For amortizing securities that are backed by loans and have a schedule of principal repayments, borrowers usually have the option of paying off all or part of their loan prior to the scheduled date. Any principal repayment prior to the scheduled date is called a prepayment. You can add prepayment time series information in the system. See the Manage Prepayment Time Series Information in Issue Viewer page for more information.
About Lottery Bonds
In the Mortgage Backed Security panel, you can manually add an MBS lottery bond. A lottery bond is a mortgage backed security that repays the principal of a security to investors based on a lottery selection.
The system uses the value in the Processing Security Type field on the Mortgage Backed Security panel to identify the type of mortgage backed security you are adding. To add an MBS lottery bond, select DBFBFB (Factor Based Debt Instrument) from the Processing Security Type drop down list, and select Yes from the Lottery Flag drop down list.
The system automatically sets the factor in the trade panel to a factor of 1, allows you to establish a call corporate action record, processes the call transaction for the repayment of principal to the individual, and uses a factor of 1 for retrospective amortization for the period that amortization is to be calculated historically.
About CARs/CARDs
In the Mortgage Backed Security panel, you can manually add asset backed securities (ABS). While technically mortgage backed securities are asset backed securities, in the United States there is a separation between the two. ABS are securities backed by a pool of loans or receivables. Some of the largest sectors of the ABS market include credit card receivables, auto loans, home equity loans, manufactured housing loans, high yield bonds, and bank loans.
The system allows you to manually add the following ABS securities using the Mortgage Backed Security panel:
Certificates for Automotive Receivables (CARs)
Certificates of Amortizing Revolving Debt (CARDs)
The system uses the value in the Processing Security Type field on the Mortgage Backed Security panel to identify the type of asset backed security you are adding. To add a Certificate for Automotive Receivables (CAR), select DBFBAL (Factor Based Debt Instrument Auto Loan) from the Processing Security Type drop down list. To add a Certificate of Amortizing Revolving Debt (CARD), select DBFBCC (Factor Based Debt Instrument Credit Card) from the Processing Security Type drop down list.
About TBAs
In the Mortgage Backed Security panel, you can manually add a TBA security. A TBA is an underlying contract on a mortgage backed security to buy or sell a mortgage backed security which will be delivered at an agreed-upon date in the future. The name comes from the fact that the number of pools or precise amount to be delivered is still unknown. The system allows you to book TBAs and process allocations to the underlying pools once they are known.
The system uses the value in the Processing Security Type field on the Mortgage Backed Security panel to identify the type of MBS security you are adding. To add a TBA security, select DBTATA (TBA Security) from the Processing Security Type drop down list.
About CMOs
In the Mortgage Backed Security panel, you can manually add a collateralized mortgage obligation (CMO). CMOs are designed to redistribute the cash flows (interest and principal) of mortgage related products to different bond classes. Redirecting the cash flows to different bond classes, called tranches, mitigates different forms of prepayment risk. CMOs are also referred to as REMICs (Real Estate Mortgage Investment Conduit).
The system uses the value in the Processing Security Type field on the Mortgage Backed Security panel to identify the type of MBS security you are adding. To add a CMO, select DBFBFB (Factor Based Debt Instrument) from the Processing Security Type drop down list and enter a value for the CMO First Principal Repayment Date field.
About IOs/POs
In the Mortgage Backed Security panel, you can manually add stripped mortgage backed securities, including interest only (IO) mortgage strips and principal only (PO) mortgage strips. Strip stands for Separate Trading of Registered Interest and Principal of Securities.
An IO mortgage strip is a type of stripped MBS security that has no par value. In contrast to the PO investor, the IO investor wants prepayments to be slow because the IO investor receives interest only on the dollar amount of the principal outstanding. When prepayments are made, less dollar interest will be received as the outstanding principal declines.
A PO mortgage strip is a type of stripped MBS security that is purchased at a substantial discount from par value. The return an investor receives depends on the speed at which prepayments are made. The faster the prepayments, the higher the investor's return.
