Page Comparison

Rule Information

Rule Name

3197

Identifies the name of the accounting rule established in the Create Accounting Rules panel. You must create this value prior to creating an amortization rule, and can select all established accounting rules from a list. When the system performs a lookup for the accounting rule, Eagle Accounting populates tag 4629, which is the Instance Number for the accounting rule. When you submit a new amortization rule, Eagle Accounting also creates an Instance Number (tag 4256) for the amortization rule. The system provides the following accounting rules for amortization/accretion:

• DefaultEY. Constant yield amortization.

• DefaultEYAmortAtDisp. Effective yield amortization with amortization at disposition.

• DefaultSL. Straight line amortization.

• DefaultSLAmortAtDisp. Straight line amortization with amortization at disposition.

• DefaultSLA. Straight line actual amortization.

• DefaultSLAAmortAtDisp. Straight line actual amortization with amortization at disposition.

• DefaultNone. No amortization.

• DefaultNoneAmortatDisp. No amortization with amortization at disposition.

Rule Begin Date

220

Required. Specifies the beginning date that the system begins to apply the amortization rule to the fund. If the rule should no longer be applied after a certain date, you enter the End Date (tag 221) on the Edit Amortization & Accretion Rules panel, and then create a new amortization rule in the Create Amortization & Accretion Rules panel with a Rule Begin Date equal to the previous Rule End Date, plus one day.

For example, if the End Date of a previous amortization rule is December 31st, the Begin Date of the new amortization rule is January 1st.

Asset/Security Specific

3931

Optional. Identifies the processing security types (PST) to which the amortization accretion rule applies. If you:

• Select a value for this field, the rule you are adding applies to securities with that processing security type, provided you do not set up a rule for a Primary Asset ID that also has that security type. For more information, see Understand the Amortization/Accretion Security Type.

• Leave blank this field, along with Amortization Accretion Rule Type, Issue Name, and Primary Asset ID fields, the rule you are adding applies as the accounting basis default, or a generic rule, for the Accounting Basis.

Amortization/Accretion Rule Type

12008

Optional. Identifies an amortization rule defined at a level that falls above the asset identifier level and below the processing security type level. You can assign a value at this level when amortization rules vary within securities with a common processing security type and you do not want to assign those rules at the individual security level. Before you assign rule types, you can use the Codes workspace to create the appropriate code values that have a code category name of AMORTRULETYPE.

Issue Name

961

If you define the rule at the security level, specifies the name of the security. Otherwise, if you leave this field blank, the system applies the rule to all securities within the entity.

Issue Name, Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel.

Cross Reference Type

1432

If you define the rule at the security level, specifies the cross reference or primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL. Otherwise, you can leave this field blank.

Issue Name (tag 961), Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel.

Cross Reference ID

14

If you define the rule at the security level, specifies the identification number of the cross reference or primary asset ID for the security. Otherwise, you can leave this field blank.

Issue Name (tag 961), Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel

Taxable Status Indicator

1143

Specifies the tax status of the securities to which the amortization/accretion rule applies. Used in conjunction with the Begin Date and End Date fields to establish separate amortization rules for taxable non-taxable securities at an accounting basis-level, at a processing security type-level, and amortization/accretion security type or to create a simple rule for both taxable and non taxable. The system uses the Federal Tax Indicator field (tag 1545) at the security level to determine the security's tax status.

For example, you can use this field working with the Amortization/Accretion Election field to establish an amortization rule for taxable bonds purchased at a Market Premium to utilize a yield to Best Call and an amortization rule for non taxable bonds purchased at a market premium to amortize a Yield to worst.

Options include:

• Taxable

• Non-Taxable

• Both (Default)

Amortization/Accretion

Amortization/Accretion Election

3933

Determines how to recognize amortization on bonds. You can use this field in conjunction with the Begin Date and End Date fields to establish separate amortization rules for tax lots purchased at a Market Discount and at a Market Premium, at an Accounting Basis-level, at a Processing Security Type-level, and/or at a Security ID-level.

Options include Market Discount, Market Premium, Both, and None. If you select a value of Both or None, the amortization rule applies to both market discount and market premium tax lots. The system prevents you from setting up a separate amortization rule for either market premium or market discount.

Yield Type

989

Determines how Eagle Accounting applies the yield in order to calculate amortization. Options include:

• Net Present Value. The system uses a yield to discount future cash flows to derive a net present value (NPV) calculation. It then uses this NPV as the end of period book cost for comparison against the beginning of period book cost with the difference recorded as amortization. If you select this value, you must additionally specify an Adjustment Type value.

• Yield*Book Value. Default. Eagle Accounting's amortization process determines the amortization for the current coupon period by calculating and applying the amortization yield to the start of the coupon period's book cost and applying the appropriate amortization method in order to determine the amount of total income that is contributed by amortization as opposed to stated income. The system then allocates the income across the days in the period. If you select this option, you can

• select an Amortization Methodology value of Default, Prospective, or Retrospective.

Adjustment Type

990

Specifies the type of adjustment to use for the Net Present Value yield type. This field appears if you set the Yield Type field to a value of Net Present Value. Options include:

• PAC. The PAC (Prepayment Assumption Catchup) option locks in and utilizes the initial cash flows to calculate a yield used to discount future cash flows in order to derive amortization. For discount lots, when the end of period net present value of the lot is greater than the beginning of period book cost (adjusted for interim principal cash flows (factor payments and amortized cost of sales), the system records the difference as deferred market discount. If the end of period adjusted NPV is less than the beginning of period book cost, no deferred market amortization discount is accrued. For premium lots, when the end of period net present value of the lot is less than the beginning of period book cost (adjusted for interim principal cash flows (factor payments and amortized cost of sales), the system records the difference as premium amortization. If the end of period adjusted NPV is greater than the beginning of period book cost, no premium amortization discount is accrued. When you select this value, you must use the Amortization Methodology field's default value of Retrospective.

• ECL. The ECL (Expected Credit Loss) option allows the system to recalculate the yield for variable rate coupon changes. When you select this option, you must use the Amortization Methodology field's default value of Prospective. For more information, see Create Amortization & Accretion Rules for ECL.

• NONE. Prevents the system from recalculating the yield. When you select this value, you can set the Amortization Methodology field to a value of Default, Prospective, or Retrospective.

