Example B - Daily Life-to-Date Calculation
Example B illustrates the Daily Life-to-Date Calculation, the first Eagle Accounting processing principle. It continues with the same scenario described in Example A - Daily Life-to-Date Calculation.
You purchase the security described in the following table into the entity TaxDemo2 with a Trade Date and Settle Date of 20140401; Par is 1,000,000 and interest has been accrued for 4 days.
Field Name | Value |
---|---|
Issue Name | FI Issue Tax Type Change |
Description | FI Issue Tax Type Demo |
Ticker | FIITTD |
Primary Asset ID | 555555555 |
Processing Security Type | DBIBFD |
Issue Date | 20091015 |
Dated Date | 20091015 |
First Coupon Date | 20100415 |
Last Coupon Date | 20180415 |
Maturity Date | 20181015 |
Coupon Type Code | Fixed |
Coupon Rate | 6.00 |
Day Count Basis | 30/360 |
Issue Country | United Kingdom |
Payment Frequency | Monthly |
Issue Tax Type | Standard |
Primary Exchange | London |
You change the Coupon Rate from 5% to 6%, Effective Date on 20140406, then accrue to 20140406.
Results
Eagle Accounting now calculates the period interest with 6% coupon instead of 5%, and the results of the change occur on 20140406.
In the previous example, the security accrual number for the period to date should be:
28,666.67 (1,000,000.00 * 6% / 360 * 172)
The security's traded interest was originally calculated using an incorrect rate of 5% or, 23,055.56. Both examples A and BÂ calculate Traded Interest with the initial, now incorrect, rate of 5%.
Round ( 1,000,000.00 * 5% / 360 * 166 ) = 23,055.56
Eagle Accounting does not auto correct a trade with incorrect traded interest, but brings the security to the expected period to date earnings numbers when the system invokes the earnings process.
The prior period accrual to date as of 20140405 is 694.44.
Eagle Accounting calculates the accrual delta for 20140406 as follows:
 28,666.67 (Expected Value)
-Â 23,055.56 (Interest Purchased)
- 694.44 (Current Accrual to Date)
to generate an accrual delta of 4,916.67
The following table shows the April 1 and April 5 settlement date values with the initial coupon rate of 5%, along with the April 6 settlement date values with the 6% rate.Â
Start of Coupon | Oct 15 2013 | Oct 15 2013 | Oct 15 2013 |
Settlement Date | Apr 01 2014 | Apr 05 2014 | Apr 06 2014 |
Days Until Settlement Date | 166 | 171 | 172 |
 | Traded Interest: | PTD Accruals: | PTD Accruals: |
Par` | 1,000,000.00 | 1,000,000.00 | 1,000,000.00 |
Coupon Rate | 5.00 % | 5.00 % | 6.00 % |
Daily Accrual | 360 | 360 | 166.6666667 |
Days in Period | 166 | 171 | 172 |
Traded Interest | 23,055.56 | Â | Â |
PTD Interest Amount | Â | 23,750.00 | 28,666,67 |
PTD Accrual | Â | 694.44 | |
True Up of Accrual | Â | Â | 4,916.67 |