Accrual Factor Calculation Examples

Accrual factors represent the period-to-date factor for a given effective date. 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, 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.

The following examples show how the system calculates accrual factors and describe how you can use accrual factors to override current earnings calculations.

Accrual Factor Fixed Rate Example

Coupon: 5%

Day Count: 30/360

Frequency:  Monthly (1/1, 2/1, 3/1, and so on)

Position Qty:  500,000

To calculate the accrual factor effective date 1/9:

Coupon * (days/ basis)

*days = days elapsed in coupon period

5 * (9 / 360)

= 0.125

To calculate the accrual ptd for 1/8:

(Current Qty * Quantity Scale) / 100)) * 1/9 accrual factor

(500,000 * 1) / 100)) * 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

The system uses the accrual factor from 5/1 to calculate the 4/30/2020 Accr Ptd Local (465):

(500,000 * 1) / 100)) * 0.01

= 50

Income Activity

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