Amortization Methodology

16007

Specifies the type of amortization methodology that Eagle Accounting can lock in and apply. Options include:

• Default. Identifies the legacy amortization methodology utilized in Eagle Accounting prior to the 2017 release. The Default amortization methodology is prospective by nature with the ability to offer ad hoc retrospective amortization true ups. Prospective in nature means that when an amortization yield is calculated and applied, the amortization is calculated from the start of the current coupon period up to the current earn thru date. In the event that a retrospective amortization calculation is executed, that retrospective amortization yield is held constant for the current coupon period. The next following coupon period, Eagle Accounting calculates a new prospective yield based upon projected cash flows and amortize cost as of the start of the coupon period. If you select this option, the Prospective Amortization Yield Recalculation Frequency field becomes visible and required. The Prospective Amortization Yield Recalculation Frequency tells the Amortization Process when and under what conditions to recalculate amortization yields.

• Prospective. The Prospective amortization methodology is very similar to the Default amortization methodology, where amortization yields and changes in amortization are calculated and applied prospective from the start of the coupon period. The difference is that the prospective amortization methodology does not allow any retrospective amortization calculations. If you select this option, the Prospective Amortization Yield Recalculation Frequency field becomes visible and required.

• Retrospective. The retrospective amortization methodology calculates the initial amortization yield at time of purchase, locks that yield in, and does not recalculate and apply a new amortization yield until a retrospective amortization calculation is executed. It then holds that yield constant until another retrospective amortization yield is recalculated. If you select this option, the Automatically Apply Retrospective Amortization field becomes visible and required. You can manually invoke Eagle Accounting's retrospective amortization calculation or can schedule it to execute based upon certain conditions or frequency. 

Amortization/Accretion Method

2286

Specifies the amortization/accretion method. This field appears if you set the Yield Type to Net Present Value and set the Adjustment Type to PAC. For more information, see Understand the Amortization/Accretion Method. Options include:

• Constant Yield 1. Calculates where the amortization should be each day, life-to-date, based on the constant yield amortization calculation and the security's day count.

• Constant Yield 2. Default. Calculates the period-to-date amortization using the constant yield amortization formula and divides the calculated period-to-date amortization by the actual number of days in the coupon period.

• Level Yield 1. Calculates where the amortization should be each day, life-to-date, based on the level yield amortization calculation and the day count of the security.

• Level Yield 2. Calculates where the amortization will be at the end of the period and then divides the total amount of amortization by the actual number of days left in the periods.

• Level Yield Daily Compounding 1. Calculates amortization using the level yield 1 calculation, but compounds the amortization daily, rather than on the coupon date of the security.

• Level Yield Daily Compounding 2. Calculates amortization using the level yield 2 amortization calculation within coupon periods that have daily compounding.

113

Specifies the amortization/accretion method. This field appears if you set the Yield Type to Yield*Book Value. Or if you set the Yield Type to Net Present Value and set the Adjustment Type to ECL or None. For more information, see Understand the Amortization/Accretion Method. Options include:

• Constant Yield 1. Calculates where the amortization should be each day, life-to-date, based on the constant yield amortization calculation and the security's day count.

• Constant Yield 2. Default. Calculates the period-to-date amortization using the constant yield amortization formula and divides the calculated period-to-date amortization by the actual number of days in the coupon period.

• Level Yield 1. Calculates where the amortization should be each day, life-to-date, based on the level yield amortization calculation and the day count of the security.

• Level Yield 2. Calculates where the amortization will be at the end of the period and then divides the total amount of amortization by the actual number of days left in the periods.

• Level Yield Daily Compounding 1. Calculates amortization using the level yield 1 calculation, but compounds the amortization daily, rather than on the coupon date of the security.

• Level Yield Daily Compounding 2. Calculates amortization using the level yield 2 amortization calculation within coupon periods that have daily compounding.

• Straight Line. Calculates amortization by adjusting the cost of the holding toward par by equal daily amounts, throughout the life of the bond. The daily amortization/accretion delta for straight line amortization is calculated by subtracting the original cost from par, then dividing the result by the number of days in the life of the issue, from settlement date. Straight-line amortization is used mainly for short-term debt securities, but you can use it for any security type if appropriate. The system supports two different methods of calculating straight-line amortization: Straight Line Actual and Straight Line.

• Straight Line Actual. Calculates amortization using the daily factor amount, which is calculated by subtracting the original cost from par, then dividing the result by the actual number of days in the life of the issue from settlement date. This amortization method uses an actual day count to determine the amortization daily delta (the daily change in the amortized amount). For example, a bond with a 30/360 Day Count basis using this amortization method would have an amortization daily factor applied on the 31st day of the month.

• None. Does not calculate amortization/accretion.

16013

Determines when and under what conditions the system performs a prospective amortization calculation. This field appears when you set the Amortization Methodology field to either Default or Prospective. However if you set the Adjustment Type to ECL and the Amortization Methodology to Prospective, the ECL Prospective Amortization Yield Recalculation Frequency Field appears instead. For more information, see Understand the Prospective Amortization Yield Recalculation Frequency. Options include:

The available options listed below are grouped by 1) Default options that recalculate when there is an SMF update, 2) Option used when you do not want to recalculate, 3) Options that recalculate based on a specified time period, 4) Options that recalculate based on specified SMF data change, and 5) Options that group the SMF data change options.. 

Default options recalculate when there is an SMF update:

• DEF (Reference data affecting amortization yield (D). Default. Every time there is a change in an SMF Field that affects yield calculation, the earnings process calculates a new amortization yield(s) the next time earnings are run. Eagle Accounting uses the SMF Earnings indicator field to track changes to SMF reference fields that affect yields.

• DEFCF (Changes for amort yield and third-party cash flow). Every time there is a change in an SMF field that affects yield calculation and any change to data in the third party cash flow table, the earnings process calculates new amortization yields.

NOTE:  Mortgage backed securities also, by default, always recalculate the yield on coupon dates. 

Option when you do not want to recalculate: 

• NONE (None). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It does not recalculate the amortization yield for the life of the tax lot, regardless of changes to reference information.

Options that recalculate based on a specified time period: 

• 1_M (Monthly). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and every 1 month starting from the prospective start date. If you select this option, you must specify a value for the Prospective Amortization Recalculation Start Date and Prospective Roll Convention fields.

• 3_M (Quarterly). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and every 3 months starting from the prospective start date. If you select this option, you must specify a value for the Prospective Amortization Recalculation Start Date and Prospective Roll Convention fields.

• 6_M (Semiannual). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and every 6 months starting from the prospective start date. If you select this option, you must specify a value for the Prospective Amortization Recalculation Start Date and Prospective Roll Convention fields.

• 12_M (Annual). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and every 12 months starting from the prospective start date. If you select this option, you must specify a value for the Prospective Amortization Recalculation Start Date and Prospective Roll Convention fields.

Options that recalculate based on specified SMF data changes:

• CPN (Change in Variable Rate). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and when there are changes in variable rates.

