When you set up a floating rate or inverse floater type security, you specify a Coupon Type value of Floating Rate or Inverse Floating Rate. You use the Floating Rate Information fields to define the rate reset criteria. A description of those fields follows. 

How Eagle Accounting Uses Floating Rate Information

Eagle Accounting begins using the Dated Date Rate of the underlying index plus any applicable index offset, from the period from Dated Date to the First Rate Reset. Floating Rates and Inverse Floating Rate securities do not automatically change to a new rate when that rate becomes available (based upon the underlying security's security alias in the Variable Rate table) instead, rate changes are based on dates in the rate reset array, which are created using the first Rate Reset Date, Reset Frequency, Business Calendar, and the Business Day Convention. Note that contrary to the coupon reference data used to build the regular coupon array, there is no last rate reset date available.

Also note that the Business Calendar field is available for all securities, not just Inverse Floaters/Floating Rates and is required when you select a Business Day Convention or Day of Month Override field based on Business Day.

Fields That Support Rate Reset Frequency

As part of the floating rate process, Eagle Accounting uses the following fields to support the rate reset frequency:

• First Rate Reset Date (tag 10911). Specifies the very first date the rate resets from the dated date of the security. The system uses the First Rate Reset Date, Reset Frequency Code, Business Calendar, and Business Day Convention options to create the floating rate reset schedule of the security.
• Reset Frequency Code (tag 1788). Specifies the frequency by which the security resets its rates, beginning from the date in the First Rate Reset Date field.
• Reset Look Back Days (tag 10547). Specifies the actual number of days to look back when setting the rate on the reset date. Floating Rate type securities can use a past rate on the specified Reset Date. For example, if a Floating Rate security has a Reset Frequency of Semiannual with resets falling on 2/1 and 8/1, and a value of 10 in the Reset Look Back days, on February 1st the rate is reset to the underlying rate for January 22nd (February 1st minus 10 days).
• Reset Look Back Days Type (tag 5075). Indicates whether the reset look back days are business days or calendar days. Options include:
  • B (Business). Uses business days to identify reset look back days, using the Business Calendar Name field (tag 1480) to identify the security's business calendar.
  • C (Calendar). Uses calendar days to identify reset look back days.
• Periodic Cap (tag 10907). Sets the limits for how much the rate can move from period to period and over the life of the loan. Specifies the maximum allowed increase in a variable rate from one period to the next.
• Periodic Floor (tag 10907). This field sets the limits for how much the rate can move from period to period and over the life of the loan. This field specifies the maximum allowed decrease in a variable rate from one period to the next.
• Lifetime Cap (tag 10909). Sets the limits for how much the rate can move from period to period and over the life of the loan. Specifies the maximum lifetime coupon rate.
• Lifetime Floor (tag 10910). Sets the limits for how much the rate can move from period to period and over the life of the loan. Specifies the minimum lifetime coupon rate.

• Business Calendar Name (tag 1480). Specifies the business calendar for the security. A security does not always utilize the same business calendar of the country that the security was issued in. Therefore Eagle Accounting separates the security's Business Calendar Name value from the security's Issue Country Code value. For example, a bond issued in Canada, trading in USD on the London Stock Exchange can use a Great Britain calendar and not a Canadian calendar.
• Business Day Convention (tag 1536). Used to create rate reset schedules and used when a payment date is scheduled for a non-business day. If for example, a rate reset schedule is expected on the 22nd of the month but the 22nd falls on a Saturday, using Following Business Day Adjust, the rate reset schedule is set to the 24th for that coupon period and Rate Reset Date.

ALSO COUPON TYPE. BUSINESS DAY CONVENTION

The following figure shows the Floating Rate Information fields that the system uses for rate resets.

Figure 30: Long Term Debt Panel – Floating Rate Information Fields