The current configuration is causing a mismatch between monthly and daily runs. A configuration issue has been raised where the monthly initial CRR Notional amount does not reflect the daily initial CRR Notional amount. Instead, the monthly initial CRR Notional amount reflected the latest data available when we initiated the monthly run.
The new configuration will address this issue. In particular, CC 6701 (monthly CRR) will rely on a new CC 6700 daily calculation. CC 6700 will be updated to capture the daily Notional inputs. In addition, similar formulas will be created for Clawback and Circular Schedule.
The effective trade date of the change is 12/1/2019, with a planned implementation date of 11/25/2019.