• FRE (Beginning of coupon period (FRE). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It only calculates new yields at the start of each new coupon period.

• ICF (Initial Third Party Cash Flow released). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It only recalculates a new yield if there are changes to the initial Third Party Cash flow record.

Options that group the SMF data change options:

• CF/PRE (Third-party cash flow or prepayment speed changes). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and when there are changes to third party cash flow data and prepayment time series data.

• CF/PRE/CPN (Third-party cash flow/Speed/Variable Rate). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and when there are changes to third party cash flow data, prepayment time series data, or a change in variable rate.

• CF/PRE/FRE (Third-party cash flow/speed/coupon period changes). Eagle Accounting calculates an initial yield as of settlement date of the tax lot and when there are changes to third party cash flow data, prepayment time series data, and at the start of every coupon period.

• ICF/CPN (Initial Third Party Cash Flow/Variable Rate). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It only recalculates a new yield if there are changes to the initial Third Party Cash flow record or a change in variable rate.

ECL Prospective Amortization Yield Recalculation Frequency

7001

Determines when and under what conditions the system performs a prospective amortization calculation when you use the ECL (expected credit loss) NPV (net present value) methodology. This field appears when you set the Yield Type field to Net Present Value, the Adjustment Type to ECL, and the Amortization Methodology Field to Prospective. For more information about prospective methodology, see Understand the Prospective Amortization Yield Recalculation Frequency.

• ICF (Initial Third Party Cash Flow released). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It only recalculates a new yield if there are changes to the initial Third Party Cash flow record.

• ICF/CPN (Initial Third Party Cash Flow/Variable Rate). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It only recalculates a new yield if there are changes to the initial Third Party Cash flow record or a change in variable rate.

Prospective Amortization Yield Recalculation Start Date

16014

Specifies the date that the first Prospective amortization is calculated. In addition, the Prospective amortization is the base value in determining the future schedule of automatic Prospective calculation when the Earnings process is invoked. This field appears when you set the Prospective Amortization Recalculation Frequency field to either Monthly, Quarterly, Semiannual, or Annual.

Prospective Roll Convention

16015

Further defines the automatic Prospective calculation schedule. This field appears when you set the Prospective Amortization Recalculation Frequency field to either Monthly, Quarterly, Semiannual, or Annual. Options include Last Day of the month and Same Day of the month. For example if the First Prospective Amortization Recalculation Start Date was 20170930, the Prospective Amortization Frequency is quarterly, and Prospective Roll Convention is Same Day Of Month. The Earnings process will automatically calculate a Prospective Amortization adjustment every December 30, March 30 and June 30. In the same example, with exception the Prospective Roll Convention is set to Last Day of Month, The Earnings process will automatically calculate a Prospective Amortization adjustment every September 30, December 31, March 31 and June 30.

Automatically Apply Retrospective Amortization

16009

Determines whether the Earnings process automatically calculates a retrospective adjustment. This field appears if you set the Amortization Methodology field to Retrospective. Options include:

• Yes. Allows the earnings processes to automatically calculate a retrospective adjustment based on the values in the Retrospective Type field and Retrospective Amortization Recalculation Frequency field. Note that while any security that meets the criteria for a recalculation calculates a new yield, only mortgage backed securities actually perform a retrospective calculation. All other securities perform a prospective calculation.

• No. Default. Eagle Accounting's earnings process does not automatically calculate a retrospective adjustment.

Retrospective Type

9159

Determines the starting point for the retrospective amortization calculation date when executing an automatic retrospective adjustment. This field appears when you set the Automatically Apply Retrospective Amortization field to Yes. Options include:

• Conversion/Settlement Date. Eagle Accounting calculates the amortization based on the Settlement Date of the lot. It allows you to "true up" amortization based on the conversion date going forward on lots converted on to Eagle Accounting, and settlement date forward for lots purchased on to Eagle Accounting.

• Original Settlement Date. Eagle Accounting calculates the amortization based on the Original Settlement Date. It allows you to "true up" amortization based on the Original Settlement Date of the lots converted onto Eagle Accounting, and from the Settlement Date for lots purchased directly into Eagle Accounting. This option acts exactly like a Retrospective Amortization Calculation when you change the amortization rule based on an effective date.

Retrospective Amortization Recalculation Frequency

2285

Determines when and under what conditions the system performs an automatic retrospective amortization calculation when you use the PAC (prepayment assumption catchup) NPV (net present value) methodology. This field appears when you set the Yield Type field to Net Present Value. the Adjustment Type to PAC, the Amortization Methodology Field to Retrospective, and the Automatically Apply Retrospective Amortization field to Yes.

When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status. When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias. Options include:

• ICF (Initial Third Party Cash Flow released). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It calculates a new yield and retrospective adjustment when there are changes to the applicable initial third party cash flow record.

• NONE (None). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. When the earnings process is invoked, it calculates a new yield and does not calculate a retrospective adjustment.

Retrospective Amortization Recalculation Frequency

16010

Determines when and under what conditions the system performs an automatic retrospective amortization calculation. This field appears when you set the Yield Type field to Yield*Book Value, the Amortization Methodology Field to Retrospective, and you set the Automatically Apply Retrospective Amortization field to Yes. It also appears when you set the Yield Type field to Net Present Value, the Adjustment Type to None, the Amortization Methodology Field to Retrospective, and you set the Automatically Apply Retrospective Amortization field to Yes.

When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status. When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias. 

The available options listed below are grouped by 1) Option used when you do not want to recalculate, 2) Options that recalculate based on a specified time period, 3) Options that recalculate based on specified SMF data changes, and 4) Options that group the SMF data change options..

Option when you do not want to recalculate: 

• NONE (None). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. When the earnings process is invoked, it calculates a new yield and does not calculate a retrospective adjustment.

Options that recalculate based on a specified time period: 

• 1_M (Monthly). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. Every 1 month starting from the retrospective start date, Eagle Accounting automatically calculates a new yield and calculates retrospective amortization adjustment when earnings is invoked. If you select this option, you must specify a value for the Retrospective Amortization Recalculation Start Date and Retrospective Roll Convention fields.

• 3_M (Quarterly). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. Every 3 month starting from the retrospective start date, Eagle Accounting automatically calculates a new yield and calculates retrospective amortization adjustment when earnings is invoked. If you select this option, you must specify a value for the Retrospective Amortization Recalculation Start Date and Retrospective Roll Convention fields.

• 6_M (Semiannual). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. Every 6 month starting from the retrospective start date, Eagle Accounting automatically calculates a new yield and a retrospective amortization adjustment when earnings is invoked. If you select this option, you must specify a value for the Retrospective Amortization Recalculation Start Date and Retrospective Roll Convention fields.

