Processing, and Section 3.10 Rate Change Exception Report, for further details.

5.1.13 BOND-LIKE SECURITIES Bond-like securities may be defined as having regular cycles at which interest is re-invested (in security value) rather than collected as cash, in which case the PAYMENT FREQUENCY and PAYMENT MONTH/DAY fields (as seen on the Security Definition – Bond (BOSB) screen) determine the cycle and day of the month at which the re-investment of income is to take place. For example, it is expected that bonds defined as having ACCRUAL METHOD “G” (GIC) have income re-invested at regular intervals (although the re-investment option is not limited to bonds using this accrual method). To indicate that a bond is to have income re-invested, the TRANSACTION GENERATION indicator (as seen on the Security Definition (BOBD) screen should be set to “R”, whether or not the optional Transaction Generation module is to be used). • Investment Contracts – ASSET GROUP IC: Whereas income on bond-like securities in general

(including Guaranteed Investment Contracts defined as having ACCRUAL METHOD “G”) accrues as income receivable until it becomes due, income on Investment Contracts (that is, assets defined as having ASSET GROUP IC and ACCRUAL METHOD “K” or “L”) accumulates as a component of the cost value (or market value, or contract value) of the position. For further details on Investment Contracts (that is, ASSET GROUP IC) see Section 5.610 Investment Contracts Processing.

• Reverse Repurchase Agreements are defined to Investment Accounting (InvestOne); as

floating rate bond-like securities, but with some special considerations. For complete details, see Section 5.133 Reverse Repurchase Agreements.

5.1.14 SEC YIELD ADVERTISING DETAIL REPORT AND MAXIMUM SEC YIELD • If the MAXIMUM SEC YIELD is defined on BOSB but not the SECYLD screen: This is the

maximum yield for this YTM and/or YTC method security that appears on the SEC Yield Advertising Detail Report.

• If the MAXIMUM SEC YIELD is not defined on BOSB but is defined on SECYLD: This is the maximum yield that appears on the SEC Yield Advertising Detail Report for all affected YTM and or YTC method securities.

• If the MAXIMUM SEC YIELD is defined on BOSB and SECYLD: The SEC Advertising Yield Detail Report reflects the lower of the two maximum yields defined. (See Section 3.20 SEC Advertising Yield Detail Report.)

5.1.15 IO/PO/IOETTE SECURITIES For IO/PO/Ioette securities the effective yield must be entered each time it changes. The yield is entered by means of the Effective Yields (DEEY) screen. Income for these strip securities is based on the effective yield. See Section 5.600 Interest Only/Principal Only (IO/PO) Securities Processing for more information.



44

5.1.16 MANUAL AMORT/ACCRET Manual amort/accret (amortization/accretion is “M”) is allowed or prevented to Asset Groups of Securities according to the table below. In addition: • Securities with accrual method of “B”, “C”, “N” or “T” are prevented from having manual

amortization/accretion (“M”). • Securities with accrual method of “H” or “Q” are not eligible for scientific (“S”) or catch-up

(“C”) amortization/accretion.

Manual AMORT/ACCRET Allowed Manual AMORT/ACCRET Prevented AP Auction Rate Pref. G Government Bond BR Benchmark IE Ioette BA Bankers Accept. IS Interest Rate

Swaps CL Capital Assets ME Management Fees

CD CD JN Junior Notes CA Cash MD Margin Deposit CP Commercial Paper MN Master Note S Common Stock MA Misc. Assets CB Conv. Bond MM Money Market CU Currency MF Mutual Fund B Corporate Bond M Muni DE Deferred Expense MB Mutl Funds w/Accruals CS Currency Swaps MR Mortgage Related FE Fixed Expense O Option DD Deep Discounted

Bond RP Repo FS Foreign Stock OE Other Expense

DN Demand Note SN Senior Note FL Forwd Contract-Long

XX Other Security

ED Eurodollar TD Time Deposit FC Forwd Contract-Short

P Preferred Stock

FH FHLMC TI T-Bill F Future PO PO FM FNMA TO T-Bond I Index RE REMICs FB Foreign Bond TN T-Note II Inflation Indexed RR Reverse Repo GI Gilt Edged Security YD Yankee Dollar IO IO R Right G1 GNMA1 IC Investment Contract UN Units G2 GNMA2 IB Installment Bond W Warrants

5.1.17 SECURITY-LEVEL OVERRIDES Security-level overrides may exist for the following fields:

• Security Short Name • Security Categorization (segment, category, sector, industry) • SIC Code • Income Category Main • Income Category Sub • Security Description (all 10 lines)

See Security Master Override.



45

5.1.18 SWP=> The values available for use with the SWP=> field allow the user to tailor processing to the specific data being processed. Entering a value of “0” or “N” prevents inventory (sweep) from being called. While this may be more efficient in certain cases, other than a one-time online warning message given at the time of the update, there are no other controls in place to assure that changes made in this way get applied to all the affected accounts. For this reason, this option should be used with extreme care.

5.1.19 ISSUED SCTY FIELD In order to set the ISSUED SCTY field to “Y”, the following criteria must be met:

• The Price Code must be “C” so that amortized cost is market value for the position. • The Asset Group must be “B”, “BA”, “CP”, “CD”, “DD”, or “DN”.

An active security cannot be changed to have the ISSUED SCTY flag set to “Y”. The security would have to be closed out and the flag may be set to “Y” on the new security. See Section 5.185 of the Investment Accounting (InvestOne); System Manual for more information regarding the processing and reporting of Debt Issued Securities.

5.1.20 INTEREST RATES FOR VARIABLE AND FLOATING RATE BONDS For purposes of calculating interest income, interest rates for variable and floating rate bonds are expected to be maintained as they change over time by means of the Corporate Actions/Rates (DECR) screen. • For variable rate bonds, other payment characteristics (that is, prior and next payment

dates) are determined based on security definition characteristics defined in the Security Definition – Bond (BOSB) screen.

• For floating rate bonds, these same characteristics (that is, prior and next payment dates) are determined primarily from information maintained in the Corporate Actions/Rates (DECR) screen.

A variable or floating rate bond not priced at face may optionally be defined as qualifying for scientific or level-yield amortization/accretion. In this case, all payment characteristics used for the purpose of calculating scientific or level-yield amortization/accretion (with the exception of interest rate) are determined based on security definition characteristics defined in the Security Definition – Bond (BOSB) screen, as though the security were defined as a fixed income coupon bond. The interest rate used are generally the variable or floating interest rate in effect as of the taxlot contractual settle date, as this rate is annualized and saved on the tax lot when the taxlot is established or re-established through Inventory processing. See Section 5.120, Amortization/Accretion for further details. NOTE: In setting up and processing these securities it is the client’s responsibility to assure that payment characteristics governing income results are synchronized with payment characteristics governing scientific or level-yield amortization/accretion results.

5.1.21 RULE 2A-7 Rule 2A-7 of the Investment Company Act of 1940 defines a variable rate security as having preset rate change dates and a floating rate security as not having preset rate change dates, rather moving in conjunction with an index. 2A-7 and DEMAND fields may only be entered for bonds with accrual method “V”, “W”, “E”, or “F”. For bonds with other accrual methods, these fields consist of their default values.



46

5.1.22 PRICING FREQUENCY FLAG VS. PRIMARY AND ALTERNATE PRICE/SOURCE TYPE The Pricing Frequency flag and associated processing Calendar ID must be defined on the Security Definition to invoke Central Pricing System processing. Optionally, the Primary Price Source/Type(s) and First Alternate Price Source/Type(s) may be defined and are used for price editing.

