28.5 Unsettled EX Sell Deal – Revaluation Date after Deal Settlement Date
This topic describes the Unsettled EX Sell Deal and Revaluation Date after Deal Settlement Date
Table 28-8 Field Description table
| Field | Description |
|---|---|
|
Deal Settlement Date |
27-Jan-2003 |
|
Record Date |
25-Jan-2003 |
|
Revaluation Date |
20-Mar-2003 |
|
Deal Quantity |
100 |
|
Deal Price |
USD 99.30 |
|
Annual YTM |
19.72949% |
|
Periodic YTM |
19.72949% |
|
Accrued Interest as of Revaluation date from previous coupon date (01-Mar-2003 to 20-Mar-2003) |
USD 26.03 |
|
Market Price as of Revaluation Date |
USD 102 |
During revaluation of past unsettled cum deals all the coupons between the deal settlement date and the revaluation date (first coupon from settlement date are ignored while constructing the cash flows) are discounted to the revaluation date.
Therefore, the effective coupon cash flow, considered during revaluation for the deal are:
Table 28-9 Cash Flow
| Coupon Event Date | Coupon |
|---|---|
|
01-Mar-2003 |
USD 38.36 |
|
NA |
NA |
The computation of the net present value for the deal is done as shown in the table below:
Table 28-10 Computation Value
| Date | Ci | Ñd | 1+ y0 | Ñd/P | (1+ y0) ^(Ñd/P) | Disc. Ci |
|---|---|---|---|---|---|---|
|
01-Mar-03 |
-38.36 |
-19 |
1.19729 |
-0.052055 0 |
.990671 |
-38.72 |
|
27-Jan-03 |
9930 |
-52 |
1.19729 |
-0.142466 |
0.974673 |
10188.03 |
The accrued interest as of the revaluation date is excluded from the NPV computed and Flat NPV as of the revaluation date is derived.
Flat NPV = NPV – AI = 10149.31 – 26.03 = 10123.29
Revaluation profit or loss is computed by marking the flat NPV obtained against the flat market price using the formula mentioned above. �
Revaluation Profit / Loss = 10123.29 - (102 * 100) = 76.71
Revaluation Loss = USD – 76.71
Table 28-11 Settled CUM Deal – Revaluation Date in the same Coupon Period as of the Settlement Date
| Field | Description |
|---|---|
|
Deal Settlement Date |
15-Jan-2003 |
|
Record Date |
25-Jan-2003 |
|
Revaluation Date |
26-Jan-2003 |
|
Deal Quantity |
100 |
|
Deal Price |
USD 100.25 |
|
Annual YTM |
15.54504% |
|
Periodic YTM |
15.54504% |
|
Accrued Interest as of Revaluation date from previous coupon date (01-Jan-2003 to 26-Jan-2003) |
USD 34.25 |
|
Market Price as of Revaluation Date |
USD 102 |
During revaluation of settled cum deals all the coupons between the revaluation date and the redemption date are discounted to the revaluation date.
Therefore, the effective coupon cash flow considered during revaluation for the deal is
Table 28-12 Coupon table
| Coupon Event Date | Coupon |
|---|---|
|
01-Feb-2003 |
USD 42.47 |
|
01-Mar-2003 |
USD 38.36 |
|
01-Apr-2003 |
USD 42.47 |
|
01-May-2003 |
USD 41.10 |
|
01-Jun-2003 |
USD 42.47 |
|
01-Jul-2003 |
USD 41.10 |
The computation of net present value for the deal is done as shown in the table below:
Table 28-13 Present Value Computation
| Date | Ci | Ñd | 1+ y0 | Ñd/P | (1+ y0) ^(Ñd/P) | Disc. Ci |
|---|---|---|---|---|---|---|
|
01-Feb-03 |
42.47 |
6 |
1.15545 |
0.016438 |
1.002378 |
42.37 |
|
01-Mar-03 |
38.36 |
34 |
1.15545 |
0.093151 |
1.013550 |
37.84 |
|
01-Apr-03 |
42.47 |
65 |
1.15545 |
0.178082 |
1.026065 |
41.39 |
|
01-May-03 |
41.10 |
95 |
1.15545 |
0.260274 |
1.038323 |
39.58 |
|
01-Jun-03 |
42.47 |
126 |
1.15545 |
0.688525 |
1.051144 |
40.40 |
|
01-Jul-03 |
41.10 |
156 |
1.15545 |
0.852459 |
1.063701 |
38.63 |
|
01-Jul-03 |
10500 |
156 |
1.15545 |
0.852459 |
1.063701 |
9871.19 |
| - | - | - | - | - | - |
10111.40 |
The accrued interest as of the revaluation date is excluded from the NPV computed and Flat NPV as of revaluation date is derived.
Flat NPV = NPV – AI = 10111.40– 34.25 = 10077.15
Revaluation profit or loss is computed by marking the flat NPV obtained against the flat market price using the formula mentioned above.