• 12_M (Annual). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. Every 12 months starting from the retrospective start date, Eagle Accounting automatically calculates a new yield and a retrospective amortization adjustment when earnings is invoked. If you select this option, you must specify a value for the Retrospective Amortization Recalculation Start Date and Retrospective Roll Convention fields.

Options that recalculate based on specified SMF data changes:

• CPN (Change in Variable Rate). (Not Used)

• FRE (Beginning of coupon period). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It calculates a new yield and retrospective adjustment at the start of each coupon period.

• ICF (Initial Third Party Cash Flow released). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It calculates a new yield and retrospective adjustment when there are changes to the applicable initial third party cash flow record.

Options that group the SMF data change options:

• CF/PRE (Third-party cash flow or prepayment speed changes). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It calculates a new yield and retrospective adjustment when either applicable third party cash flow or applicable prepayment time series information changes.

• CF/PRE/CPN (Third-party cash flow/Speed/Variable Rate). (Not Used)

• CF/PRE/FRE (Third-party cash flow/speed/coupon period changes). Eagle Accounting calculates an initial yield as of settlement date of the tax lot. It calculates a new yield and retrospective adjustment when either applicable third party cash flow or applicable prepayment time series information changes and at the start of every coupon period.

• ICF/CPN (Initial Third Party Cash Flow/Variable Rate). (Not Used)

Retrospective Recalculation Amortization Start Date

16011

Specifies the date that the first retrospective amortization is calculated. In addition, the retrospective amortization will be the base value in determining the future schedule of automatic retrospective calculation when the Earnings process is invoked. This field appears when you set the Retrospective Amortization Recalculation Frequency field to Monthly, Quarterly, Semiannual, or Annual.

Retrospective Roll Convention

16012

Further defines the automatic retrospective calculation schedule. This field appears when you set the Retrospective Amortization Recalculation Frequency field to Monthly, Quarterly, Semiannual, or Annual. Options include:

• LDM (Last Day of Month)

• SDM (Same Day of Month)

For example, if the first Retrospective Amortization Recalculation Start Date was 20170930, the Retrospective Amortization Frequency is quarterly, and Retrospective Roll Convention is Same Day Of Month. The Earnings process automatically calculates a Retrospective Amortization adjustment every December 30, March 30, and June 30. In the same example, with exception the Retrospective Roll Convention is set to Last Day of Month. The Earnings process automatically calculates a Retrospective Amortization adjustment every September 30, December 31, March 31, and June 30.

Amortization Cap/Floor Method

10130

Controls the directions that amortization can move in. This option does not apply to Average Cost. Options include:

• No Restriction. Amortization can move in any direction and can amortize away from the redemption price. For example, things that can cause amortization to move away from par include scalloping, long or short coupon periods caused by business day convention overrides, and put or call information.

• Book Price Cannot Move Away From Par. Will not amortize away from redemption price. Redemption date and redemption price includes Maturity Date and Maturity Price, the date and price calculated for the worst call date, or the date and price calculated to the best put date. In the event amortization is moving away from redemption price, Eagle Accounting does not apply amortization during that period and recalculates a new yield at the start of the next coupon period. Calculation of the new yield is based upon the amortized cost as of that date and the applicable amortization rule.

Amortization at Disposition

3902

Specifies whether the system amortizes at disposition. Options include:

• Yes. Amortize at disposition. If you select this option and you purchase the security at a discount, Eagle Accounting only posts Market Discount Amortization and Acquisition Discount Amortization to the general ledger at time of disposition. Beyond this, Eagle Accounting only posts the amount of amortization so as not to create a loss on the disposition. If you purchase the security at a premium, Eagle Accounting posts Market Premium Amortization, OID Amortization, and Acquisition Premium to the general ledger and sub ledger on a daily basis. Also, you must select Yes if you plan to set the Paydown Costing Allocation field to the Accelerated Market Discount Recognized method.

• No. Default. Do not amortize at disposition. Eagle Accounting posts amortization/accretions to the subledger and general ledger, based on the amortization rule, on a daily basis.

Allow Amortization on Short Positions

11484

Determines whether to allow amortization on short positions. Options include:

• Yes. Eagle Accounting amortizes positions with a short intent. You must additionally set the tax lot's Allow Short Amort (tag 11484) field to Yes in the trade panel in order for a short tax lot to amortize.

• No. Default. Eagle Accounting does not amortize tax lots with a short intent.

9007

Controls how Eagle Accounting handles amortization rule changes, based on the amortization rule's begin and end date. For more information, see Understand the Amortization Rule Change Application Option. Options include:

• Prospective. Eagle Accounting calculates the amortization yield based on the book cost, as of the amortization previous End Date, and applies the new amortization rule going forward from the newly effective amortization rule Begin Date.  

• Retrospective from Original Settlement Date. Eagle Accounting calculates the amortization based on the Original Settlement Date. It allows you to "true up" amortization based on the Original Settlement Date of the lots converted onto Eagle Accounting, and from the Settlement Date for lots purchased directly into Eagle Accounting. This option acts exactly like a Retrospective Amortization Calculation when you change the amortization rule based on an effective date.

• Retrospective from Settlement Date. Eagle Accounting calculates the amortization based on the Settlement Date of the lot. It allows you to "true up" amortization based on the conversion date going forward on lots converted on to Eagle Accounting, and settlement date forward for lots purchased on to Eagle Accounting. 

Use User Defined Amortization Schedule

9156

Indicates whether to use a customized amortization schedule for a particular lot. Options include:

• Yes. Eagle Accounting uses a user defined amortization schedule (if one is available). If this field is set to Yes, and there is not a user defined schedule established in Eagle Accounting, Eagle Accounting applies amortization based on the applicable amortization rule.

• No. Eagle Accounting ignores the user defined amortization schedule.

Straight Line Override

3938

Allows Eagle Accounting to discontinue the specified amortization/accretion method prospectively, and to apply the straight line actual (SLA) amortization method within 60, 180, or 365 days from maturity. You can select a value of 60, 180, or 365 days. The default value of this field is 0 (zero) days. This field is available only if you set Amortization/Accretion Method to a value of constant yield 1 (CY1), constant yield 2 (CY2), level yield (LY1), or level yield 2 (LY2). Options include:

• 0. Default.

• 60.

• 180.

• 365.

