When you set up a floating rate or inverse floater type security, you specify a Coupon Type value of Floating Rate or Inverse Floating Rate. You use the Floating Rate Information fields to define the rate reset criteria.
How Eagle Accounting Uses Floating Rate Information
Eagle Accounting begins using the Dated Date Rate of the underlying index plus any applicable index offset, from the period from Dated Date to the First Rate Reset. Floating Rates and Inverse Floating Rate securities do not automatically change to a new rate when that rate becomes available (based upon the underlying security's security alias in the Variable Rate table) instead, rate changes are based on dates in the rate reset array, which are created using the first Rate Reset Date, Reset Frequency, Business Calendar, and the Business Day Convention. Note that contrary to the coupon reference data used to build the regular coupon array, there is no last rate reset date available.
Also note that the Business Calendar field is available for all securities, not just Inverse Floaters/Floating Rates and is required when you select a Business Day Convention or Day of Month Override field based on Business Day.
For Floating Rate Coupon Type or Inverse Floating Rate Coupon Type securities:
- When you select a Coupon Type of Floating Rate, the Coupon Rate field (tag 70) on the SMF is then only used for reporting, and no processing is done with that field.
- Eagle Accounting does not support the setup of Floating Rate TIPS or Convertible bonds with a Floating Rate Coupon Type. There is a conflict between the primary and underlying security master files, specifically the Index Offset, and Convertible Ratio fields. Therefore, Floating Rate TIPS and Convertible Bond securities should be set up as Variable Rate securities.
A description of the Float Rate Information fields follows.
Floating Rate Information Fields
Eagle Accounting provides the following fields to support rate reset frequency for floating rate and inverse floating rate coupon type securities.
Option | Tag | Description |
|---|---|---|
First Rate Reset Date | 10911 | Specifies the first calendar date that the rate resets from the dated date of the security. The system uses the First Rate Reset Date field, along with Reset Frequency Code, Business Calendar, and Business Day Convention field values to create the floating rate reset schedule of the security. This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Frequency | 476 | Specifies the frequency at which the security resets its rate, beginning from the date defined in the First Rate Reset Date field. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). Options include:
|
Reset Frequency Code | 1788 | Specifies the code associated with the frequency at which the security resets its rate beginning from the date defined in the First Rate Reset Date field. This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). Options include:
|
Reset Lookback Days | 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. |
Reset Lookback Days Type | 5075 | Indicates whether the system bases the reset look back days on valid business days or actual calendar days. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). Options include:
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Reset Lockout Days | 10549 | Specifies the number of days at the end of a given period for which any new, daily rates are effectively locked out. Instead, the same rate is used across the lockout period. The rate referenced is the one that was used on the business day prior to the lockout period. The system performs the count backwards from the coupon date, inclusive of the lockout effective date and exclusive of the coupon date. This field does not appear if the Observation Period Adjust Days field has a value greater than zero. |
Reset Lockout Period | 18083 | Indicates how to identify the reset lockout period. This field appears if you specify a value for the Reset Lockout Days field. Options include:
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Observation Period Adjust Days | 18086 | Specifies the actual number of days that the system should shift backwards by when setting the rate. The indices rate and the weighting of the rate in the compounding formula are determined based on the day the index rate represents in the Observation Period rather than the day of the Interest Period. This field does not appear if you specify a value for either the Reset Lookback Days or Reset Lockout Days fields. Conversely, if you define a value for the Observation Period Adjust Days field, the panel hides the Lookback and Lockout fields. |
Coupon Rate Fixing Method | 18274 | Identifies the coupon rate fixing method. Options include:
|
Fixing Date Business Center | 16407 | Specifies the fixing date business calendar for the security. The Earnings process uses this business calendar you select to identify business days and non business days for the purposes of determining the fixing date for floating rate and inverse floating rate coupon date. The fixing date is the date on which a rate/price is selected for use on the reset date. If you do not select a value, the Earnings process uses the business calendar selected in the Business Calendar Name field (tag 1480) to determine the fixing date. This option allows you to specify separate calendars when a security uses one calendar for dropping coupons and a different calendar for resetting the floating rate. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). |
Rate Reset Change Cap | 10907 | Specifies the maximum allowed increase in a variable rate from one period to the next period. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). For more information about rate reset values, see Determine Floating Rate Resets. |
Rate Reset Change Floor | 10908 | Specifies the maximum allowed decrease in a variable rate from one coupon period to the next coupon period. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). For more information about rate reset values, see Determine Floating Rate Resets. |
Rate Reset Cap (formerly Lifetime Cap) | 10909 | Specifies the maximum coupon rate allowed during the life of the security. This field sets the limits for how much the coupon rate can move from period to period and over the life of the loan. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). For more information about rate reset values, see Determine Floating Rate Resets. |
Rate Reset Floor | 10910 | Specifies the minimum coupon rate allowed during the life of the security. This field sets the limits for how much the coupon rate can move from period to period and over the life of the loan. This field identifies the minimum lifetime coupon rate. Applies to the calculation of floating rate or inverse floating rate coupon types. For all other coupon type such as variable rate, this field is reference only. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). For more information about rate reset values, see Determine Floating Rate Resets. |
The rate reset process also uses the Business Calendar Name and Business Day Convention, described in About Coupon Period Fields. It uses the Business Day Convention (tag 1536) to create rate reset schedules and is 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.
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