The system uses the value in the Processing Security Type field on the Mortgage Backed Security panel to identify the type of mortgage backed security you are adding.
To add an IO mortgage strip, select DBFBIO (Interest Only Factor Based Debt Instrument) from the Processing Security Type drop down list and select IO (Interest Only) from the IO/PO Flag drop down list.
To add a PO mortgage strip, select DBFBPO (Principal Only Factor Based Debt Instrument) from the Processing Security Type drop down list and select PO (Principal Only) from the IO/PO Flag drop down list. Additionally, you must select Fixed Rate from the Coupon Type Code drop down list.
About TRAINS
In the Mortgage Backed Security panel, you can manually add a TRAIN security. A TRAIN is an investment trust product comprised of high-yield debt securities. Each certificate holder of the TRAIN is a beneficial owner of a fractional undivided interest in the trust. The TRAIN is a speculative investment, as the expected rating of the certificates is indicative of the non-investment credit standing and high credit risk of the underlying securities in the trust. The TRAIN is treated as a single bond security with an assigned CUSIP and is classified as a restricted security (rule 144a applies) available only to qualified investors.
The system uses the value in the Processing Security Type field on the Mortgage Backed Security panel to identify the type of MBS security you are adding. To add a TRAIN security, select DBIBTR (TRAINS) from the Processing Security Type drop down list.
The Coupon Type Code field has a value of Unscheduled Variable Rate (V) and is read-only. The Payment Frequency Code field has a value of 12-M (Annual) and is hidden and read-only. The Delay Days field is also hidden. The Last Coupon Date field displays the value of the Maturity Date.
About Default Bonds
A default bond is a bond in which the issuer has defaulted on the debt obligations and has filed for protection under Chapter 11 of the U.S. Bankruptcy Code. The system uses the value in the Default Indicator field to identify a default bond. To add a default bond, select Yes from the Default Indicator drop down list. The system does not process the maturity transaction of the bond at the time of maturity. Specify the date on which the bond went into default in the Default Date field. For more information, see Understand Default Bonds.
Add Mortgage Backed Securities
To manually add a mortgage backed 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 Mortgage Backed Security.
You see the Mortgage Backed Security panel.Complete the options on the Mortgage Backed Security panel.
Click Submit.
Change Mortgage Backed Securities
Some fields are locked when there is an existing position on the security. This is because a change would impact the existing position. These fields include Asset Currency, Investment Type, Processing Security Type, Quantity Type, Price Multiplier, and Quantity Scale. Other fields are locked so they cannot be changed. See the About Locked Security Master Record Fields section for more information.
If you need to change a security master record, Eagle recommends canceling the security, making changes to the security master record, and rebooking the security.
To manually change a mortgage backed security:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.Enter the query parameters and click Search.
You see a list of security records that meet your selection criteria in the Query Result window.Select the security record you want to update, click the Change arrow, and click Change Mortgage Backed Security. Or double-click the security record.
You see the Change Mortgage Backed Security panel.Complete the options on the Change Mortgage Backed Security panel.
Click Submit.
Mortgage Backed Security Panel Options
The following are the options in the Mortgage Backed Security panel. Note options may vary according to your selections.
