Processing Security Type

A Processing Security Type (PST) (tag 3931) is a six-character code value used in transaction processing; it defines what kind of security that a given security ID represents. PSTs are loaded into Eagle Accounting's code category Process sec type during installation and upgrades. Eagle Accounting users cannot and should not add their own PST codes. The PST identifies what type of processing is performed (for example, Global), and which trade panel are used for entering the security in Eagle Accounting. Each security must be assigned one of the PSTs that are currently available; because each code is used for specific accounting/processing in Eagle Accounting. Eagle Accounting allows you to set up amortization rules that are specific to fixed income PST codes. The available Processing Security Types for fixed income securities, excluding Swaps, include:
DBAMTL Term Loan Facility
DBDCST Non Interest Bearing Discount Bond or Note
DBFBAL Factor Based Debt Instrument Auto Loans
DBFBCC Factor Based Debt Instrument Credit Cards
DBFBFB Factor Based Debt Instrument
DBFBIO Interest Only Factor Based Debt Instrument
DBFBPO Principal Only Factor Based Debt Instrument
DBFLTP Inflation Linked Debt Instrument
DBIBFDInterest Bearing Debt Instrument
DBIBMAInterest Bearing at Maturity
DBIBMU Interest Bearing Municipal
DBIBPKInterest Bearing Debt PIK
DBIBRP Repurchase Agreement
DBIBRR Reverse Repurchase Agreement
DBIBSB Buy Sellback & Sell Buyback
DBIBSTInterest Bearing Short Term
DBIBTLTerm Loan Contract
DBIBTR Trains
DBIVIV Inverse Floating Debt Instrument (PST no longer used)
DBSTSTSTIF
DBTATA TBA
OPIRFL Interest Rate Option - Floor
OPIRCA Interest Rate Option - Cap
All of Eagle Accounting's fixed income Processing Security Types (PST) start with the letters, DB. Interest Rate Option Contracts start with the letters, OPIR. Swap securities start with the letters, SW. Eagle Accounting uses these letter combinations to determine whether the security is eligible for the earnings process. In the Security Master Panel, certain PST code values make certain fields, relevant for that processing security type, visible. Securities with the third and fourth character of the PST code value set to FB are eligible for factor processing.

Defining Processing Security Types

For the earnings process, there is no fundamental difference between these PST codes:

• DBIBFD
• DBIBMU
• DBIBST
• DBIBMA

The earnings process for these Processing Security Type codes processes yields, earnings, and amortization calculations in the exact same manner. Eagle Accounting calculates each security's amortization and trade yield based on a discount cash flow, adhering to values from the Entity/ Accounting Basis Amortization rules. Accruals are calculated using the fixed income attributes from the security master, each time earnings are run. Securities with this sort of Processing Security Type are added via the Add Long Term Debt panel. The Processing Security Type Code DBIBMA is not provided as part of a fresh install script of Eagle Accounting.

PST Code DBFLTP (Inflation Linked Debt Instrument) identifies a security as a Capital index Bond, also known as an inflation linked bond. When you select the DBFLTP PST, Eagle Accounting requires that you populate the underlying index with the index that the security Marks to Market for inflation, ILB Calculation Type (tag 11808), ILB Index Precision, ILB Deflation Protected Maturity, and also requires a Dated Date CPI-U as part of the security master record setup. The Dated Date CPI is the index value used to measure inflation as of the Dated Date of the security, and it is used in calculating inflation for the security.
You can add securities with this PST using the Add Long Term Debt panel. For more information, see "Inflation Linked Bonds."
PST Code DBIBPK (Interest Bearing Debt PIK) identifies the security as a Payment in Kind bond. Eagle Accounting uses this PST code as a panel edit for processing Payment in Kind corporate actions and payment in kind processes. Note that Eagle Accounting accrues and processes accretion and amortization in the normal manner, but the dropping of a coupon and or creation of Baby Bonds, occurs within corporate action processing. You can add securities with this PST using the Add Long Term Debt panel. For more information about processing PIK Bonds, see "Fixed Income Corporate Actions."
PST Code DBIVIV (Inverse Floater) identifies the security as an Inverse Floating Debt bond. Based on PST code DBIVIV, Eagle Accounting accrues inversely to an index. When the PST field is set to DBIVIV, Eagle Accounting requires that Coupon Type (tag 97) be set to Inverse Floating Rate (code type R), as well as requires that the underlying information, Inverse Floater Rate (tag 1553) and Inverse Floater Multiple (tag 4532) be added when creating the security. You can add securities with this PST using the Add Long Term Debt panel. For more information about Inverse Floater, see "Variable Rate and Floating Rate Securities."
This Processing Security Type is no longer provided as part of a fresh install script of Eagle Accounting. The reason for the exclusion of this PST code value is due to the introduction of Inverse Floating Rate Coupon Type. Securities with PST code of DBIVIV have the Coupon Type upgraded to Inverse Floating Rate as part of the upgrade process.
PST Code DBDCST (Non Interest Bearing Discount Bond or Note) identifies the security as a short term discount bond. A discount bond is a short-term, non-interest-bearing note that is generally sold at a discount to par, but matures (be redeemed) at the full face of the bond. Eagle Accounting uses an SIA Volume 1 yield formula (simple discount formula) to calculate trade and amortization for PST code DBDCST. Also, Eagle Accounting permits you to choose the accretion of discount as accrual, or as amortization. (Setup information for this option is located in "Entity-Accounting Basis Elections." You can add securities with this PST using the Add Short Term Debt panel.

