This section describes the Floating Rate information fields for securities. The system uses these options when you set the security's Coupon Type Code field (tag 97) to a value of X (Floating Rate) or R (inverse Floater).
For more information about floating rate securities, see Understand Variable Rate and Floating Rate Securities.
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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: 10 DAY 14 Day 28 Day 30 Day 35 Day 49 Day Annual Bi-Monthly Daily Monthly Quarterly Semi-Annual Weekly
| 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: 10_D (10 DAY) 12_M (Annual) 14_D (14 Day) 1_D (Daily) 1_M (Monthly) 28_D (28 Day) 2_M (Bi-Monthly) 30_D (30 Day) 35_D (35 Day) 3_M (Quarterly) 49_D (49 Day) 6_M (Semi-Annual) 7_D (Weekly)
| Reset | Look Back Lookback 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 Lookback Days Type | 5075 | Indicates whether the system bases the reset look back days | are 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: | Uses business days to identify reset look back days, using the Business Calendar Name 1480) to identify the security's business calendar Uses to identify reset look back days.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: - B (Business). Uses business days to identify reset look back days, using the Fixing Date Business Calendar field (tag 16407) to identify the security's fixing date business calendar.
- C (Calendar). Uses calendar days to identify reset look back days.
Fixing Date Business Calendar | 16407 | NEW FOR REVIEW: | Reset Lockout Days | 10549 | Specifies the number of days at the end of a given period for which any new, daily rates are effectively locked out. Instead, the same rate is used across the lockout period. The rate referenced is the one that was used on the business day prior to the lockout period. The system performs the count backwards from the coupon date, inclusive of the lockout effective date and exclusive of the coupon date. This field does not appear if the Observation Period Adjust Days field has a value greater than zero. | Reset Lockout Period | 18083 | Indicates how to identify the reset lockout period. This field appears if you specify a value for the Reset Lockout Days field. Options include: A (All Period). Default. The lockout period specified in the Reset Lockout Days field applies to the end of all coupon periods. L (Last Period). The lockout days only are applied to the final coupon period.
| Observation Period Adjust Days | 18086 | Specifies the actual number of days that the system should shift backwards by when setting the rate. The indices rate and the weighting of the rate in the compounding formula are determined based on the day the index rate represents in the Observation Period rather than the day of the Interest Period. This field does not appear if you specify a value for either the Reset Lookback Days or Reset Lockout Days fields. Conversely, if you define a value for the Observation Period Adjust Days field, the panel hides the Lookback and Lockout fields. | Coupon Rate Fixing Method | 18274 | Identifies the coupon rate fixing method. Options include: NORMAL (Normal). The coupon rate is determined at the beginning of each floater accrual period. RESETATEND (Reset at End). The rate is not determined until the end of the current period. If you select this value, you can choose a Final Rate Rounding Precision value and Final Rate Rounding Direction value in the Compound Information section.
| Fixing Date Business Center | 16407 | Specifies the fixing date business calendar for the security. The Earnings process uses | the 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). | Periodic CapRate Reset Change Cap (formerly 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). For more information about rate reset values, see Determine Floating Rate Resets. | Rate Reset Change Floor (formerly 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). For more information about rate reset values, see Determine Floating Rate Resets. | Rate Reset Cap (formerly 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 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). For more information about rate reset values, see Determine Floating Rate Resets. | Rate Reset Floor (formerly 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). For more information about rate reset values, see Determine Floating Rate Resets. |
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