Revaluation Profit / Loss = (102 * 100) - 10077.15 = 122.85
Revaluation Profit = USD 122.85
Settled EX Deal – Revaluation Date and Settlement Date are in Different Periods
Table 28-14 Field Description
| Field | Description |
|---|---|
|
Deal Settlement Date |
27-Jan-2003 |
|
Record Date |
25-Jan-2003 |
|
Revaluation Date |
10-Feb-2003 |
|
Deal Quantity |
100 |
|
Deal Price |
USD 99.30 |
|
Annual YTM |
19.72949% |
|
Periodic YTM |
19.72949% |
|
Accrued Interest as of Revaluation date from previous coupon date (01-Feb-2003 to 10-Feb-2003) |
USD 12.33 |
|
Market Price as of Revaluation Date |
USD 102 |
During revaluation of settled ex deals (revaluation date and settlement date are from different coupon periods) all the coupons between the revaluation date and the redemption date are discounted to the revaluation date. Therefore, the effective coupon cash flow that considered during revaluation for the deal is as follows:
Table 28-15 Coupon
| Coupon Event Date | Coupon |
|---|---|
|
01-Mar-2003 |
USD 38.36 |
|
01-Apr-2003 |
USD 42.47 |
|
01-May-2003 |
USD 41.10 |
|
01-Jun-2003 |
USD 42.47 |
|
01-Jul-2003 |
USD 41.10 |
The computation of the NPV for the deal is done as shown in the table below:
Table 28-16 NPV Computation
| Date | Ci | Ñd | 1+ y0 | Ñd/P | (1+ y0) ^(Ñd/P) | Disc. Ci |
|---|---|---|---|---|---|---|
|
01-Mar-03 |
38.36 |
19 |
1.19729 |
0.052055 |
1.009417 |
38.00 |
|
01-Apr-03 |
42.47 |
50 |
1.19729 |
0.136986 |
1.024973 |
41.43 |
|
01-May-03 |
41.10 |
80 |
1.19729 |
0.219178 |
1.040255 |
39.51 |
|
01-Jun-03 |
42.47 |
111 |
1.19729 |
0.304110 |
1.056286 |
40.20 |
|
01-Jul-03 |
41.10 |
141 |
1.19729 |
0.386301 |
1.072036 |
38.33 |
|
01-Jul-03 |
10500 |
141 |
1.19729 |
0.386301 |
1.072036 |
9794.45 |
| - | - | - | - | - | - |
9991.92 |
The accrued interest as of the revaluation date is excluded from the NPV computed and the Flat NPV as of revaluation date is derived.
Flat NPV = NPV – AI = 9991.92 – 12.33 = 9979.59
Revaluation profit or loss is computed by marking the flat NPV obtained against the flat market price using the formula mentioned above
Revaluation Profit / Loss = (102 * 100) - 9979.59 = 224.41
Revaluation Profit = USD 220.41
Settled EX Deal – Revaluation date and settlement date in the same period
Table 28-17 Settlement
| Deal Settlement Date | 27-Jan-2003 |
|---|---|
|
Record Date |
25-Jan-2003 |
|
Revaluation Date |
29-Jan-2003 |
|
Deal Quantity |
100 |
|
Deal Price |
USD 99.30 |
|
Annual YTM |
19.72949% |
|
Periodic YTM |
19.72949% |
|
Pending Interest Received in Advance as of Revaluation Date (29-Jan-2003 to 01-Feb-2003) |
USD 4.11 |
|
Market Price as of Revaluation Date |
USD 102 |
During revaluation of settled ex deals (revaluation date and settlement date are in the same coupon periods) all the coupons between the revaluation date and the redemption date are discounted to the revaluation date excluding the first coupon cash flow from the settlement date. Therefore, the effective coupon cash flow that considered during revaluation for the deal will be as follows:
Table 28-18 Coupon
| Coupon Event Date | Coupon |
|---|---|
|
01-Mar-2003 |
USD 38.36 |
|
01-Apr-2003 |
USD 42.47 |
|
01-May-2003 |
USD 41.10 |
|
01-Jun-2003 |
USD 42.47 |
|
01-Jul-2003 |
USD 41.10 |
The computation of net present value for the deal is done as shown in the table below:
Table 28-19 Net Computation
| Date | Ci | Ñd | 1+ y0 | Ñd/P | (1+ y0) ^(Ñd/P) | Disc. Ci |
|---|---|---|---|---|---|---|
|
01-Mar-03 |
38.36 |
19 |
1.19729 |
0.084932 |
1.015411 |
37.77 |
|
01-Apr-03 |
42.47 |
62 |
1.19729 |
0.169863 |
1.031059 |
41.43 |
|
01-May-03 |
41.10 |
92 |
1.19729 |
0.252055 |
1.046432 |
39.51 |
|
01-Jun-03 |
42.47 |
123 |
1.19729 |
0.36986 |
1.062558 |
40.20 |
|
01-Jul-03 |
41.10 |
153 |
1.19729 |
0.419178 |
1.078401 |
38.33 |
|
01-Jul-03 |
10500 |
153 |
1.19729 |
0.419178 |
1.078401 |
9736.34 |
| - | - | - | - | - | - |
9932.95 |
The pending interest amount received in advance as of the revaluation date is included to the NPV computed and Flat NPV as of revaluation date is derived.
Flat NPV = NPV + RIA = 9932.95 + 4.11 = 9937.06
The Revaluation profit or loss is computed by marking the flat NPV obtained against the flat market price using the formula mentioned above.
Revaluation Profit /Loss = (102 * 100) - 9937.06 = 262.94
Revaluation Profit = USD 262.94
Parent topic: Batch Process