You can use the following coupon period fields when you set up fixed income securities for use with Eagle Accounting.
Option | Tag | Description |
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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. Eagle Accounting uses the rate in the Coupon field in the earnings process for securities with a Fixed coupon type. For securities with a Variable Rate, Unscheduled Variable Rate, Step Coupon, Floating Rate, and Inverse Floating Rate Coupon types, the system does not use this field in the earnings process; it uses it for reference and reporting only. If the value of this field changes after a position exists, provided the Coupon Type is Fixed, the change affect the current and future coupon periods' earnings. Prior coupon periods' earnings are not affected by a change to this field, unless earnings are rolled backed to that period and then rolled forward, or a trade is backdated for a previous coupon period and thus, when earnings roll forward, they pick up the new value when the earnings process runs. |
Coupon Type Code | 97 | Indicates the type of coupon associated with the security. Options include:
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Day Count Basis | 471 | Specifies the number of days assumed in a month or year when interest rates are quoted. For more information, see the Fixed Income Processing Guide. |
Payment Frequency | 2287 | Specifies the frequency at which the security pays interest. Eagle Accounting provides a complete list of valid payment frequencies in the PAYMENT FREQ code category, as follows. The following values show the Payment Frequency value, along with the Payment Frequency Code value in parentheses.
For MBS/ABS securities, valid Payment Frequencies in Eagle Accounting include Monthly (1_M), Quarterly (3_M), Semi-Annual (6_M), and Annual (12_M). NOTE: The first and last coupon date must be in sync with the payment frequency of the bond. |
Payment Frequency Code | 472 | Specifies the code that represents the payment frequency. |
Business Day Convention | 1536 | Determines when a coupon should pay interest should the scheduled coupon due date occur on a non-business day. The system uses the Business Day Convention (tag 1536) in conjunction with Payment Frequency (tag 472), and it can also be used in conjunction with Day of the Month Override (tag 1533) (provided that field's value is set to Week Day of Coupon), to determine how Eagle Accounting should calculate a coupon period when the coupon end or begin date occurs on a non-business day (or when a coupon should pay if the scheduled coupon due date occurs on a non-business day). Whether or not a day is a business day is determined by the calendar for the security's Issue Country, and not the entity's calendar. The difference between adjusted and unadjusted elements of the business day payment conventions has to do with whether accruals are affected by rolling from one payment date to the next. Adjusted Business Day Conventions have their coupon periods and accruals adjusted for non-business days, and unadjusted Business Day Conventions have the actual Settlement Date of the coupon adjusted, based on business days. The valid Business Day Convention codes and the corresponding Business Day Conventions follow.
| Coupon Day of Month | 10551 | Business Calendar Name | 1480 |
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. The system uses the Day of Month Override in conjunction with the Payment Frequency (tag 472) field to calculate coupons that pay on certain business days of the month, or that pay based on a certain occurrence during the month. Eagle Accounting provides a list of valid day-of-the-month override codes in the DAY MONTH OVRD code category, as part of the installation/upgrade process. The available options follow.
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Interest Payment Timing | 1523 | Determines the coupon dates, when more than one possible set of coupon dates can be calculated. If you leave the field value null, by default Eagle Accounting uses the last day of the month for calculating coupons. For example, if the First and Last Coupon Dates of a security are the fifteenth of a month, and you entered Last Day of the Month in the Interest Payment Timing field, the Eagle Accounting earnings process recognizes that the Interest Payment Timing frequency is an invalid entry. Options include:
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Delay Days | 1799 | Specifies the number of days between the end of the accrual period and the actual receipt of the coupon and principal payment. The system uses this value in the creation of coupons, paydown transactions, and payup transactions, as well as in the Cash Flow Projections report. |
Delay Days Type | 5074 | Indicates whether the delay days are business days or calendar days. Options include:
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Coupon Delay Days | 4908 | Specifies the number of days to extend the coupon period. This field is not required for debt instruments. |
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 long term debt instruments. |
Maturity Delay Days | 3997 | Specifies the number of days to delay generation of the maturity transaction. |
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 debt instruments. |
Add Payment Frequency Examples
Eagle Accounting can support any bonds that pay on a certain number of days every coupon period and/or certain number of months every coupon period. If there is a payment frequency that Eagle Accounting does not currently have established, you can add a Code Value to the Payment Freq code category using the following format: Number of days in each coupon period, followed by an underscore and then a capital D - if the bond pays in number of Days. If the bond pays in number of Months, the code value Number of months in each coupon period, followed by an underscore and then a capital M.
Code Value for Every 84 Days Example
For example, if an entity owns a bond that pays every 84 days, you can create a Code Value of 84_D in the PAYMENT FREQ code category.
To create a code value for this example:
- In Accounting Center, in the left navigation, click Setup > Codes.
You see the Codes workspace. - Click the Search chevron to expand the Search pane.
- Select search criteria such as a Code Name of PAYMENT FREQ and a Source Name of EAGLE PACE, and then click Search.