5.1.23 TIIS There are several requirements for setting up TIIS. These requirements include: Price Code must be “B”, “C”, or “K”, Asset Group must be II, Accrual Method must be “A”, an issue date is required, Transaction Generation cannot be R, issue price must be zero, and the security must be set up to amortize. TIIS may have ISSUE CURRENCY, INCOME CURRENCY, and TRADE CURRENCY defined. ISSUE CURRENCY and TRADE CURRENCY must match if populated; the INCOME CURRENCY can be different. In addition, COUNTRY OF RISK/TAXATION must match if populated.

• Once a TIIS security has been purchased into an account, the user may not change the asset group on BOBD or the issue date and/or inflation index on BOSB.

• The REF X for TIIS is calculated using the index amounts on the Inflation Index table (created on DEII screen) associated with the security. If the index amounts on the applicable table are changed, the REF X is not recalculated.

• For TIIS, Accrued Income Option blank or zero will amort/accret to adjusted shares/par and Option 1 will amort/accret to unadjusted shares/par. See Section 5.110 Treasury Inflation Indexed Securities.

5.1.24 SECURITIES IN DEFAULT For securities in default, the accrued, amortized, and accreted amounts are suspended and kept constant from one valuation period to the next. If an account’s Verification Date is greater than the security’s default date, default processing begins on the date after Verification Date. If a new account’s Inception Date is after the default date and the new account acquires a defaulted security, it has zero accruals from day one. To take a security out of default, the default date must be zero. In order for the default to take effect, the user must Sweep the accounts which hold the defaulted security. The GNMA Generator and Transaction Generator do not generate any activity for defaulted bonds. Purchased and sold income is not calculated for securities in default. If a bond is traded out of default but settles in default, the income is not earned or accrued. A defaulted bond cannot be adjusted on a taxlot account in DEXA.



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5.1.25 MATU FIELD The MATU field is used by the Transaction Generator on the Transaction/GNMA Generator (BGTG). This field allows a security to mature at a price other than par when generated by the Transaction Generator. Generated transactions using this field for the price generate on the maturity date of the bond. The MATU field is only valid for Asset Groups “G”, “GI”, and “B”. The MATU field is not valid for securities with Accrual Methods “B”, “C”, “T”, and “N”. The MATU field is populated in the local security price, which is the Issue Currency on the Bond Definition (BOBD) screen. The MATU field works independently from EFF MATY PRICE field. There are no edits that check if the MATU field value is equal to the EEF MATY PRICE field value. The MATU field is not available for Security Messaging.

5.1.26 SETTING UP INTEREST RATE SWAP SECURITY Interest rate swap security may be set up either on DEIRS or on BOBD/BOSB. It is recommended that the users set up the security on DEIRS to ensure certain fields are consistent between the receivable and payable legs. If the Swap is set up in DEIRS, security related data is forwarded to the BOSB screen from the opening transaction. Some field names are different. The following transaction fields forward:

Transaction field (DEIRS) Security field (BOBD, BOSB) 1ST PAY FIRST COUPON DATE FREQ PYMT FREQ MM/DD PAYMENT MONTH/DAY INTEREST RATE INTEREST RATE ACCRUAL METHOD ACCRUAL METHOD ACCR INCM OPT ACCR INCM OPT BENCHMARK BENCHMARK SPREAD BENCHMARK SPREAD CHANGE FREQ RATE CHANGE FREQ INCR INCREMENT MN END MONTH-END 1ST CHANGE FIRST DATE ANN RATE TYPE ANNUAL RATE TYPE INT PUR INT PUR MOD PMT MOD PMT COMP OPT COMPOUNDING OPT OFFSET OFFSET CN CN

An interest rate swap also has security data that is part of the swap contract. These fields must always be consistent across the two legs of the contract:

Transaction field (DEIRS) Security field (BOBD, BOSB) CURRENCY ISSUE, INCOME, TRADE CURRENCY CNTRY-R COUNTRY OF RISK ACCR START ISSUE DATE EXPIRATION DATE MATURITY DATE MTM LAG DAYS MTM Lag Days SWAP TYPE Swap Type



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The Price Code of the swap defaults to Bond-like (B) but may be changed to a Price Code of “S” or “U”.



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5.1.27 ALTERNATE LOCK DATE If a security is held by any account that has the Alternate Lock Date defined and the Level set to “1” or “2”, changes to the following fields are prevented:

1st ALT Price ID Accrued Income Option 2nd ALT Price ID First Coupon Date 3rd ALT Price ID Issue Date Amort Flag – 61 day rule Interest Rate BID-OFFER-SPREAD Maturity Date Bond-Maturity 61 day rule Compounding Opt Asset Group Payment Frequency Derivative Contract Size Payment Month/Day Fair Value Price Source Amort/Accretion Fair Value Price Type Master Note Floor Fair Value Backup Price Source/Type Master Note Ceiling Price Code Issue Price Price Group Effective Maturity Date Price Source Original Balance Price Type Par Outstanding Backup Price Source/Type Constant DTM Bond Code Effective Maturity Price Accrual Method MATU

Security master changes to the prohibited fields above are not date sensitive. If a security is held by a locked account at any time, the fields above cannot be changed when that account is locked. This applies even if the security position is no longer a holding as part of the account’s current locked period. For more information on the Alternate Account Lock Date and Level, see Section 5.35 Account Processing.

5.1.28 MODIFIED PAYMENT PROCESSING Swaps using accrual method “4” may optionally use the MOD PMT field on BOSB or the swap screens to modify scheduled contractual interest payments such that they occur only on business days. Method “4” can choose to leave it as is, modify to the next following business day or modify to the previous business day. Example DATE Accrual 12/12 Thursday 4900 12/13 Friday 5000 12/14 Saturday 5100 12/15 Sunday 5200 12/16 Monday 5300



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Interest is scheduled to pay on 12/15 which is a non-business day. If MOD PMT is BLANK, the interest will pay on 12/15 as scheduled, and the payment amount will be 5100. If MOD PMT is “P”, the interest will pay on 12/13 (first previous business day), and the payment amount will be 4900. If MOD PMT is “F“, the interest will pay on 12/16 (next following business day), and the payment amount will be 5200. Swaps using accrual method “6” or securities using select asset group/accrual method combinations may optionally use the MOD PMT field on BOSB or the swap screens to modify the actual settle date of forecasted or contractually scheduled interest payments such that date falls on a business day. Method “6” can choose to either leave it as is or modify the actual settle date to the next following business day. Example DATE Accrual 12/12 Thursday 4900 12/13 Friday 5000 12/14 Saturday 5100 12/15 Sunday 5200 12/16 Monday 5300 The actual settle date of an interest payment is 12/15 which is a non-business day. If MOD PMT is BLANK, the interest will pay on 12/15 with actual settle date = 12/15, and the payment amount will be 5100. If MOD PMT is “A”, the actual settle date of the interest payment will be 12/16, and the payment amount will be 5100. Lag days are ignored for Modified Payment Processing. The following Asset Groups are valid for MOD PMT “A” processing:

AP ED M TI B FB MB TN CA G MM TO CB GI MN TW CD IB RP YD CP IC SB CW II SM DD IW SN DN JN TD

The following Accrual Methods are valid for MOD PMT “A” processing:

A F O V B H Q W C K R X D L S Z E N T 6 8



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5.1.29 INT PUR PROCESSING For swap asset groups “IW”, “CW”, “DW” and “TW” that utilize accrual methods “4”, “5” or “6”, the INT PUR flag is required to be set to “Y” or “N”. If the INT PUR is “Y”, interest starts accruing on the greater of ISSUE DATE (that is, swap open ACCR START DATE), and prior Coupon Date. If INT PUR is “N”, interest starts accruing on the greatest of ISSUE DATE (that is, swap open ACCR START DATE), prior Coupon Date, and Contractual Settle Date of acquisition.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES MODEL SECURITY SETUP


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6 MODEL SECURITY SET UP

STEP 1 OF 5: MODEL SECURITY To set up a model security, request the Security Definition screen for the Asset type required (BOBD, STST, OPSD, FUSD) in ADD mode. Enter a Security Number (alpha or numeric, up to nine characters), the Security Date of 01-01-1900, and the Security Qualifier of 00000.