PST Code DBIBRP (Repurchase Agreement) identifies the security as a repurchase agreement. Eagle Accounting uses this PST code in panel edits, and to drive Repo/Collateral processing. You can add securities with this PST using the Add Short Term Debt panel, or via the Repo Processing panel.
PST Code DBIBSB (Buy Sellback & Sell Buyback) identifies the security as a Buy Sellback (BSB) or Sell Buyback (SBB). You can add securities with this PST using the Buy Sellback & Sell Buyback panel. For more information about BSB/SBB processing, see "Buy Sellbacks and Sell Buybacks."
PST Code DBSTST (STIF) identifies the security as a Short Term Index Fund. Securities with this PST code are eligible for global STIF processing. You can add securities with this PST using the Add Short Term Debt panel. For more information about STIF processing, see "Short Term Invest Fund (STIF) Vehicles."
PST Code DBFBFB (Factor Based Debt Instrument) is used to identify MBS securities that pay both principal and interest. For this PST, Eagle Accounting utilizes the Bond Market Association MBS Yield formula for calculation of amortization. You can add securities with this PST using the Add Mortgage Backed Securities panel. For more information on MBS processing, see "Mortgage-backed (MBS) and Asset-backed (ABS) Securities."
PST Code DBFBIO (Interest Only Factor Based Debt Instrument) is used to identify MBS securities that pay only interest. For this PST, Eagle Accounting utilizes the Bond Market Association MBS Yield formula for calculation of amortization. You can add securities with this PST using the Add Mortgage Backed Securities panel. For more information about MBS processing, see "Mortgage-backed (MBS) and Asset-backed (ABS) Securities."
PST Code DBFBPO (Principal Only Factor Based Debt Instrument) is used to identify MBS securities that pay only principal. Eagle Accounting utilizes the Bond Market Association MBS Yield formula for calculation of amortization for this Processing Security Type. You can add securities with this PST using the Add Mortgage Backed Securities panel. For more information on MBS processing, see the "Mortgage-backed (MBS) and Asset-backed (ABS) Securities."
PST Code DBFBCC (Factor Based Debt Instrument Credit Card) is used to identify ABS Credit Card securities (securities backed by credit card receivables). Eagle Accounting utilizes a similar yield methodology as debt securities for the calculation of amortization yields. You can add securities with this PST using the Add Mortgage Backed Securities panel. For more information on MBS/ABS processing, see "Mortgage-backed (MBS) and Asset-backed (ABS) Securities."
PST Code DBFBAL (Factor Based Debt Instrument Auto Loan) is used to identify ABS Auto Loan securities (securities backed by auto loan). Eagle Accounting utilizes the Bond Market Association MBS Yield formula for calculation of amortization for this Processing Security Type. You can add securities with this PST using the Add Mortgage Backed Securities panel. For more information on MBS/ABS processing, see "Mortgage-backed (MBS) and Asset-backed (ABS) Securities."
PST Code DBTATA (TBA) is used to identify MBS TBA securities. This PST drives TBA processing and allocation. You can add securities with this PST using the Add Mortgage Backed Securities panel. For more information on TBA processing in Eagle Accounting, see "To Be Announced (TBA) Trades."
PST Code DBIBTR (Trains) is used to identify Targeted Return Index Security (TRAINS) type securities. This PST drives TRAINS processing and allocation. You can add securities with this PST using the Add Mortgage Backed Securities/Trains panel. For more information, see "Targeted Return Index Securities (TRAINS)."
PST Code DBAMTL (Term Loan Facility) is used to identify Term Loan facility level securities. You can add securities with this PST using the Add Term Loans panel. For more information on term loan processing in Eagle Accounting, see the Term Loans User Guide.
PST Code DBIBTL (Term Loan Contract) is used to identify Term Loan contract level securities. You can add securities with this PST using the Add Term Loans panel. For more information on term loan processing in Eagle Accounting, see the Term Loans User Guide.
PST Code OPIRFL (Interest Rate Option Contract Floor) is used to identify a security as an Interest Rate Floor contract. You can add securities with this PST using the Cap/Floor panel. For more information, see "Caps and Floors."
PST Code OPIRCA (Interest Rate Option Contract Cap) is used to identify a security as an Interest Rate Cap contract. You can add securities with this PST using the Cap/Floor panel. For more information, see "Caps and Floors."

Denomination Fields

The Quantity Type (tag 12) field stores the type of unit that the security trades in. As a default, Eagle Accounting uses Par. This field is for reporting and reference only.
The Price Multiplier (tag 18) field determines how Eagle Accounting views a price. In the case of fixed income securities, Eagle Accounting defaults to a Price Multiplier of .01, which treats the price as a percentage (for example, a price of 100 is equal to 100%). Once a position exists, this value should be not be changed.
The Quantity Scale (tag 19) field is used in calculating the ratio of units bought, to units used for earnings. The Eagle Accounting default is 1, so that 1 unit of Par purchased equals one unit of earnings. Once a position exists, this value should be not be changed.

Country and Currency Fields

The Issue Country Code (tag 1418) field is used in tax withholding and tax reclaim processing. You can populate the Issue Country Code field with the ISO Code Value for the Country of Tax. Eagle Accounting populates the code category, COUNTRY CODE, with the ISO Country Code during the install/upgrade procedure. When you populate the Country Code (with a valid country code), Eagle Accounting populates the Issue Country field. If the value for this field changes after a position's inceptions, the change in this field affect current and future coupon period earnings. Prior coupon period earnings are not affected by a change to this field, unless: earnings are rolled backed to that period and then rolled forward, or a trade is backdated for a previous coupon period - and thus when earnings roll forward, they pick up the new value when the earnings process runs.
The Issue Country (tag 2290) field is used in tax withholding and tax reclaim processing, and in calculating what tax rate to apply. You can populate Issue Country with the country name for the security's country of tax. Eagle Accounting populates the code category, COUNTRY CODE, with a list of valid Country Names as part of the install/upgrade procedure. When you populate Issue Country Name with a valid country, Eagle Accounting populates the Issue Country Code field. If the value for this field changes after a position's inception, changing this field affects current and future coupon period earnings. Prior coupon period earnings are not affected by a change to this field, unless: earnings are rolled backed to that period and then rolled forward, or a trade is backdated for a previous coupon period - and thus when earnings roll forward, they pick up the new value when the earnings process runs.
The Dual Currency Indicator (tag 11802) field indicates whether the security is a dual currency instrument. A dual currency instrument is a financial instrument based in one currency that makes payments of income and/or principal in a different currency. Options include:

• Yes. Indicates that the security is a dual currency instrument. If you select Yes, you can specify an income currency and/or principal currency that differs from the asset currency. Also, additional fields in the Dual Currency Information section become available. These fixing parameters provide criteria used to retrieve the appropriate FX rate, or fixing rate, at which the dual currency instrument income and/or principal payment is converted.
• No. Default. Indicates that the security is not a dual currency instrument.

The Asset Currency (tag 85) field specifies the security's base currency and the currency in which the security was issued. For non dual currency assets, the Asset currency is used to determine the currency in which the security repays principal and interest, and the currency in which the security is priced. The dynamic lookup for this field brings back all established code values in the CURRENCY CODE code category. Once a position exists, this value should be not be changed.
The Income Currency (tag 1186) field specifies the currency in which the security pays income. This field displays the asset currency by default, but you can change it if you identify the security as a dual currency instrument. When the income currency differs from the asset currency for a dual currency instrument, the security accrues income in the asset currency but converts the local currency amounts to the income currency at the time the coupon is dropped based on the fixing parameters specified for the dual currency instrument. The dynamic lookup for this field brings back all established code values in the CURRENCY CODE code category.
The Settle Currency (tag 63) field represents the currency in which the security settles. In creating the security master record, Eagle Accounting uses the value from the Asset Currency field as the default value for the Settle Currency field, and you can then edit the field. Eagle Accounting defaults the value from the Settle Currency field in the security master record, into the Settle Currency field in the various trade panels. The dynamic lookup for this field returns all established code values in the CURRENCY CODE code category.
Issue Tax Type (tag 668) is a user-defined value that defines a security as a specific tax asset type. Issue Tax Type is used in tax withholding processing, to determine the applicable rate. The Issue Tax Type lookup returns all established issue tax types in the ISSUE TAX TYPE code category. If this value is changed after a position exists, it affects current coupon tax withholding/reclaims; it only affects prior coupon tax withholding/reclaims if those coupons are rolled back and replayed. If this value changes after a position exists, the change to this field affects current and future coupon period earnings. Prior coupon period earnings are not affected by a change to this field unless earnings are rolled backed to that period and then rolled forward, or a trade is backdated for a previous coupon period and thus when earnings roll forward, they pick up the new value when the earnings process runs.

