19.5 Backdated/Current dated Rate Revision Processing

This topic describes the processing of backdated/current dated rate revision.

During EOD, the SE batch picks up all the coupon rate revision records having release date same as the EOD processing date. The system uses the latest revision rate available during End of day processing for coupon accrual processing.

As part of EOD processing, the rate revision values are applied and accrual amount recalculated on revised rate from the applicable effective date. Catch up accrual is done and posted as separate IACR event with the interest adjustment amount till EOD processing date and the daily accrual based on revised rate is posted as separate IACR event. The correction adjustment entries (Catch up accrual) will be posted in EOD with period code of current processing date when the revision is processed.

Below is an example of a portfolio level interest accrual where in current coupon was revised on 20-Jun-2021 with an event date of 15-Jun-2021 (i.e. effective date). As part of processing, catch up accrual is done and posted as part of accrual event of 20-Jun-2021.

Table 19-8 Portfolio level interest accrual

Instrument Details	Value
Cumulative Quantity in Portfolio for the instrument	1000000.000
Coupon Rate since 01-Jan-2021	6.1%
Interest Calc Method	Actual/365
Coupon Start Date	1-Jan-21
Coupon End Date	31-Jan-21
Coupon Revision Date	15-Jan-21
Coupon Revision Confirmation Date	20-Jan-21
Coupon Revised Rate with effective from 15-Jan-2021	7.00%
Daily Accrual till 19-Jan-2021	3175.34
Coupon Accrual Days till 19-Jan-2021	19.00
Revised Coupon Accrual Amount posted on 20-Jan-2021	191.78
Catchup Accrual for Interest Rate Adjustment for 19 days	468.49

As per the above example, the interest accrual on 20-Jun-2021 will have 2 IACR entries. One will carry adjustment amount of 6 days as catch-up accrual and another with Accrual amount for revised coupon rate of 3.0%.The catch-up accrual will post a consolidated amount which will be summation of daily interest accrual adjustments with new rate as a result of back dated rate revision.

For current dated rate revision, as part of EOD processing, the rate revision values are applied and accrual amount calculated on revised rate. Only One IACR event with accrual amount based on the revised rate will be posted.