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Future Payment Calculations on the Projected Income Report

Contents

Introduction

This page discusses the projected payments and projected principal redemption for the Projected Income report.

The calculation used for future payments varies by security type. With the exception of CDs, Tamarac Reporting will:

1. Compute the first payment.

2. Optionally compute the second payment, if the first payment is unrepresentative of recurring future payments due to:

   • Large accrual (such as having a delayed first coupon date)

   • Ex-dividend exclusion

3. Optionally compute the last payment, if the last payment is not accrued over a full period.

With these three values, Tamarac Reporting will use the first and last payment values for the starting and ending payments. All other payments will use the second payment as the recurring payment.

Equity positions that are completely sold between the ex-dividend and next dividend date (for example, it is not a holding on the As of Date) will have no projected payment.

CDs will project the full schedule using the compounding frequency on a payment-by-payment basis. The payment is not added to the principal for interest accrual.

For all securities with a recurring payment frequency less than a year, the annual payment rate must be adjusted according to the number of payments within a year.

Projected Payments

Below is a high-level overview of projected payments.

Projected Principal Redemption

Below is a high-level overview of projected Principal Redemption. Be aware that:

• Principal Redemption will not use call dates. For fixed income, the pre-refund date will be used if it is specified and the final principal redemption will be adjusted by the pre-refund price.

• Short positions will have opposite polarity.