Accrual factors represent the period-to-date factor for a given effective date. The earnings processcan 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 , adjusted for Quantity Scale, and divided by 100, to determine the ptd accrual value. Eagle clients can supply accrual factors directly, and can load accrual factors from a third party source.
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Frequency: Monthly (1/1, 2/1, 3/1, and so on)
Price Multiplier: 0.01
Position Qty: 500,000
To calculate the accrual factor effective date 1/9:
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To calculate the accrual ptd for 1/8:
(Current Qty * price multiplierQuantity Scale) / 100)) * 1/9 accrual factor
(500,000 * 0.011) / 100)) * 0.125
= 625
Use Accrual Factors to Override Current Earnings Calculation Example
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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 |
The The system uses the accrual factor from 5/1 to calculate the 4/30/2020 Accr Ptd Local (465):
(500,000 * 0.011) / 100)) * 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 |
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