- In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool. - Click the Add arrow.
- Point to Derivatives and click Caps & Floors.
You see the Caps & Floors panel. - Complete the options on the Caps & Floors panel.
The following fields are required to set up a cap/floor: Issue Name, Primary Asset ID Type, Primary Asset ID, Processing Security Type, Issue Country Code, Asset Currency, Issue Tax Type, Primary Exchange Code, Coupon, Coupon Type Code, Strike Rate, Day Count Basis, Payment Frequency, Issue Price, Issue Date, Dated Date, First Coupon Date, Last Coupon Date, and Maturity Date. - Click Submit.
Change Cap/Floors
Some fields are locked when there is an existing position on the security. This is because a change would impact the existing position. These fields include Asset Currency, Investment Type, Processing Security Type, Quantity Type, Price Multiplier, and Quantity Scale. Other fields are locked so they cannot be changed. See the About Locked Security Master Record Fields in Issue Viewer section for more information.
| Note |
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If you need to change a security master record, Eagle recommends canceling the security, making changes to the security master record, and rebooking the security. |
To manually change a cap/floor:
- In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool. - Enter the query parameters and click Search.
You see a list of security records that meet your selection criteria in the Query Result window. - Select the security record you want to update, click the Change arrow, and click Change Cap & Floor. Or double-click the security record.
You see the Change Cap & Floor panel. - Change the options on the Change Cap & Floor panel.
- Click Submit.
Caps & Floors Panel Options
The following are the options in the Caps & Floors panel. Note options may vary according to your selections.
Option | Tag | Description |
|---|---|---|
SRM Status Flag | ||
Release Status | 614 | Displays the release status of the Security Reference Manager (SRM) record. This field is null when adding a new security. |
Authorize Flag | 11742 | Flags records that have been authorized. |
Validation Process Flag | 4569 | Flags records that have been reviewed in the Security Reference Manager (SRM). |
Cap/Floor Identification | ||
Issue Name | 961 | Specifies the name of the security. |
Issue Description | 962 | Describes the security. |
Ticker | 13 | Specifies the system of letters used to uniquely identify the security. |
CUSIP/SEDOL Check Digit Control Flag | 2292 | Indicates whether you want to generate or validate CUSIP and SEDOL numbers. Options include:
|
Primary Asset ID Type | 1432 | Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL. |
Primary Asset ID | 14 | Specifies the primary asset identifier for the security. |
Alt Asset ID Type | 5501 | Specifies an alternate asset identifier type for the security. |
Alt Asset ID | 1795 | Specifies the alternate asset identifier for the security. |
Cap/Floor Xreference Identification | ||
CUSIP | 1952 | Specifies the Committee of Uniform Security Identification Procedure (CUSIP), a unique identification number that identifies the security issue. |
ISIN | 1955 | Specifies the International Security Identification (ISIN), a unique international identification number that identifies the security issue. |
Sedol | 1958 | Specifies the Stock Exchange Daily Official List (SEDOL) number, a unique identification number that identifies the security issue. |
Reuters | 1961 | Specifies the Reuters identification number that identifies the security issue. |
Bloomberg ID | 1964 | Specifies the Bloomberg identification number that identifies the security issue. |
SICOVM | 1967 | Specifies the SICOVM identification number that identifies the security issue. |
Valoren | 1970 | Specifies the Valoren identification number that identifies the security issue. |
Cash Matching ID | 1973 | Identifies the security issue for use in cash matching when you use cash segregation. If you set up security cross reference identifiers of CMM for use with cash matching, you can provide a Cash Matching ID for each security you plan to use in cash matching. |
INTERNAL | 1976 | Specifies the internal identification number that identifies the security issue. |
CINS | 1979 | Specifies the CINS identification number that identifies a foreign security issue. The CINS numbering system is an extension of the CUSIP numbering system. |
Xref Exchange | 1981 | Specifies the exchange where the security is traded. |
Cap/Floor Details | ||
Investment Type | 11 | Displays the type of investment you are adding. For example, OP, for options. |
Processing Security Type | 3931 | Specifies the code value that the system uses to determine the type of cap/floor you are adding. Options include:
|
Security Type | 82 | Specifies the type of security. |
Sub Security Type | 1464 | Specifies the sub security type. |
Risk Classification Type | 11584 | Specifies the risk classification type for the security. This value allows funds to disclose the primary type of underlying risk within derivatives contracts and hedging activity, such as interest rate risk, credit risk, and so on. The FAS 161 report uses this information. You can select any value defined for the RISK_TYPE code category. |
Granularity Category | 11476 | Specifies the asset's classification for ledger granularity purposes. If the security attributes available for ledger granularity account breakouts (security type, long/short indicator, Federal tax indicator, market sector description, affiliated/unaffiliated, and issue country) do not provide enough detail, you can use a granularity category to classify the asset for ledger reporting. Code values are maintained under the GRANULARITY_CAT code category. |
Cost Basis Rule Type | 2817 | Specifies the cost basis rule type for cost basis reporting. |
