In the Create Amortization & Accretion Rules panel, when you create amortization/accretion rules that specify how the system amortizes the securities held by the entity, you can select various options based on the requirements of your business.
The following are the options in the Amortization & Accretion Rules panels.
Option | Tag | Description | ||||||
---|---|---|---|---|---|---|---|---|
Rule Name | 3197 | Identifies the name of the accounting rule established in the Create Accounting Rules panel. You must create this value prior to creating an amortization rule, and can select all established accounting rules from a list. When the system performs a lookup for the accounting rule, Eagle Accounting populates tag 4629, which is the Instance Number for the accounting rule. When you submit a new amortization rule, Eagle Accounting also creates an Instance Number (tag 4256) for the amortization rule. The system provides the following accounting rules for amortization/accretion:
| ||||||
| 3931 | Optional. Identifies the processing security types (PST) to which the amortization accretion rule applies. If you:
| ||||||
Amortization/Accretion Rule Type | 12008 | Optional. Identifies an amortization rule defined at a level that falls above the asset identifier level and below the processing security type level. You can assign a value at this level when amortization rules vary within securities with a common processing security type and you do not want to assign those rules at the individual security level. Before you assign rule types, you can use the Codes workspace to create the appropriate code values that have a code category name of AMORTRULETYPE. | ||||||
Issue Name | 961 | If you define the rule at the security level, specifies the name of the security. Otherwise, if you leave this field blank, the system applies the rule to all securities within the entity. Issue Name, Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel. | ||||||
Cross Reference Type | 1432 | If you define the rule at the security level, specifies the cross reference or primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL. Otherwise, you can leave this field blank. Issue Name (tag 961), Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel. | ||||||
Cross Reference ID | 14 | If you define the rule at the security level, specifies the identification number of the cross reference or primary asset ID for the security. Otherwise, you can leave this field blank. Issue Name (tag 961), Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel | ||||||
Rule Begin Date | 220 | Required. Specifies the beginning date that the system begins to apply the amortization rule to the fund. If the rule should no longer be applied after a certain date, you enter the End Date (tag 221) on the Edit Amortization & Accretion Rules panel, and then create a new amortization rule in the Create Amortization & Accretion Rules panel with a Rule Begin Date equal to the previous Rule End Date, plus one day. For example, if the End Date of a previous amortization rule is December 31st, the Begin Date of the new amortization rule is January 1st. | ||||||
Amortization/Accretion Election | 3933 | Determines how to recognize amortization on bonds. You can use this field in conjunction with the Begin Date and End Date fields to establish separate amortization rules for tax lots purchased at a Market Discount and at a Market Premium, at an Accounting Basis-level, at a Processing Security Type-level, and/or at a Security ID-level. Options include Market Discount, Market Premium, Both, and None. If you select a value of Both or None, the amortization rule applies to both market discount and market premium tax lots. The system prevents you from setting up a separate amortization rule for either market premium or market discount. | ||||||
Taxable Status Indicator | 1143 | Specifies the tax status of the securities to which the amortization/accretion rule applies. Used in conjunction with the Begin Date and End Date fields to establish separate amortization rules for taxable non-taxable securities at an accounting basis-level, at a processing security type-level, and amortization/accretion security type or to create a simple rule for both taxable and non taxable. The system uses the Federal Tax Indicator field (tag 1545) at the security level to determine the security's tax status. For example, you can use this field working with the Amortization/Accretion Election field to establish an amortization rule for taxable bonds purchased at a Market Premium to utilize a yield to Best Call and an amortization rule for non taxable bonds purchased at a market premium to amortize a Yield to worst. Options include:
| ||||||
Amortization Methodology | 16007 | Specifies the type of amortization methodology that Eagle Accounting can lock in and apply. Options include:
| ||||||
| 113 | Specifies the amortization/accretion method. For more information, see Understand the Amortization/Accretion Method. Options include:
| ||||||
Automatically Apply Retrospective Amortization | 16009 | Determines whether the Earnings process automatically calculates a retrospective adjustment. This field appears if you set the Amortization Methodology field to either Retrospective or PAC NPV. Options include:
| ||||||
Retrospective Type | 9159 | Determines the starting point for the retrospective amortization calculation date when executing an automatic retrospective adjustment. This field appears when you set the Automatically Apply Retrospective Amortization field to Yes. Options include:
| ||||||
Retrospective Amortization Recalculation Frequency | 16010 | Determines when and under what conditions the system performs an automatic retrospective amortization calculation. This field appears when you set the Automatically Apply Retrospective Amortization field to Yes. |
