Brazilian Day Counts Processing Notes
Overview
Eagle supports the BUS/252 day count basis (occasionally referred to as ACT/252) in V11.0 and all subsequent releases. This day count is used for Brazilian vanilla bonds, Brazilian inflation-linked notes, and Brazilian Pre-DI interest rate swaps. While you will typically see all of these securities quoted as BUS/252, the day count works differently between bonds and swaps. In Eagle, two separate day counts were added in order to support this distinction.
BUS/252: used for Brazilian vanilla bonds and inflation-linked notes
ACT/252: used for Brazilian Pre-DI interest rate swaps
On this page
Related content
The attached spreadsheet shows detailed examples of how Eagle Accounting calculates the accruals in each case:
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 amountACT/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 =Â 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