Page Comparison

Assume the same data from the example in Process Buys of ILB Securities Example. If you sell the entire 1,000,000 position, with a Trade Date of 01/08/02 and Settle Date of 01/11/02, Eagle Accounting calculates the interest sold as follows. See the following two figures, which show the Close Inflation Linked Bond panel while you scroll down the panel. 

In this example, Eagle Accounting calculates the interest sold as follows.

Original Face * Settlement Date ILB Index Ratio * Coupon Rate / Frequency / Number of Days in the Total Days in the Period * Number of Days Sold in the Period

1,000,000 * 1.12098 * .03375 / 2 / 184 * 180 = 18,505.31

Eagle Accounting calculates the daily delta for days between settle dates of the sell as follows:

01/08/02

1000000 * 1.12116 * .03375 / 2 / 184 * 178 = 18,302.63 = Accrual PTD

Accrual PTD for 01/07/02 = 18,200.94

18,302.63 - 18,200.94 = 101.86

TIPS Income

1,000,000 * (1.12116 - 1.12123) = -70.00 TIPS Income for 01/08/02

01/09/02

1000000 * 1.12110 * .03375 / 2 / 184 * 179 = 18,404.47 = Accrual PTD for 01/09/02

Accrual PTD for 01/08/02 = 18,302.63

18,404.47 - 18,302.63 = 101.84 Accrual Delta for 01/09/02

TIPS Income

1,000,000 * (1.12110 - 1.12116) = -60.00 TIPS Income for 01/09/02

01/10/02

1000000 * 1.12098 * .03375 / 2 / 184 * 180 = 18,505.31 = Accrual PTD

Accrual PTD for 01/08/02 = 18,404.47

18505.31 - 18,404.47 = 100.84 = Accrual Delta for 01/10/02.

TIPS Income

1,000,000 * (1.12098 - 1.12110) = -120.00 TIPS Income for 01/09/02