When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status. |
When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias. |
Options include:
| ||||||||
Retrospective Amortization Start Date | 16011 | Specifies the date that the first retrospective amortization is calculated. In addition, the retrospective amortization will be the the base value in determing the future schedule of automatic retrospective calculation when the Earnings process is invoked. This field appears when you set the Retrospective Amortization Recalcualtion Frequency field to Monthly, Quarterly, Semiannual, or Annual. | ||||||
Retrospective Roll Convention | 16012 | Further defines the automatic retrospective calculation schedule. Options include Last Day of the month and Same Day of the month. For example, if the First Retrospetive Amortization Start Date was 20170930, the Retrospective Amortization Frequency is quarterly, and Retrospective Roll Convention is Same Day Of Month. The Earnings process automatically calculates a Retrospective Amortization adjustment every December 30, March 30, and June 30. In the same example, with exception the Retrospective Roll Convention is set to Last Day of Month. The Earnings process automatically calculates a Retrospective Amortization adjustment every September 30, December 31, March 31, and June 30. | ||||||
| 16013 | Determines when and under what conditions the system performs a prospective amortization calculation. This field appears when you set the Amortization Methodology field to either Default or Prospective. For more information, see Understand the Prospective Amortization Yield Recalculation Frequency. Options include:
| ||||||
Prospective Amortization Start Date | 16014 | Specifies the date that the first Prospective amortization is calculated. In addition, the Prospective amortization is the base value in determing the future schedule of automatic Prospective calculation when the Earnings process is invoked. This field appears when you set the Prospective Amortization Recalcualtion Frequency field to either Monthly, Quarterly, Semiannual, or Annual. | ||||||
Prospective Roll Convention | 16015 | Further defines the automatic Prospective calculation schedule. This field appears when you set the Prospective Amortization Recalculation Frequency field to either Monthly, Quarterly, Semiannual, or Annual. Options include Last Day of the month and Same Day of the month. For example if the First Retrospetive Amortization Start Date was 20170930, the Prospective Amortization Frequency is quarterly, and Prospective Roll Convention is Same Day Of Month. The Earnings process will automatically calculate a Prospective Amortization adjustment every December 30, March 30 and June 30. In the same example, with exception the Prospective Roll Convention is set to Last Day of Month, The Earnings process will automatically calculate a Prospective Amortization adjustment every September 30, December 31, March 31 and June 30. | ||||||
Amortization Cap/Floor Method | 10130 | Controls the directions that amortization can move in. This option does not apply to Average Cost. Options include:
NOTE: If you set up a security to amortize, regardless of how the amortization rule allows the security to amortize away from par, or does not allow the security to amortize away from par, Eagle Accounting always amortizes to the redemption date and redemption price. (Redemption date and redemption price includes Maturity Date and Maturity Price, the date and price calculated for the worst call date, or the date and price calculated to the best put date.) | ||||||
Amortization at Disposition | 3902 | Specifies whether the system amortizes at disposition. Options include:
| ||||||
Recognize OID | 9197 | Determines whether Eagle Accounting recognizes OID amortization for an OID eligible bond that was repurchased at a discount and which OID methodology to apply in the calculation of Acquisition Premium and Acquisition Discount. Eagle Accounting determines OID eligibility by checking that the OID Eligible (tag 218) field on the SMF is set to Yes, and that the Issue Price of the bond is less than the Maturity Price. If you recognize OID amortization, then for an OID eligible bond, Eagle Accounting calculates the adjusted issue price (calculation follows) for the settlement date of the bond, based on the Constant Yield 2 method of amortization. Options include:
| ||||||
Market Discount Amortization Method - OID Bonds | 2301 | Indicates whether to use different amortization methods for original issue discount (OID) and market amortization. This field appears if you set the Recognize OID field to Yes. Options include:
| ||||||
| 4526 | Specifies whether you want to net the OID (original issue discount) amortization and the acquisition premium on the general ledger. For more information, see Understand the Premium Proportional Option. Options include Yes and No. | ||||||
Min ILB Ratio Flag | 3855 |
START HERE 2015 text below. compare with updated text on separate pages
Determines whetherIndicates whether Eagle Accounting uses the guaranteed minimum in deflation protected |
inflation linked bond (ILB) securities |
in determining daily ILB income for deflation protected inflation linked bonds. This is specific to the |
recognition of daily ILB income |
Determines the amortization streams to which the system should apply the DeMinimis test, and what action should take place if a security fails the DeMinimis test. The DeMinimis test determines whether the amount to amortize is greater than ¼ of 1% (.0025) of the redemption price, multiplied by the number of complete years to redemption date. Options include:
- OID Only. The system only applies the DeMinimis test to the OID amortization stream.
