WRITERS NOTE: discuss to better explain the override process. Is it overriding a system-calculated factor?
Accrual factors represent the period-to-date factor for a given effective date. The system (THE EARNINGS PROCESS?) can use this factor to calculate the accrual ptd for a holding. For example, an accrual factor with an effective date of January 9 would include all the interest up to and including January 8. The system multiplies the accrual factor by the position’s current quantity and price multiplier to determine the ptd accrual value. Eagle clients can supply accrual factors directly, and can load accrual factors from a third party source.
The following examples show how to calculate accrual factors and show how you can use accrual factors to override current earnings calculations.
Fixed Rate Example
Coupon: 5%
Day Count: 30/360
...
(500,000 * 0.01) * 0.125
= 625
Use Accrual Factors to Override Current Earnings Calculation Example
You can use accrual factors to override current earnings calculations.
Consider this example where you add only one accrual factor for effective date 5/1/2020. The system can use it to calculate accrual ptd for 4/30/2020. This accrual factor also overrides the 5/1 coupon, as it is derived from the accrual ptd value on entitlement date (that is, coupon date -1).
Accrual Factor
effective date (tag 1109) | interest accrual factor (tag 10943) | asset (tag 10) | source number (tag 1168) |
20200501 | 0.0100000000000000000 | 48779385 | 4 |
...
(500,000 * 0.01) * 0.01
= 50
Income Activity
Earned Thru Date (tag 461) | Units (tag 40) | Coupon (tag 70) | Accr Ptd Local (tag 465) | Accr Delta Local (tag 466) |
4/29/2020 | 500,000.00 | 5.00 | 2,013.89 | 69.45 |
4/30/2020 | 500,000.00 | 5.00 | 50.00 | (1,963.89) |
Cash Receipts
Event Type (tag 55) | Trade Dt (tag 35) | Settlement Dt (tag 37) | Net Amount Local (tag 50) |
COUPON | 4/1/2020 | 4/1/2020 | 2,083.33 |
COUPON | 5/1/2020 | 5/1/2020 | 50.00 |
...