NEXT BOBD MODE ADD FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO B 01 01 1900 00000 SHORT NAME MODEL SECURITY IND: STATUS DATE ................. STATE CODE.. EXPENSE TYPE..... INCEPTION DATE............... REPT/NO:... CUSIP (PRICING)...... LOAN FLAG. PRICE CODE.. FV SRCE/TYPE ASSET GROUP. OP SRC/TYPE SEGMENT... CATEGORY.. SECTOR.... INDUSTRY.. HIGH/LOW PRICE RANGE. / BENCHMARK PRICED INTERNAL SIC CODE.. ISSUER CODE.. CROSS REF CD. NAICS.. PRIMARY PRICE SOURCE/TYPE.. / PRICING FREQ. TRANS GENERATION.. LAG DAYS.. LAG DAYS METHOD.. FEDERAL TAX STATUS.. TAX GROUP.... INCOME CATE MAIN/SUB..... / PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TYPE.. / 1ST ALT PRICE SOURCE/TYPE.. / 2ND ALT PRICE SOURCE/TYPE.. / 3RD ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. EXCLUDE MGT FEES EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROTECT.. EMU SCTY.. EMU DATE.. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% PEP STATUS.. GL-CODE.. SWP=> SWAP TYPE.. MTM LAG DAYS.

Press ENTER and Investment Accounting (InvestOne); responds with its normal default values.

NEXT BOBD MODE ADD FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO B 01 01 1900 SHORT NAME MODEL SECURITY IND: STATUS DATE .................10 08 96 STATE CODE..80 EXPENSE TYPE..... INCEPTION DATE...............10 08 96 REPT/NO:... CUSIP (PRICING).....B LOAN FLAG. PRICE CODE S FV SRCE/TYPE ASSET GROUP S OP SRC/TYPE SEGMENT... 0000 CATEGORY.. 0000 SECTOR.... 0000 INDUSTRY..0000 HIGH/LOW PRICE RANGE. 0.0/0.0 BENCHMARK PRICED INTERNAL N SIC CODE.. ISSUER CODE.. CROSS REF CD. NAICS.. PRIMARY PRICE SOURCE/TYPE.. / PRICING FREQ. TRANS GENERATION..Y LAG DAYS.. 0000 LAG DAYS METHOD.. FEDERAL TAX STATUS..T TAX GROUP....T INCOME CATE MAIN/SUB..... 0000 PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TPE.. / 1ST ALT PRICE SOURCE/TYPE.. / 2ND ALT PRICE SOURCE/TYPE / 3RD ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. Y EXCLUDE MGT FEES N EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROTECT.. N EMU SCTY.. EMU DATE.. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% 0.000 PEP STATUS.. N GL-CODE.. SWP=> 1 SWAP TYPE.. MTM LAG DAYS.



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Complete the Security Definition by inputting all the common information pertaining to this model. The CUSIP NUMBER and ISSUER CODE must have a question mark (?) input to later cascade in the data appropriate to each individual security.

NEXT BOBD MODE ADD FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO B 01 01 1900 SHORT NAME BOND MODEL MODEL SECURITY IND: STATUS DATE ................. 10 08 96 STATE CODE..80 EXPENSE TYPE..... INCEPTION DATE............... 10 08 96 REPT/NO:... CUSIP (PRICING).....? LOAN FLAG. PRICE CODE B FV SRCE/TYPE ASSET GROUP B OP SRC/TYPE SEGMENT... 0005 CATEGORY.. 0690 SECTOR....0600 INDUSTRY.. 0000 HIGH/LOW PRICE RANGE. 5.0/5.0- BENCHMARK PRICED INTERNAL N SIC CODE.. ISSUER CODE.. CROSS REF CD. NAICS.. PRIMARY PRICE SOURCE/TYPE.. / PRICING FREQ. TRANS GENERATION.. Y LAG DAYS.. 0000 LAG DAYS METHOD.. FEDERAL TAX STATUS.. T TAX GROUP.... T INCOME CATE MAIN/SUB...... 0005/0690 PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TYPE.. / 1ST ALT PRICE SOURCE/TYPE.. / 2ND ALT PRICE SOURCE/TYPE.. / 3RD ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. Y EXCLUDE MGT FEES N EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROTECT.. N EMU SCTY.. EMU DATE.. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% 0.000 PEP STATUS.. N GL-CODE.. SWP=> 1 SWAP TYPE.. MTM LAG DAYS.

Press ENTER and Investment Accounting (InvestOne); responds with SECURITY ADDED and forwards to the specific Security Definition screen for the Bond, Stock, Option or Future depending on the original request. Input all the common information pertaining to the model.

NEXT BOSB MODE CHANGE FDMP46 * * * SECURITY DEFINITION - BOND * * * SECURITY NO: BOND CODE . 1ST PWDN DATE.. ACCR METH. ACCR OPT. INT PUR. FIRST COUPON DATE ........... DAY COUNT ISSUE DATE. INTEREST RATE ... MATURITY DATE ............. COMPOUNDING OPT.. PYMT FREQ.. PAYMENT MONTH/DAY ......... MOD PMT. AMORT/ACCRET.. INFLAT INDEX.. DEFAULT DATE.. CPN CC MSTR NOTE FLOOR (000) .... ISSUE PRICE ... MSTR NOTE CEILING (000)... RATING: S and P MOODYS MATRIX CODE.... TBA FLAG.. ORIGINAL BAL.... EFF MATY DATE.. CCYY PREPAY.. PAR OUTSTANDING.. BENCHMARK.. CCYY RATE CHANGE FREQ.. INCREMENT.. BENCHMARK SPREAD ......... FIRST DATE.. MONTH-END... ANN RATE TYPE ....... GNMA GEN .. CONSTANT DTM. 2A-7. DEMAND. AMORT TO EFF MATY DATE.. ACTIVE.. CLASS OF SHARES REF X CCB DAYS... CONTRA EXPENSE... EFF MATY PRICE.. MATU SEC YIELD: MAX. MIN. SEC OVR EFF MAT LEN REPORT AS CASH. PEP EXPIRY EFFECTIVE MATY REF-DATE SWP=> 1

Press ENTER and Investment Accounting (InvestOne); responds with SECURITY CHANGE APPLIED on the Security Description screen. Complete the Security Description screen as desired. This information is forwarded to securities using this model.



