About Underlying Information Fields

Inverse Floater Rate

1553

Identifies the inverse floater rate. The Inverse Floater Rate security is a debt instrument whose coupon rate is calculated inversely to the underlying index that is attached to it. The Inverse Float Rate field is part of the fixed rate component of the inverse floating coupon rate calculation. This field appears and is required if you select a Coupon Type Code of Inverse Floating (Type R).

Example

Coupon Rate = (Inverse Floater Rate - (Inverse Floater Rate Multiplier * (Index on Floating Rate Security + Index Offset)))

Values

• Inverse Floater Rate = 32

• Inverse Floater Multiple = 4

• LIBOR = 6.5

• Index Offset (spread) = 50

Calculation

32 - (4 * (6.5+.5)) = Coupon Rate to accrue for
32 - 28 = Coupon Rate of 4

Conclusion
As the rate of the underlying index increases, the rate of the security decreases.

Inverse Floater Multiple

4532

Stores the number that is multiplied by the coupon rate of the underlying index, when calculating the inverse floating rate. (The inverse multiplier field is used in the preceding Inverse Floater Rate calculation example.) 

Dated Date CPI

1550

Specifies the value of the consumer price index (CPI) that is used to measure inflation of an inflation bond security, as of the dated date of the security. The Dated Date CPI is used as a base line to measure inflation adjustment to the bond. This field is required for securities with a Processing Security Type of DBFLTP.

Underlying Issue Name

1141

 Specifies the name of the underlying security. This field can store the following:

• The underlying index, that a security with a floating rate or inverse floating rate coupon, uses to calculate the coupon.

• The underlying index that an Inflation Bond security measures inflationary adjustments against.

• The security that a convertible bond converts into.
  When you use the underlying index name lookup to select a value, the system populates the Underlying Asset ID value.

Underlying Asset ID

1348

 Specifies the asset identifier of the underlying security. This field can store the following:

• The underlying index, that a security with a floating rate or inverse floating rate coupon, uses to calculate the coupon.

• The underlying index that an Inflation Bond security measures inflationary adjustments against.

• The security that a convertible bond converts into.
  When you use the Underlying Asset ID lookup to select a value, the system populates the Underlying Issue Name value.