Versions Compared

Old Version 6

changes.mady.by.user Nancy Cohn (Deactivated)

Saved on

compared with

New Version Current

changes.mady.by.user Jawann Swislow

Saved on

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

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

  • Underlying index (identified by underlying security information)

  • Index Offset

  • Day Count Basis

  • Coupon

  • Coupon Type Code

  • Payment Frequency

In this section

Child pages (Children Display)

The effective date for changes to a security's underlying index or index offset starts on the reset date. The effective date for changes to the day count basis, coupon, coupon type, or payment frequency starts on the coupon date. If a security has multiple changes to its index and index offset that share the same coupon period, the earning's process treats each earnings time period as a quasi coupon period. The system adds each of the quasi accrual periods together to create the coupon for the entire coupon period.

...