Option | Tag | Description |
|---|---|---|
SRM Status Flag | ||
Release Status | 614 | Displays the release status of the Security Reference Manager (SRM) record. This field is null when adding a new security. |
Authorize Flag | 11742 | Flags records that have been authorized. |
Validation Process Flag | 4569 | Flags records that have been reviewed in the Security Reference Manager (SRM). |
Security Identification | ||
Issue Name | 961 | Specifies the name of the security. |
Issue Description | 962 | Describes the security. |
Ticker | 13 | Specifies the system of letters used to uniquely identify the security. |
CUSIP/SEDOL Check Digit Control Flag | 2292 | Indicates whether you want to generate or validate CUSIP and SEDOL numbers. Options include:
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Primary Asset ID Type | 1432 | Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL. |
Primary Asset ID | 14 | Specifies the primary asset identifier for the security. |
Alt Asset ID Type | 5501 | Specifies an alternate asset identifier type for the security. |
Alt Asset ID | 1795 | Specifies the alternate asset identifier for the security. |
Security Xreference Identification | ||
CUSIP | 1952 | Specifies the Committee of Uniform Security Identification Procedure (CUSIP), a unique identification number that identifies the security issue. |
ISIN | 1955 | Specifies the International Security Identification (ISIN), a unique international identification number that identifies the security issue. |
Sedol | 1958 | Specifies the Stock Exchange Daily Official List (SEDOL) number, a unique identification number that identifies the security issue. |
Reuters | 1961 | Specifies the Reuters identification number that identifies the security issue. |
Bloomberg ID | 1964 | Specifies the Bloomberg identification number that identifies the security issue. |
SICOVM | 1967 | Specifies the SICOVM identification number that identifies the security issue. |
Valoren | 1970 | Specifies the Valoren identification number that identifies the security issue. |
Cash Matching ID | 1973 | Identifies the security issue for use in cash matching when you use cash segregation. If you set up security cross reference identifiers of CMM for use with cash matching, you can provide a Cash Matching ID for each security you plan to use in cash matching. |
INTERNAL | 1976 | Specifies the internal identification number that identifies the security issue. |
CINS | 1979 | Specifies the CINS identification number that identifies a foreign security issue. The CINS numbering system is an extension of the CUSIP numbering system. |
Xref Exchange | 1981 | Specifies the exchange where the security is traded. |
Security Details | ||
Investment Type | 11 | Specifies the investment type. For example, FI (fixed income). |
Processing Security Type | 3931 | Specifies the code value that the system uses to identify the type of mortgage backed security you are adding. Options include:
NOTE: Positions for interest only mortgage backed securities (DBFBIO) are created with a cost method value of Identified, regardless of the value you set for the Cost Method field on the Create/Edit Entity or Create Master Fund panels. |
Security Type | 82 | Specifies the type of security. |
Sub Security Type | 1464 | Specifies the sub security type. |
Granularity Category | 11476 | Specifies the asset's classification for ledger granularity purposes. If the security attributes available for ledger granularity account breakouts (security type, long/short indicator, Federal tax indicator, market sector description, affiliated/unaffiliated, and issue country) do not provide enough detail, you can use a granularity category to classify the asset for ledger reporting. Code values are maintained under the GRANULARITY_CAT code category. |
Cost Basis Rule Type | 2817 | Specifies the cost basis rule type for cost basis reporting. |
Quantity Type | 12 | Specifies the quantity generally accepted as a standard for exchanges, such as shares and par. The system uses par as a default. |
Price Multiplier | 18 | Determines the price. The system defaults to a price of 1.00. You should not change this value once a position exists. |
Quantity Scale | 19 | Calculates the ratio of units bought to units used for earnings. The default is 1, so that 1 unit of par purchased equals one unit of earnings. You should not change this value once a position exists. |
Country of Risk | 2288 | Specifies the issuer of the security's principal place of business. |
Country of Risk Code | 10536 | Specifies the code of the issuer of the security's principal place of business. |
Issue Country | 2290 | Specifies the name of the country that issued the security. |
Issue Country Code | 1418 | Specifies the identification number that represents the country that issued the security. |
Asset Currency | 85 | Specifies the currency in which the security is priced. |
Settlement Currency | 63 | Specifies the currency in which the security is settled. |
Income Currency | 1186 | Specifies the currency in which the security pays income. |