OID

9197

Determines whether Eagle Accounting recognizes OID amortization for an OID eligible bond that was repurchased at a discount and which OID methodology to apply in the calculation of Acquisition Premium and Acquisition Discount. Eagle Accounting determines OID eligibility by checking that the OID Eligible (tag 218) field on the SMF is set to Yes, and that the Issue Price of the bond is less than the Maturity Price. If you recognize OID amortization, then for an OID eligible bond, Eagle Accounting calculates the adjusted issue price (calculation follows) for the settlement date of the bond, based on the Constant Yield 2 method of amortization. For more information, see Understand Original Issue Discount (OID). Options include:

• Yes. Eagle Accounting recognizes two different streams of amortization based upon the following methodology:
  1) OID stream of amortization, from the adjusted issue price to redemption date and redemption price.
  2) Acquisition premium/discount stream, from the purchase price of the bond to the adjusted issue price.
  Adjusted Issue Price = Issue Price + (amount of OID previously included in the gross income of the holder - amount of any payment previously made, other than qualified stated interest).

• No. If you set Recognize OID field to No, and the OID Indicator field on the SMF is set to Yes, Eagle Accounting only recognizes market discount amortization if the security is purchased at a discount, and the entity/ accounting basis recognizes market discount amortization.

• Constant Yield Differential. The Constant Yield Differential method does not apply to the Straight Line or Straight Line Actual amortization method. Eagle Accounting recognizes:
  1) OID stream of amortization, from the adjusted issue price to redemption date and redemption price.
  2) Acquisition Premium/Discount, calculated by total market amortization yield which in turn calculates the total amortization of tax lot. The total daily calculated amortization is then subtracted from the calculated daily OID to produce the Acquisition Premium/Discount Delta.

Market Discount Amortization Method - OID Bonds

2301

Indicates whether to use different amortization methods for original issue discount (OID) and market amortization. This field appears if you set the Recognize OID field to Yes. Options include:

• Straight Line. Indicates that you want market discount amortization to use the straight line method and OID amortization to use your default amortization method. Select this option only if your default amortization method is not straight line. For example, if your default amortization method is constant yield, you can select this option to maintain separate amortization streams for OID and market discount amortization, using the straight line method for market discount and constant yield for the original issue discount stream.

• Use Main Amort Rule Method. Default. Indicates that you want to use the amortization methods specified in the Amortization/Accretion Method (tag 113) field for OID and market amortization.

4526

Specifies whether you want to net the OID (original issue discount) amortization and the acquisition premium on the general ledger. For more information, see Understand the Premium Proportional Option. Options include Yes and No.

DeMinimis

3935

Works in conjunction with the Within DeMinimis Test Action field to determine the amortization stream(s) to which Eagle Accounting should apply the DeMinimis test, and what action should take place if a security fails the DeMinimis test. The DeMinimis test determines whether the amount to amortize is greater than ¼ of 1% (.0025) of the redemption price, multiplied by the number of complete years to redemption date. For more information, see Understand the DeMinimis Test Application and Within DeMinimis Test Action Options. Options include:

• All Discount Purchases. Eagle Accounting applies the DeMinimis test to the entire total discount amortization stream. If you select this option, DeMinimis does not apply to securities bought at a market premium.

• OID Only. Eagle Accounting only applies the DeMinimis test to the OID amortization stream.

• Acquisition Discount/Market Discount. Eagle Accounting applies the DeMinimis test to the Market Discount Stream or for an Acquisition Discount Amortization Stream (An Acquisition Discount Amortization indicates that an OID Eligible bond is purchased below the adjusted issue price).

• None. Eagle Accounting does not apply the DeMinimis test.

• Apply Each Independently. Eagle Accounting applies the DeMinimis test to the market discount stream and OID stream independently. If it determines the market discount stream to be deminimis, it discontinues the market discount stream. If it determines the OID stream to be deminimis, it discontinues the OID stream.

NOTE: DeMinimis Test Application is not a viable option for a portfolio with Average Cost.

3936

Identifies what action takes place if the amortization stream specified in the DeMinimis Test Application field fails the DeMinimis test. That is, it determines the outcome if the amount to amortize is greater than 1/4 of 1% of the redemption price multiplied by the number of complete years to redemption date. This field appears if you set the DeMinimis Test Application field to a value other than None. For more information, see Understand the DeMinimis Test Application and Within DeMinimis Test Action Options. Options include:

• Discontinue Amortization Streams. If you set DeMinimis Test Application to OID Only, you can set the Within DeMinimis Test Action field to a value of Apply Market Discount. If you set DeMinimis Test Application to All Discount Purchases or to Apply Each Independently, the Within DeMinimis Test Action field displays a value of Discontinue Amortization Streams, and you cannot change it.

• Apply Market Discount. If you set DeMinimis Test Application to OID Only, you can set the Within DeMinimis Test Action field to a value of Apply Market Discount.

• Apply OID Only. If you set DeMinimis Test Application to Acquisition/Market Discount, the Within DeMinimis Test Action field displays a value of Apply OID Only, and you cannot change it.

Schedule Data

3939

Specifies whether the system factors the call dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. For more information, see Understand the Recognize Call Date & Prices Option. Options include:

• Do not Recognize Call Feature. Eagle Accounting ignores the call schedule located in the schedule table for the purpose of calculating an amortization yield and amortization target date.

• Yield to Best Call with Suspense. The system selects the call/put date and price between the yield date and maturity date that calculates the highest yield. Maturity date, maturity price, maturity and any pre-refunding dates are included in the calculation. Call dates/prices, put dates/put prices and puts after any pre-refunding date are ignored. If this call/put price would cause amortization to move away from the bond's par value, hold amortization constant until this call/put date. When the call or put is not executed, repeat the process to find the highest remaining yield and its call or put date. While this calculation is intended for use with taxable securities purchased at a premium, it operates on any holding that meets the amortization/accretion rule's selection criteria.

• Yield to Next Call Date. Eagle Accounting calculates the yield and amortization target date to the next available call date and price in the schedule. If the security is not called at the next call date, Eagle Accounting calculates to the next call date in the schedule. If no call date is available after the last call date in the schedule, Eagle Accounting amortizes to maturity date. In the event that the next call date and price forces Eagle Accounting to amortize away from par, Eagle Accounting ignores that call date and price and selects the next call date and price, continuing this search until it finds a call date and price that does not cause it to amortize away from par. If all of the call dates and call prices would force the tax lot away from par, then it calculates a yield and amortization based upon the maturity date and maturity price. If you select Yield to Next Call Date, in Recognize Put Date & Prices field, you can only select Yield to Next Put Date or Do Not Recognize Put. If you select both Yield to Next Call Date and Yield to Next Put Date, Eagle Accounting uses the Call and Put data in order of their effective date. If there is a call date and put date on the same effective day, then put data has precedence over call data, thus Eagle Accounting uses the put data.

