When posting Unrealized Gain/Loss for all fixed income securities, Eagle Accounting calculates Unrealized Gain/Loss at the position level. Because Eagle Accounting calculates Unrealized Gain/Loss at the position level, it is necessary for Eagle Accounting to use the Effective Date of the unrealized gain/loss process to calculate the Current Face of a TIPS security. An example follows.
TIPS security 9128272M3 is purchased on 01/04/02 with a Settle Date of 01/07/02 and a Price of 99.5.
The lot is purchased with a 1/7/02 TIPS Index Ratio of 1.12123. See the following figure.
Accruals are run on 1/04/2002. This updates the accrual on the position level of the Cost object with the TIPS Index Ratio, from 01/04/2002, of 1.12141. See the following figure.
Security 9128272M3 Price on 01/04/02 is 99.5; this is the same as the purchase price of the lot. See the following figure, which shows the Add Issue Price panel.
This scenario would create a gain because CUSIP 9128272M3 is in an inflationary period.
Original Face * Pricing Date TIPS Index Ratio * Price Date Market Price - Pricing Dates Amortized Cost = Unrealized Gain/Loss
(1,000,000 * 1.12141 * 99.5 / 100) - 1,115,623.85 = 179.10 Gain
Inflation Maturity
Eagle Accounting amortizes to redemption price, and all inflation calculations are made at full price; therefore, when a security is matured, no gain/loss occurs.
Deflation Maturity
Because the original principal investment of a TIPS security is guaranteed, if the TIPS security has deflation maturity, Eagle Accounting creates the necessary adjustments and general ledger entries needed to create the maturity at par.
Reporting
Eagle Accounting tracks the following attributes on a daily basis:
- CPI on Earned Thru Date
- ILB Index Ratio
- ILB Income Delta Local
- ILB Income Delta Base
- ILB Income MTD Local
- ILB Income MTD Base
- ILB Income PTD Local
- ILB Income PTD Base
- ILB Income YTD Local
- ILB Income YTD Base
- ILB Income LTD Local
- ILB Income LTD Base
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