Issue Tax Type | 668 | Identifies the security's tax structure. It is used with global tax withholding and tax reclaim processing. NOTE: Do not select All when setting up the tax structure for a security using this panel. |
Primary Exchange | 2291 | Specifies the marketplace in which the security is traded. |
Primary Exchange Code | 17 | Specifies the code of the marketplace in which the security is traded. It is also used with global tax withholding and tax reclaim processing. |
Region | 5423 | Specifies a region. It does not necessarily mean the location of the exchange in which a security is traded. For example, suppose you have a Canadian bond that trades in the London Stock Exchange. You may want to set the region to Canada or North America. |
State Code | 1343 | Specifies the state in which the security is issued. |
Amount Issued | 1537 | Specifies the amount of par original that has been issued by the issuer. |
Amount Outstanding | 1543 | Specifies the amount of par that has not been retired by the issuer. |
Collateral Pool Type | 1209 | Specifies the type of collateral assigned for the security. |
SIC Code | 1789 | Specifies the Standard Industry Classification (SIC) code used to categorize and uniquely identify business activities. |
Pool Number | 1439 | Specifies the pool reference number. |
Amortization Accretion Rule Type | 12008 | Specifies the amortization/accretion rule type. |
GL Product Code | 11094 | Specifies the GL product code. |
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:
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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 About Day Count Basis. |
Payment Frequency | 2287 | Specifies the frequency at which the security pays interest. The system supports monthly, quarterly, semi-annual, and annual payment frequencies for MBS/ABS securities. |
Payment Frequency Code | 472 | Specifies the code that represents the payment frequency. |
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. |
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. |
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. |
Interest Payment Timing | 1523 | Specifies the day of the month in which interest is paid. 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. Utilizes the Day Count Basis (tag 471) value to determine the actual receipts and settlements of the paydown and payup transactions. |
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. |
Coupon Delay Days Type | 3999 | Indicates whether the coupon delay days are business days or calendar days. Options include:
This field is not required for MBS/ABS securities. |
Maturity Delay Days | 3997 | Specifies the number of days to delay generation of the maturity transaction. This field is not required for MBS/ABS securities. |
Maturity Delay Days Type | 3998 | Indicates whether the maturity delay days are business days or calendar days. Options include:
This field is not required for MBS/ABS securities. |
Ex-Interest Days | 3941 | Specifies the number of calendar days prior to the coupon date that Eagle Accounting uses to identify the ex-date for this fixed income security. If an Ex Interest schedule is available for the security, the system uses the schedule values rather than this security-level field to identify the ex-date. Ex interest processing does not apply to cleared swaps and to securities trading flat. For more information, see About Ex Interest Processing. |
Dates | ||
Issue Price | 69 | Specifies the original price of the security. |
Issue Date | 68 | Specifies the original date of issue. The system uses this date to calculate the adjusted issue price for OID (original issue discount) amortization. If the instrument is OID eligible and it has a variable rate or floating rate, the rate must exist as of the issue date, so that STAR can calculate the adjusted issue price. |
Dated Date | 1183 | Specifies the date the security first begins to accrue interest. |
First Coupon Date | 473 | Specifies the date of the first coupon payment. The First Coupon Date, Last Coupon Date, and Payment Frequency fields are used to create a coupon schedule for the security, from issuance to maturity date. The coupon schedule consists of three coupon periods. The system uses the First Coupon Date, Payment Frequency, Timing of Payment, Day of Month Override, Business Day Convention, and Last Coupon Date fields in the earnings process to calculate the second coupon period (also referred to as the second to last period or penultimate). The system uses the Last Coupon Date and the Maturity Date fields in the earnings process to calculate the last coupon period. The last coupon period can be a long length coupon period, a short coupon period, or a normal length coupon period. |
Last Coupon Date | 474 | Specifies the date of the last normal length coupon period. Eagle recommends that you enter penultimate. |
Maturity Date | 38 | Specifies the date that the security repays all outstanding principal and stops earning interest. In the case of MBS/ABS securities, the value in the Maturity Date field should not include Delay Days. |
Maturity Price | 42 | Specifies the price at which the security returns principal. |