• Yield to Next Call Date with Suspense. Eagle Accounting amortizes to the next call date and price while suspending any amortization of premium or accretion of discount if the next call date and price would cause the tax lot to amortize away from par. For example, in the case of a Market Premium purchase, if the purchase price is lower than the call price of the next call date in the schedule, Eagle Accounting suspends amortization until after that call date and calculates a new amortization yield prospectively. Similarly, in the case of a Market Discount purchase, if the purchase price is higher than the call price on the next call date in the schedule, Eagle Accounting suspends amortization until after that call date and calculates a new amortization yield prospectively. In the case of a Market Discount purchase processing OID amortization, Eagle Accounting uses the adjusted issue price instead of the purchase price to determine whether it suspends amortization or process amortization to the next call date and price. If you select Yield to Next Call Date with Suspense, you can only select Yield to Next Put Date with Suspense or Do Not Recognize Put in the Recognize Put Date & Prices field. Be aware that if you select both Yield to Next Call Date with Suspense and Yield to Next Put Date with Suspense and a call and a put occur on the same effective date, put data has precedence over call data, and Eagle Accounting uses the put data.

• Yield to Worst Call Date. Eagle Accounting calculates the yield and amortization target date to the call date and price that gives the lowest yield for the tax lot. This yield type is known as Yield to Worst or Yield to Most Conservative. If the security is not called at the worst call date, Eagle Accounting calculates to the next worst call date. If no call date is available after the worst call date, Eagle Accounting amortizes to maturity date. When calculating a Yield to Worst, Eagle Accounting includes the yield to maturity date and price in the calculation, so in some cases, the Yield to Worst could be the maturity date and price. If you recognize both Yield to Worst Call Date and Yield to Best Put Date in the amortization rule and a security has both call and put features, Eagle Accounting uses an iterative method to determine the most conservative yield. For details, see Amortization & Accretion Rules Panel Options.

NOTE:  If both Call and Put data exists for the same effective date, Eagle Accounting prioritizes the Put schedule.

3937

Specifies whether the system factors the put dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:

• Do Not Recognize Put Feature. Default. Eagle Accounting ignores the Put schedule located in the Schedule table for the purpose of calculating an amortization yield and amortization target date. 

• Yield to Best Put Date. Eagle Accounting calculates the yield and amortization target date to the Put date and price that gives the highest yield. This yield type is known as Yield to Best. If the security is not putted at the Best Put date, Eagle Accounting calculates to the next Best Put date. If no Put date is available after the Best Put date, Eagle Accounting amortizes to maturity date. When calculating a Yield to Best, Eagle Accounting includes the yield to maturity date and price in the calculation, so in some cases, the Yield to Best could be the maturity date and price. If you recognize both Yield to Worst Call Date and Yield to Best Put Date in the amortization rule and a security has both call and put features, Eagle Accounting uses an iterative method to determine the most conservative yield. For details, see Example 1: Determine Yield for a Schedule with Both Puts and Calls. Also, you cannot select a Yield to Next Call and Yield to Best Put, as there could be a conflict as to which date to use in the calculation.

• Yield to Next Put Date. Eagle Accounting calculates the Yield and amortization target date to the Next Put Date and price in the schedule. If the security is not putted at the next Put date, Eagle Accounting calculates to the next Put date in the schedule. If no Put date is available after the last Put date in the schedule, Eagle Accounting amortizes to maturity date. In the event that the next put date and price forces Eagle Accounting to amortize away from par, Eagle Accounting ignores that put date and price and selects the next put date and price, continuing this search until it finds a put date and price that does not cause it to amortize away from par. If the entire put dates and put prices would force the tax lot away from par, then it calculates a yield and amortization based upon the maturity date and maturity price. If you select Yield to Next Put Date, in Recognize Call Date & Prices field, you can only select Yield to Next Call Date or Do Not Recognize Call. If you select both Yield to Next Call Date and Yield to Next Put Date, Eagle Accounting uses the Call and Put data in order of their effective date. If there is a call date and put date on the same effective day, then put data has precedence over call data, thus Eagle Accounting uses the put data. Also you cannot select a Yield to Worst Call and Yield to Next Put, as there could be a conflict as to which date and price to use in the calculation.

• Yield to Next Put Date with Suspense. Eagle Accounting amortizes to the next put date and price while suspending any amortization of premium or accretion of discount if the next put date and price would cause the tax lot to amortize away from par. For example, in the case of a Market Premium purchase, if the purchase price is lower than the put price of the next put date in the schedule, Eagle Accounting suspends amortization until after that put date and calculates a new amortization yield prospectively. Similarly, in the case of a Market Discount purchase, if the purchase price is higher than the put price on the next put date in the schedule, Eagle Accounting suspends amortization until after that put date and calculates a new amortization yield prospectively. In the case of a Market Discount purchase processing OID amortization, Eagle Accounting uses the adjusted issue price instead of the purchase price to determine whether it suspends amortization or process amortization to the next put date and price. If you select Yield to Next Put Date with Suspense, you can only select Yield to Next Call Date with Suspense or Do Not Recognize Call in the Recognize Call Date & Prices field. Be aware that if you select both Yield to Next Call Date with Suspense and Yield to Next Put Date with Suspense and a call and a put occur on the same effective date, put data has precedence over call data, and Eagle Accounting uses the put data.

NOTE: If a security has pre-refunded information, based on a security ID, available in the Schedule table, Eagle Accounting uses the pre-refunded date and price regardless of how you recognize calls and puts in the amortization calculations, and amortizes to the pre-refunded date and price.

3860

Determines whether Eagle Accounting uses the pre-refunded date during amortization. For more information, see Understand the Recognize Pre-Refunding Option. Options include:

• Do Not Recognize Pre-refunded Date. Eagle Accounting does not consider the pre-refunding date when it calculates amortization yield.

• Recognize Pre-refunded Date. Default. The system uses the Effective Date (tag 1109) of the schedule as the pre-refunded date. If you define the pre-refunded date for a bond, Eagle Accounting considers the pre-refunding date as the maturity date and calculates amortization yield and result amortization accordingly. This option supports legacy processing.

• Recognize Pre-refunded Date using Announcement Date. Eagle Accounting considers the pre-refunding date in the calculation of amortization yield based on the pre-refunding announcement date. You identify the pre-refunding announcement date using the Announcement Date (tag 1247) field at the schedule level.

Third Party Cash Flow

11768

Describes use of third party cash flows. For more information, see Understand the Use Third Party Cash Flows Option. Options include:

• No. Default. Does not use externally calculated cash flows in the calculation of an amortization yield.

