The attached spreadsheet shows detailed examples of how Eagle Accounting calculates the accruals in each case:

• View file
  name Brazilian Day Counts BUS_252 ACT_252 Accrual Calculator.xlsx

Difference

BUS/252

Period-to-date accrual formula for BUS/252 = ((1 + Interest Rate)^0.5 - 1) / TBD * BDP * Quantity

• TBD = total number of actual business days in the current coupon period

• BDP = number of actual business days that have passed in the current coupon period

Note: because the total number of business days can change each period based on how holidays fall, this formula will often result in a different daily accrual amount from one period to the next.

ACT/252

Period-to-date accrual formula for ACT/252 = (1 + Interest Rate) ^ (BDP / 252) * Quantity - Quantity

• BDP = number of actual business days that have passed since effective date

Note: Brazilian Pre-DI interest rate swaps only pay one coupon at maturity, so for these securities BDP will always be equal to the number of actual business days that have passed since effective date.

Reference Data

Calendar Requirement

Securities with Day Count Basis (471) = BUS/252 or ACT/252 must have Business Calendar Name (1480) = BR on the security master file (SMF). A trade booked against an SMF with Day Count Basis = BUS/252 or ACT/252 will fail if any other calendar is supplied.

Counting actual numbers of business days is crucial for both formulas, so it is important that the calendar be populated with all of the official Brazilian holidays. The business calendar for Brazil can be retrieved from Bloomberg by using the CDR function and entering BZ.

Having an incorrect holiday list loaded will manifest itself in slightly different ways for each day count.

• BUS/252: missing or extra holidays result in an incorrect daily accrual, which throws off the period-to-date accrual and ultimately results in a coupon being dropped for the wrong amount

• ACT/252: missing or extra holidays do not affect the daily accrual, but will result in accruals being generated on the wrong days, which causes the period-to-date accrual (and ultimately the payment at maturity) to include too many or too few days of accruals

Bonds (BUS/252)

There are no other unique security requirements for using bonds with Day Count Basis = BUS/252. Confirm the other standard accrual fields, including Coupon (70), Payment Frequency (471), etc., are populated correctly.

Swaps (ACT/252)

In addition to ensuring the other standard accrual fields (Coupon, Payment Frequency, etc.) are populated correctly, when you select ACT/252, the compounding fields are also defaulted. Do not change the default values as they tell Eagle Accounting to perform the correct type of compounding.

• Compounding Indicator (11875) = Yes

• Compounding Method (11876) = All

• Compounding Frequency (11877) = 1_D

• First Compounding Date (11878) = Dated Date

• Last Compounding Date (11879) = Maturity Date