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STEP 2 OF 5: SECURITY DEFINITION To add securities, request the Security Definition screen for the appropriate asset type (BOBD, STST, OPSD or FUSD) in ADD mode. Enter the security number in the SECURITY NO field and the model security number in the MODEL SECURITY IND field (if using a model).

NEXT BOBD MODE ADD FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO 912827KK7 SHORT NAME MODEL SECURITY IND: B STATUS DATE ................. STATE CODE.. EXPENSE TYPE..... INCEPTION DATE............... REPT/NO:... CUSIP (PRICING)...... LOAN FLAG. PRICE CODE.. FV SRCE/TYPE ASSET GROUP. OP SRC/TYPE SEGMENT... CATEGORY.. SECTOR.... INDUSTRY.. HIGH/LOW PRICE RANGE. / BENCHMARK PRICED INTERNAL SIC CODE.. ISSUER CODE.. CROSS REF CD. NAICS.. PRIMARY PRICE SOURCE/TYPE / PRICING FREQ. TRANS GENERATION.. LAG DAYS.. LAG DAYS METHOD.. FEDERAL TAX STATUS.. TAX GROUP.... INCOME CATE MAIN/SUB..... / PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TYPE /.. 1ST ALT PRICE SOURCE/TYPE.. / 2ND ALT PRICE SOURCE/TYPE /.. 34D ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. EXCLUDE MGT FEES EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROTECT.. EMU SCTY.. EMU DATE.. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% PEP STATUS.. GL-CODE.. SWP=> SWAP TYPE.. MTM LAG DAYS.

Press ENTER and Investment Accounting (InvestOne); responds by filling in the remaining fields with the data from the model security and/or other default values.

NEXT BOBD MODE ADD FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO 912827KK7 SHORT NAME BOND MODEL SECURITY IND: B STATUS DATE ................. 10 08 96 STATE CODE..80 EXPENSE TYPE..... INCEPTION DATE............... 10 08 96 REPT/NO:... CUSIP (PRICING) 912827KK7 LOAN FLAG. PRICE CODE B FV SRCE/TYPE ASSET GROUP B OP SRC/TYPE SEGMENT... 0005 CATEGORY.. 0690 SECTOR.... 0600 INDUSTRY.. 0000 HIGH/LOW PRICE RANGE. 5.0/5.0- BENCHMARK PRICED INTERNAL N SIC CODE.. ISSUER CODE.. 912827 CROSS REFE CD. NAICS.. PRIMARY PRICE SOURCE/TYPE.. / PRICING FREQ. TRANS GENERATION.. Y LAG DAYS.. 0000 LAG DAYS METHOD.. 1 FEDERAL TAX STATUS.. T TAX GROUP.... T INCOME CATE MAIN/SUB..... 0005/0690 PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TYPE.. / 1ST ALT PRICE SOURCE/TYPE.. / 2ND ALT PRICE SOURCE/TYPE.. / 3RD ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. Y EXCLUDE MGT FEES N EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... N TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROTECT.. N EMU SCTY.. EMU DATE.. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% 0.000 PEP STATUS.. N GL-CODE.. SWP=> 1 SWAP TYPE.. MTM LAG DAYS.

If necessary, enter the remaining data or make any appropriate adjustments. Press ENTER and Investment Accounting (InvestOne); responds with SECURITY ADDED and DESCRIPTION ADDED on the second Security Definition screen. If necessary, enter any additional data or make any appropriate adjustments.



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STEP 3 OF 5: SECURITY DESCRIPTION The security description, if any, is copied from the model. Investment Accounting (InvestOne); allows the user to change or add the long description in the CHANGE mode.

NEXT BODE MODE CHANGE FDMP44 * * * SECURITY DESCRIPTION * * * SECURITY NO: 912827KK7 BOND DESCRIPTION: SECURITY CHANGE

Press ENTER and Investment Accounting (InvestOne); responds with the long description from the model.

NEXT BODE MODE CHANGE FDMP44 * * * SECURITY DESCRIPTION * * * SECURITY NO: 912827KK7 BOND DESCRIPTION: U.S. TREASURY NOTES

The user then may change or add to the long description for the new security. Press ENTER and Investment Accounting (InvestOne); responds with DESCRIPTION CHANGED.



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Step 4 of 5: Security Definition - Stock To enter a security definition - stock, the user requests ADD mode. In this mode, add the security number in the SECURITY NO field and Press ENTER. Investment Accounting (InvestOne); responds with the security short name and the data from the model security and/or other default values.

NEXT STSS MODE ADD FDMP44 * * * SECURITY DEFINITION - STOCK * * * SECURITY NO: 459200100 STANDARD AND POOR 500 INDEX Y/N ... DOW-JONES INDUSTRIAL INDEX Y/N .... MARKET EXCHANGE................. TICKER SYMBOL ............... ANNUAL DIVIDEND .......... SHARES OUTSTANDING

The remaining data and/or appropriate adjustments are made.

NEXT STSS MODE ADD FDMP45 * * * SECURITY DEFINITION - STOCK * * * SECURITY NO: 459200100 STOCK STANDARD AND POOR 500 INDEX Y/N ... N DOW-JONES INDUSTRIAL INDEX Y/N .... N MARKET EXCHANGE................. TICKER SYMBOL ............... IBM ANNUAL DIVIDEND .......... 3.44 SHARES OUTSTANDING 0.00

Press ENTER and Investment Accounting (InvestOne); responds with RECORD ADDED. NOTE: This screen is invalid in DELETE mode.



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STEP 5 OF 5: SECURITY DEFINITION - BOND To enter Security Definition - Bond, the user requests ADD mode. In this mode, add the security number in the SECURITY NO field and Press <ENTER>. Investment Accounting (InvestOne); responds with the security short name and the data from the model security and/or other default values for the other fields. The note at the bottom of the screen is a reminder that for variable rate securities the rate is not entered in the INTEREST RATE field. These are entered on the Income Rate Definition screen when the rate takes effect and each day it changes.

NEXT BOSB MODE CHANGE FDMP46 * * * SECURITY DEFINITION - BOND * * * SECURITY NO: BOND CODE . 1ST PWDN DATE.. ACCR METH. ACCR OPT. INT PUR. FIRST COUPON DATE ........... DAY COUNT ISSUE DATE. INTEREST RATE ... MATURITY DATE ............. COMPOUNDING OPT.. PYMT FREQ.. PAYMENT MONTH/DAY ......... MOD PMT. AMORT/ACCRET.. INFLAT INDEX.. DEFAULT DATE.. CPN CC MSTR NOTE FLOOR (000) .... ISSUE PRICE ... MSTR NOTE CEILING (000)... RATING: S and P MOODYS MATRIX CODE.... TBA FLAG.. ORIGINAL BAL.... EFF MATY DATE.. CCYY PREPAY.. PAR OUTSTANDING.. BENCHMARK.. CCYY RATE CHANGE FREQ.. INCREMENT.. BENCHMARK SPREAD ......... FIRST DATE.. MONTH-END... ANN RATE TYPE ....... GNMA GEN .. CONSTANT DTM. 2A-7. DEMAND. AMORT TO EFF MATY DATE.. ACTIVE.. CLASS OF SHARES REF X CCB DAYS... CONTRA EXPENSE... EFF MATY PRICE.. MATU SEC YIELD: MAX. MIN. SEC OVR EFF MAT LEN REPORT AS CASH. PEP EXPIRY EFFECTIVE MATY REF-DATE SWP=>

The remaining data and/or the appropriate adjustments are made. Press ENTER and Investment Accounting (InvestOne); responds with RECORD ADDED. NOTE: This screen is invalid in DELETE mode.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY RESEARCH


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7 SECURITY RESEARCH Use the SARS Screen to add, change, delete or view security research data. Only the segment with the current research data (DATA DATE blanks or zeros) may be added. The add MODE on this screen will initialize all data fields of the segment including those fields entered on the SARSH screen.

