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Amortisation of securities using EIR

Hi Friends

I have the following scenario

Here is my parameters of the bond

Issue date 01/01/2014

Maturity date-31/12/2014

Coupon rate 2% semi annually  Act/360

Purchase date 13/05/2014 Value date 15/05/2014

Nominal  100m

Price 95%

Accrued Interest on purchase- 745,362.624  -- 135 days

When i run TPM 1 on first day  value date 15/05/2014 no flows are generated , My expectation to match clients flows is

Amortization on first day---15/05/2014----              21,739 Also if i run TPM1 on the 30/12/2014 i expect full amount of $5 000 000 but system generates  4,973,155.260

System gives me EIR of 10.5217595

PMP I am using 9980 amortization step 4000 SAC Gross- (See attachment)

Thank you inadvance for your input

Victor

Former Member
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