• Yes. Allows you to use externally calculated cash flows in the calculation of an amortization yield. Eagle Accounting discounts the cash flows in the Vendor Cash Flow table and applies amortization based on the amortization method established for the particular amortization rule. For example, if the amortization/accretion rule is established as CY2, Eagle Accounting discounts the cash flows and applies amortization based on a CY2 methodology. If you select Yes, the Third Party Cash Flows Source Name field, the Cash Flow Type field, and the Requested Speed field appear, and are required.

Third Party Cash Flows Source Name

1102

Specifies the source name for the cash flow. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Cash Flow Type. If Eagle Accounting does not find a match based on these fields in the Vendor Cash Flow table, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumption field (tag 4518) to drive the calculation of amortization yields.

Cash Flow Type

11760

Specifies the prepayment model used to create the cash flow. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Cash Flow Type. If Eagle Accounting does not find a match based on these fields in the Vendor Cash Flow table, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumption field (tag 4518) to drive the calculation of cash flows for purposes of calculating an amortization yield.

Requested Speed

11761

Specifies the speed type used to calculate the principal and interest cash flows. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Cash Flow Type. If Eagle Accounting does not find a match based on these fields in the Vendor Cash Flow table, Eagle Accounting uses the values in the Amortization Method field (tag 113) and Prepayment Assumption field (tag 4518) to drive the calculation of cash flows for purposes of calculating an amortization yield.

Factor Based

16650

Indicates how to treat the effective maturity date in the calculation of cash flow for purposes of deriving an amortization yield. The Effective Maturity Date is the projected maturity date used in place of the final maturity for purposes of calculating amortization yield(s). Eagle Accounting automatically uses the effective maturity date field for credit card securities, that is, securities with a processing security type (PST) of Factor Based Debt Instrument Credit Cards (DBFBCC). You can additionally use the Effective Maturity Date Method option with the processing security types, Factor Based Debt Instrument Auto Loans (DBFBAL), Factor Based Debt Instrument (DBFBFB), Principal Only Factor Based Debt Instrument (DBFBPO), and Interest Only Factor Based Debt Instrument (DBFBIO). Options include:

• Soft Bullet Payment. Treats the Effective Maturity date as the target maturity date and thus projects one principal payment on the Effective Maturity Date. If you set up an amortization rule where the Amortization/Accretion Security Type is Factor Based Debt Instrument Credit Cards (DBFBCC), the panel sets the Effective Maturity Date Method field to Soft Bullet Payment.

• Project Flows. Uses the Effective Maturity date as maturity date for principal cash flow purposes. Eagle Accounting then projects principal cash flow using the Standard PSA formula for calculating MBS securities from settlement date out to the effective maturity date.

• Do Not Use Effective Maturity Date. Default. Does not use the effective maturity date in the calculation of cash flow for purposes of deriving an amortization yield. 

4518

Determines the prepayment speed and prepayment method that Eagle Accounting uses to calculate additional principal repayment in the projection of future cash flows for MBS and ABS securities. Eagle Accounting uses this value to select the prepayment speed type and prepayment value from the security master. For example, a Code Value of CPR1 tells Eagle Accounting to use the prepayment model CPR (Constant Prepayment Method), and to use a 1-month CPR speed on the security master, to forecast future cash flows (principal and interest). Eagle Accounting supports four Prepayment Methods: ABS, CPR, PSA, and SMM. If you set up a Processing Security Type or Security ID Level rule that is not an MBS or ABS security, Eagle Accounting forces the Prepayment Assumption value to None. This is also the default value for Prepayment Assumption. For more information, see Understand the Prepayment Assumption Option. Options include: 

• ABS1 (ABS 1 Month)

• ABS12 (ABS 12 Month)

• ABS3 (ABS 3 Month)

• ABS6 (ABS 6 Month)

• ABSLIFE (ABS Issue)

• CPR1 (CPR 1 Month)

• CPR12 (CPR 12 Month)

• CPR3 (CPR 3 Month)

• CPR6 (CPR 6 Month)

• CPRDEF (CPR Default 6%)

• CPRLIFE (CPR Life)

• NONE (None)

• PSA1 (PSA 1 Month)

• PSA12 (PSA 12 Month)

• PSA3 (PSA 3 Month)

• PSA6 (PSA 6 Month)

• PSADEF (PSA Default 100)

• PSALIFE (PSA Life)

• SMM (SMM)

Prepayment Time Series Source

2300

Specifies the source name for the prepayment time series. 

Prepayment Time Series Source Instance

16110

Specifies the unique identifier for the source name for the prepayment time series. This field appears when you set Effective Maturity Date Method to a value other than Do Not Use Effective Maturity Date.

Effective Date of Third Party Cash Flow

16111

Indicates which third party cash flow to use. This field appears if you set the Yield Type to Net Present Value and the Adjustment Type to PAC. Options include

• Most Recent. Default. Uses the most recent third party cash flows.

• Trade Date. Uses the third party cash flow with an effective date equal to the original trade date of the tax lot.

Paydown Costing Allocation

16008

Determines how to cost paydown transactions. Options include:

• Full Amortized Cost. Eagle Accounting reduces the amortized cost by the total principal amount received. For example if a paydown is for 100,000.00 par, then the system reduces the local amortized cost by 100,000.00. If the total principal amount received is in excess of the current amortized cost, the excess of principal received over the scheduled principal received is treated as pro rata and a basis-level election determines if the posting should go to gain/loss or accelerated amortization. This option is available only for securities that utilize a retrospective amortization method.

• Non Pro-Rata. Eagle Accounting reduces the amortized cost first by the total scheduled principal amount received. Eagle Accounting stores the scheduled principal amount to determine the correct cost reduction amount. It treats any excess of principal received over the scheduled principal received as pro rata and a basis-level election determines if the posting should go to gain/loss or accelerated amortization. If you set up the election to treat gain/loss as gain/loss, you can determine if the gain loss should post to a capital or income section of the general ledger. In addition, when regulatory categories are elected, realized gains/losses on paydowns are automatically reflected in the income rather than capital.

• Not Applicable. (Not used)

• Pro-Rata. Default. Eagle Accounting uses a pro rata cost selection method where a proportion amount of cost and life to date amortization is reduced by the proportional amount of shares being closed. For example, if there is a 10% paydown, Eagle Accounting reduces the cost and amortization LTD by 10%. Any difference between amortized cost and principal repayment is considered to be either gain/loss or accelerated amortization. You can use an accounting basis-level option to treat the gain/loss as gain/loss or accelerated amortization. In addition, the gain/loss on a paydown can be posted to the capital or Income section of the general ledger. When regulatory categories are elected, realized gains/losses on paydowns are automatically reflected in the income rather than capital. Pro-Rata was the default option in place for paydown processing prior to the 2017 release.

