Manage Variable Rates

Owned by Tom Fahey (Unlicensed)
Last updated: Oct 25, 2016 by Former user (Deleted)
5 min read

If a security has a floating rate, variable rate, step rate, or an unscheduled variable rate coupon type, you must establish a coupon rate in the Variable Rate table to recognize accruals and amortization, and calculate an amortization and trade yield. If a security has one of the coupon types mentioned above, and no variable rate is in the Variable Rate table, the system generates an error when the earnings process is invoked. For these securities, the coupon field on the security master record is used for reference purposes only.

Variable rate information is source specific, so rates can be stored for multiple sources. The source on the security has to match the variable rate source on the entity in order for it to be used in fixed income processing.

For OID (original issue discount) eligible bonds that have a floating, variable rate, step coupon, or an unscheduled variable rate coupon type, the system requires a coupon rate as of the issue date to calculate an adjusted issue price.

Add Rates

To add one or more variable rates:

Content on this page:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Issue Variable Rates and Add Variable Rate.
    You see the Add Variable Rate panel.
  5. Complete the options on the Add Variable Rate panel.
    The following fields are required to add a variable rate:  Source Name, Asset ID Type, Asset ID, Issue Name, Effective Date, Variable Rate,
  6. To add additional variable rates:
    –  Right click near the bottom of the panel and select Add Rows.
    –  Enter the number of rows you want to add.
    –  Click OK.
    –  Complete the options on each row you added.
  7. Click Submit.

Change Variable Rates

To change a variable rate:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Issue Variable Rates and Change Variable Rate.
    You see the Change Variable Rate panel.
  5. Complete the options on the Change Variable Rates panel.
    For example, enter the query parameters to identify the rate you want to change.
  6. Click Submit.
    You see a list of rates that meet the selection criteria.
  7. Select the rate you want to change and click Change Selected Variable Rate Record.
  8. Update the record with the correct values for the Variable Rate, Next Refix Date, Schedule Period Type, and Reset Day fields.
    The effective date is part of the primary key and you cannot change it. If you need to change the effective date, you must delete the record and re-enter the rate using the correct date.
    If a rate is changed for the current coupon period, the system picks up the new variable rate the next time the earnings process is invoked. If the variable rate is changed for a prior period, the earnings process needs to be rolled back to the effective date of the variable rate change, and replayed forward to correctly reflect the position's earnings value.
  9. Click Submit.

Delete Variable Rates

To delete a variable rate:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Issue Variable Rates and Delete Variable Rate.
    You see the Delete Variable Rate panel.
  5. Complete the options on the Delete Variable Rates panel.
    For example, enter the query parameters to identify the rate you want to change.
  6. Click Submit.
    The system displays the values that meet the specified criteria.
  7. Select the rate you want to delete and click Delete Selected Variable Rate Record.
  8. Click Submit.

List Variable Rates

To list a variable rate:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. In the left navigation, double click Issue Variable Rates and List Variable Rates.
    You see the List Variable Rates panel.
  5. Complete the options on the List Variable Rates panel.
    For example, enter the query parameters to identify the rate you want to change.
  6. Click Submit.

Add Variable Rate Panel Options

The following are the options in the Add Variable Rate panel. 

Option

Tag

Description

Lookup Security



Source Name

3301

Specifies the source interface. This field must match the value in the Variable Rate Source field (tag 3301) on the entity for the system to recognize that rate in the earnings process. If the source name does not match the entity's variable rate source, the system does not use the rate in the earnings process.

Asset ID Type

1432

Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL.

Asset ID

14

Specifies the identification number for the security.

Issue Name

961

Specifies the name of the security.

Coupon Type Code

97

Displays the specified coupon rate.

Maturity Date

38

Displays the date the final principal payment is due on the security.

Issue Date

68

Displays the date the security was issued.

Dated Date

1183

Displays the dated date of the issue.

Processing Security Type

3931

Specifies the processing security type.

Variable Rates



Effective Date

1109

Specifies the effective date of the variable rate. For an unscheduled variable rate coupon type, the effective date is also the coupon drop date.

Variable Rate

96

Specifies the variable rate for the security record.

Next Refix Date

1125

Determines the period remaining until the next adjustment of the interest rate for variable rate securities.
The system uses this value to calculate days to maturity for variable rate securities in the Weighted Average Maturity (WAM). You can use the Add Report Override panel to apply a refix override for a security or security/entity combination that influences the report.

Schedule Period Types

1123

Specifies the frequency of the rate reset. It is used for reporting only. Options include:

  • Annually
  • Bi-monthly
  • Daily
  • Monthly
  • None
  • Quarterly
  • Semi-annually
  • Weekly

View Variable Rate Journals

The Variable Rate Journal keeps track of changes made to the variable rates.

To view the Variable Rate Journal:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. Use Issue Viewer to locate the variable rate security you want to view in the Variable Rate Journal.
  5. Click the security in the Query Result list.
  6. Click the Variable Rates tab near the middle of the Query Result window.
    If no rates exist, you see a "Query returned no data" message. Otherwise, you see a list of existing variable rates.
  7. Click the Variable Rate Journal tab.
    You see the List Variable Rate Journal Details panel.
  8. Complete the options on the List Variable Rate Journal Details panel.
    The Begin Date and End Date fields refer to the update date (date of change) rather than the effective date of the variable rate.
  9. Click Submit.
    You see the Submit Query dialog box.
  10. Click the Standard Report, Grid Report, or Advanced Report button.
    You see the variable rate change history in the selected format.