CMO First Principal Repayment Date | 1587 | Calculates cash flows for creating an amortization yield. This field is used when the security does not expect to repay scheduled and unscheduled principal for a certain period of time. If this field is populated, the system ignores the prepayment assumption calculation of unscheduled principal repayment. It also ignores calculating schedule principal repayment, and only calculates interest cash flow, until the date entered for this field. The system then applies scheduled and unscheduled principal payment and related interest cash flows. |
Variable Rate Next Reset Date | 3006 | Specifies the date of the next rate reset for a security with a variable rate coupon type. |
Flags | ||
Trading Flat | 3949 | Indicates whether the security is trading with or without interest. Options include:
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OID Indicator | 218 | Indicates whether the security is OID (original issue discount) eligible. The system does not support OID amortization processing for MBS/ABS securities; therefore, the OID Indicator is set to No. This field is not required for MBS/ABS securities. |
Zero Coupon Indicator | 1300 | Indicates if a zero in the Coupon field represents a zero coupon bond. Options include:
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Federal Tax Indicator | 1545 | Indicates whether the security has a U.S. Federal Tax Indicator. It is used in the SEC Yield calculation. Options include:
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Default Indicator | 1551 | Indicates whether a bond is in default. Options include:
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Default Date | 10142 | Specifies the date on which the security went into default. |
Lottery Flag | 11303 | Indicates whether the security is an MBS lottery bond. Options include:
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IO/PO Flag | 10143 | Identifies interest only (IO) and principal only (PO) mortgage strip securities. Options include:
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Restricted Flag | 1139 | Indicates any trade restrictions on the security. Options include:
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Refund Indicator | 3132 | Indicates whether the security is eligible for pre-refunding, an entire issue call, or a mandatory put. Options include:
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Inactive Flag | 11043 | Indicates whether the security is inactive. Options include:
NOTE: If this field is set to Yes, no trades are allowed. |
Eusd Eligible | 11529 | Indicates whether the security is eligible for the tax equalization process. Options include:
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Financial Innovation | 11530 | Indicates whether the security is eligible for the financial innovation process. Options include:
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Govt Bond Flag | 10347 | Indicates whether the security is a government bond. Options include:
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2a7 Flag | 11811 | Specifies 2a7 WAM processing. Options include:
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Time Sensitive Indicator | 11926 | Specifies whether the security uses floating rate data that changes over time if you set the Coupon Type field to Floating Rate. Options include:
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Synthetic Eligible | 12024 | Indicates whether the security is synthetic eligible. Options include:
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144A Eligible Indicator | 1301 | Indicates whether the security is 144A eligible. Options include:
This field applies to debt instruments and is used for reference only. |
Look Thru Value | 1808 | Specifies the underlying security. |
Look Thru Ind | 1776 | Used to view exposure to the underlying security, index, or portfolio. |
SVO Category | 5856 | Specifies the Securities Valuation Office category for the security. |
SVO Subcategory | 5858 | Specifies the Securities Valuation Office subcategory for the security. |
RMBS Eligible | 5891 | Indicates whether the security is a residential mortgage backed security (RMBS). Options include:
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Floating Rate Information | ||
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. Options include:
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 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. Options include:
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 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 Lookback Days Type | 5075 | Indicates whether the system bases the reset look back days 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:
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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:
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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:
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Fixing Date Business Center | 16407 | Specifies the fixing date business calendar for the security. The Earnings process uses 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). |
Rate Reset Change Cap | 10907 | Specifies the maximum allowed increase in a variable rate from one period to the next. |