SARS Screen: Security Research NEXT SARS MODE CHANGE FDMP242 * * * SECURITY RESEARCH * * * SECURITY NO. DATA DATE MM CCYY SHORT NAME FISCAL YEAR-END ANALYST CURR YR PRICE HI CURR YR PRICE LO 12-MO EARNINGS 12-MO EARNINGS DATE CURRENT YR EST EPS NEXT YR EST EPS EPS GROWTH RATE HIST EPS GROWTH RATE EST DIV GROWTH RATE HIST DIV GROWTH RATE EST BOOK VALUE PER SHARE RETURN ON EQUITY RECOMMENDATION CODE RECOMMENDATION DATE QUALITY CODE GROWTH RATE CODE HISTORICAL P/E HI HISTORICAL P/E LO HISTORICAL BETA


SECURITY NO. Valid security number, date and qualifier must be entered.

DATA DATE Date of the security research data to be added, changed, deleted or viewed (MM CCYY); blanks or zeros for current data. In add mode the data date must be blank or zeros; will default to zeros. The data date will reflect for each month a snapshot is submitted for the security research.

SHORT NAME Short name description for this security will display.

FISCAL YEAR-END Fiscal year-end of this security (MM DD) may be entered.

ANALYST Four-position alphanumeric code representing the research analyst responsible for this security may be entered.

CURR YR PRICE HI Highest price during the current year may be entered; must be = or > CURR YR PRICE LO.

CURR YR PRICE LO Lowest price during the current year may be entered; must be = or < CURR YR PRICE HI.

12-MO EARNINGS Most recent 12-month earnings per share may be entered.

12-MO EARNINGS DATE Date of the most recent 12-month earnings per share (MM DD CCYY) may be entered.

CURRENT YR EST EPS Current year estimated earnings per share can be entered.

NEXT YR EST EPS Next year estimated earnings per share can be entered.

EPS GROWTH RATE HIST Historical earnings per share growth rate may be entered.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY RESEARCH


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EPS GROWTH RATE EST Earnings per share growth rate estimate may be entered.

DIV GROWTH RATE HIST Historical dividend growth rate can be entered.

DIV GROWTH RATE EST Estimated future dividend growth rate can be entered.

BOOK VALUE PER SHARE Book value per share can be entered.

RETURN ON EQUITY Return on equity can be entered.

RECOMMENDATION CODE Four-position alphanumeric code representing the investment recommendation assigned by the research analyst can be entered.

RECOMMENDATION DATE Date of the research analysts recommendation for this security (MM DD CCYY) can be entered.

QUALITY CODE Four-position alphanumeric code representing a user-defined quality rating for this security can be entered.

GROWTH RATE CODE Four-position alphanumeric user-defined code related to the growth rate of this security can be entered.

HISTORICAL P/E HI Highest price-to-earnings ratio historically can be entered; must be - or > HISTORICAL P/E LO.

HISTORICAL P/E LO Lowest price-to-earnings ratio historically can be entered; must be - or < HISTORICAL P/E HI.

HISTORICAL BETA Historical beta can be entered.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY RESEARCH - HISTORICAL


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8 SECURITY RESEARCH - HISTORICAL Use the SARSH Screen to change or view historical security research data for a specific year. Data can be entered for up to six years per security number. Investment Accounting (InvestOne); re-orders the six sets of data, both for display on this screen and for storing on the Security Research Segment, with the most recent year first. In the change MODE, data for a specific year can be added, changed or deleted.

SARSH Screen NEXT SARSH MODE CHANGE FDMP243 * * * SECURITY RESEARCH - HISTORICAL *** SECURITY NO. DATA DATE MM CCYY SHORT NAME FISCAL YEAR-END MM DD FISCAL YR YEAR EARNINGS PRICE HI PRICE LO ---- ----------.--- ----------.--- ----------.--- ---- ----------.--- ----------.--- ----------.--- ---- ----------.--- ----------.--- ----------.--- ---- ----------.--- ----------.--- ----------.--- ---- ----------.--- ----------.--- ----------.--- ---- ---------- --- ---------- --- ---------- ---


SECURITY NO. Valid security number, date and qualifier must be entered. The security research must exist prior to this screen (SARS).

DATA DATE Date of the security research data to be changed or viewed (MM CCYY); blanks or zeros for current data.

SHORT NAME Short name description for this security displays.

FISCAL YEAR-END Fiscal year-end of this security displays only (MM DD).

YEAR Year associated with the historical data (CCYY). Can be added to any of the screen dates and is reordered by most current date first.

FISCAL YR EARNINGS Fiscal year earnings per share for this year.

PRICE HI Highest price during this year. PRICE HI must be ≥ PRICE LO.

PRICE LO Lowest price during this year. PRICE LO must be ≤ PRICE HI.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY RESEARCH SNAPSHOT REQUEST


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9 SECURITY RESEARCH SNAPSHOT REQUEST The SRSNAP Screen is used to initiate the process of creating Security Research Segment snapshots. Snapshots are created from current Security Research Segments that previously were established in the SARS screen. Creates security research snapshot control report.

SRSNAP Screen NEXT SRSNAP MODE ADD FDMP246 * * * SECURITY RESEARCH SNAPSHOT REQUEST * * * SUBMISSION TYPE: DATA DATE: REPLACE (Y OR N): CONTROL REPORT (D OR S): CONFIRM DATA DATE:


SUBMISSION TYPE Entry of a job name queues the batch Security Research snapshot job for later execution on the QU file under the assigned (by user/system community) job name. Actual job execution is triggered separately in JCL referencing the job name. Entry of SUBMIT for immediate execution is not valid.

DATA DATE Date to be associated with the Security Research snapshots created by this request (MM CCYY).

REPLACE (Y OR N) Indicates whether or not existing snapshots with the requested DATA DATE are to be overlaid.

CONTROL REPORT Indicates mode for Snapshot Control Report: D - Print detail and summary totals S - Print summary totals only

CONFIRM DATA DATE Displays only when DATA DATE is not the current or previous MM CCYY; allows the user to confirm requested DATA DATE by responding YES.

An example of the Security Research Snapshot Control Report follows:

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY RESEARCH SNAPSHOT REQUEST


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FDRXXX PAGE: 99,999 RUN DATE: MM/DD/YY RUN TIME: HHMMSS XX USER NAME SECURITY RESEARCH SNAPSHOT CONTROL REPORT DATA DATE: MM CCYY SECURITY NUMBER ACTION SECURITY NUMBER ACTION SECURITY NUMBER ACTION --------------- ------ --------------- ------ --------------- ------ 999999999 99999999 9999 SEGMENT REPLACED 999999999 99999999 9999 SEGMENT REPLACED 999999999 99999999 9999 SEGMENT ADDED 999999999 99999999 9999 SEGMENT REPLACED 999999999 99999999 9999 SEGMENT ADDED 999999999 99999999 9999 SEGMENT REPLACED 999999999 99999999 9999 SEGMENT REPLACED 999999999 99999999 9999 SEGMENT REPLACED 999999999 99999999 9999 SEGMENT ADDED TOTAL SEGMENTS ADDED 9,999,999 TOTAL SEGMENTS REPLACED 9,999,999 TOTAL SEGMENTS PURGED 9,999,999 ----------- END OF REPORT -----------

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY MASTER OVERRIDE


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10 SECURITY MASTER OVERRIDE The DESO (or DASO, VSSO, DDSO) Screen allows users to add, change, view or delete override values for the following Security Master fields: SEGMENT, CATEGORY, SECTOR, INDUSTRY, SIC CODE, INCOME CATEGORY MAIN, INCOME CATEGORY SUB, SHORT NAME, DESCRIPTION. An override record can be created without any data. It remains ineffective until some override data is entered. The Security-Level Override record is on the UD record, S segment. Once an override relationship is established between an account and a security, all applicable reports and online screens display the override fields once they are defined.