Coupon Date Fields

Issue Date (tag 68) is the date that the security was originally issued. Eagle Accounting uses Issue Date in calculating Adjusted Issue Price for OID amortization. If the bond is OID eligible, a rate must exist as of the Issue Date, so that Eagle Accounting can calculate the adjusted issue price.
Dated Date (tag 1183) is the day the security first begins accruing. Eagle Accounting uses Dated Date and the First Coupon Date in the earnings process, to calculate the first coupon period of a security.
First Coupon Date (tag 473) is the first date that a security pays a coupon. In the case of MBS/ABS securities, the value in the First Coupon Date field should not include Delay Days.
Last Coupon Date (tag 474) is the date of the last normal-length coupon period, or last modal coupon date. Eagle Accounting calculates the last coupon period from the Last Coupon Date to the Maturity Date. In the case of MBS/ABS securities, the Maturity Date should not include Delay Days. Because the last coupon period of a security can have a short-length coupon period, or a long-length coupon period, or a normal-length coupon period, the last coupon should be set to the penultimate coupon (the 2nd to last coupon). In the event that the last coupon period is a normal-length coupon period, the last coupon period can equal to maturity, but as a best practice, it is recommended that the Last Coupon Date be set to the penultimate coupon date. In the event that Last Coupon Date is not in sync with the Payment Frequency, Day of Month Override, Business Day Calendar Adjust, Business Day Calendar, First Coupon Date, and Timing of Payment fields, Eagle Accounting generates an error, and displays an "Invalid Last Coupon Date" message, and no earnings are calculated. The value in the Last Coupon Date field should not include Delay Days.
Maturity Date (tag 38) is the date that the security matures (repays all outstanding principal and stops earning interest). In the case of MBS/ABS securities, the value in the Maturity Date field should not include Delay Days.
Payment Frequency (tag 472) is the frequency at which the security pays interest and drops a coupon. Eagle Accounting provides a complete list of valid payment frequencies in the PAYMENT FREQ code category as part of the installation/upgrade process, as shown in the following table.

Eagle Accounting can support any bonds that pay on a certain number of days every coupon period and/or certain number of months every coupon period. If there is a payment frequency that Eagle Accounting does not currently have established, you simply need to add a Code Value to the Payment Freq code category using the following format: Number of days in each coupon period, followed by an underscore and then a capital D - if the bond pays in number of Days. If the bond pays in number of Months, the code value Number of months in each coupon period, followed by an underscore and then a capital M.
For example, if an entity owns a bond that pays every 84 days, you can create a Code Value of 84_D in the PAYMENT FREQ code category. See the following figure.

Figure 4: Code Value for Every 84 Days
For example, an entity owns a bond that pays every 5 months, you can create a Code Value of 5_M in the PAYMENT FREQ code category. See the following figure.

Figure 5: Code Value for Every 5 Months
The valid Payment Frequencies (in Eagle Accounting) for MBS/ABS securities follow.

The Timing of Payment (tag 1523) field is a value, to determine the coupon dates, when more than one possible set of coupon dates can be calculated.
The available values for Timing of Payment follow:

• Last Day of the Month (LDM)
• Same Day of the Month (SDM)

If you leave the field value null, by default Eagle Accounting uses the last day of the month for calculating coupons. For example, if the First and Last Coupon Dates of a security are the fifteenth of a month, and you entered Last Day of the Month in the Timing of Payment field, the Eagle Accounting earnings process recognizes that the Timing of Payment frequency is an invalid entry.
How the Timing of Payment Field Works. Example: A security that pays semi-annual has a First Coupon Date of 2/28/99, and a Last Coupon Date of 2/28/05.
If you select Last Day of the Month or leave the Timing of Payment field null:

• Eagle Accounting generates the coupon on February 28th (February 29th in a leap year) and August 31st.

If you select Same Day of the Month in the Timing of Payment field:

• Eagle Accounting calculates the coupon to occur on February 28th and August 28th.

Business Calendar Name (tag 1480) is used to store the business calendar for a particular security. The Business Calendar contains the valid Business Day and Non-Business Day for a particular calendar. The Business Calendar is used in conjunction with the First Coupon Date, Last Coupon Date, Payment Frequency, Day of Month Override, Business Day Adjust, and Payment of Timing fields to generate the coupon schedule of a bond.
The Day of Month Override (tag 1533) is used in conjunction with the Payment Frequency (tag 472) field to calculate coupons that pay on certain business days of the month, or that pay based on a certain occurrence during the month. Eagle Accounting provides a list of valid day-of-the-month override codes in the DAY MONTH OVRD code category, as part of the installation/upgrade process. The available options follow.

For example, a security that pays quarterly, and on the 4th business day of the month, would have Payment Frequency set to Quarterly and the Day of Month Override field set to 4th Business Day (4_B). The First Coupon Date and Last Coupon Date must be in sync based on the Payment Frequency field and Day of Month Override values. See the following figure.

Figure 6: Long Term Debt Panel – Day of Month Override Option

If you wish to set up a security that pays on the fourth Thursday of every month, you must set the Payment Frequency to Monthly and the Day of Month Override to WDC (Week Day of First Coupon). Eagle Accounting then determines which day of the month is the First Coupon Date, and generates the coupon schedule from that point forward. Again, note that the First Coupon Date and Last Coupon Date must be in sync, based on the Payment Frequency field and Day of Month Override values. An example of this setup follows. See the following figure.

Figure 7: Long Term Debt Panel – Pay Fourth Thursday of Month
Business Day Convention (tag 1536) is used in conjunction with Payment Frequency (tag 472), and it can also be used in conjunction with Day of the Month Override (tag 1533) (provided that field's value is set to Week Day of Coupon), to determine how Eagle Accounting should calculate a coupon period when the coupon end or begin date occurs on a non-business day (or when a coupon should pay if the scheduled coupon due date occurs on a non-business day). As previously noted, whether or not a day is a business day is determined by the calendar for the security's Issue Country, and not the entity's calendar. The difference between adjusted and unadjusted elements of the business day payment conventions has to do with whether accruals are affected by rolling from one payment date to the next. Adjusted Business Day Conventions have their coupon periods and accruals adjusted for non-business days, and unadjusted Business Day Conventions have the actual Settlement Date of the coupon adjusted, based on business days. The valid Business Day Convention codes and the corresponding Business Day Conventions follow.

Definitions of Business Day Conventions follow:

• Modified Business Day –Adjusted (ADJMBC). If a coupon is scheduled to pay on a nonbusiness day, with a Modified Business Day Convention-Adjusted, the coupon period end date is adjusted to include the next business day, unless the next business day falls in the next calendar month; in such a case, the coupon end date are adjusted back to the first business day preceding the non-business day. The owner of the bond is compensated for the extra days of interest accrued if the bond is paid on the next business day, or not compensated in the event that the bond is paid earlier.
• Modified Business Day –Unadjusted (MBC). If a coupon is scheduled to pay on a nonbusiness day, the coupon is paid on the next business day, unless the next business day falls in the next calendar month; in such a case, the payment date is the first business day preceding the non-business day. With Modified Business Day Convention-Unadjusted, the actual Settlement Date of the coupon is changed, but the coupon period begin and end dates remain unchanged.
• Following Business Day –Adjusted (ADJFWD). If a coupon is scheduled to pay on a nonbusiness day, the coupon period end date is adjusted to include the next business day, and the owner of the security is compensated for the extra day of interest.
• Following Business Day –Unadjusted (FWD). If a coupon is scheduled to pay on a nonbusiness day, the coupon is paid on the next business day, and the owner of the security is not compensated for the extra day of interest. With Following Business Day Convention-Unadjusted, the actual Settlement Date of the coupon is changed, but the coupon period begin and end dates remain unchanged.
• Following Business Day -Adjusted Modified Payment Roll (ADJROLL). This option supports bonds with an adjusted forward payment roll convention. A forward roll payment roll convention occurs when the coupon period is adjusted forward due to a non-business day. In this case, the coupon schedule does not revert back to the previous scheduled coupon day but rolls forward based on the new coupon day.

For example, a bond with a forward roll payment convention has a scheduled coupon date of the 17th of a month and the 17th occurs on a non-business day. Therefore, the coupon is paid on the next business day. In this example, the 18th of the month is the next business day and the owner of the bond is compensated one extra day of interest as a result of extending the coupon period. However, with the forward roll payment convention, the next coupon date does not revert back to the 17th of the month, but rather the next future scheduled coupon date to pay occurs on the 18th of the month, rolling forward, providing that day does occur on a business day.