You see a row for the for the PAYMENT FREQ code category, - Expand the row to view related code values, and confirm that you need to add a new value.
- Click Add Code Value at the end of the list of codes.
You see a new row. - Enter 84_D in the Code Value Short Description column, Every 84 Days in the Code Value Long Description column, and EAGLE PACE in the Source Name column.
Code Value for Every 5 Months Example
In this example, where an entity owns a bond that pays every 5 months, you can create a Code Value of 5_M in the PAYMENT FREQ code category. See the following figure.
Interest Payment Timing Example
A security that pays semi-annual has a First Coupon Date of 2/28/99, and a Last Coupon Date of 2/28/05.
In the Interest Payment Timing field, if you select Last Day of the Month or leave the Interest Payment Timing field null:
- Eagle Accounting generates the coupon on February 28th (February 29th in a leap year) and August 31st.
If you select Same Day of the Month in the Timing of Payment field:
- Eagle Accounting calculates the coupon to occur on February 28th and August 28th.
Day of Month Override Examples
Pay Quarterly on 4th Business Day of Month Example
For example, a security that pays quarterly, and on the 4th business day of the month, would have Payment Frequency set to Quarterly and the Day of Month Override field set to 4th Business Day (4_B). The First Coupon Date and Last Coupon Date must be in sync based on the Payment Frequency field and Day of Month Override values.
The following figure shows Issue Viewer's Long Term Debt panel. The Payment Frequency field is set to Quarterly and the Day of Month Override field is set to 4th Business Day (4_B)
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Last Coupon Date means last modal coupon date or last normal coupon date, and Business Day refers to a valid business day based upon the business calendar that is populated in the Business Calendar field (tag 1480) for the security. |
Pay 4th Thursday of Month Example
If you want to set up a security that pays on the fourth Thursday of every month, you must set the Payment Frequency field to Monthly and the Day of Month Override field to WDC (Week Day of First Coupon). Eagle Accounting then determines which day of the month is the First Coupon Date, and generates the coupon schedule from that point forward. Again, note that the First Coupon Date and Last Coupon Date must be in sync, based on the Payment Frequency field and Day of Month Override values. An example of this setup follows. The following figure shows the Issue Viewer tool's Long Term Debt panel.
Business Day Convention Example
Consider the example earlier on this page, of a security paying on the fourth Thursday of every month. In the United States, the fourth Thursday in November is the Thanksgiving Day Holiday, and is therefore a nonbusiness day. If an issuer of this security pays the coupon on the next business day, and adjusts the coupon payment based on rolling the coupon end date forward, the SMF setup would be as follows. See the following figure that shows Issue Viewer's Long Term Debt panel with a Business Day Convention field set to Following Business Day - Adjusted.
How Eagle Accounting Creates the Coupon Schedule
Eagle Accounting uses the Coupon Date and Payment Frequency fields to create the complete coupon schedule of the bond, from issuance to maturity date.
Create the First Coupon Period
Eagle Accounting calculates the cash flow from the Settlement Date of the trade, to create the expected cash flow for the calculation of amortization yield, trade yield, generation of future cash flows, and for accrual processing. Eagle Accounting uses the period from Dated Date to First Coupon Date to create the first coupon period, because the first coupon period of a security can be a long-length coupon period, a short coupon period, or a normal length coupon period.
- A Long Length Coupon Period is a coupon period that contains more accrual days than would normally occur, based on the payment frequency of the bond.
- A Short Length Coupon Period is a coupon period that contains less accrual days than would normally occur, based on the payment frequency of the bond.
Create the Second to Penultimate Coupon Period
Eagle Accounting then uses the First Coupon Date, Payment Frequency, Interest Payment Timing, Day of Month Override, Business Day convention and Last Coupon Date to create the second to penultimate (penultimate means 2nd to last) coupon period. Last Coupon Date stands for last modal coupon date or last normal coupon date. In most cases the Last Coupon Date field should be sent to the penultimate coupon because the Last Coupon Date can have a short, normal, or long coupon period.
Create the Last Coupon Period
Eagle Accounting then calculates from the Last Coupon Date to Maturity Date to generate the last coupon period, because the last coupon period can have a short, long, or normal coupon period. Note that you can set the Last Coupon Date to the maturity date, if the security has a last modal (normal length) coupon period. However, it is suggested that, as a norm, you set the Last Coupon Date as the penultimate coupon date, to avoid incorrectly setting up the Last Coupon Date. If the Last Coupon Date is not in sync with the values in the Payment Frequency, Interest Payment Timing, Day of Month Override, Business Day Convention, and Last Coupon Date fields, an error occurs in Eagle Accounting when the earnings process is invoked. You see an error message in Automation Center's Exceptions workspace, indicating an invalid Last Coupon Date.
To facilitate entering and validating the Last Coupon Date, Eagle Accounting provides the Calculate/Validate Last Coupon Date field and the Valid Last Normal Coupon Date field.