10.1.1 OVERRIDE RECORDS AND MASTER/FEEDER FUNDS An override record cannot be created for an account defined as either a master fund or feeder fund as designated by “M” or “F” (respectively) in the M/F INDICATOR field as seen on the Account Definition II - More Features (AAMF) screen.

10.1.2 BATCH ACCOUNT OVERRIDES The Batch Account Override is an alternative that is more efficient with minimal user intervention. It allows Multiple Account/Security combinations to be overridden by one job submission in the batch environment. See Technical Manual, Section 5 for details.

10.1.3 MULTIPLE FIELD OVERRIDES • Filling the override SIC CODE, SHORT NAME or LONG NAME fields with spaces will display

the security master values as they exist. • To override the security master category fields (segment, category, sector, industry), the

income cate main and/or the income cate sub with no values, fill these override fields with zeroes.

• Filling the override category fields, the INCOME CATE MAIN or the INCOME CATE SUB, with spaces, will display the security master values as they exist.

DESO Screen (also see DASO, VSSO, DDSO)

NEXT DESO MODE ADD FDMP287 ACCOUNT OVERRIDE SG00SIMSDEV6 ACCOUNT NO.......... SECURITY NO......... SEGMENT......................... RPT SCTY.............. SECTOR.. CAP/REV TREATMENT.. CATEGORY.... INDUSTRY.... SIC CODE........................ DISPOSAL COST PERCENT...... INCOME CATE SUB................. INCOME CATE MAIN................ SHORT NAME. NAICS CODE.................... LONG NAME... SRC/RATING.. / / / / / /



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Field Descriptions follow:


ACCOUNT NO Valid account number within Investment Accounting (InvestOne).

SECURITY NO Valid security number, date, qualifier within Investment Accounting (InvestOne).

RPT SCTY Security number being attached to the account and security entered on this screen. ALERT: When an entry is made to RPT SCTY, no other override entries can be made on DESO.

SEGMENT Segment to be used for this security and account. (The value must be consistent with other security level edits.)

CATEGORY Category to be used for this security and account. (The value must be consistent with other security level edits.)

SECTOR Sector to be used for this security and account. (The value must be consistent with other security level edits.)

INDUSTRY Industry to be used for this security and account (The value must be consistent with other security level edits.)

SIC CODE SIC code to be used for this security and account (The value must be consistent with other security level edits). To override the security master SIC code or the security master description with no value, fill the override SIC CODE field and/or the first line of the override LONG NAME field completely with asterisks (*). Although the override screen displays asterisks, reports and online screens display spaces.

DISPOSAL COST PERCENT

Disposal Cost Percent a. Valid Values: Positive number in the format of 9(3) V9 (5). b. Default Value: Blank (Zero). This means Disposal Cost % has NOT defined for this Account & Security combination at DESO. c. For defining the Disposal cost % as ZERO (0%), the user needs to enter "999.99999" (all nines) in the DESO Disposal Cost Percent field to represent zero. The Disposal cost percent defined in this Field would be applicable for the



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specific Security in the Specific Account. This is the lowest level stored value of Disposal cost percent.

INCOME CATE MAIN Income category-main to be used for this security and account. (The value must be consistent with other security level edits.)

INCOME CATE SUB Income category-sub to be used for this security and account. (The value must be consistent with other security level edits.)

NAICS CODE NAICS code to be used for this security and account. (The value must be consistent with other security level edits.)

SHORT NAME Short name to be used for this security and account.

LONG NAME Description for this security and account. Data must be contiguous, no blank lines allowed. Filling any part of the first line of LONG NAME overrides all lines of the security master description if it exists. An override LONG NAME can be created even though a security master description does not exist.

SRC/RATING Up to six rating sources (SRC) and ratings may be defined. These sources will override sources and ratings defined on the Bond Rating (BRATE) screen for assets held in the account for purposes of reporting on the Rule 2A-7 Mark to Market (R228).

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY USER-DEFINED FIELDS


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11 SECURITY USER-DEFINED FIELDS SAUD screens are user-defined fields that may be utilized to add more description to a security, that is, additional ratings, advisors or ISN numbers that are not allowed on security set up screens. Each field has a defined length. The Field Names (for example, FIELD 01) displayed on SAUD may also be changed on SAUDF. SAUD screens are used for reporting purposes only. SAUD screens are not available to override the values at the account level. Additionally: • User-Defined Fields 35 through 38 are additional fields to be reported on the R228, Rule

2A-7 Mark to Market Report.

• The Field Names (for example, FIELD 28) displayed on SAUD3 may be changed on SAUDF.

SAUD Screens: SAUD, SAUD2, SAUD3, SAUD4, SAUD5, SAUD6, SAUD7, SAUD8

NEXT SAUD MODE CHANGE FDMP128 * * * SECURITY USER DEFINED FIELDS * * * SECURITY NO: BONDTEST BONDTEST 01 DATE 01................................. 00 00 0000 02 DATE 02................................. 00 00 0000 03 DATE 03................................. 00 00 0000 04 FLAG 01................................. 05 FLAG 02................................. 06 FLAG 03................................. 07 FLAG 04................................. 08 FIELD 01................................ 09 FIELD 02................................ 10 FIELD 03................................ 11 FIELD 04................................ 12 FIELD 05................................ 13 FIELD 06................................ 14 FIELD 07................................ 15 FIELD 08................................ 16 FIELD 09................................ 17 FIELD 10................................


SECURITY NO: To add, change, delete or view security user-defined fields, enter a valid security number and, if applicable, security date and qualifier. The security short name, field IDs (for example, 01) and default field names (for example, DATE 01) appear.

01 DATE 01 Date field (MM DD CCYY) may be entered.



04 FLAG 01 One-position alphanumeric field may be entered.




08 FIELD 01 Twenty-position alphanumeric field may be entered.






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12 FIELD 05 Ten-position alphanumeric field may be entered.





17 FIELD 10 Ten-position alphanumeric field may be entered. For the SAUD2 and SAUD3 Screens, only alphanumeric fields may be entered. The allowable number of positions is indicated next to the field. For example, "18 FIELD 11" is a ten-position alphanumeric field.