• Preceding Business Day –Adjusted (ADJBACK). If a coupon is scheduled to pay on a nonbusiness day, the coupon is paid on the first business day preceding the non-business day.
• Preceding Business Day –Unadjusted (BACK). If a coupon is scheduled to pay on a nonbusiness day, the coupon is paid on the first business day preceding the non-business day.

Consider the example above, of a security paying on the fourth Thursday of every month. In the United States, the fourth Thursday in November is the Thanksgiving Day Holiday, and is therefore a nonbusiness day. If an issuer of this security pays the coupon on the next business day, and adjusts the coupon payment based on rolling the coupon end date forward, the SMF setup would be as follows. See the following figure.

Figure 8: Long Term Debt Panel – Business Day Convention Option
Coupon Day of Month (tag 10551). If you select a value for Business Day Convention (tag 1536) other than None, you must specify the day of the month on which the coupon pays. You can enter a value from 1 to 31.

About Coupon Payment Field - Methodology

The Coupon Date and Payment Frequency fields are used to create the complete coupon schedule of the bond, from issuance to maturity date.
Eagle Accounting calculates the cash flow from the Settlement Date of the trade, to create the expected cash flow for the calculation of amortization yield, trade yield, generation of future cash flows, and for accrual processing. Eagle Accounting uses the period from Dated Date to First Coupon Date to create the first coupon period, because the first coupon period of a security can be a long-length coupon period, a short coupon period, or a normal length coupon period.

• A Long Length Coupon Period is a coupon period that contains more accrual days than would normally occur, based on the payment frequency of the bond.
• A Short Length Coupon Period is a coupon period that contains less accrual days than would normally occur, based on the payment frequency of the bond.

Eagle Accounting then uses the First Coupon Date, Payment Frequency, Timing of Payment, Day of Month Override, Business Day convention and Last Coupon Date to create the second to penultimate (penultimate means 2nd to last) coupon period. Last Coupon Date stands for last modal coupon date or last normal coupon date. In most cases the Last Coupon Date field should be sent to the penultimate coupon because the Last Coupon Date can have a short, normal, or long coupon period.
Eagle Accounting then calculates from the Last Coupon Date to Maturity Date to generate the last coupon period, because the last coupon period can have a short, long, or normal coupon period. Note that you can set the Last Coupon Date to the maturity date, if the security has a last modal (normal length) coupon period. However, it is suggested that, as a norm, you set the Last Coupon Date as the penultimate coupon date, to avoid incorrectly setting up the Last Coupon Date. If the Last Coupon Date is not in sync with the values in the Payment Frequency, Interest Payment Timing, Day of Month Override, Business Day Convention, and Last Coupon Date fields, an error occurs in Eagle Accounting when the earnings process is invoked. You see an error message in Automation Center's Exceptions workspace, indicating an invalid Last Coupon Date.
If the security does not have a logical payment frequency, or has a payment frequency that cannot be derived from the Coupon Payment fields, you must set up the security with an Unscheduled Variable Rate security Coupon Type. The Unscheduled Coupon Type field allows you to enter a rate, date, and a cash movement flag in the Variable Rate table. Each time a rate and date is entered in the Variable Rate table with the Cash Movement Flag field set to Yes, Eagle Accounting drops a coupon payment. An example of a security that should be set up with an Unscheduled Variable Rate Coupon Type is a security that changes payment frequency over the life of the bond, or a bond that has a First Coupon Date that is not the normal expected day that the bond pays in the future.

Last Coupon Date Calculation and Validation

To facilitate entering and validating the Last Coupon Date, Eagle Accounting provides the following options.
Calculate/Validate Last Coupon Date (tag 2337): This field has two values, Calculate Last Coupon Date and Validate Last Coupon Date. If you select Validate Last Coupon Date, Eagle Accounting calculates a valid Last Coupon Date based on the values in the First Coupon Date, Last Coupon Date, Payment Frequency, Payment Timing, Business Calendar, Business Day Adjust, and Day of Month Override. Eagle Accounting returns the value in the Valid Last Normal Coupon Date field (tag 2311). If the dates in the Valid Last Normal Coupon Date field and value in the Last Coupon Date (tag 474) field do not match, Eagle Accounting generates the following error "(ERR): Last Coupon Date is not valid" in the Valid Last Normal Coupon Date field (Errors/Warnings column). If the value in the Last Coupon Date field and Valid Last Normal Coupon Date (tag 2311) field do match, no error message is generated. See the following figure.

Figure 9: Long Term Debt Panel – Validate Last Coupon Date
If you select Calculate Last Coupon Date, Eagle Accounting calculates and displays a valid last coupon date in the Last Coupon Date field based on the values in the Payment Frequency, Payment Timing, Business Calendar, Business Day Adjust, and Day of Month Override. Note that Eagle Accounting can only calculate a Normal length or short last coupon period when asked to calculate a short last coupon date. See the following figure.

Figure 10: Long Term Debt Panel – Calculate Last Coupon Date
Valid Last Normal Coupon Date (tag 2311) Displays the calculated penultimate coupon, based upon the values in the Payment Frequency, Payment Timing, Business Calendar, Business Day Adjust, and Day of Month Override fields.

Coupon and Coupon Day Count Fields

Coupon (tag 70) Coupon field stores the coupon rate of a security. Eagle Accounting uses the rate in the Coupon field in the earnings process, for securities with a fixed coupon type. For securities with a Variable Rate, Unscheduled Variable Rate, Step Coupon, Floating Rate, and Inverse Floating Rate Coupon types, this field is not used in the earnings process; it is used for reference and reporting only. If the value of this field changes after a position exists, provided the Coupon Type is Fixed, the change affect the current and future coupon periods' earnings. Prior coupon periods' earnings are not affected by a change to this field, unless earnings are rolled backed to that period and then rolled forward, or a trade is backdated for a previous coupon period and thus, when earnings roll forward, they pick up the new value when the earnings process runs.
Coupon Type Code (tag 97) Coupon Type Code indicates what type of coupon is associated with the security. The options are Floating Rate (X), Inverse Floating Rate (R), Variable Rate (I), Step Coupon (S), Fixed Rate (F), and Unscheduled Variable Rate (V). This field is required. When Coupon Type is set to X, I, S, F, R, or V, the Coupon field in the SMF (tag 70) is for reference only, because no processing is done on tag 70.

• Floating Rate (Code Value X) Floating Rate coupon type code means the security has fixed coupon dates, and uses a variable rate that is based on an underlying index and index offset, to calculate the coupon to use for earnings. After you select Floating Rate as the Coupon Type Code, the following fields become visible: Underlying Issue Name (tag 1141), Underlying Asset ID (tag 1348), Index Offset (tag 215), First Rate Reset Date (tag 10911), Reset Frequency code. In the Underlying Issue Name (tag 1141) and Underlying Asset ID (tag 1348) fields, populate the index on which the security calculates the coupon rate. Then populate the rates for the index in the Variable Rate table that is associated with the Primary Asset ID of the Underlying Index. The Index Offset is the field where you input the basis point adjustment for the calculation of the coupon. The formula for calculating the coupon rate of a floating rate security is:

Coupon Rate = Index on Floating Rate security + Index Offset

• Inverse Floating Rate (Code Value R) Inverse Floating Rate Coupon Type code means the security has fixed coupon dates, and uses a variable rate whose coupon rate is calculated inversely to the underlying index that is attached to it. When you select the Coupon Type of Inverse Floater the following fields become visible and required: Inverse Floater Rate (tag 1553), Inverse Floater Multiple (tag 4532), Underlying Issue Name (tag 1141), Underlying Asset ID (tag 1348), and Index Offset (tag 215). You populate the rates for the index in the Variable Rate table that is associated with the Primary Asset ID of the Underlying Index. The formula for calculating a coupon rate for a security that has Inverse Floater Coupon Type follows.