Quantity Type | 12 | Specifies the quantity generally accepted as a standard for exchange, such as shares and par. |
Price Multiplier | 18 | Determines what the system uses for a price. You should not change this value once a position exists. |
Quantity Scale | 19 | Calculates the ratio of units bought to units used for earnings. The default is 1, so that 1 unit of par purchased equals one unit of earnings. You should not change this value once a position exists. |
Country of Risk | 2288 | Specifies the issuer of the security's principal place of business. |
Country of Risk Code | 10536 | Specifies the code of the issuer of the security's principal place of business. |
Issue Country | 2290 | Specifies the name of the country that issued the security. |
Issue Country Code | 1418 | Specifies the code that represents the country that issued the security. |
Asset Currency | 85 | Specifies the currency in which the security is priced. You should not change this value once a position exists. |
Settlement Currency | 63 | Specifies the currency in which the security is settled. |
Income Currency | 1186 | Specifies the currency in which the security pays income. |
Issue Tax Type | 668 | Identifies the security's tax structure. It is used with global tax withholding and tax reclaim processing. NOTE: Do not select All when setting up the tax structure for a security using this panel. |
Primary Exchange | 2291 | Specifies the marketplace in which the security is traded. |
Primary Exchange Code | 17 | Specifies the code of the marketplace in which the security is traded. It is also used with global tax withholding and tax reclaim processing. |
Region | 5423 | Specifies a region. It does not necessarily mean the location of the exchange in which a security is traded. For example, suppose you have a Canadian bond that trades in the London Stock Exchange. You may want to set the region to Canada or North America. |
Cap/Floor Coupon Periods | ||
Coupon | 70 | Specifies the rate at which the security accrues interest. It is expressed as an accrual rate. A value of zero is required for zero coupon bonds. |
Coupon Type Code | 97 | Indicates the type of coupon associated with the security. For more information, see Set Up Securities for Caps and Floors. Options include:
|
Strike Rate | 11850 | Determines the rate at which you can exercise against the cap/floor. This value stores the ceiling rate for cap contracts and stores the floor rate for floor contracts. If you set up the security with a Floating Rate or Inverse Floating Rate coupon type, Eagle Accounting uses the value in the Strike Rate field along with the rate of the underlying security on the reset date to determine at what rate the contract accrues interest. If the coupon type on the cap/floor contract is not Floating or Inverse Floating, the Strike Rate field is for reference only. |
Day Count Basis | 471 | Specifies the number of days assumed in a month or year when interest rates are quoted. |
Payment Frequency | 2287 | Specifies the frequency at which the security pays interest. |
Payment Frequency Code | 472 | Specifies the code that represents the payment frequency. |
Business Day Convention | 1536 | Used with the payment frequency value to determine when a coupon should pay interest should the scheduled coupon due date occur on a non business day. |
Business Calendar Name | 1480 | Specifies the business calendar for the security. The system uses the value to identify business days and non business days for the purposes of determining the coupon payment date and coupon payment schedules. |
Day of Month Override | 1533 | Identifies the day of the month or business day of the month on which the security is to pay income. This is based on the business calendar. |
Interest Payment Timing | 1523 | Specifies the day of the month in which interest is paid. Options include:
|
Delay Days | 1799 | Specifies the number of days based upon between the day count end of the security, from the end accrual period and the actual receipt of the coupon period date, until the security pays incomeand principal payment. The system uses this value to calculate the contractual settlement date and actual settlement date for coupons, pay downs, and pay up paymentsin the creation of coupons, paydown transactions, and payup transactions, as well as in the Cash Flow Projections report. Utilizes the Day Count Basis (tag 471) value to determine the actual receipts and settlements of the paydown and payup transactions. |
Delay Days Type | 5074 | Indicates whether the delay days are business days or calendar days. Options include:
|
Coupon Delay Days | 4908 | Specifies the number of days to extend the coupon period. This field is not required for a cap/floor. |
Coupon Delay Days Type | 3999 | Specifies whether the coupon delay days are business days or calendar days. Options include:
This field is not required for a cap/floor. |
Maturity Delay Days | 3997 | Specifies the number of days to delay generation of the maturity transaction. This field is not required for a cap/floor. |
Maturity Delay Days Type | 3998 | Specifies whether the maturity delay days are business days or calendar days. Options include:
This field is not required for a cap/floor. |
Cap/Floor Dates | ||
Issue Price | 69 | Specifies the original issue price of the security. |
Issue Date | 68 | Specifies the first day the security can be traded. |
Dated Date | 1183 | Specifies the date the cap/floor first begins to accrue interest. |
First Coupon Date | 473 | Specifies the date of the first coupon payment. |
Last Coupon Date | 474 | Specifies the date of the last normal length coupon period. Eagle recommends that you enter penultimate. |
Maturity Date | 38 | Specifies the date that the security repays all outstanding principal and stops earning interest. |
