About Reset Frequency Code Values

Eagle Accounting supports the following rate reset frequencies for Floating Rate and Inverse Floating Rate coupon types. You can select the following code values for the security's Reset Frequency field.

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.
• Coupon Type Code (tag 97). Specifies the interest rate of the security. Options include:
  • Floating Rate. The security has fixed coupon dates and uses a variable rate that is based on an underlying index and index offset to calculate the coupon to use for earnings. You must enter the rates attached to the underlying index security in the Variable Rate table.
  • Variable Rate. The security has fixed coupon dates and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. You must enter the rate in the Variable Rate table.
  • Inverse Floater. The security has fixed coupon dates and uses a variable rate whose coupon rate is calculated inversely to the underlying index to which it is attached. When you select this value, the system displays the following fields: Inverse Floater Rate, Inverse Floater Multiple, Underlying Issue Name, Underlying Asset ID, and Index Offset. You must enter the rates attached to the underlying index security in the Variable Rate table. Note that the Inverse Floating coupon type replaced the processing security type (PST) code DBIVIV, and drives all existing inverse floating rate requirements and processing.
  • Step Rate. The security has fixed coupon dates and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. You must enter the rate in the Variable Rate table. The system recognizes this option as a step bond (also called a step coupon bond, step up bond, or step down bond). See "Step Bonds."
  • Fixed Rate. The security has fixed coupon dates and has a fixed coupon rate to calculate the coupon for use in earnings.
  • Unscheduled Variable Rate. The security has unscheduled payments and accrues interest based on a rate you enter in the Variable Rate table. See "About Unscheduled Variable Rates.

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