• Accelerated Market Discount Recognized. Recognizes deferred market discount and cost adjustments on principal repayments for securities purchased at a discount. You can select this method if you set the Amortization at Disposition option to a value of Yes. This method applies to partial principal repayments such as paydowns, sink payments, manual calls, puts, taxable exchange offers, and principal repayment corporate actions. When you use this method, partial principal repayments are considered scheduled payments, with the exception of manual calls. You can process manual call transactions as a sell that is scheduled or unscheduled. The default is scheduled but you can manually override the transaction to allow the payment to be processed as unscheduled. To do so, in the fixed income close trade panel, set Manual Call to Yes and the Scheduled/Unscheduled field to Scheduled. When the system processes any of these repayments, the Accelerated Market Discount Recognized amortization method first reduces amortization. Then, once fully reduced to zero, cost is reduced to zero. Once cost is reduced to zero by principal repayments, the remaining proceeds are recognized as a gain or loss.

Stated Interest

Stated Interest Processing

16412

Allows you to only recognize premium amortization when either 1) coupon payments are received, on a contractual settlement date basis, or 2) on disposal transactions that have accrued interest. Retail US taxpayers who recognize bond premium amortization should record such amortization on a cash basis rather than an accrual basis. As interest payments are recorded and paid bond premium allocable to the payment should be recorded at the same time. As bond sales with accrued interest results in recognition of interest income to the seller the accrued interest of the sell should be treated as stated interest and the period to date amortization proportionate to the quantity sold on a lot should be recorded at that time. If you use stated interest processing, you can transfer amortization for the current coupon period, starting the beginning of the current period. The system can calculate this value on the first day of earnings after a Conversion or a Receipt. It applies if you use stated interest processing, and it is only used for premium purchases. Stated Interest processing posts amortization corresponding to the period in which a coupon was accrued. You can provide this value, amortization for the current coupon period, starting the beginning of the current period. Without it, amortization would be understated. For more information, see Understand Stated Interest Processing. Options include:

• Yes. If you select Yes and you purchase the security at a Market Premium, Eagle Accounting only posts Market premium Amortization to the general ledger and subledger at time of disposition or on contractual settlement date of the coupon period. If you purchase the security at a market discount, Eagle Accounting posts Market Discount Amortization, OID Amortization, Acquisition Discount, and Acquisition Premium to the general ledger and subledger on a daily basis.

• No. Default. Eagle Accounting posts amortization/accretion to the subledger and general ledger, based on the amortization rule, on a daily basis.

Stated Interest Recognition

16413

Indicates when the system recognizes coupon income and amortization when you use stated interest processing. This field appears if you set the Stated Interest Processing field to Yes. Contractual Settle Date is the only option available.

Others

3934

Indicates how to recognize future cash flows (variable rates) for amortization yield calculation of step bonds. Eagle Accounting recognizes a security as a step bond when you set the Coupon Type Code (tag 97) option to Step Rate (S). For more information, see Step Bond Bifurcation Methods and Yields Example. Options include:

• Bifurcation. Eagle Accounting's Earnings process recognizes each coupon rate as it becomes effective for purposes of deriving cash flows and, in turn, amortization yields.

• No Bifurcation Par Restricted. Default. Eagle Accounting's Earnings process recognizes current and future coupon rates for the purpose of deriving cash flows, and, in turn, amortization yield. In the event that amortization/accretion transcends par, Eagle Accounting amortizes to par and stops. This option overrides the amortization rule's Amortization Cap/Floor Method (tag 10130) field setting.

• No Bifurcation Transcend Par. Eagle Accounting's Earnings process recognizes the current and future coupon rates for the purpose of deriving cash flows, and, in turn, amortization yields. This option overrides the amortization rule's Amortization Cap/Floor Method (tag 10130) field setting.

Convertible Option Price Method

3858

Indicates the price methodology to use for convertible securities during amortization. For more information, see About Calculating Amortization Yield for Convertible Bonds. Options include:

• Embedded Equity Option Value. Allows for the separation of the embedded equity option value from convertible bond acquisition cost by deriving the fixed income bond cost and utilizing that for amortization. The calculation for fixed income bond cost is as follows: Fixed Income Bond Cost = Convertible Bond Acquisition Cost - Embedded Equity Option Value. If the fixed income bond cost is at a premium, Eagle Accounting amortizes to the system derived target amortize price at maturity plus the embedded equity option value. The Embedded Equity Option Value is calculated only for market premium purchases. If the tax lot is purchased with market premium and there are call dates and prices and/or put dates and prices, Eagle Accounting includes those values to determine the worst yield date and price and/or best yield date and price. If the resulting worst yield price or best yield price is less than the calculated fixed income bond cost, the system amortizes the convertible bond cost to the worst yield date or best yield date. Amortize to price would be the worst yield price plus the embedded equity option value or best yield price plus the embedded equity option value. If the resulting worst yield price or best yield price is greater than the calculated fixed income bond cost, the system does not amortize the convertible bond cost. If the convertible instrument is not called or put on the worst yield / best yield date, the system determines if the convertible instrument should be amortized to the next best yield or next worst yield. If the convertible bond is purchased with market discount, the system does not calculate an Embedded Equity Option Value for that tax lot and applies standard amortization methodology.

• Stated Redemption Price at Maturity (SRPM). Default. Considers the value of the stock in determining the target amortization price at maturity. The calculation is as follows: Conversion Ratio * Market Value of Underlying Stock/10. The SRPM is calculated only for market premium purchases. If the tax lot is purchased with market premium and there are call dates and prices and/or put dates and prices, Eagle Accounting includes those values to determine the worst yield date and price and/or best yield date and price. If the convertible bond is purchased with market discount, the system does not calculate an SRPM for that tax lot and applies standard amortization methodology.

Min ILB Ratio Flag

3855

Indicates whether Eagle Accounting uses the guaranteed minimum in deflation protected inflation linked bond (ILB) securities in determining daily ILB income for deflation protected inflation linked bonds. This is specific to the recognition of daily ILB income when a deflation linked bond inflation index ratio sinks to a level below the value in the ILB Min Index Ratio (tag 3854). You can specify the security's ILB Min Index Ratio value in the Long Term Debt panel. The current (actual) ILB index ratio is used to calculate the inflation adjust face in accrual, amortization, and valuation processing. Options include:

• Yes. Eagle Accounting uses the guaranteed minimum in deflation protected inflation linked bond (ILB) securities in determining daily ILB income for deflation protected inflation linked bonds. The Min ILB Ratio Flag option is in effect.

• No. Default. Eagle Accounting does not use the guaranteed minimum in deflation protected inflation linked bond (ILB) securities in determining daily ILB income for deflation protected inflation linked bonds. The Min ILB Ratio Flag option is disabled.