Imported from previous forum
[ original email was from John Harris - john.harris@bondmart.com ]
AccruedInterestRate (158) is defined as "Accrued Interest Rate for convertible bonds and fixed income."
[Instrument] CouponRate (223) is defined as "For fixed income. Coupon rate of the bond. Will be zero for step-up bonds.
Clarification questions:
– Do we need both?
– Will these numbers ever be different?
– Shall we either generalize the descriptions (e.g., "this applies to interest-rate-based instruments") or else enumerate the product types to which these apply (e.g., "applies to loans, bonds, mortgages, and money markets")?
– If CouponRate is "zero for step-up bonds," is it also zero for all complex expressions of contract rate (e.g., floaters); if so, should we generalize that portion of the description, too?
Thank you.
[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
CouponRate is a static attribute of some bonds and will be zero (or omitted) for issues traded in discount. AccruedInterestRate is a trade attribute derived from the CouponRate, Par, AccruedInterestDays and TradeAmount.
I consider AccruedInterestRate to be a local processing attribute - AccruedInterest is the number you need to communicate.
AccruedInterestRate will almost never be the same as CouponRate.
We probably do need to review and revise the descriptions, but we need to assume a certain level of business knowledge within the asset class each field applies to.
> AccruedInterestRate (158) is defined as "Accrued Interest Rate for convertible bonds and fixed income."
>
> [Instrument] CouponRate (223) is defined as "For fixed income. Coupon rate of the bond. Will be zero for step-up bonds.
>
> Clarification questions:
> – Do we need both?
> – Will these numbers ever be different?
> – Shall we either generalize the descriptions (e.g., "this applies to interest-rate-based instruments") or else enumerate the product types to which these apply (e.g., "applies to loans, bonds, mortgages, and money markets")?
> – If CouponRate is "zero for step-up bonds," is it also zero for all complex expressions of contract rate (e.g., floaters); if so, should we generalize that portion of the description, too?
>
> Thank you.
>
Hi ,
Apologies if you rec’d multiple copies of my previous response to John Harris. My ISP times me out and it was a measured response.
The term Accrued Interest is the same for fixed income assets or converts when they are bonds and are transacted in between the coupon payment period. So ACIntR is hardly ever equal to CR.
So the answer to John’s first two questions are no. Enumeration of the products may be a way out. It would determin a conditional guard as to required feilds for FRN’s. Just think of the FRN’s in the emerging markets and you see my point. Accrued Int. Rate may be a trading dialogue particle so it should belong in the dialoge.
For coupon rate, I don’t believe Dean means static in the sense of non-variable for FRN’s .CR is not a static attribute if you think globally.
Coupon Rate for FRNs (step-ups,step-down,variable coupons like some of the infamous Bradies) should IMHO be placed in stips as enumerated set, in other words, a one to one mapping with coupon reset dates if it is a FRN. So it’s conditional.
Regards
John Sabini
> CouponRate is a static attribute of some bonds and will be zero (or omitted) for issues traded in discount. AccruedInterestRate is a trade attribute derived from the CouponRate, Par, AccruedInterestDays and TradeAmount.
>
> I consider AccruedInterestRate to be a local processing attribute - AccruedInterest is the number you need to communicate.
>
> AccruedInterestRate will almost never be the same as CouponRate.
>
> We probably do need to review and revise the descriptions, but we need to assume a certain level of business knowledge within the asset class each field applies to.
>
> > AccruedInterestRate (158) is defined as "Accrued Interest Rate for convertible bonds and fixed income."
> >
> > [Instrument] CouponRate (223) is defined as "For fixed income. Coupon rate of the bond. Will be zero for step-up bonds.
> >
> > Clarification questions:
> > – Do we need both?
> > – Will these numbers ever be different?
> > – Shall we either generalize the descriptions (e.g., "this applies to interest-rate-based instruments") or else enumerate the product types to which these apply (e.g., "applies to loans, bonds, mortgages, and money markets")?
> > – If CouponRate is "zero for step-up bonds," is it also zero for all complex expressions of contract rate (e.g., floaters); if so, should we generalize that portion of the description, too?
> >
> > Thank you.
> >
>
[ original email was from John Harris - john.harris@bondmart.com ]
Thanks, Dean and John,
I’m still not sure I know what “AccruedInterestRate” means, and think (hope :-)) I qualify as someone with “a certain level of business knowledge within the asset class.” Is the term arithmetically defined? Is its meaning different than that of “accrual rate?”
As far as floaters and other beasts are concerned, I’m not sure it should be a stip, but I love the idea of a universally-applicable method of contract-rate definition established through the protocol (version 5, maybe?).
> Hi ,
>
> Apologies if you rec’d multiple copies of my previous response to John Harris. My ISP times me out and it was a measured response.
>
> The term Accrued Interest is the same for fixed income assets or converts when they are bonds and are transacted in between the coupon payment period. So ACIntR is hardly ever equal to CR.
