About Interest Rate Conversion Flags Fields

Indicates whether you can convert the fixed income security's reference interest rate from one rate quotation basis to another. This option is available only for debt and derivative securities. Options include: 

• Yes. You can convert the fixed income security's reference interest rate from one rate quotation basis to another.
• No. Default. You cannot convert the fixed income security's reference interest rate from one rate quotation basis to another.

Identifies the name of the rate conversion rule used to convert the fixed income security's reference interest rate from one rate quotation basis to another. The rate conversion rule determines the inputs of the conversion calculation. This field appears if you set the Convert Interest Rate field to Yes.

If you set up a floating rate or inverse floating rate security with a reference rate for an underlying index that converts the interest rate, this field displays the rate conversion rule you specified for the underlying index as the default value. Otherwise, you can select a rule. Options include:

• Semi-annual 30/360 to Monthly 30/360 (6M30360IM30360). For use with Canadian MBS.
• Discount ACT/360 to Daily ACT/365 (DRA360IDA365). For use with commodity total return swaps.

Displays the rate quotation basis of the input rate for the selected rate conversion rule. This field appears after you select a value for the Rate Conversion Rule field. If you selected a rate conversion rule of: 

• Semi-annual 30/360 to Monthly 30/360 (6M30360IM30360), for use with Canadian MBS, this value is Semi-Annual Compounding.
• Discount ACT/360 to Daily ACT/365 (DRA360IDA365), for use with commodity total return swaps, this value is Discount Rate Basis.

Displays the day count basis for the input rate for the selected rate conversion rule. This field appears after you select a value for the Rate Conversion Rule field. If you selected a rate conversion rule of: 

• Semi-annual 30/360 to Monthly 30/360 (6M30360IM30360), for use with Canadian MBS, this value is 30/360.
• Discount ACT/360 to Daily ACT/365 (DRA360IDA365), for use with commodity total return swaps, this value is ACT/360.

Displays the rate quotation basis of the output rate for the selected rate conversion rule. This field appears after you select a value for the Rate Conversion Rule field. If you selected a rate conversion rule of: 

• Semi-annual 30/360 to Monthly 30/360 (6M30360IM30360), for use with Canadian MBS, this value is Monthly Compounding.
• Discount ACT/360 to Daily ACT/365 (DRA360IDA365), for use with commodity total return swaps, this value is Daily Compounding.

Displays the day count basis of the output rate for the selected rate conversion rule. This field appears after you select a value for the Rate Conversion Rule field. If you selected a rate conversion rule of: 

• Semi-annual 30/360 to Monthly 30/360 (6M30360IM30360), for use with Canadian MBS, this value is 30/360.
• Discount ACT/360 to Daily ACT/365 (DRA360IDA365), for use with commodity total return swaps, this value is ACT/365.