R11i/12: XTR: Accrual Calculation On Bond 30/360 Explanations (Doc ID 412678.1)

Last updated on NOVEMBER 17, 2015

Applies to:

Oracle Treasury - Version 11.5.10.2 to 12.1.3 [Release 11.5 to 12.1]
Information in this document applies to any platform.
Bond Accrual Calculations


Symptoms

Issue 1: In Accrual Process when you run once a month for the entire month when accrual day count basis is 30/360 you get numbers calculation as : September it calculated 29 days instead of 30, in October on 31 days instead of 30.

Issue 2:
Fixed income securities accrual Feb as 29 days, Mar as 32 days, Apr 29 days, May 31 days with Interest calculated according to number of days, though 30/360 was selected as Day Count Basis and Accrual Basis.

Issue 3:
Coupon Type as "Fixed-Regular" or "Fixed-Irregular" how it impacts?

Issue 4:
The interest accrual for the first month is calculating extra days of interest. This is no error message, however the calculation is incorrect. Day Count Calculation is not consistent with MSRB Rule G-33
Calculations as detailed above (and obtained from their web page), the resulting dollar amount is incorrect.

Issue 5:
R12.1.3: Accrued interest calculations are incorrect When Day Count Basis 30/360
system calculates as follows :
10M*.0098/364*8=$2,153.8461536
instead
=(10000000* ((0.0098/360)*8)) >> =$2,177.7777777
Day count Basis: 30/360

Changes

none

Cause

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