To set up an ILB security master file record, you must first add the underlying index security used to measure the inflation component of the security.
To add the underlying index:
You see the Issue Viewer tool.
You see the Index panel.
The following fields are required: Index Name, Index Description, Ticker, Primary Asset ID Type, Primary Asset ID, Processing Security Type, and Asset Currency.
Add ILB Securities
After adding the underlying index, add the ILB security using the Add Long Term
Debt panel. The underlying index security information is stored with the Underlying Information group of fields on the Add Long Term Debt panel.
To add the ILB security:
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 Fixed Income
and click Long Term Debt.
You see the Long Term Debt panel.Complete the options on the Long Term Debt panel.
The system uses the value in the Processing Security Type field on the Long Term Debt panel to identify the type of long term debt instrument you are adding. To add an ILB security, select DBFLTP (Inflation Linked Debt Security). Additionally, select Fixed from the Coupon Type Code drop down list. The coupon rate does not change through the life of an ILB security.
When you select DBFLTP, the system displays additional fields that allow you to enter the underlying index information. Add the underlying index security information in the Underlying Security ID, Underlying Issue Name, Underlying Type, Dated Date CPI, ILB Index Precision, ILB Deflation Protected Maturity, and ILB Calculation Type fields. Eagle supports different inflationary income calculation methods for ILBs, as specified in the ILB Calculation Type field. The dynamic lookup for this field returns all values in the ILB CALC TYPE code category.
Add Monthly CPI Index Rates
The monthly index values that are used to measure inflation are stored as variable rate records for the index security in the Variable Rates table, not for the ILB security. The values are three-month trailing values for the CPI index. That is, the processing of an ILB security for the month of May uses the CPI-U data available in February. The system calculates the daily CPI index rates based on the monthly values stored in the Variable Rate table. In the system, only the CPI rate for the first day of each month is needed to perform this calculation. You should not enter the intermediate daily CPI rates because doing so can cause incorrect calculations. Use the List Variable Rates panel to view the CPI rates entered in the table. See the Manage Variable Rates page for more information. The calculated daily CPI rates are also available for review in the income table and cost object. Note the source for the CPI-U rates should match the source on the entity record for the security that holds the ILB bond. If the sources do not match, the system cannot calculate the ILB index ratio.
To add the monthly CPI index rates:
You see the Issue Viewer tool.
You see the Add Variable Rate panel.
This value should be the day of the month that corresponds to the rate. For example, if you were updating the rate for the CPI-U for May, the effective date would be 5/1.
Click Submit.
Long Term Debt Panel - ILB Options
The following are the key options for an ILB security. See the Long Term Debt Panel Options page for more information about the Long Term Debt panel. Note options may vary according to your selections.
Option | Tag | Description |
---|---|---|
Long Term Debt Details | ||
Investment Type | 11 | Displays the investment type, such as FI (fixed income). |
Processing Security Type | 3931 | Specifies the code value that the system uses to identify the type of long term debt instrument you are adding. An inflation linked bond must be set up with a processing security type of DBFLTP (Inflation Linked Debt Instrument). The system requires that you populate the underlying index with the index that the security marks to market for inflation, and also requires a dated date CPI (consumer price index) as part of the security master record setup. |
Long Term Debt 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. Options include:
|
Underlying Information | ||
Underlying Security ID | 1348 | Specifies the underlying index that an inflation bond security measures inflationary adjustments against. |
Underlying Issue Name | 1141 | Specifies the name of the underlying index that an inflation bond security measures inflationary adjustments against. |
Underlying Ticker | 1349 | Specifies the ticker of the underlying index. |
Underlying Type | 916 | Specifies the type of underlying index. Options include:
|
Dated Date CPI | 1550 | Specifies the value of the index that is used to measure inflation of an inflation bond security, as of the dated date of the security. It is used as a base line to measure inflation adjustment to the bond. |
ILB Calculation Type | 11808 | Identifies |
which calculation method to use when calculating the |
Daily CPI and the |
Daily ILB |
Index Ratio. The dynamic lookup for this field returns all values in the ILB CALC TYPE code category. |
Eagle Accounting provides a complete list of code value ILB calculation types as part of the install/upgrade process. Options include:
| ||
ILB Index Precision | 11017 | Determines the decimal precision calculation of the ILB index ratio. The system supports a calculation of 12 places to the right of the decimal. |
ILB Deflation Protected Maturity | 11809 | Determines if the security has the initial principal investment protected at the time of maturity. Options include:
|
ILB Min Index Ratio | 3854 | Specifies the guaranteed minimum ILB index ratio at maturity. |
ILB Calculation Type Code Values
The following table displays the valid options for the ILB Calculation Type field.
Code Value
Code Name
30E_3M
Sweden
30_1M
Iceland
ACT_3J
Japan
ACT_3M
United States and Canada
ACT_4M
South Africa
AVG_6M
New Zealand (average CPI values)
AVG_GT1_6M
Australia (average change)
IDX_6M
New Zealand (actual CPI values)
IDX_GT1_6M
Australia (actual CPI values)
NONE_8M
United Kingdom Index-Linked Gilts
RATIOS
User Provided
RATIOS_SD