Hi experts,
my question is how calculation of interest accrual works in case of Security lending.
Let's assume, you bought some Bond (Product Type '04I' for example), nominal amount of 10 mio EUR and coupon 5% yearly, after that you lended (Product Type '77A' for example) 7 mio nominal of the same Bond. So:
--- I see in the sytem, that TPM44 calculates accrual of coupon on the base of 3 mio EUR nominal (10 - 7 mio EUR) for PT 04I in this case;
--- in case of PT 77A accrual is only calculated for flow, called 'Securities Lending: Lending Revenues;
--- however, as Securities lending does not mean change of ownership, so I'm missing accrual for the rest of coupon, based on 7 mio nominal amount.
would be gratefull if someone can me guide over this question.
Rgds,
Renatas