Accrual Factor Calculation Examples

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

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:

Coupon * (days/ basis)

*days = days elapsed in coupon period

5 * (9 / 360)

= 0.125

To calculate the accrual ptd for 1/8:

(Current Qty * price multiplier) * 1/9 accrual factor

(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

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

(500,000 * 0.01) * 0.01

= 50

Income Activity

Cash Receipts