In the Create Amortization & Accretion Rules panel, when you create amortization/accretion rules that specify how the system amortizes the securities held by the entity, you can select various options based on the requirements of your business.
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When setting up rules for Average Cost entities, ensure you review the Understand Average Cost Amortization section in Eagle Accounting’s Amortization Methodology for important requirements. |
The following are the options in the Amortization & Accretion Rules panels.
Option | Tag | Description | ||||||
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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:
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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:
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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:
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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:
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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:
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Amortization Methodology | 16007 | Specifies the type of amortization methodology that Eagle Accounting can lock in and apply. Options include:
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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:
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| 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:
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| 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:
NOTE: Mortgage backed securities also, by default, always recalculate the yield on coupon dates. Option when you do not want to recalculate:
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Options that recalculate based on a specified time period:
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Options that recalculate based on specified SMF data changes:
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Options that group the SMF data change options:
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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.
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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.
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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:
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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:
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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:
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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:
Options that recalculate based on a specified time period:
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Options that recalculate based on specified SMF data changes:
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Options that group the SMF data change options:
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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:
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:
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Amortization at Disposition | 3902 | Specifies whether the system amortizes at disposition. Options include:
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Allow Amortization on Short Positions | 11484 | Determines whether to allow amortization on short positions. Options include:
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| 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:
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Use User Defined Amortization Schedule | 9156 | Indicates whether to use a customized amortization schedule for a particular lot. Options include:
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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:
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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:
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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:
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| 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:
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:
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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:
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:
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:
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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:
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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:
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| 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:
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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
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Paydown Costing Allocation | 16008 | Determines how to cost paydown transactions. Options include:
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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:
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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:
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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:
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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:
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