Set Up the Convertible Bond SMF Record

Owned by Nancy Cohn (Deactivated)
Last updated: Jan 23, 2024
4 min read

To set up a convertible bond security master file, you can use Reference Data Center to create a security. For details, see Create and Delete Securities. Otherwise, if you use Issue Viewer, see Manage Long Term Debt Instruments in Issue Viewer.

Set Up the Underlying Security

The underlying security for the bond conversion feature should exist before you set up the convertible bond. The underlying security is the security into which the convertible bond converts. 

Set Up the Convertible Bond

A Convertible Bond SMF record must adhere to the same requirements as all fixed income: the First and Last Coupon Date must be in sync with the Payment Frequency of the bond, and you must enter all required fields needed to establish the SMF record before you submit the record. Additionally, you should also supply the following information.

The following are the key options for a convertible bond. If you use Issue Viewer, see the Long Term Debt Panel Options page for more information about the Long Term Debt panel. Note options may vary according to your selections. 

  • Processing Security Type (tag 3931). Select a value of Interest Bearing Debt Instrument (DBIBFD) for a convertible bond.

  • Coupon Type Code (tag 97). Select Variable Rate if the convertible bond has a floating rate or inverse floating rate.

  • Convertible Indicator (tag 1531). Indicates whether the security is a convertible bond. If you select Yes, you must enter underlying security information. 

  • Underlying Information. In the Underlying Security ID field (tag 1348) or Underlying Issue Name (tag 1141) fields, you can identifies the underlying security. This is the security that a convertible bond converts into.

  • Index Offset (tag 215). Represents the number of shares of the underlying security, per 1000 par of the bond, to which the bond can convert (conversion ratio). This option is named Spread in the Long-Term Bond data strategy.

The system stores prices for the underlying security and maintains them at the Asset ID level of the underlying security in the Issue Price table, as for any security. Because Eagle Accounting stores the convertible data in the Underlying Information fields, you must set up convertible bonds with floating rate and inverse floating rate securities with a Variable Rate coupon type, and treat them as variable rate securities.

In the event that you do not provide the convertible information at the time you create the security master record, you can enter the underlying information after you save the security master record.

Example: Establishing a Convertible Bond SMF Record

In this example, you want to establish an SMF record for a convertible bond, for XYZ Corp. This is a USD-based security, accruing at a fixed rate of 5% on a 30/360 basis. The security was issued on 1/15/2004 at a price of 100, and it pays semi-annually on 1/15 and 7/15, with a Maturity Date of 1/15/2012. The underlying security for this bond is XYZ Corp Equity and the conversion ratio is 42.1052 shares of common stock per 1000 par.

You enter the following information in the Long Term Debt panel, if you use Issue Viewer.

Option

Value

Option

Value

Issue Name

XYZ Convertible Bond

Issue Description

XYZ Convertible Bond

Primary Asset ID

XYZCB1234

Processing Security Type

DBIBFD

Issue Country Code

US

Asset Currency

USD

Settlement Currency

USD

Income Currency

USD

Coupon

5

Coupon Type Code

Fixed

Day Count Basis

30/360

Payment Frequency

Semi-annual

Issue Date

20040115

Dated Date

20040115

First Coupon Date

20040715

Last Coupon Date

20110715

Maturity Date

20120115

Maturity Price

100

Convertible Indicator

Y

Underlying Issue Name

XYZ Corp Equity

Index Offset

42.1052


The following table displays the fields and values in the Long Term Debt panel in this example.