About Unscheduled Coupons
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Business Day Convention | 1536 | Determines when a coupon should pay interest should the scheduled coupon due date occur on a non-business day. The system uses the Business Day Convention (tag 1536) in conjunction with Payment Frequency (tag 472), and it can also be used in conjunction with Day of the Month Override (tag 1533) (provided that field's value is set to Week Day of Coupon), to determine how Eagle Accounting should calculate a coupon period when the coupon end or begin date occurs on a non-business day (or when a coupon should pay if the scheduled coupon due date occurs on a non-business day). Whether or not a day is a business day is determined by the calendar for the security's Issue Country, and not the entity's calendar. The difference between adjusted and unadjusted elements of the business day payment conventions has to do with whether accruals are affected by rolling from one payment date to the next. Adjusted Business Day Conventions have their coupon periods and accruals adjusted for non-business days, and unadjusted Business Day Conventions have the actual Settlement Date of the coupon adjusted, based on business days. The valid Business Day Convention codes and the corresponding Business Day Conventions follow.
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| Coupon Day of Month | 10551 | Specifies the day of the month in which the coupon is payable. If you select a value for Business Day Convention (tag 1536) other than None, you must specify the day of the month on which the coupon pays. You can enter a value from 1 to 31. |
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. It uses the Business Calendar in conjunction with the First Coupon Date, Last Coupon Date, Payment Frequency, Day of Month Override, Business Day Adjust, and Interest Payment Timing fields to generate the coupon schedule of a bond. |
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. The system uses the Day of Month Override in conjunction with the Payment Frequency (tag 472) field to calculate coupons that pay on certain business days of the month, or that pay based on a certain occurrence during the month. Eagle Accounting provides a list of valid day-of-the-month override codes in the DAY MONTH OVRD code category, as part of the installation/upgrade process. The available options follow.
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Interest Payment Timing | 1523 | Determines the coupon dates, when more than one possible set of coupon dates can be calculated. If you leave the field value null, by default Eagle Accounting uses the last day of the month for calculating coupons. For example, if the First and Last Coupon Dates of a security are the fifteenth of a month, and you entered Last Day of the Month in the Interest Payment Timing field, the Eagle Accounting earnings process recognizes that the Interest Payment Timing frequency is an invalid entry. Options include:
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Delay Days | 1799 | Specifies the number of days between the end of the accrual period and the actual receipt of the coupon and principal payment. The system uses this value in the creation of coupons, paydown transactions, and payup transactions, as well as in the Cash Flow Projections report. |
Delay Days Type | 5074 | Indicates whether the delay days are business days or calendar days. Options include:
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Coupon Delay Days | 4908 | Specifies the number of days to extend the coupon period. This field is not required for debt instruments. |
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 long term debt instruments. |
Maturity Delay Days | 3997 | Specifies the number of days to delay generation of the maturity transaction. |
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 debt instruments. |
Interest Payment Timing Example
A security that pays semi-annual has a First Coupon Date of 2/28/99, and a Last Coupon Date of 2/28/05.
In the Interest Payment Timing field, if you select Last Day of the Month or leave the Interest Payment Timing field null:
- Eagle Accounting generates the coupon on February 28th (February 29th in a leap year) and August 31st.
If you select Same Day of the Month in the Timing of Payment field:
- Eagle Accounting calculates the coupon to occur on February 28th and August 28th.
Day of Month Override Examples
Pay Quarterly on 4th Business Day of Month Example
For example, a security that pays quarterly, and on the 4th business day of the month, would have Payment Frequency set to Quarterly and the Day of Month Override field set to 4th Business Day (4_B). The First Coupon Date and Last Coupon Date must be in sync based on the Payment Frequency field and Day of Month Override values.
The following figure shows Issue Viewer's Long Term Debt panel. The Payment Frequency field is set to Quarterly and the Day of Month Override field is set to 4th Business Day (4_B)
| Info |
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Last Coupon Date means last modal coupon date or last normal coupon date, and Business Day refers to a valid business day based upon the business calendar that is populated in the Business Calendar field (tag 1480) for the security. |
Pay 4th Thursday of Month Example
If you want to set up a security that pays on the fourth Thursday of every month, you must set the Payment Frequency field to Monthly and the Day of Month Override field to WDC (Week Day of First Coupon). Eagle Accounting then determines which day of the month is the First Coupon Date, and generates the coupon schedule from that point forward. Again, note that the First Coupon Date and Last Coupon Date must be in sync, based on the Payment Frequency field and Day of Month Override values. An example of this setup follows. The following figure shows the Issue Viewer tool's Long Term Debt panel.
Business Day Convention Example
Consider the example earlier on this page, of a security paying on the fourth Thursday of every month. In the United States, the fourth Thursday in November is the Thanksgiving Day Holiday, and is therefore a nonbusiness day. If an issuer of this security pays the coupon on the next business day, and adjusts the coupon payment based on rolling the coupon end date forward, the SMF setup would be as follows. See the following figure that shows Issue Viewer's Long Term Debt panel with a Business Day Convention field set to Following Business Day - Adjusted.
Last Coupon Date Calculation and Validation
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