Maturity Price | 42 | Specifies the price at which the security returns principal. The Maturity Price defaults to 0 because both cap and floor contracts are interest-only and there is no repayment of principal. |
Variable Rate Next Reset Date | 3006 | Specifies the date of the next rate reset for a security with a variable rate coupon type. |
Cap/Floor Flags | ||
Trading Flat | 3949 | Indicates whether the security is trading with or without interest. As a general rule, cap and floor contracts trade without interest (trades flat). Therefore this field has a default value of Yes. In the event that a contract does trade with interest, you can change the value to No. Options include:
|
OID Indicator | 218 | Indicates whether the security is OID (original issue discount) eligible. For caps/floors, because the Maturity Price (tag 42) of a cap/floor defaults to 0; the OID Indicator is set to No. Options include:
This field is not required for a cap/floor. |
Rate Reset Flag | 4589 | Specifies the rate reset type. This field is not required for a cap/floor. |
2a7 Flag | 11811 | Specifies 2a7 WAM processing. Options include:
This field is not required for a cap/floor. |
Inactive Flag | 11043 | Indicates whether the security is inactive. Options include:
NOTE: If this field is set to Yes, no trades are allowed. |
Restricted Flag | 1139 | Indicates any trade restrictions on the security. Options include:
|
Look Thru Value | 1808 | Specifies the underlying security. |
Look Thru Ind | 1776 | Used to view exposure to the underlying security, index, or portfolio. |
Floating Rate Information | ||
First Rate Reset Date | 10911 | Specifies the first calendar date that the rate resets from the dated date of the security. The system uses the First Rate Reset Date field, along with Reset Frequency Code, Business Calendar, and Business Day Convention field values to create the floating rate reset schedule of the security. This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Frequency | 476 | Specifies the frequency at which the security resets its rate, beginning from the date defined in the First Rate Reset Date field. Options include:
This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Frequency Code | 1788 | Specifies the code associated with the frequency at which the security resets its rate beginning from the date defined in the First Rate Reset Date field. Options include:
This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Look Back Days | 10547 | Specifies the actual number of days to look back when setting the rate on the reset date. Floating Rate type securities can use a past rate on the specified reset date. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Look Back Days Type | 5075 | Indicates whether the system bases the reset look back days on valid business days or actual calendar days. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). Options include:
|
| Fixing Date Business Center | 16407 | Specifies the fixing date business calendar for the security. The Earnings process uses this business calendar you select to identify business days and non business days for the purposes of determining the fixing date for floating rate and inverse floating rate coupon date. The fixing date is the date on which a rate/price is selected for use on the reset date. If you do not select a value, the Earnings process uses the business calendar selected in the Business Calendar Name field (tag 1480) to determine the fixing date. This option allows you to specify separate calendars when a security uses one calendar for dropping coupons and a different calendar for resetting the floating rate. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). |
Issuer Information | ||
Issuer ID Name | 2285 | Specifies the name of the company or municipality that offered the security for sale. |
Issuer ID | 1413 | Specifies the identifier of the company or municipality that offered the security for sale. |
Country of Incorporation Code | 1174 | Specifies the ISO country code of the country in which the issuer of the security was incorporated. |
Issuer Industry | 1417 | Specifies the industry of the issuer. |
Legal Entity Identifier (LEI) | 5089 | Displays the Legal Entity Identifier (LEI) that identifies the issuer as a financial party. If an LEI value is present, the Legal Entity Identifier Details section appears. |
Legal Entity Identifier Details | ||
Legal Name | 5090 | Displays the legal name of the issuer as the financial party registered with the LEI. |
Entity Status | 5091 | Displays the status of the issuer. For example, ACTIVE and INACTIVE. |
Legal Form | 5092 | Displays the legal form of the issuer as financial party registered with the LEI. For example, CORPORATION. |
Assigned Date | 5093 | Displays the date when the issuer's LEI was assigned. |
Last Update Date | 5094 | Displays the date when the issuer's LEI information was last updated. |
Disabled Date | 5095 | Displays the date when the issuer's LEI information was disabled. |
Record State | 5096 | Displays the record state for the issuer's LEI. The record state indicates the current process status of the CFTC Interim Compliant Identifier (CICI) record. For example, UNDER_REVIEW, DUPLICATE, CONFLICTING_SOURCES, INADEQUATE_SOURCES, VALIDATED, PENDING_REMOVAL. |
Certification State | 5097 | Displays the certification state used to register the issuer's LEI. For example, CERTIFIED, NOT_CERTIFIED, STALE. |
Street | 5098 | Displays the street address used to register the issuer's LEI. |
City | 5099 | Displays the city used to register the issuer's LEI. |
State | 5100 | Displays the state code used to register the issuer's LEI. |
Zip | 5180 | Displays the ZIP code used to register the issuer's LEI. |
Country Code | 5181 | Displays the country code used to register the issuer's LEI. |