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The Performance Calculation report allows you to perform on-the-fly currency conversion for composites. It is common for global firms to have composites that include constituents with different base currencies. The report allows you to create a composite of constituents in different currencies and have the holdings and transactions converted on the fly to the composite's currency. This section describes the setup needed to support multicurrency conversion.

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Set Up Data to Support Currency Conversion

The report identifies the base currency for the portfolio, benchmark, and composite, as needed. It finds the base currency in either the ENTITY_HISTORY table if you select the Use Entity History check box for the report profile, or in the ENTITY_DETAILS table if you clear the Use Entity History check box for the report profile. It identifies the FX rates in the FX_RATE table.

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Enable Cross Currency Calculations

The Performance Calculation report allows you to use cross currency calculations to arrive at the FX rate of a third currency by triangulation. For a general discussion of triangulation and setup for cross currency calculations, see Performance Analysis and Reporting.

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Set Up PACE System Parameters for Currency Conversion

This section describes how to set up the PACE system parameters that support multicurrency conversion for the Performance Calculation report. These parameters can also affect currency conversion in other types of PACE reports.

To change system settings related to currency conversion:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.

  2. Enter System Parameters in the Start Search text box.

  3. Click the System Parameters (System Management Center) link to access the System Management Center.
    You see the PACE System Parameters page.

  4. For each system setting related to currency conversion processing that you want to edit, select the check box to the left of the Sys Item, click Edit and select a different value, and then click Save.
    The new value appears in the corresponding Sys Value cell. The following table describes each setting related to currency conversion.

Sys Item

Name

Description

40

FX rates quotation method

Determines if the FX rate is a multiplier or divisor. Used for cross currency calculations to indicate whether the FX_RATES table contains either multiply by or divide by rates. If set to:

  • 0 (Direct quotation) indicates multiplier. Direct quotations are stored in TO foreign currency units per one FROM currency unit.

  • 1 (Indirect quotation) indicates divisor. indirect quotations are stored in FROM currency units per one TO currency unit.
    The default value is 0.

112

Number of days to go back to look for FX rates

Determines how many days to look back for FX rates.
The default value is 0.

135

FX Cross Rate Currency - ISO code of the Currency used for cross rates

If you enable cross currency calculation, identifies the ISO code of the reference currency you use to store FX rates.
Most Eagle US clients store FX rates in USD. For example, if you store FX rates in EUR, identify EUR as the reference currency.
The default value is USD.

137

Cross Currency Calculation

Determines whether to enable cross currency calculation. If set to:

  • Y, PACE allows you to arrive at the FX rate of a third currency by triangulation. This requires that you load only one reference currency FX rate and additionally load cross currency rates.

  • N, PACE does not allow you to arrive at the FX rate of a third currency by triangulation. This requires that you load FX rates for every reference currency.
    The default value is N (No).

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Define Holdings Fields for Conversion

When you run the Performance Calculation report to perform multicurrency conversion for composites, after the report finds the exchange rates, it uses underlying holdings fields to convert their underlying holdings amounts to amounts in the composite's base currency. You may need to create underlying holdings fields as Advanced Fields that use the following settings.

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Begin Market Value

Eagle Performance converts the beginning market value with the FX rate from the previous day's effective date. Ensure that the Advanced Field you select as the Beginning Market Value has:

  • Currency Process set to End Value

  • Currency type set to Base Currency

  • Field Type set to Decimal

  • Process for Begin Market Value set to Begin Date Holding or Entity

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End Market Value

Eagle Performance converts the ending market value with the FX rate from the end market value's effective date. Ensure that the Advanced Field you select as the Ending Market Value has:

  • Currency Process set to End Value

  • Currency type set to Base Currency

  • Field Type set to Decimal

  • Process for Begin Market Value set to End Date Holding or Entity

The following figure shows a sample holdings field.
Sample Holdings Field for Multicurrency Conversion

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Define Cash Fields for Conversion

When you run the Performance Calculation report to perform multicurrency conversion for composites, after the report finds the exchange rates, it uses cash fields to convert the cash flows using the cash flow's effective date before summing up those flows. After the conversion, the report sums the cash from all effective dates for each security for each field. You may need to create cash fields that use the following settings.

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Cash Field Example

When you define a Cash field for conversion, the Currency Process option controls whether the FX rate used is from the prior business day (Begin Value) or is from the current business day (End Value). Note that prior to V12.1.1, both Currency Process settings resulted in the current business day FX rate being used.

Ensure that the Advanced Field you select as the cash field has:

  • Currency Process set to End Value (Eagle recommendation) or Begin Value

  • Currency type set to Base Currency

  • Field Type set to Decimal

The following figure shows a sample cash field.
Sample Cash Field for Multicurrency Conversion

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Set Up the Report Profile for Currency Conversion

You can select the Convert constituents and benchmark to composite currency check box to enable the report profile to perform on-the-fly conversion for composites. For more information, see Define the Performance Calculation Report Profile.