3.5.12 EIM for Treasury Bills and Security Bonds

Oracle Banking Treasury Management also supports yield computation using nominal based cash flows. This is applicable for bonds and treasury bills for both WAC and non-WAC based portfolio cashflows.

Processing for Bonds

If the parameter ‘COMMON_YLD_ACCR’ is set to ‘Y’, the initial cash flow for yield computation will be based on the net considerations of the deal. Yield will be calculated based on the actual cash flows instead of the face value. The formula used for the computation of YTM for Bonds is the same.

Table 3-21 Notation

Value	Description
P0	Purchase price of the Bond
N	Total number of coupons
Ci	Coupon payment for coupon i
y0	Periodic YTM
Y0	Annualized Deal YTM
A	Day Count Method – Denominator
n	Number of coupons in a year
p0	Purchase price of the Bond
P	Period of Reinvestment (Defaulted to A/n if null)
R.P.	Redemption Price
Ai	Accrued Interest
Adi	Coupon date – Value date
Adn	Redemption date – Value date

Processing for Treasury Bills

The YTM is computed using O/S Deal Nominal if COMMON_YLD_ACCR is set to Y. During the Revaluation of T-Bills and Accrual of Discount for T-Bills, the O/S Deal Nominal is also used to compute the Net Present Value (NPV). The formula used for the computation of YTM for T-Bills is the same.

Table 3-22 Notation

Field	Description
P0	Purchase price of the T-Bill
R.P.	Redemption Price
y0	Periodic YTM
d	Redemption Date – Value Date
P	Period of Reinvestment
Y0	Deal YTM
A	Day Count Method – Denominator

Note:

If the parameter COMMON_YLD_ACCR is set to Y, discount accrual is calculated at nominal value, and no scale-up would be done during the discount accrual process. This applies to both, T Bills and Bonds.

Day Count Method Numerator

Indicate the day count numerator, which is to be used to arrive at the number of days for yield calculation. The options available are:

• 30 Euro
• 30 US
• Actual