SRM Status Flags

 

Release Status(614:S)

1

Authorize Flag(11742:S)

 

Validation Process Flag(4569:S)

 

Long Term Debt Identification

 

Issue Name(961:S)

XYZ CONVERTIBLE BOND

Issue Description(962:S)

 

Ticker(13:S)

mpsxyz

CUSIP/SEDOL Check Digit Control Flag(2292:S)

 

Primary Asset ID Type(1432:S)

INTERNAL

Primary Asset ID(14:S)

XYZ CONVERTIBLE BOND

Alt Asset ID Type(5501:S)

 

Alt Asset ID(1795:S)

 

Long Term Debt Xreference Identification

 

X Alias 1(1951:H)

0

CUSIP(1952:S)

 

Security id type 1(1953:H)

CUSIP

X Alias 2(1954:H)

0

ISIN(1955:S)

 

Security id type 2(1956:H)

ISIN

X Alias 3(1957:H)

0

Sedol(1958:S)

 

Security id type 3(1959:H)

SEDOL

X Alias 4(1960:H)

0

Reuters(1961:S)

 

Security id type 4(1962:H)

RIC

X Alias 5(1963:H)

0

Bloomberg ID(1964:S)

 

Security id type 5(1965:H)

BBID

X Alias 6(1966:H)

0

SICOVM(1967:S)

 

Security id type 6(1968:H)

SICOVM

X Alias 7(1969:H)

0

Valoren(1970:S)

 

Security id type 7(1971:H)

VALOREN

X Alias 8(1972:H)

0

Cash Matching ID(1973:S)

 

Security id type 8(1974:H)

CMM

X Alias 9(1975:H)

76,354

INTERNAL(1976:H)

XYZ CONVERTIBLE BOND

Security id type 9(1977:H)

INTERNAL

X Alias 10(1978:H)

0

CINS(1979:S)

 

Security id type 10(1980:H)

CINS

XREF Exchange(1981:S)

BSE

Long Term Debt Details

 

Investment Type(11:S)

FI

Processing Security Type(3931:S)

DBIBFD

Security Type(82:S)

 

Sub Security Type(1464:S)

 

Granularity Category(11476:S)

 

Cost Basis Rule Type(2817:S)

 

Quantity Type(12:S)

PAR

Price Multiplier(18:S)

0.0100

Quantity Scale(19:S)

1.00

Country Of Risk(2288:S)

 

Country Of Risk Code(10536:S)

 

Issue Country(2290:S)

UNITED STATES

Issue Country Code(1418:S)

US

Dual Currency Indicator(11802:S)

No

Asset Currency(85:S)

USD

Settlement Currency(63:S)

USD

Income Currency(1186:S)

USD

Issue Tax Type(668:S)

STANDARD

Primary Exchange(2291:S)

Boston Stock Exchange

Primary Exchange Code(17:S)

BSE

Region(5423:S)

 

State Code(1343:S)

 

Amount Issued(1537:S)

 

Amount Outstanding(1543:S)

 

Muni Industry Classification(3130:S)

 

SIC Code(1789:S)

 

Amortization Accretion Rule Type(12008:S)

 

Temp For Long tag 10555(432:H)

0.000000

Demand Feature(10555:S)

 

GL Product Code(11094:S)

 

Long Term Debt Coupon Periods

 

Coupon(70:S)

5.000000

Coupon Type Code(97:S)

F (Fixed Rate)

Day Count Basis(471:S)

30/360

Payment Frequency(2287:S)

Semiannual

Payment Frequency Code(472:S)

6_M

Business Day Convention(1536:S)

 

Coupon Day Of Month(10551:H)

 

Business Calendar Name(1480:S)

 

Day of Month Override(1533:S)

 

Interest Payment Timing(1523:S)

 

Delay Days(1799:S)

 

Delay Days Type(5074:S)

 

Coupon Delay Days(4908:S)

 

Coupon Delay Days Type(3999:S)

 

Maturity Delay Days(3997:S)

 

Maturity Delay Days Type(3998:S)

 

Ex-Interest Days(3941:S)

 

Long Term Debt Dates

 

Issue Price(69:S)

100.00000000

Issue Date(68:S)

2004 01 15

Dated Date(1183:S)

2004 01 15

WV First Coupon Date(2308:H)

 

