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Mar 30, 2011 at 06:57 AM

BOND purchase : accrued interest calculation in amortization log



When purchasing a bond, accrued interest is to be paid on top of the clean price.

Common market practice for day counting of accrued interest is : value date of the purchase - previous coupon date, meaning that the purchaser paid to the seller the coupon days upto but not including the purchase day (seems obvious). Hence, in the transaction in SAP we DE- flag "include" for the calculation date => we are in line with the broker's confirmation.

We use SAC amortization (with correction for accrued interest). In the amortization log, we notice that the accrued interest SAP takes on the acquisition date INCLUDES the coupon day of the acquisition date (contrary to what is in the transaction details) , which influences the effective interest rate, which obviously is on its turn not in line with the effective interest rate in the deal (which is the right one, taking into account the correct accrued interest pad to the seller).

NOTE 1252576 is implemented.


1. How can I influence (via custo or master data ) the accrued interest calculation as displaid in the amortization log

2. Are any settings in FWZZ I should double-check ?