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

• Variable Rate (Code Value I) Variable Rate coupon type code means the security has fixed coupon dates, and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. For securities with a Variable Rate Coupon Type, the coupon rates are entered in the Variable Rate panel, and rates are entered based on the variable rate security's Primary Asset ID.

For Variable Rates, when you select a Coupon Type of Variable Rate, the Coupon Rate field (tag 70) on the SMF is then only used for reporting, and no processing is done with that field.

• Step (Code Value S) - Step Coupon Type Code means the security has fixed coupon dates, and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. The Step Coupon Type Code assumes that all the coupon rates are known at the time of issue. For securities with a Step Coupon Type, the coupon rates are entered in the Variable Rate panel, and rates are entered based on the variable rate security's Primary Asset ID.

When using the Step Coupon Type:

• • When you select a Coupon Type of Step, the Coupon Rate field (tag 70) on the SMF is only used for reporting, and no processing is done with that field.
  • For the Step Coupon Type, in the Amortization Rules panel, Eagle Accounting provides the ability to recognize all future cash rates that apply to the calculation of future cash flows for amortization yield, or to only recognize the most current coupon rate that applies to the calculation of future cash flows for amortization yield. The field that drives this processing in the Amortization Rule panel is Step Bond Bifurcation.
  • For more information on Step Bond Bifurcation, see "Amortization and Yield Calculations."
• Fixed Rate (Code Value F) Fixed Rate Coupon Type Code means the security has fixed coupon dates, and has a fixed coupon rate to calculate the coupon for use in earnings. Eagle Accounting calculates earnings based on the value entered in the Coupon field (tag 70).
• Unscheduled Variable Rate (Code Value V) An unscheduled variable rate coupon type is used when the coupon schedule of a bond cannot be calculated based on fields that derive the payment frequency. When you encounter a security such as this, you need to set up the security as an unscheduled variable rate. Eagle Accounting drops a coupon record for each value in the variable rate that has the Cash Movement Flag (tag 3449) set to Yes.

When using an Unscheduled Variable Rate:

• • The Coupon Rate field (tag 70) on the SMF is then only used for reporting and no processing is done with that field.
  • If a security is set up with an Unscheduled Variable Rate Coupon Type, the Interest Payment Frequency (tag 1523), Business Day Convention, and Day of Month Override (tag 1533) tags become for reporting purposes only, because Eagle Accounting drives all coupon information off of the data in the variable rate table.
  • The Payment Frequency (tag 2287) and Payment Frequency Code (tag 472) are used for the periodicity for calculating the amortization and trade yield.

Floating Rate / Inverse Floating Rate Information Options

Eagle Accounting supports the following Rate Reset Frequencies.

Eagle Accounting provides the following fields to support rate reset frequency functionality:
First Rate Reset Date (tag 10911). This field contains the first calendar date the rate resets from the dated date of the security. First Rate Reset Date, along with Reset Frequency Code, Business Calendar, and Business Day Convention are used to create the Floating Rate Reset schedule of the Security.
Reset Frequency Code (tag 1788). This field contains the frequency the security resets its rate beginning from the date in First Rate Reset Date field.
Reset Look Back Days (tag 10547). Specifies the number of days to look back when fixing the interest rate on the reset date.
Reset Look Back Days Type (tag 5075). Indicates whether the reset look back days are business days or 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:

• B (Business). Uses business days to identify reset look back days, using the Business Calendar Name field (tag 1480) to identify the security's business calendar.
• C (Calendar). Uses calendar days to identify reset look back days.

Periodic Cap (tag 10907). Specifies the maximum allowed increase in the calculation of a coupon rate from a period to period basis. 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.
Periodic Floor (tag 10907). Specifies the maximum allowed decrease in the calculation of a coupon 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 types such as variable rate, this field is reference only.
Lifetime Cap (tag 10909). 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 maximum 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.
Lifetime Floor (tag 10910). 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.
Business Calendar (tag 1480). Specifies the business calendar for the security. The system uses the value to identify business days and non business days for the purposes of determining the coupon payment date and coupon payment schedules. If the security does not have a business calendar, the security's issue country's calendar shows by default. As a best practice, Eagle recommends that you provide the business calendar.
Business Day Convention (tag 1536). Eagle Accounting uses this value as part of the process to create rate reset schedules and uses it when a payment date is scheduled for a non-business day.
For example, a rate reset schedule is expected on the 22nd of the month but the 22nd falls on a Saturday then, using Following Business Day Adjust, the rate reset schedule is set to the 24th for that coupon period and rate reset date.

How It All Works Together

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 implemented 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.

Rate Reset Values

The Rate Reset array logic was created to incorporate Look Back Days, Lifetime Cap, Lifetime Floor, Periodic Cap, and Periodic Floor when setting the rate value for a given date. Note that the Period Cap and Floor values are a relative change from the last rate, while the Lifetime Cap and Floor values are an absolute cap/floor. At each new date in the array, the earnings code checks the coupon value for the following conditions:

1. The new rate does not break the Period Cap/Floor rule. For example, if Previous Rate is 4% and Periodic Cap is 1, a new rate of 5.25% is not allowed, and instead the new Rate is 5%. Similarly, if Previous Rate is 4%, Periodic Floor is 1.2 and New Rate from variable rate table is 2.5%, the new Reset Rate is set at 2.8% (4% Previous Rate minus 1.2% Periodic Floor).
2. The new rate does not go above or below the Lifetime Cap or Floor. For example, if the Lifetime Cap is 6% and the rate available from the Variable Rate Table is 6.2%, the New Rate is set at 6%.
3. Both of the above tests must pass. For example, if Current Rate is 5, Periodic Cap value is 1, and Lifetime Cap value is 5.5. If new rate in Variable Rate Table is 5.75, the rate in the reset array is set to 5.5.

Notes: For Floating Rate Coupon Type or Inverse Floating Rate Coupon Type:
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.

Day Count Methods Available

Day Count Basis (tag 471) Day Count Basis is the convention for measuring the time between two dates, for the purpose of calculating earnings on a fixed income security.
Eagle Accounting provides the following list of supported Day Counts in the code category, DAY COUNT BASIS, as part of the installation and upgrade.

This section lists the conventions used to count the appropriate number of days between two dates, in order to calculate accrued interest, yields, and odd coupon amounts. For each rule, the numerator indicates the number of days between the dates, and determines what happens if one of the dates falls on the 31st of a month. The denominator indicates how many days are considered to be a year.

ACT/ACT

• Numerator: The actual number of days between two dates.
• Denominator: The actual number of days in the coupon period, times the coupon frequency, resulting in values ranging from 362 to 368 for semiannual bonds.

ACT/ACT(ISDA)

The ACT/ACT (ISDA) day count method supports the International Swaps and Derivatives Association (ISDA) version of the ACT/ACT day count method.

• Numerator: The actual number of days between two dates.
• Denominator. Varies depending whether a relevant portion of the calculation period falls within a leap year. For the portion of the calculation period falling within a leap year, the denominator is 366. For the portion of the calculation period falling outside a leap year, the denominator is 365. The two fractions are then added together.

