WHT - Gross up – Bond Periodic & FRN-CGL

Extend Gross Up option to Bond Periodic and FRN-CGL Formulas for MM & Security Deals.

Borrowing:

WHT on Net Interest basis (Current functionality)

• Interest = Face Value * Rate * Year Frac

• Amount Paid to Counterparty: Interest * (1 - WHT Tax Rate)

• Amount Paid to Tax Authority: Interest * WHT Tax Rate

Required: Calculate WHT on a Gross Interest basis

• Interest = Face Value * Rate * Year Frac

• Amount Paid to Counterparty: Interest

• Amount Paid to Tax Authority: Interest * (WHT Tax Rate / (1-WHT Tax Rate ))

Investment:

WHT on Net Interest basis (Current functionality)

• Interest = Face Value * Rate * Year Frac

• Amount Received from Counterparty: Interest * (1 - WHT Tax Rate)

• Amount Paid to Tax Authority by Counterparty : Interest * WHT Tax Rate

  • This cash flow is reflected in the Ledger Posting entries, but not the cash flows as it is an external payment on our behalf.

Required: Calculate WHT on a Gross Interest basis

• Interest = Face Value * Rate * Year Frac

• Amount Received from Counterparty: Interest

• Amount Paid to Tax Authority by Counterparty : Interest * (WHT Tax Rate / (1-WHT Tax Rate ))

  • This cash flow is reflected in the Ledger Posting entries, but not the cash flows as it is an external payment on our behalf.