Korean Bullet Bonds Processing Notes

Owned by Jawann Swislow
Jun 05, 2024
1 min read

Some South Korean bonds, including those with the (764)S.KOREA COMPOUND Calc Type in Bloomberg, only pay at maturity and stipulate a day count basis of ACT/ACT. This combination is not currently supported in the core Eagle Accounting security setup screen. These bonds also have annual compounding with the assumption that equal interest amounts are accrued each year.

There are two options to support these bonds. In both cases, set Payment Frequency (tag 472) to MAT (At Maturity). Both options will produce the same cashflows.

  1. Set Day Count Basis (tag 471) to 30/360 on the security master file (SMF)

  2. Add an overlay to comment out the line that restricts day counts with ACT in the denominator from being used with securities that pay at maturity

    1. Accruals will process successfully using ACT/ACT

Traded interest may not be correct in all cases due to day count differences.