ACT/360

• Numerator: The actual number of days between two dates.
• Denominator: 360

ACT/364

• Numerator: The actual number of days between two dates.
• Denominator: 364

ACT/365

• Numerator: The actual number of days between two dates.
• Denominator: 365

ACT/365L

• Numerator: The actual number of days between two dates.
• Denominator:
  • If a coupon pays annually and February 29 is included in the interest period, then the denominator used is 366; otherwise, it is 365.
  • If a coupon does not pay annually, then the denominator used is 366 for each interest period where the entitlement date falls in a leap year; otherwise, it is 365.

ACT/252

• Numerator: The actual number of days between two dates.
• Denominator: 252

BUS/252

THE BUS/252 day count method supports the characteristics of the Brazilian Day Count Accrual convention. This method is used for many South American fixed income instruments and is based on the Brazilian Business Calendar where the average number of business days in a year is 252.
Securities using this day count method accrue and amortize only on valid business days in the business calendar used, so that weekends and holidays are not included in the calculation of the number of days in an accrual period. A valid business calendar is required when you select the BUS/252 day count method.

CAD/365

The CAD/365 day count facilitates the processing of securities that adhere to the Bank of Canada Day Count Method (CAD/365). The CAD/365 Day Count is only applicable for Long Term Fixed Income securities that pay at Semi-Annual frequency (the CAD/365 Day Count basis assumes equal semiannual payments).

• Daily factor is calculated as:

Par * Coupon Rate / 2 / 182.5

• Purchased Interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * the actual number of days accrued in the period

Exceptions

• In a 181 day coupon period, buying on the 180th day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * 180 Days
However, the 181st day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * (182.5 - 180)
thus on the 181st day receives 2.5 days' worth of accruals.

• • In a 182 day coupon period, buying on the 181st day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * 181 Days
The 181st day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * (182.5 - 181)
thus receives 1.5 days' worth of accruals.

• • In a 183 day coupon period, buying on the 182nd day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * 182 days
The 182nd day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * (182.5 - 182)
thus receives .5 days' worth of accruals.

• • In a 184 day coupon period, buying on the 183rd day, purchased interest is calculated as:

Par * Coupon Rate / 2 * (1- # Days from Settle to Next Coupon / 182.5)
The 183rd day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * (182.5 - 181.5)
and thus receives 1 day's worth of accruals.

JPY/365

The JPY/365 day count accrues based upon an ACT/365 day count but creates even semi-annual coupon payments.

• Daily factor is calculated as:

Par * Coupon Rate / 2 / 182.5

• Purchased Interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * the actual number of days accrued in the period

Exceptions

• In a 181 day coupon period, buying on the 180th day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * 180 Days
However, the 181st day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * (182.5 - 180)
thus on the 181st day receives 2.5 days' worth of accruals.

• • In a 182 day coupon period, buying on the 181st day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * 181 Days
The 181st day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * (182.5 - 181)
thus receives 1.5 day's worth of accruals.

• • In a 183 day coupon period, buying on the 182nd day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 * 182 days
The 182nd day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * 182
thus receives .5 days' worth of accruals.

• • In a 184 day coupon period, buying on the 183rd day, purchased interest is calculated as:

Par * Coupon Rate / 2 / 182.5 *182.5)
The 183rd day's accrual is calculated as:
Par * Coupon Rate / 2 / 182.5 * 182.5 - 182.5)
and thus receives 0 days' worth of accruals.

NL/365

• Numerator: No Leap Year. The actual number of days between two dates, but never includes Feb.29.
• Denominator: 365

30/360 Rules

• Numerator: The basic 30/360 method for calculating the numerator is illustrated by the following expression:

D days = D2 - D1 + 30 (M2 - M1) + 360 (Y2 - Y1)
Where M1/D1/Y1 is the First Date, and M2/D2/Y2 is the Second Date

• Denominator: 360

The following three variants of this basic rule differ by making certain adjustments to D1, D2, and M2:
30/360= NASD 30/360

• • If D1 falls on the 31st, change it to the 30th.
  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.

30E/360= ISMA 30/360

• • If D1 falls on the 31st, change it to the 30th.
  • If D2 falls on the 31st, change it to the 30th.

30E+/360

• • If D1 falls on the 31st, change it to the 30th.
  • If D2 falls on the 31st, change it to one and increase M2 by one.

30/365

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.
  • Denominator is 365 days

30E/365

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.
  • Denominator is 365 days

30/ACT

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.
  • Denominator is based upon the actual number of days in the period

30E/ACT

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.
  • Denominator is based upon the actual number of days in the period

30/365L

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.
  • Denominator is based on 365 days in a normal length year, and 366 in a leap year

30E/365L

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.
  • Denominator is based on 365 days in a normal year, and 366 days in a leap year.

Comparison of ISMA 30E/360, NASD 30/360, and Actual Day Count

The section provides several scenarios used to compare day count methods. The following table lists these scenarios.

Scenario 1 ISMA 30/360 (30/E360)

Because Date 2 falls on the 31st, the D2 is adjusted back to the 30th of the month.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 29)
31 = (360) + -330 + 1

Scenario 1 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (31 - 29)
32 = (360) + -330 + 2

Scenario 2 ISMA 30/360 (30/E360)

Because Date 2 falls on the 31st, the D2 is adjusted back to the 30th of the month.
N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 2 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 3 ISMA 30/360 (30/E360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 3 NASD (30/360)

• If Day 1 falls on the 31st, change it to the 30th.
• If Day 2 falls on the 31st, change it to the 30th, only if Day 1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 4 ISMA 30/360 (30/E360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (01 - 01) * 30 + (30 - 01)
29 = 0 + 0 + 29

Scenario 4 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (01 - 01) * 30 + (31 - 1)
30 = 0 + 0 + 30

Scenario 5 ISMA 30/360 (30/E360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 29)
32 = (360) + -300 + -28

Scenario 5 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 29)
32 = (360) + -300 + - 28

Scenario 6 ISMA 30/360 (30/E360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 6 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 7 ISMA 30/360 (30/E360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 7 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 8 ISMA 30/360 (30/E360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (02 - 01) * 30 + (01 - 01)
30 = (0)+ 30 + 0

Scenario 8 NASD (30/360)

• If D1 falls on the 31st, change it to the 30th.
• If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (02 - 01) * 30 + (01 - 01)
30 = 0 + 30 + 0

Underlying Information Fields

Inverse Floater Rate (tag 1553). 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. The Inverse Floater Rate field becomes visible and is required when you select a Coupon Type Code of Inverse Floating (Type R).
Example
Formula
Inverse Floater Rate - (Inverse Floater Multiple * Effective Coupon Rate on Underlying Index)
Values

• Inverse Floater Rate = 32
• Inverse Floater Multiple = 4
• LIBOR = 7

Calculation
32 - (4 * 7) = 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 (tag 4532) The inverse multiplier field (used in the calculation above) stores the number that is multiplied by the coupon rate of the underlying index, when calculating the inverse floating rate.
Dated Date CPI (tag 1550) Dated Date CPI is the value of the index 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 (tag 1141) Underlying Issue Name field is used to 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 the underlying index name lookup is invoked, the Underlying Asset ID gets populated.
Underlying Asset ID (tag 1348) Underlying Asset ID field is used to 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 the Underlying Asset ID lookup is invoked, the Underlying Issue Name becomes populated.