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 | 10908 | Specifies the maximum allowed decrease in a variable rate from one period to the next. |
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 | 10909 | Specifies the maximum coupon rate allowed during the life of the security. |
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 | 10910 | Specifies the minimum coupon rate allowed during the life of the security. |
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. | ||
Compound Information | ||
Compounding Indicator | 11875 | Specifies whether the security compounds unpaid interest. Options include Yes or No. If you set this value to Yes, the remaining Compounding Information field values are required. |
Compounding Method | 11876 | Identifies the method used for compounding interest. Options include:
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Compounding Frequency | 11877 | Specifies the frequency at which the security compounds interest. |
First Compounding Date | 11878 | Specifies the first date on which the compounding begins for the security. |
Last Compounding Date | 11879 | Specifies the end date when interest compounding ceases for the security. |
Final Rate Rounding Precision | 18276 | Specifies the rounding precision for the compounded rate of return on each security. This field appears if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater) and you set the Coupon Rate Fixing Method field to Reset At End. Options include:
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Final Rate Rounding Direction | 12403 | Specifies the direction of rounding for fractional numbers based on the Final Rate Rounding Precision value. This field appears if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater) and you set the Coupon Rate Fixing Method field to Reset At End. Options include:
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Issuer Information | ||
Credit Enhancement | 1532 | Indicates whether the security is credit enhanced. Options include:
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Issuer ID Name | 2285 | Specifies the name of the issuer. |
Issuer ID | 1413 | Specifies the identifier of the company or municipality that offered the securities for sale. |
Country of Incorporation Code | 1174 | Specifies the ISO country code in which the issuer of the security was incorporated. |
Issuer Industry | 1417 | Specifies the industry of the issuer. |
Legal Entity Identifier (LEI) | 5089 | Displays the Legal Entity Identifier (LEI) that identifies the issuer as a financial party. If an LEI value is present, the Legal Entity Identifier Details section appears. |
Legal Entity Identifier Details | ||
Legal Name | 5090 | Displays the legal name of the issuer as the financial party registered with the LEI. |
Entity Status | 5091 | Displays the status of the issuer. For example, ACTIVE and INACTIVE. |
Legal Form | 5092 | Displays the legal form of the issuer as financial party registered with the LEI. For example, CORPORATION. |
Assigned Date | 5093 | Displays the date when the issuer's LEI was assigned. |
Last Update Date | 5094 | Displays the date when the issuer's LEI information was last updated. |
Disabled Date | 5095 | Displays the date when the issuer's LEI information was disabled. |
Record State | 5096 | Displays the record state for the issuer's LEI. The record state indicates the current process status of the CFTC Interim Compliant Identifier (CICI) record. For example, UNDER_REVIEW, DUPLICATE, CONFLICTING_SOURCES, INADEQUATE_SOURCES, VALIDATED, PENDING_REMOVAL. |
Certification State | 5097 | Displays the certification state used to register the issuer's LEI. For example, CERTIFIED, NOT_CERTIFIED, STALE. |
Street | 5098 | Displays the street address used to register the issuer's LEI. |
City | 5099 | Displays the city used to register the issuer's LEI. |
State | 5100 | Displays the state code used to register the issuer's LEI. |
Zip | 5180 | Displays the ZIP code used to register the issuer's LEI. |
Country Code | 5181 | Displays the country code used to register the issuer's LEI. |
Interest Rate Conversion Flags | ||
Convert Interest Rate | 9154 | Indicates whether you can convert the fixed income security's reference interest rate from one rate quotation basis to another. For more information, |
see Convert a Security's Interest Rate from One Rate Quotation Basis to Another. Options include:
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Rate Conversion Rule | 12849 | Identifies the name of the rate conversion rule used to convert the fixed income security's reference interest rate from one rate quotation basis to another. The rate conversion rule determines the inputs of the conversion calculation. This field appears if you set the Convert Interest Rate field to Yes. If you set up a floating rate or inverse floating rate security with a reference rate for an underlying index that converts the interest rate, this field displays the rate conversion rule you specified for the underlying index as the default value. Otherwise, you can select a rule at the asset level. Options include:
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