XIRR amortization

[Former Member]

Hi,

While i am calculating amortization the value is deffers with client valuation.

My client is using XIRR method(excel calculation) which is available in attached .xls.

Followings are my fixed investment bond details(04I).

Security: 8.07% GOI 2017

Coupon Rate:8.07%

Maturity Date: 03-jul-17

Value Date: 14-Sep-12

Face Value:90000000

Price:99.50

Book Value:89550000

Accrued Interest:1432425

Yeild-8.1931

While I am running TPM1 through above datils it gives me 2322  insted of 2667 for 30092012.  and system is calculating amortization days 91 days where as 88 days in client calculations.

and we are following SAC method with including intrest,

So requesting you to clarify whether i am following correct procedure or not.

Regards,

Krishna Reddy T

[Former Member]

Try attaching all screenshots : FWZZ/FTR_EDIT/PMP/TPM20/TPM1/etc.

Mani

[Former Member]

Mani,

My client is accepted for Gross method, but iam facing some problem in amortization.

I have tested one fixed bond untill maturity but here the amortization value tallied up to zero through TPM1.

and for another bond at end of the maturity bond primium value not amortized up to zero.

Here derived flows are creating for defference amount.(Update type:DBT_C006).

Actually total premium value need to distribute upto maturity (untill Zero). without derived flows.Here we are using SAC gross(Including Intrest) method  and 360E/360.

My client wants to destribute the value of amort. through TPM1 transaction only.

Please Help me out as it is very urgent.

Regards,

Krishna

[Former Member]

I can try to help if you would please attach ALL relevant screenshots.

Mani

[Former Member]

Hi Mani,

Thanks for your update.

Please see the attached file for your reference.

Issue:

When your executing the  amortization  value , the  premium/Discount value should be equal by the time of maturity.

But here my problem is premium amount is not amortized fully  and the derived flows are creating for defference amount(DBT_C006).

I have tested one scenario untill maturity date. for ref plz see the client and SAP values in attached file.

Regards,

Krishna Reddy T