WV Last Coupon Date(2309:H)

 

First Coupon Date(473:S)

2004 07 15

Last Coupon Date(474:S)

2011 07 15

Maturity Date(38:S)

2012 01 15

Maturity Price(42:S)

100.00

Variable Rate Next Reset Date(3006:H)

 

Date Calculation Script(2300:H)

 

Calculate First/Last Coupon Dates(2301:H)

 

Calculate/Validate Last Coupon Date(2337:S)

Validate Last Coupon Date

Last Coupon Date Script(2338:H)

 

Valid Last Normal Coupon Date(2311:S)

2011 07 15

First Coupon Ex Date(4926:H)

 

Second Coupon Date(4927:H)

 

Second Coupon Ex Date(4929:H)

 

Long Term Debt Flags

 

Trading Flat(3949:S)

No

OID Indicator(218:S)

No

Zero Coupon Indicator(1300:S)

No

Convertible Indicator(1531:S)

Yes

Call Flag(1182:S)

 

Put Flag(1546:S)

 

Sink Flag(1780:S)

 

Pro Rata Sink(11304:H)

 

Federal Tax Indicator(1545:S)

 

Refund Indicator(3132:S)

 

Muni Funding Flag(3131:S)

 

AMT Flag(3113:S)

 

Insured Flag(3104:S)

 

Default Indicator(1551:S)

 

Default Date(10142:S)

 

IO/ PO Flag(10143:S)

 

PIK Flag(1777:S)

 

Restricted Flag(1139:S)

 

Inactive Flag(11043:S)

 

Eusd Eligible(11529:S)

 

Financial Innovation(11530:S)

 

Govt Bond Flag(10347:S)

 

2a7 Flag(11811:S)

 

Time Sensitive Indicator(11926:S)

 

Report Start Date(220:H)

 

SMF Earning Coupon(4228:H)

 

SMF Earning Coupon Type Code(2296:H)

 

SMF Earning Day Count Basis(2297:H)

 

SMF Earning Payment Frequency Code(2298:H)

 

SMF Earning Underlying Asset(2295:H)

 

SMF Earning Offset(970:H)

 

Essential Flag(12023:H)

 

Synthetic Eligible(12024:S)

No

Muni State Taxable Flag(10248:S)

 

144A Eligible Indicator(1301:S)

 

Private Registration(10528:S)

 

Minimum Piece(1540:S)

 

Private Placement(1421:S)

 

Look Thru Value(1808:S)

 

Look Thru Ind(1776:S)

 

QDI Eligible Flag(2905:H)

 

PFIC Flag(2906:H)

 

DRD Flag(2907:S)



Hybrid Flag(2908:S)



Perpetual Flag(10519:S)

 

SVO Category(5856:S)

 

SVO Subcategory(5858:S)

 

Floating Rate Information

 

First Rate Reset Date(10911:H)

 

Reset Frequency(476:H)

 

Reset Frequency Code(1788:H)

 

Reset Look Back Days(10547:H)

 

Reset Lookback Days Type(5075:H)

 

Fixing Date Business Center(16407:H)

 

Rate Reset Change Cap(10907:H)

 

Rate Reset Change Floor(10908:H)

 

Rate Reset Cap(10909:H)

 

Rate Reset Floor(10910:H)

 

Underlying Information

 

Underlying Security ID(1348:S)

XYZ CORP EQUITY

Underlying Issue Name(1141:S)

XYZ CORP EQUITY

Underlying Security Alias(1347:H)

33188

Underlying Sec alias WV(7102:H)

33188

Underlying Ticker(1349:S)

XYZ CORP

Underlying PST(2286:H)

 

Underlying Type(916:S)

PRIMARY

Underlying Type WV(7013:H)

PRIMARY

WV for Previous Day(2305:H)

2017 03 15

WV for Underlying Begin Date(2306:H)

1900 01 03

Index Offset(215:S)

42.10520000

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