Why Does the ALM CFE Calculate Accrued Interest from the Last Payment Date Instead of As of Date? (Doc ID 2380179.1)

Last updated on APRIL 11, 2023

Applies to:

Goal

When accrued interest at instrument level record and Adjustable Type CD = 250 with Reprice Freq = 3 Month.

For the records:
Last Payment Date = 12-Sep-17
Next Payment Date = 12-Dec-17
Last Reprice Date = 12-Sep-17
Next Reprice Date = 12-Dec-17
As of Date = 31-OCT-2017

It is expected that Financial Element (FE 430) Interest Income for next payment date will be calculated as

= Cur Par Bal * Cur Net Rate * (Next Payment Date - As of Date ) / 365 + Accrued Interest

However the Cash Flow Engine (CFE) is calculating it as

= Cur Par Bal * Cur Net Rate * (Next Payment Date - Last Payment Date ) / 365

Here it is ignoring Accrued Interest column value and interest is calculated from Last Payment date instead of As of Date. 

Why is CFE calculating accrued interest from Last Payment date instead of As of Date?

Solution

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