>
> So the answer to John’s first two questions are no. Enumeration of the products may be a way out. It would determin a conditional guard as to required feilds for FRN’s. Just think of the FRN’s in the emerging markets and you see my point. Accrued Int. Rate may be a trading dialogue particle so it should belong in the dialoge.
>
> For coupon rate, I don’t believe Dean means static in the sense of non-variable for FRN’s .CR is not a static attribute if you think globally.
>
> Coupon Rate for FRNs (step-ups,step-down,variable coupons like some of the infamous Bradies) should IMHO be placed in stips as enumerated set, in other words, a one to one mapping with coupon reset dates if it is a FRN. So it’s conditional.
>
> Regards
> John Sabini
>
> > CouponRate is a static attribute of some bonds and will be zero (or omitted) for issues traded in discount. AccruedInterestRate is a trade attribute derived from the CouponRate, Par, AccruedInterestDays and TradeAmount.
> >
> > I consider AccruedInterestRate to be a local processing attribute - AccruedInterest is the number you need to communicate.
> >
> > AccruedInterestRate will almost never be the same as CouponRate.
> >
> > We probably do need to review and revise the descriptions, but we need to assume a certain level of business knowledge within the asset class each field applies to.
> >
> > > AccruedInterestRate (158) is defined as “Accrued Interest Rate for convertible bonds and fixed income.”
> > >
> > > [Instrument] CouponRate (223) is defined as "For fixed income. Coupon rate of the bond. Will be zero for step-up bonds.
> > >
> > > Clarification questions:
> > > – Do we need both?
> > > – Will these numbers ever be different?
> > > – Shall we either generalize the descriptions (e.g., “this applies to interest-rate-based instruments”) or else enumerate the product types to which these apply (e.g., “applies to loans, bonds, mortgages, and money markets”)?
> > > – If CouponRate is “zero for step-up bonds,” is it also zero for all complex expressions of contract rate (e.g., floaters); if so, should we generalize that portion of the description, too?
> > >
> > > Thank you.
> > >
> >
>
[ original email was from Kevin Houstoun - kevin.houstoun@ssmb.com ]
This has been assigned ID [PC20030323_5] and will be discussed by the Technical Committee.
> Thanks, Dean and John,
>
> I’m still not sure I know what “AccruedInterestRate” means, and think (hope :-)) I qualify as someone with “a certain level of business knowledge within the asset class.” Is the term arithmetically defined? Is its meaning different than that of “accrual rate?”
>
> As far as floaters and other beasts are concerned, I’m not sure it should be a stip, but I love the idea of a universally-applicable method of contract-rate definition established through the protocol (version 5, maybe?).
>
> > Hi ,
> >
> > Apologies if you rec’d multiple copies of my previous response to John Harris. My ISP times me out and it was a measured response.
> >
> > The term Accrued Interest is the same for fixed income assets or converts when they are bonds and are transacted in between the coupon payment period. So ACIntR is hardly ever equal to CR.
> >
> > So the answer to John’s first two questions are no. Enumeration of the products may be a way out. It would determin a conditional guard as to required feilds for FRN’s. Just think of the FRN’s in the emerging markets and you see my point. Accrued Int. Rate may be a trading dialogue particle so it should belong in the dialoge.
> >
> > For coupon rate, I don’t believe Dean means static in the sense of non-variable for FRN’s .CR is not a static attribute if you think globally.
> >
> > Coupon Rate for FRNs (step-ups,step-down,variable coupons like some of the infamous Bradies) should IMHO be placed in stips as enumerated set, in other words, a one to one mapping with coupon reset dates if it is a FRN. So it’s conditional.
> >
> > Regards
> > John Sabini
> >
> > > CouponRate is a static attribute of some bonds and will be zero (or omitted) for issues traded in discount. AccruedInterestRate is a trade attribute derived from the CouponRate, Par, AccruedInterestDays and TradeAmount.
> > >
> > > I consider AccruedInterestRate to be a local processing attribute - AccruedInterest is the number you need to communicate.
> > >
> > > AccruedInterestRate will almost never be the same as CouponRate.
> > >
> > > We probably do need to review and revise the descriptions, but we need to assume a certain level of business knowledge within the asset class each field applies to.
> > >
> > > > AccruedInterestRate (158) is defined as “Accrued Interest Rate for convertible bonds and fixed income.”
> > > >
> > > > [Instrument] CouponRate (223) is defined as "For fixed income. Coupon rate of the bond. Will be zero for step-up bonds.
> > > >
> > > > Clarification questions:
> > > > – Do we need both?
> > > > – Will these numbers ever be different?
> > > > – Shall we either generalize the descriptions (e.g., “this applies to interest-rate-based instruments”) or else enumerate the product types to which these apply (e.g., “applies to loans, bonds, mortgages, and money markets”)?
> > > > – If CouponRate is “zero for step-up bonds,” is it also zero for all complex expressions of contract rate (e.g., floaters); if so, should we generalize that portion of the description, too?
> > > >
> > > > Thank you.
> > > >
> > >
> >
>