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From an amortization perspective, ECL uses the net present value (NPV) approach for calculating the yield. That yield should be “locked-in” and not change except for changes in initial cash flows or changes in initial cash flows and coupon rate. The following accretion rule setup is necessary for Eagle to properly account for fixed income posistions that follow the ECL method.
WRITERS NOTE: do we need to explain that these changes apply to regulations effective on January 1, 2023? Should you use different setup in 2022?
To create an amortization & accretion rule for use with ECL:
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