- All Discount Purchases. The system applies the DeMinimis test to the entire total discount amortization stream. If you select this option, DeMinimis does not apply to securities bought at a market premium.
- Acquisition/Market Discount. The system applies the DeMinimis test to the market discount stream or for an acquisition discount amortization stream (an acquisition discount amortization indicates that an OID eligible bond is purchased below the adjusted issue price.
- Apply Each Independently. The system applies the DeMinimis test to the market discount stream and OID stream independently. If it determines the market discount stream to be deminimis, it discontinues the market discount stream. If it determines the OID stream to be deminimis, it discontinues the OID stream.
- None. The system does not apply the DeMinimis test.
Identifies what action takes place if the amortization stream specified in the DeMinimis Test Application field (tag 3935) fails the DeMinimis test. Options include:
- Discontinue Amortization Streams. If you set DeMinimis Test Application to All Discount Purchases, the Within DeMinimis Test Action field displays a value of Discontinue Amortization Streams, and you cannot change it. If you set DeMinimis Test Application to OID Only, you can set the Within DeMinimis Test Action field to a value of Discontinue Amortization Streams.
- Apply OID Only. If you set DeMinimis Test Application to Acquisition Discount/Market Discount, the Within DeMinimis Test Action field displays a value of Apply OID Only, and you cannot change it.
- Discontinue Amortization Streams. If you set DeMinimis Test Application to Apply Each Independently, the Within DeMinimis Test Action field displays a value of Discontinue Amortization Streams, and you cannot change it.
- Apply Market Discount. If you set DeMinimis Test Application to OID Only, you can set the Within DeMinimis Test Action field to a value of Apply Market Discount.
Specifies whether the system factors the call dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
- Yield to Worst Call Date. Calculate the yield and amortization target date to the call date and price that gives the lowest yield for the tax lot. If the security is not called at the worst call date, calculate to the next worst call date. If no call date is available after the worst call date, amortize to maturity date. When calculating a yield to worst, the system includes the yield to maturity date and price in the calculation, so in some cases, the yield to worst could be the maturity date and price.
- Yield to Next Call Date. Calculate the yield and amortization target date to the next available call date and price in the schedule. If the security is not called at the next call date, calculate to the next call date in the schedule. If no call date is available after the last call date in the schedule, the system amortizes to maturity date.
- Yield to Next Call Date with Suspense. Amortize to the next call date and price while suspending any amortization of premium or accretion of discount if the next call date and price would cause the tax lot to amortize away from par.
- Do Not Recognize Call Feature. Ignore the call schedule located in the schedule table for the purpose of calculating an amortization yield and amortization target date.
- Yield to Best Call with Suspense. Select the call/put date and price between the yield date and maturity date that gives the highest yield. The yields to maturity and any pre-refunding are included as if they were calls. Calls and puts after any pre-refunding date are ignored. If this call/put price would cause amortization to move away from the bond's par value, hold amortization constant until this call/put date. When the call or put is not executed, repeat the process to find the highest remaining yield and its call or put date. While this calculation is intended for use with taxable securities purchased at a premium, it operates on any holding that meets the amortization/accretion rule's selection criteria.
Specifies whether the system factors the put dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
- Do Not Recognize Put Feature. Ignore the put schedule located in the schedule table for the purpose of calculating an amortization yield and amortization target date.
- Yield to Best Put Date. Calculate the yield and amortization target date to the put date and price that gives the highest yield. If the security is not put at the best put date, calculate to the next best put date. If no put date is available after the best put date, amortize to maturity date. When calculating a yield to best, the system includes the yield to maturity date and price in the calculation, so in some cases, the yield to best could be the maturity date and price.
- Yield to Next Put Date. Calculate the yield and amortization target date to the next put date and price in the schedule. If the security is not put at the next put date, calculate to the next put date in the schedule. If no put date is available after the last put date in the schedule, the system amortizes to maturity date.
- Yield to Next Put Date with Suspense. Amortize to the next put date and price while suspending any amortization of premium or accretion of discount if the next put date and price would cause the tax lot to amortize away from par.
