Assume the same data from the above 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.
Figure 24: Close Inflation Linked Bond Panel Transaction - 1 of 2
Figure 25: Close Inflation Linked Bond Panel Transaction 2 of 2 (after scroll down), 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.
...
| Info |
|---|
The accrual for 01/10/02 uses the |
...
ILB Index Ratio from 01/11/02 for the calculation of accruals and TIPS Income. |
TIPS Income
1,000,000 * (1.12098 - 1.12110) = -120.00 TIPS Income for 01/09/02