SAUD2 SAUD3

Field Number of Positions Field Number of Positions

18 FIELD 11 10 35 FIELD 28 1

19 FIELD 12 10 36 FIELD 29 1

20 FIELD 13 10 37 FIELD 30 6

21 FIELD 14 10 38 FIELD 31 6

22 FIELD 15 10 39 FIELD 32 10

23 FIELD 16 10 40 FIELD 33 10

24 FIELD 17 10 41 FIELD 34 10

25 FIELD 18 10 42 FIELD 35 10

26 FIELD 19 20 43 FIELD 36 10

27 FIELD 20 20 44 FIELD 37 10

28 FIELD 21 20 45 FIELD 38 10

29 FIELD 22 20 46 FIELD 39 10

30 FIELD 23 20 47 FIELD 40 10

31 FIELD 24 20 48 FIELD 41 10

32 FIELD 25 10 49 FIELD 42 10

33 FIELD 26 10 50 FIELD 43 10

34 FIELD 27 10 51 FIELD 44 10

52 FIELD 45 10



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These are the SAUD4, SAUD5, SAUD6, SAUD7, and SAUD8 Screen's field positions. For all of these positions, a ten-position alphanumeric field may be entered.

SAUD4 SAUD5 SAUD6 SAUD7 SAUD8

53 FIELD 46 69 FIELD 62 86 FIELD 79 103 FIELD 96 120 FIELD 113
















85 FIELD 78 102 FIELD 95 119 FIELD 112 136 FIELD 129

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY USER-DEFINED FIELD NAMES


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12 SECURITY USER-DEFINED FIELD NAMES SAUDF Screen: Security User-Defined Field Names

NEXT SAUDF MODE CHANGE FDMP138 ** SECURITY USER DEFINED FIELD NAMES ** FIELD ID: _ FIELD NAME:


FIELD ID To add, change, delete or view security user-defined field names from the default value (for example, FIELD 01) to a user-defined value (for example, S&P SHORT TERM RATING). The Field Names are seen on the Security user-defined Fields screens. Enter a three position numeric field from 001 to 136 to correspond to the appropriate security user-defined field. In view mode, all field ids (and associated field names) greater than or equal to the field id entered are displayed.

FIELD NAME Description of the user-defined field. In add mode, only new security user-defined fields may be added. In change or delete mode, the field name is displayed and then may be changed or deleted, respectively.



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EXAMPLE 1: SECURITY USER-DEFINED FIELDS To add security user-defined fields, the user requests add mode, enters a valid security number and, if applicable, security date and qualifier, and press ENTER. Investment Accounting (InvestOne); responds with the security short name, field IDs (for example, 01) and the field names (for example, Field 01). The default security user-defined field names are displayed unless they have been changed in the Security User Defined Field Names screen (SAUDF). Data may then be entered.

SAUD Screen: Security User-Defined Fields NEXT SAUD MODE CHANGE FDMP128 * * * SECURITY USER DEFINED FIELDS * * * SECURITY NO: BONDTEST BONDTEST 01 DATE 01................................. 12 31 1996 02 DATE 02................................. 06 30 1997 03 DATE 03................................. 12 31 1997 04 FLAG 01................................. 05 FLAG 02................................. 06 FLAG 03................................. 07 FLAG 04................................. 08 FIELD 01................................ AAA 09 FIELD 02................................ AA+ 10 FIELD 03................................ 11 FIELD 04................................ 12 FIELD 05................................ 13 FIELD 06................................ 14 FIELD 07................................ 15 FIELD 08................................ 16 FIELD 09................................ 17 FIELD 10................................

User updates to the Security User-Defined Fields II (SAUD2) screen through Security User-Defined Fields VIII (SAUD8) screen utilize the same updating process.



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EXAMPLE 2: SECURITY USER-DEFINED FIELD NAMES To add, change or delete a user-defined field name, enter the applicable field ID (number 001 through 136) and press <ENTER>. Investment Accounting (InvestOne); responds with a blank field name in add mode, or the existing field name in change mode.

SAUD Screen: Security User-Defined Field Names NEXT SAUDF MODE CHANGE FDMP138 ** SECURITY USER DEFINED FIELD NAMES ** FIELD ID: 8 FIELD NAME: S&P SHORT TERM RATING

Add or change the field name as desired and press ENTER. The system responds with record added or changed. The updated field name then appears on the applicable security user-defined field screen.

SAUD Screen: Security User-Defined Field Names, Populated NEXT SAUD MODE CHANGE FDMP128 * * * SECURITY USER DEFINED FIELDS * * * SECURITY NO: 3128FUN66 FHLMC POOL #D84913 01 EX DATE 00 00 0000 02 PREVIOUS EX DATE 00 00 0000 03 DATE 03................................. 00 00 0000 04 ASSET BACKED 05 TIER 06 QUALIFYING ASSETS 07 VARIABLE RATE PAYMENT FREQUENCY 08 S&P SHORT TERM RATING AAA 09 S&P SHORT TERM RATING EFFECTIVE DATE 10 S&P LONG TERM RATING 11 S&P LONG TERM RATING EFFECTIVE DATE 12 MOODY'S SHORT TERM RATING AA+ 13 MOODY'S SHORT TERM RATING EFFECTIVE DATE 14 MOODY'S LONG TERM RATING 15 MOODY'S LONG TERM RATING EFFECTIVE DATE 16 LIQUIDITY 17 FIELD 10................................

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY BOND HISTORICAL RATINGS


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13 SECURITY BOND HISTORICAL RATINGS The BRATE screen is used to manually add, change, delete or report the manually input Ratings or Ratings interfaced through the Standard Batch Capture, the 216 Batch Capture or Messaging. Up to 13 ratings may be displayed at one time. Up to fifty historical Bond Rating changes for a given security number and rating source combination may be retained on file. If a 51st rating is added for this source, the oldest rating for the source is automatically deleted from the file. If more historical ratings exist on the file, the user is prompted to scroll until END OF REQUEST that indicates all ratings for the security have been displayed. Ratings may also be input using multiple interfaces. See Section 2.70 of the Interface Manual and the Software Developer's Kit for details.

CONSTRAINTS • If the date for the rating to be changed or added is prior to the most current rating date on

the file for that source, that rating is rejected. The more current rating(s) must be deleted first, and then the rating may be changed/added.

• If the rating to be changed or added is the same as the most current rating for that source, it is rejected.

• A rating with a blank source is not allowed.

BRATE Screen NEXT BRATE MODE REPORT FDMP388 * * * BOND HISTORICAL RATINGS * * * SECURITY NO..: RATING SOURCE: REFERENCE DATE: MODE.........: RATE DATE....: RATING: DATE RATING SOURCE -----------------------------------------------


SECURITY NO Valid security number, date and qualifier must be entered.

SECURITY SHORT DESCRIPTION

Short name description for this security will display.

RATING SOURCE Specific source of the rating service. This field is optional in Report mode but required in Add, Change or Delete modes.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES SECURITY BOND HISTORICAL RATINGS


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REFERENCE DATE Date used to start a query. Ratings prior to and including that date are displayed. If left Blank, the query begins with the most current date.

MODE This field provides the mode of operation for the display section of the screen. It is used to designate how rating data on file is organized for display purposes. Valid Values: A - All ratings regardless of source displayed beginning with the most current

date. Default is Blank. D - All ratings regardless of source displayed as of or prior to the date

specified. S - All ratings for the specified source regardless of date.

RATING DATE Date the new or changed rating is in effect. Not required in Report mode.

