Floating Rate Information Fields
Eagle Accounting provides the following fields to support rate reset frequency for floating rate and inverse floating rate coupon type securities.
Option | Tag | Description |
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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. 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). Options include:
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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. 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). Options include:
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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. |
Reset Look Back Days Type | 5075 | Indicates whether the reset look back days are business days or 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:
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Periodic Cap | 10907 | Specifies the maximum allowed increase in a variable rate from one period to the next period. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. 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). |
Periodic Floor | 10908 | Specifies the maximum allowed decrease in a variable rate from one coupon period to the next coupon period. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. 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). |
Lifetime Cap | 10909 | Specifies the maximum coupon rate allowed during the life of the security. This field sets the limits for how much the coupon rate can move from period to period and over the life of the loan. Applies Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. 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). |
Lifetime Floor | 10910 | Specifies the minimum coupon rate allowed during the life of the security. This field sets the limits for how much the coupon rate can move from period to period and over the life of the loan. This field identifies the minimum lifetime coupon rate. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. 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). |
| Business Calendar | 1490 | 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. If the security does not have a business calendar, the security’s issue country’s calendar shows by default. As a best practice, Eagle recommends that you provide the business calendar. |
| 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. Eagle Accounting uses this value as part of the process to create rate reset schedules and uses it when a payment date is scheduled for a non-business day. |
How Eagle Accounting Uses Floating Rate Information
Eagle Accounting begins using the Dated Date Rate of the underlying index plus any applicable index offset, from the period from Dated Date to the First Rate Reset. Floating Rates and Inverse Floating Rate securities do not automatically change to a new rate when that rate becomes available (based upon the underlying security's security alias in the Variable Rate table) instead, rate changes are based on dates in the rate reset array, which are created using the first Rate Reset Date, Reset Frequency, Business Calendar, and the Business Day Convention. Note that contrary to the coupon reference data used to build the regular coupon array, there is no last rate reset date available.
Also note that the Business Calendar field is available for all securities, not just Inverse Floaters/Floating Rates and is required when you select a Business Day Convention or Day of Month Override field based on Business Day.
About Rate Reset Values
The Rate Reset array logic was created to incorporate Look Back Days, Lifetime Cap, Lifetime Floor, Periodic Cap, and Periodic Floor when setting the rate value for a given date. Note that the Period Cap and Floor values are a relative change from the last rate, while the Lifetime Cap and Floor values are an absolute cap/floor. At each new date in the array, the earnings code checks the coupon value for the following conditions:
- The new rate does not break the Period Cap/Floor rule. For example, if Previous Rate is 4% and Periodic Cap is 1, a new rate of 5.25% is not allowed, and instead the new Rate is 5%. Similarly, if Previous Rate is 4%, Periodic Floor is 1.2 and New Rate from variable rate table is 2.5%, the new Reset Rate is set at 2.8% (4% Previous Rate minus 1.2% Periodic Floor).
- The new rate does not go above or below the Lifetime Cap or Floor. For example, if the Lifetime Cap is 6% and the rate available from the Variable Rate Table is 6.2%, the New Rate is set at 6%.
- Both of the above tests must pass. For example, if Current Rate is 5, Periodic Cap value is 1, and Lifetime Cap value is 5.5. If new rate in Variable Rate Table is 5.75, the rate in the reset array is set to 5.5.
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For Floating Rate Coupon Type or Inverse Floating Rate Coupon Type securities:
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