Fixed Income Flags

Issue Price (tag 69) Issue Price is the price at which the security was initially offered. The issue price is used in OID processing, to calculate the adjusted issue price.
Trading Flat (tag 3949) Trading Flat flag means to trade without interest. If Trading Flat is set to Yes, Eagle Accounting does not calculate accrued interest purchased or sold at time of acquisition or disposition. In the event of a disposition mid-coupon, Eagle Accounting creates a coupon at the end of the coupon period, based on interest earned during the period.
Convertible Indicator (tag 1531). Indicates whether the security has a convertible option. Used as an edit in the Trade and Security Master panels, as well as to determinate when Eagle Accounting should calculate a Stated Redemption Price to Maturity (SRPM).
OID Indicator (tag 218) OID Indicator is used to determine if a security is OID eligible. For this flag to be set to Yes, the issue price must be less than the Maturity Price, and Maturity Price cannot be 0.
Index Offset/Conversion Ratio (tag 215) Index Offset is used in the calculation of the coupon for floating and inverse floating rate securities. Index Offset is the basis point adjustment to the underlying index, for the purpose of calculating the coupon rate of a security. For convertible bonds, this field represents the number of shares of stock that a convertible bond can convert into per 1,000 units of a bond.
Primary Exchange (tag 2291) The Primary Exchange field is for the long name of the primary exchange that the security trades on. Primary Exchange is used in Tax Reclaim Processing to determine the applicable tax rate. As part of the installation process, Eagle Accounting provides a standard list of primary exchanges in the iEXCHANGE code category. When you populate the lookup for Primary Exchange, Eagle Accounting automatically populates a primary exchange code value with the corresponding primary code value. If you need to add additional Primary Exchanges, you can add an iEXCHANGE code category, using the Add Code Value panel.
Primary Exchange Code (tag 17) The Primary Exchange Code field stores the code for the primary exchange on which the security trades. Primary Exchange Code is used in Tax Reclaim Processing to determine the applicable tax rate to apply during the earnings process. As part of the installation, Eagle Accounting provides a standard list of primary exchange codes in the iEXCHANGE code category. When you populate the lookup for Primary Exchange, Eagle Accounting automatically populates the Primary Exchange code value with the corresponding primary code value. If you need to add additional Primary Exchanges, you can add an iEXCHANGE code category, using the Add Code Value panel.
Default Indicator (tag 1551) The default Indicator field is used in the maturity process, to determine if a security should mature on maturity date. If the value is set to Yes, Eagle Accounting stops the security maturity process.
Default Date (tag 1551) The default date is the day the security went into default. This field is for reporting only.
Zero Coupon Indicator (tag 1300) Zero coupon bond is used as an edit in the SMF panels and Security Reference Manager. This field is used to determine if a zero in the Coupon field is for a zero coupon bond, principal only strip, or a discount bond.
Call Flag (tag 1182) The Call Flag is used for panel edits in the SMF panel, and Security Reference Manager, to determine whether a security has a call option. The Call Flag is also used in SEC Yield Processing.
Put Flag (tag 1546) The Put Flag is used for panel edits in the SMF panel, and Security Reference Manager, to determine whether a security has a Put option. The Put Flag is also used in SEC Yield Processing.
Sink Fund Flag (tag 1780) Sink Fund Flag field is a panel edit that determines whether a security is eligible for sinking fund payments.
Pro Rata Sink (tag 11304) Pro Rata Sink Fund Flag field is used in conjunction with the Sinking Fund Gain/Loss Flag (in the Accounting Basis) to determine if the entity/accounting basis and security combination should use the Capitalization method or record cost reduction for sinking fund payments as Gain/Loss or as Accelerated Amortization.
Refund Indicator (tag 3132) This field determines whether a security is eligible for pre-refunding, an entire issue call, or a mandatory put. Options include:

• None. Not applicable.
• Pre-Refunded. The debt instrument is eligible for pre-refunding.
• Entire Issue Call. The call option for the debt instrument applies to the entire issue.
• Mandatory Put. The put option for the debt instrument is mandatory.

If you select any of these options, you need to add a schedule for the security so that Eagle Accounting can calculate the yield for the security during the earnings process. For details about adding a call, put, or refund schedule, see "Schedule Table."
US Federal Tax Indicator (tag 1545) This field is used for SEC Yield calculation.
Maturity Price (tag 42) Maturity Price is the price at which the security returns principal. For an Interest Only security, the Maturity Price is zero; for the majority of other debt issues, the Maturity Price is 100.00.
First Principal Payment Date (tag 1587) First Principal Payment Date, if entered, tells Eagle Accounting not to calculate scheduled and unscheduled principal repayment until after this day. The First Principal Payment Date is used when you know the MBS/ABS security does not start repaying principal until a date in the future.
Collateral Pool Type (tag 1209) This field is for reference and reporting only.
Pool Number (tag 1439) This field stores the pool number of the MBS/ABS security. Eagle Accounting uses the Pool field as a security lookup, and for reporting.
Amortization Accretion Rule Type (tag 12008) This field identifies the amortization rule defined for the security, if you need to differentiate amortization accretion methodology between securities that share a common processing security type. This amortization rule assignment level is above the Primary Asset ID level and below the Processing Security Type level. This field applies to long term bonds, short term bonds, and MBSs. For more information, see "Eagle Accounting's Amortization Methodology."
Demand Feature (tag 10555) This field stores the demand day count in calendar days. This field is available in the Long Term Debt panel and the Short Term Debt panel. Eagle Accounting uses this value to support rolling demand logic as it determines days to maturity in the Weighted Average Maturity (WAM) report. It applies to long term variable rate, long term floating rate, short term variable rate, and short term floating rate securities.
You can also use the Add Report Override panel to apply a demand override for a security or security/entity combination that influences the WAM report.
GL Product Code (tag 11094) This field stores the GL Product Code used if you calculate weighted average balance (WAB) for fixed income positions. You can assign this code to long and short term debt, mortgage-backed and equity securities.
Delay Days (tag 1799) This field stores the number of days, from the end of the coupon period date, until the security pays. Eagle Accounting uses the Delay Days value in the calculation of the contractual settlement date and actual settlement date for coupons, pay downs, and pay up payments.
Lottery Flag (tag 11303) Designates an MBS security as a Lottery Bond security. If this value is set to Yes, Eagle Accounting processes the MBS security as a Lottery Bond. Lottery Bond functionality includes:

• Automatically setting the factor in the Trade panel to a Factor of 1.
• Allowing you to establish a Call Corporate Action record.
• Processing the Call transaction for the repayment of principal to the individual.
• Using a Factor of 1 for Retrospective Amortization for the period that amortization is to be calculated historically.

Time Sensitive Indicator (tag 11926). Applies only to debt instruments. If you set the debt security's Coupon Type to Floating Rate, this field specifies whether the security uses floating rate data that changes over time. Values include:

• Yes. The security uses time-sensitive information defined using SMF earnings time periods. For more information, see "Using SMF Earnings Time Periods."
• No. Time-sensitive floating rate information does not apply to the security.

144A Eligible Indicator (tag 1301). Applies only to debt instruments. This field identifies fixed income securities that are 144A eligible. Options include Yes or No. Used as reference only and has no effect on Eagle Accounting.
Private Registration (tag 10528). Applies only to long term debt instruments. Options include Yes or No. Used as reference only and has no effect on Eagle Accounting.
Minimum Piece (tag 1540). Applies only to long term debt instruments. Used as reference only and has no effect on Eagle Accounting.
Private Placement (tag 1421). Applies only to long term debt instruments. Options include Yes or No. Used as reference only and has no effect on Eagle Accounting.

Compound Information Fields

Compounding Indicator (tag 11875). Specifies whether the security compounds unpaid interest. Options include Yes or No. If you set this value to Yes, the remaining Compounding Information field values are required. For examples, see "Compounding Interest Examples."
Compounding Method (tag 11876). Identifies the method used for compounding interest. Options include:

• All. The Index Offset for floating rate securities is included in the compound interest calculation.
• Flat. The Index Offset for floating rate securities is not included in the compound interest calculation.