RATING Sixteen-character rating for the security.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES HISTORICAL DIVIDEND AND SHARES OUTSTANDING


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14 HISTORICAL DIVIDEND AND SHARES OUTSTANDING The SDHIST Screen is used to change or view historical shares/par outstanding and annual dividend data for stock like and bond like securities. To add data, use CHANGE mode with a date following the most recent date for either field. To delete data (only available for the most recent entry), use CHANGE mode with the date for the most recent EFFECTIVE DATE that is to be deleted and blank out the fields. A maximum of 50 entries each for Annual Dividend and Shares/Par Outstanding are stored on file for each given security and data item (Both of these fields are also available to SPECTRA, FOMI, EDW, and the Audit Trail Report). Once the 51st entry is input the oldest entry on file is deleted. This data must be entered/maintained in chronological order. In order to change or delete a previous entry, all entries subsequent to that date must be deleted first. When data is initially entered on SDHIST: • BOSB and STSS data are updated, the values entered originally on BOSB and STSS are

historically stored on SDHIST with a date of 01/01/1901. o BOSB: Par Outstanding on is updated for bond-like securities o STSS: Shares Outstanding and Annual Dividend are updated on for stock-like securities.

• If data exists on SDHIST, the System does not allow changes to be made to the corresponding data on BOSB and STSS. It must always be maintained in this screen.

SDHIST Screen

NEXT SDHIST MODE VIEW FDMP461 HISTORICAL DIVIDEND & SHARES OUTSTANDING SECURITY NO...: 299065202 Company A Stock EFFECTIVE DATE: SH/PAR OUTSTANDING: ANNUAL DIVIDEND...: DATE SHARES/PAR OUTSTANDING DATE ANNUAL DIVIDEND ------------------------------------------------------------------------------- 05/01/2002 100,000.00 05/01/2002 3.0000 01/01/1901 .00 01/01/1901 .0000 END OF REQUEST


SECURITY NO. Enter a valid security number, date and qualifier.

EFFECTIVE DATE Date of the historical shares/par or annual dividend data to be changed or viewed (MM CC YY); enter blanks or zeros to view all data.

SH/PAR OUTSTANDING Total shares outstanding (for stock like securities) or total par outstanding (for bond like securities).

ANNUAL DIVIDEND Annual per-share dividend for a stock like security.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES REPORTING SECURITIES


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15 REPORTING SECURITIES

15.1 OVERVIEW Cash and currency balances are frequently invested in variable rate securities such as repos. Reporting Securities may be used to simplify reporting and the receipt of income on these securities. Reporting Securities are attached to cash and currencies (referred to as Actual Securities) in specific accounts using the DESO screen. When using Reporting Securities for reporting and income processing, the investment activity (purchases and sales) of the cash and currency balances is not processed in Investment Accounting (InvestOne). Processing is limited to the entry of interest rates and the processing of interest, withholding and reclaim type transactions. SPECTRA and Apollo use the interest rates entered for the Reporting Security and the Actual Security's balance to calculate Estimated Annual Income and Yield (Current). SPECTRA and Apollo overlay the Actual Security's characteristics with the Reporting Security's characteristics for reporting purposes.

15.2 REPORTING SECURITY SETUP The Reporting Security is set up as a variable rate bond on the BOBD and BOSB screens. There are no entries in BOSB unique to Reporting Securities. Reporting Securities are set up as variable rate bonds (accrual method V) so that interest rates may be entered on DECR. See the Investment Accounting (InvestOne); documentation for this screen.

NEXT BOBD MODE CHANGE FDMP43 * * * SECURITY DEFINITION * * * SECURITY NO SHORT NAME MODEL SECURITY IND: STATUS DATE................. STATE CODE.. EXPENSE TYPE..... INCEPTION DATE.............. REPT/NO.... CUSIP (PRICING NUMBER...... PRICE CODE.. FV SRCE/TYPE ASSET GROUP. OP SRC/TYPE SEGMENT... CATEGORY.. SECTOR.... INDUSTRY.. HIGH PRICE RANGE............... LOW PRICE RANGE......INTERNAL SIC CODE.. ISSUER CODE.. CROSS REF CD. NAICS.. PRIMARY PRICE SOURCE/TYPE.. / PRICING FREQ. TRANS GENERATION.. LAG DAYS.. LAG DAYS METHOD.. FEDERAL TAX STATUS.. TAX GROUP.... INCOME CATE MAIN/SUB.... / PRICE INDEX SCTY. CAL. BACKUP PRICE SOURCE/TYPE.. / 1ST ALT PRICE SOURCE/TYPE.. / 2ND ALT PRICE SOURCE/TYPE.. / 3RD ALT PRICE SOURCE/TYPE.. / FORM 13F FLAG. EXCLUDE MGT FEES EXCLUDE FROM EXP CAP.. TOC.. ISSUE CURRENCY.. PREC... COUNTRY OF: RISK.. TAXATION. INCOME CURRENCY.. PREC... GUARANTOR... ISSUED SCTY.... TRADE CURRENCY.. PREC... PRICE GROUP.. PRICE PROJECT.. EMU SCTY.. EMU DATE.. RPT SCTY FRANKED/UNFR. BID/OFF SPREAD% PEP STATUS.. GL-CODE.. SWP=> SWAP TYPE.. MTM LAG DAYS.


RPT SCTY “Y” in this field indicates the security is a Reporting Security.

SYSTEM MANUAL - SECTION 5.20 - SECURITY SETUP ACTIVITIES REPORTING SECURITIES


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15.3 PROCESSING Reporting Securities are attached to Actual Securities in specific accounts on the DESO screen. Once a Reporting Security is attached to an Actual Security, the following transaction codes may be processed against the Reporting Security number:

INT Interest Collected WEXP- Tax Withholding Expense Adjustment – Decrease

INT + Interest Adjustment – Increase Income Cash RECL Foreign Tax Reclaim

INT - Interest Adjustment – Decrease Income Cash RECL+ Foreign Tax Reclaim Adjustment – Increase

WEXP Foreign Tax Withholding Expense RECL- Foreign Tax Reclaim Adjustment – Decrease

WEXP+ Tax Withholding Expense Adjustment – Increase Income does not accrue on Reporting Securities. Investment Accounting (InvestOne); uses the interest rates on DECR along with the Actual Security's position to compute Estimated Annual Income and Yield (Current). These items are reported in SPECTRA/Apollo and EDW/XAMIN. Note that the Reporting Security is selected in Security Distribution using the Format Item, Rpt Scty (DESO), Code F0.

CONSTRAINTS • The Asset Group of a Reporting Security must be CA. • For Reporting Securities that are attached to currencies, the Reporting Security's Issue,

Income and Trade currency must be the same as that of the Actual Security (currency) to which it is attached.

• A Reporting Security may be attached to Actual Securities in more than one account but may be attached to only one Actual Security in any given account.

• No holdings balances are allowed for Reporting Securities. Edits prevent updating of any screens such as DEHO, DAHO, PS2 AND TL2.

• When a Reporting Security number is entered on DESO, no other override data may be entered.

• Security Dates and Qualifiers are not permitted on Reporting Securities.

NEXT DESO MODE ADD FDMP287 * * * * * * ACCOUNT OVERRIDE * * * * * * ACCOUNT NO..........000000000021502 SECURITY NO.........GBP RPT SCTY................215G SEGMENT......................... CATEGORY........................ SECTOR.......................... INDUSTRY........................ SIC CODE........................ INCOME CATE MAIN................ INCOME CATE SUB................. NAICS CODE.................... SHORT NAME...................... LONG NAME...


RPT SCTY Security number of the Reporting Security being attached to the Actual Security and account specified on the screen.

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