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When a floating rate security involves time sensitive or scheduled changes, you can define the earnings time periods for the scheduled changes using the SMF Earnings Time Periods panel. You can create earnings time periods for floating rate debt instruments that have a floating rate coupon type or an inverse floating rate coupon type. For example, you can create earnings time periods for securities with the following security master file (SMF) data elements that change on a scheduled date:

  • Underlying index (identified by underlying security information)
  • Index Offset
  • Day Count Basis
  • Coupon
  • Coupon Type Code
  • Payment Frequency
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The effective date for changes to a security's underlying index or index offset starts on the reset date. The effective date for changes to the day count basis, coupon, coupon type, or payment frequency starts on the coupon date. If a security has multiple changes to its index and index offset that share the same coupon period, the earning's process treats each earnings time period as a quasi coupon period. The system adds each of the quasi accrual periods together to create the coupon for the entire coupon period.

Add SMF Earnings Time Period

To add an SMF earnings time period:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click SMF Earning Time Period and Add SMF Earnings Time Period.
    You see the Add SMF Earnings Time Period panel.
  5. Complete the options on the Add SMF Earnings Time Period panel.
  6. Click Submit.

Change SMF Earnings Time Period

To change an SMF earnings time period:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click SMF Earning Time Period and Change SMF Earnings Time Period.
    You see the Change SMF Earnings Time Period panel.
  5. Change the options on the Change SMF Earnings Time Period panel.
  6. Click Submit.

Delete SMF Earnings Time Period

To delete an SMF earnings time period:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click SMF Earning Time Period and Delete SMF Earnings Time Period.
    You see the Delete SMF Earnings Time Period panel.
  5. Complete the options on the Delete SMF Earnings Time Period panel.
  6. Click Submit.

Add SMF Earnings Time Period Panel Options

The following are the options in the Add SMF Earnings Time Period panel. 

Option

Tag

Description

Lookup Security



Asset ID Type

1432

Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL.

Asset ID

14

Specifies the identification number of the primary asset ID type for the security.

Issue Name

961

Specifies the name of the security.

Pool Number


Specifies the pool reference number of the mortgage or asset backed security.

Issue Date

68

Displays the date the security was issued.

Maturity Date

38

Displays the date the final principal payment is due on the security.

Time Sensitive Indicator

11926

Identifies whether the security uses floating rate data that changes over time. You must create SMF earnings time periods for securities when this value is Yes.

SMF Earning Time Period



Begin Date

220

Specifies the first day the earnings time period becomes effective. The beginning date corresponds to either a reset date for changes to an underlying index or index offset or coupon date for all other changes.
The effective date of the earliest or initial time period entry you create must have a begin date that is equal to the earlier of the dated date or the issue date of the security. Each begin date should start one day after the end date of the preceding time period.

End Date

221

Specifies the last effective day for the earnings time period. You can leave this value blank for the last entry for a security.

Coupon

70

Specifies the rate at which the security pays 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. Options include:

  • Floating Rate. The security has fixed coupon dates and uses a variable rate that is based on an underlying index and index offset to calculate the coupon to use for earnings. You must enter the rate in the Variable Rate table.
  • Variable Rate. The security has fixed coupon dates and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. You must enter the rate in the Variable Rate table.
  • Inverse Floater. The security has fixed coupon dates and uses a variable rate whose coupon rate is calculated inversely to the underlying index to which it is attached. When you select this value, the system displays the following fields: Inverse Floater Rate, Inverse Floater Multiple, Underlying Issue Name, Underlying Asset ID, and Index Offset. You must enter the rate in the Variable Rate table.
  • Step Rate. The security has fixed coupon dates and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. You must enter the rate in the Variable Rate table. The system recognizes this option as a step bond (also called a step coupon bond, step up bond, or step down bond).
  • Fixed Rate. The security has fixed coupon dates and has a fixed coupon rate to calculate the coupon for use in earnings.
  • Unscheduled Variable Rate. The security has unscheduled payments and accrues interest based on the rate you enter in the Variable Rate table.

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 debt instrument pays interest.

Payment Frequency Code

472

Specifies the code that represents the payment frequency.

Underlying Security ID

1348

Specifies the security identifier of the underlying security.

Underlying Issue Name

1141

Specifies the issue name of the underlying security.

Underlying Security Alias

1347

Specifies the asset identifier of the underlying security.

Underlying Ticker

1349

Specifies the ticker of the underlying security.

Index Offset

215

Specifies the basis point adjustment to the underlying index, for the purpose of calculating the coupon rate of a security.
For convertible bonds, this field represents the number of shares of stock that a convertible bond can convert into per 1,000 units of a bond.