Compounding Frequency (tag 11877). The frequency at which the security compounds interest.
First Compounding Date (tag 11878). The first date on which the compounding begins for the security.
Last Compounding Date (tag 11879). The end date when interest compounding ceases for the security.

Dual Currency Fields

Dual Currency Conversion Factor (tag 11803). Specifies the initial FX rate at issuance used at issuance to convert the local currency for a dual currency instrument. Used for reference purposes only. This field appears if the Dual Currency Indicator field has a value of Yes.
Principal Currency (tag 11813). Specifies the currency in which the security pays principal for a dual currency instrument. This field displays the asset currency by default, but you can change it if you identify the security as a dual currency instrument. The principal currency matches either the asset currency or the income currency, allowing you to apply a single set of fixing parameters to the dual currency instrument. When the principal currency differs from the asset currency for a dual currency instrument, the security calculates principal in the asset currency but converts the local currency amounts to the principal currency at the time the maturity or corporate action is created. It bases the amount on the fixing parameters specified for the dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes.
Settlement Rate Option (tag 11816) Specifies the FX rate source used to convert the local accrued amounts into the income and/or principal currency for the dual currency instrument. This conversion determines actual income and/or principal settlement amounts. The system uses this security level source rather than the accounting basis' FX source for the security. This field appears if the Dual Currency Indicator field has a value of Yes.
Note: Although this value is an FX rate, you store it as an index because the to/from currencies are embedded and not provided. It accommodates multiple values that are common to a price.
FX Rate Type (tag 11817) Identifies the type of FX fixing rate the system uses from the Settlement Rate Option field for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

• Ask
• Bid
• Last

FX Fixing Period Multiplier (tag 12027). Specifies the multiplier for the time period or FX fixing period for a dual currency instrument. You can specify a positive number such as 1, 2, or 3, or can specify a negative number. This field appears if the Dual Currency Indicator field has a value of Yes.
FX Fixing Period (tag 11818), Identifies the time period used to calculate the fixing rate for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

• Day
• Month
• Week
• Year

FX Fixing Period Date Type (tag 12028). Specifies whether the fixing period for a dual currency instrument uses business days or calendar days. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

• B (Business). The fixing period uses business days when determining which date to select. The FX Fixing Business Center field identifies the business calendar to use for the security's fixing period.
• C (Calendar). The fixing period uses all calendar days when determining which date to select. This field displays a value of C if you set the FX Fixing Period to Month, Week, or Year.

FX Fixing Business Day Convention (tag 12029). Determines how to adjust the calendar date for the FX fixing date if the date would otherwise fall on a day that is not a business day based on the fixing day's calendar. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

• Following. Adjusts the calendar date for the FX fixing date to the following business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.
• None. No calendar date adjustment occurs. If the FX Fixing Period Date Type has a value of Business, this field displays a value of None. If the FX Fixing Period Date Type has a value of Calendar, do not select a value of None.
• Preceding. Adjusts the calendar date for the FX fixing date to the preceding business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.

FX Fixing Business Center (tag 12340). Identifies the business calendar to use for the dual currency instrument's fixing period. This field appears if the Dual Currency field has a value of Yes and the FX Fixing Period Date Type field has a value of Business.
FX Fixing Date Relative To (tag 12341). Identifies the anchor dates for selecting the FX rates for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

• Calculation End Date
• Payment Date

Reporting Only Fields

Investment Type (tag 11) This field is for reporting and reference only.
Country Of Risk (tag 228) This field is for reporting and reference only.
Country of Risk Code (tag 10536) This field is for reporting and reference only.
State Code (tag 1343) This field is for reporting and reference only.
Amount Issued (tag 1537) This field is for reporting and reference only.
Amount Outstanding (tag 1543) This field is for reporting and reference only.
SIC Code (tag 1789) This field is for reporting and reference only.
AMT Flag (tag 3313) This field is for reporting and reference only.
Restricted Flag (tag 1139) This field is for reporting and reference only.
Muni Funding Flag (tag 3131) This field is for reporting and reference only.
SMF Audit Field (tag 10916). The SMF Audit field is not visible. This field tracks when fields that impact the calculation of amortization yield are changed. When a security master field that affects a yield calculation changes, the SMF stored procedure updates the SMF Audit field. When a tax lot is processed, Eagle Accounting places the value from the SMF Audit field on the open lot level of the Cost object. When the earnings are processed, Eagle Accounting compares the value in the Cost object and the value in the SMF. If the values are different, Eagle Accounting recalculates the amortization yield and then updates the SMF Audit field.
The following fields update the SMF Audit field:
From the SMF Tables

• • Processing Security Type (tag 3931)
  • Price Multiplier (tag 18)
  • Quantity Scale (tag 19)
  • Day Count Basis (tag 471)
  • Coupon (tag 70)
  • Coupon Type Code (tag 97)
  • Index Offset (tag 215)
  • Underlying Security Alias (tag 1347)
  • Inverse Floater Rate (tag 1553)
  • Inverse Floater Multiple (tag 4532)
  • Trading Flat (tag 3949)
  • Issue Date (tag 68)
  • Issue Price (tag 69)
  • Dated Date (tag 1183)
  • First Coupon Date (tag 473)
  • Last Coupon Date (tag 474)
  • Maturity Date (tag 38)
  • Maturity Price (tag 42)
  • Interest Payment Timing (tag 1523)
  • Business Day Convention (tag 1536)
  • Business Calendar Name (tag 1480)
  • Payment Frequency (tag 472)
  • Day Of Month Override (tag 1533)
  • Delay Days (tag 1799)
  • First Rate Reset Date (tag 10911)
  • Periodic Cap (tag 10907)
  • Periodic Floor (tag 10908)
  • Lifetime Cap (tag 10909)
  • Lifetime Floor (tag 10910)
  • Reset Lag Days (tag 10547)
  • Lottery Bond (tag 11303)
  • Pro Rata Sink (tag 11304)
  • CMO First Principle Date (tag 1587)

Prepayment Time Series Changes that cause a Yield Recalculation

• • Anytime a new record is entered based on a new effective date, the SMF Audit field is updated.
  • Anytime a record is deleted in the Prepayment Time Series information table, the SMF Audit field is updated.

If there is a change to the following fields,

• • WAC Current (tag 1227
  • CPR 1month (tag 1210)
  • CPR 3month (tag 1211)
  • CPR 6month (tag 6262)
  • CPR 12month (tag 1213)
  • CPR Life (tag 1206)
  • PSA 1month (tag 1218)
  • PSA 3month (tag 1219)
  • PSA 6month (tag 1220)
  • PSA 12month (tag 1221)
  • PSA Life (tag 1573)
  • ABS 1month (tag 10311)
  • ABS 3month (tag 10312)
  • ABS 6month (tag 10313)
  • ABS 12month (tag 10314)
  • ABS Life (tag 3053
  • SMM (tag 11418)
  • Effective Maturity Date (tag 10273)

Schedule Table

• • Anytime there is a new entry or a record is deleted in the Schedule table, the SMF Audit field is updated.
  • Anytime there is a change to a value in the Price/Rate (tag 1249) field for an established Call/Put/Refund record, the SMF Audit field is updated.
  • Anytime there is change to a value Schedule Amount (tag 1669) field for an established Sink Record, the SMF Audit field is updated.

Variable Rate Table

• • Anytime there is a new entry or a record is deleted in the Variable Rate Table, the SMF Audit field is updated.
  • Anytime there is a change to an established record in the Variable Rate Table, for Variable Rate (tag 96) field, the SMF Audit field is updated.