Overview

This document applies to all releases of Eagle software V11 and above. Version-dependent functionality is noted with the initial release(s) it became available.

Eagle supports end-to-end processing of Price, Spread, and Rate Lock Contracts. This document covers the details of Accounting, Data Management, and Performance Measurement.

Entity Setup

Lock Contracts do not require any special setup above and beyond the normal requirements for creating an entity. The Add/Change Entity process can be used to add or modify entity data.

Security Data

• Issue Name

• Primary Asset ID & Type

• Process Security Type = SWLOCK (Lock Contract)

• Issue Country

• Asset Currency

• Buy/Sell Indicator

• Maturity Date

  • Ability to have Lock Contracts automatically expire or mature is not currently supported

  • Maturity/Expiration Date can be entered, but a close transaction must be submitted to close out the position

• Coupon

  • Coupon is for reference only

  • The assumption for the Coupon (Lock-in Rate) is that accrued interest will be incorporated into the Lock Contract’s price

...

Trade Processing

All Lock Contracts are established as long positions in Accounting. Once security reference and entity data are setup, trades can be entered using the Book Trade module under the Trade tab. The required fields for booking a Lock trade are listed below.

Open

• Entity ID/Name

• Security ID

• Trade Date

• Settle Date

• Notional Principal Value

• Broker

Close

The maturity process has been turned off for Lock Contracts, requiring the user to process a close transaction to close out the position.

• Entity ID/Name

• Security ID

• Trade Date

• Settle Date

• Data Entry Method

• Notional Principal Value

• Price

• Broker

Accounting

Once a Lock Contract trade is successfully booked it will follow all core Eagle Accounting processes.

Valuation

Eagle Accounting calculates the value of a Lock Contract by using the formula below:

• Market Value = Notional Amount * Clean Unit Price * Price Multiplier * Quantity Scale

Reporting

STAR to PACE (S2P)

Almost all reports in Eagle Accounting leverage data from Data Management, which is populated by the S2P process. This will be scheduled as part of the daily workflow, but can also be triggered manually as described in the Accounting section.

The S2P process creates a single row for each Lock Contract in the POSITION, POSITION_DETAIL, TRADE, and CASH_ACTIVITY tables. The MARKET_VALUE_INCOME column captures the total market value.

Accounting Reports

Eagle has a core set of accounting reports that can be used to review Lock Contract information. These are designed to support the daily operational workflow for business users, allowing Grid Reports to be easily exported to Excel and customized to provide additional details as needed. Advanced Reports are intended to be client-facing and do not provide the same level of customization.

Data Management Reporting

Performance

Reflexive Flows need to be added via the S2P process in order to calculate performance.

Automation

Lock Contract trades can be loaded via default CSV and STAR Message Center streams. Loading security data for Lock Contracts is not supported. Refer to

...

https://eagledocs.atlassian.net/wiki/spaces/GENERICINTER/overview for more information.