SMF Field | Value |
|---|---|
Coupon | 1.491880 |
Coupon Type Code | Floating Rate |
Day Count Basis | ACT/360 |
Payment Frequency | Annual |
Payment Frequency Code | 12_M |
Index Offset | 26.0000 |
First Coupon Date | 01-Jan-08 |
| Maturity Date | 01-Jan-10 |
Compounding Indicator | Yes |
Compounding Method | All |
Compounding Frequency | 1_M |
First Compounding Date | 01-SepFeb-07 |
Last Compounding Date | 01-JanDec-09 |
All Compounding Method Example
In this example, where the Compounding Method is set to All, an open is booked for 15,000,000 par with a Trade Date of 0801/01/07 and Settle Date of 0801/01/07, traded Interest of 154,749.40.
The daily accrual for the month of August January is 729.95.
(15,000,000 * 1.75188%)/360 = 729.95
The total accrual for the month is 22,628.45.
729.95 * 31 = 22,628.45
On 0902/01/07 the compound interest is included in the accrual calculation. For the Accrual calculation, PAR is equal to 15,177022,377628.8545.
15,000,000 + 154,749.40 + 22,628.45 = 15,177022,377628.8545
The daily accrual on 0902/1/07 is 738731.5805.
(15,177022,377628.85 45 * 1.75188%)/360 = 738731.5805
The Compound Interest continues to accumulate monthly until the coupon is paid on 01/01/08. At that point the Accrual calculation uses the par amount of 15,000,000 to calculate the daily accrual until the next compound date on 02/01/08.
The last compound date is 0112/01/09. Eagle Accounting continues calculating compound interest from 01/01/09 thru through the next payment date.
Flat Compounding Method Example
This example uses the same security master information as that used in the previous example, except the Compounding Method is set to Flat.
The daily accrual for the month of August January is 729.95.
(15,000,000 * 1.75188%)/360 = 729.95
729.95 * 31 = 22,628.45
On 0902/01/07 the compound interest is included in the accrual calculation. The index offset is not included when calculating the compound accrual.
(15,177022,377628.85 45 * 1.49188%)/360 = 628622.9755
(15,000,000 * .26%)/360 = 108.33
Total daily accrual on 902/01/07 = 628622.97 55 + 108.33 = 737730.3088
The Compound Interest continues to accumulate monthly until the coupon is paid on 01/01/08. At that point the Accrual calculation uses the par amount of 15,000,000 to calculate the daily accrual until the next compound date on 02/01/08.
The last compound date is 0112/01/09. Eagle Accounting continues calculating compound interest from 01/01/09 through the next payment date.
Spread Exclusive Compounding Method Example
This example uses the same security master information as that used in the previous example, except the Compounding Method is set to Spread Exclusive. This method essentially treats the index and index offset as separate accrual streams.
The daily accrual for the month of January is 729.95.
(15,000,000 * 1.75188%)/360 = 729.95
729.95 * 31 = 22,628.45
On 02/01/07 the compound interest is included in the accrual calculation. Only the interest accumulated by the index accrual is compounded. The index offset is not included when calculating the compound accrual.
The total index accrual from January is 19,270.12.