Determines whether the pre-refunded date is used during amortization. Options include:
Recognize Pre-refunded Date using Announcement Date
when a deflation linked bond inflation index ratio sinks to a level below the value in the ILB Min Index Ratio (tag 3854). You can specify the security's ILB Min Index Ratio value in the Long Term Debt panel. The current (actual) ILB index ratio is used to calculate the inflation adjust face in accrual, amortization, and valuation processing. Options include:
| ||||||||
| 3935 | Works in conjunction with the Within DeMinimis Test Action field to determine the amortization stream(s) to which Eagle Accounting should apply the DeMinimis test, and what action should take place if a security fails the DeMinimis test. The DeMinimis test determines whether the amount to amortize is greater than ¼ of 1% (.0025) of the redemption price, multiplied by the number of complete years to redemption date. For more information, see Understand the DeMinimis Test Application and Within DeMinimis Test Action Options. Options include:
NOTE: DeMinimis Test Application is not a viable option for a portfolio with Average Cost. | ||||||
| 3936 | Identifies what action takes place if the amortization stream specified in the DeMinimis Test Application field fails the DeMinimis test. That is, it determines the outcome if the amount to amortize is greater than 1/4 of 1% of the redemption price multiplied by the number of complete years to redemption date. This field is hidden when you open the panel. It appears if you set the DeMinimis Test Application field to a value other than None. For more information, see Understand the DeMinimis Test Application and Within DeMinimis Test Action Options. Options include:
| ||||||
Straight Line Override | 3938 | Allows Eagle Accounting to discontinue the specified amortization/accretion method prospectively, and to apply the straight line actual (SLA) amortization method within 60, 180, or 365 days from maturity. You can select a value of 60, 180, or 365 days. The default value of this field is 0 (zero) days. This field is available only if you set Amortization/Accretion Method to a value of constant yield 1 (CY1), constant yield 2 (CY2), level yield (LY1), or level yield 2 (LY2). | ||||||
| 3939 | Specifies whether the system factors the call dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
| ||||||
| 3937 | Specifies whether the system factors the put dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
NOTE: If a security has pre-refunded information, based on a security ID, available in the Schedule table, Eagle Accounting uses the pre-refunded date and price regardless of how you recognize calls and puts in the amortization calculations, and amortizes to the pre-refunded date and price. | ||||||
| 3860 | Determines whether Eagle Accounting uses the pre-refunded date during amortization. For more information, see Understand the Recognize Pre-Refunding Option. Options include:
| ||||||
Step Bond Utilize Bifurcation Method | 3934 | Indicates whether you want to recognize the step bond as a regular variable rate bond. Options include:
| ||||||
Convertible Option - Price Method | 3858 | Indicates the price methodology to use for convertible securities during amortization. Options include:
| ||||||
Use Third Party Cash Flows | 11768 | Determines which external cash flow record to use. If the system does not find a match, it uses the values in the Amortization Method field (tag 113) and Prepayment Assumptions field (tag 4518) to drive the calculation of amortization yields. Options include:
| ||||||
Third Party Cash Flows Source Name | 1102 | Specifies the source name for the cash flow. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Vendor Cash Flow table. If the system does not find a match based on these fields, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumptions field (tag 4518) to drive the calculation of amortization yields. | ||||||
Cash Flow Type | 11760 | Specifies the prepayment model used to create the cash flow. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Vendor Cash Flow table. If the system does not find a match based on these fields, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumptions field (tag 4518) to drive the calculation of amortization yields. | ||||||
Requested Speed | 11761 | Specifies the speed type used to calculate the principal and interest cash flows. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Vendor Cash Flow table. If the system does not find a match based on these fields, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumptions field (tag 4518) to drive the calculation of amortization yields. | ||||||
Use User Defined Amortization Schedule | 9156 | Determines whether to set up a customized user defined amortization schedule for a particular lot. Options include Yes and No. Note that the default accrual method of Straight Line Amortization (SLA) for all user lot level amortization schedules was removed in V12.0. If you have a schedule requiring straight line amortization (SLA) and the amortization rule is not SLA, you must create a new SLA amortization rule for the lot level schedule. | ||||||
Prepayment Assumption | 4518 | Determines the prepayment speed and prepayment method the system uses to calculate additional principal repayment in the projection of future cash flows for mortgage backed and asset backed securities. | ||||||
Allow Amortization on Short Positions | 11484 | Determines whether to allow amortization on short positions. Options include Yes and No (Default). | ||||||
Amortization Rule Change Application | 9007 | Specifies processing for changes to the change application amortization rule's begin and end dates. The system uses this field when you create a new accretion/amortization rule to replace an existing accretion/amortization rule. Options include:
|