Overview

Eagle Accounting has the capability to provide Amortization Yield, Trade Yield, and OID Yield at the time of a trade. This document outlines how to generate a Market Yield calculation, using market value instead of cost to calculate Yield.

Reference Data

A security must be setup with all relevant reference data and owned by a fund in order to calculate its Market Yield. This can be accomplished via Issue Viewer, Security Reference Manager (SRM), or Reference Data Center (RDC).

Calculation

Once the security is held by an entity, the message below can be submitted via Batch Uploader with some slight modification.

Replace the placeholder values for the following tags:

• 5 (Entity_ID)

• 10 (Sec_Alias)

• 21 (Accounting_Basis)

• 37 (Settlement_Date)

• 68 (Issue_Date)

• 473 (First_Coupon_Date)

• 474 (Last_Coupon_Date)

• 38 (Maturity_Date)

• 42 (Maturity_Price)

• 40 (Units): set to par value

• 45 (Unit_Price): set to current market price

  • By default, the event uses original price

• 49 (Traded_Interest): can be 0 because it is calculated on-the-fly.

• 50 (Net_Amount): set to current market value

  • By default, the event cost

Once the message has been submitted, navigate to the Rows menu > Row Information to view results. Trade Yield now represents Market Yield because original price and cost were replaced with market price and market value.

Validation

Expected results for $1,000,000 par, 6% semiannual coupon are provided below.

• Unit Price = 100, Net Amount = 1,000,000

  • Market (Trade) Yield = 5.999

• Unit Price = 105, Net Amount = 1,050,000

  • Market (Trade) Yield = 5.400

• Unit Price = 95, Net Amount = 950,000

  • Market (Trade) Yield = 6.636