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Generic Entity Interface
The Attribution Toolkit requires each entity to be set up. If you are loading portfolio performance and not using the Calculation Toolkit, you need to set up entities for your portfolios. If you are loading benchmarks, refer to the Index Toolkit.
Interface Details
The generic Entity interface is a generic stream available in Message Center in the CSV or STAR formats:
- Eagle_Default_In_Csv_Entity
- Eagle_Default_In_Star_Entity
See Supported Generic Interfaces for for more details.
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Table of Contents
Columns Used
The following table shows columns used by the Attribution Toolkit.
| Database Column | Table | Tag | Required? | Purpose |
|---|---|---|---|---|
ENTITY_DETAIL_ID | ENTITY_DETAIL | 2539 | Y | Unique identifier for benchmark entity |
ENTITY_TYPE | ENTITY_DETAIL | Not Needed | Y | Type of assignment, should always be INDX |
LIST_ORDER | ENTITY_DETAIL | 2540 | Y | Benchmark definition number, should be 1 for primary benchmark |
PROCESS_ACROSS_CHANGES | ENTITY_DETAIL | 2541 | N | Enable Process Across Changes for the assignment |
Generic SMF Interface
Security level performance requires each security to be set up. If you are loading portfolio performance and not using the Calculation Toolkit, you need to set up securities for your portfolios. If you are loading benchmarks, refer to Chapter 3: Index Toolkit.
During performance calculation, security attributes are rolled up into performance segments and become the basis for segment analysis used throughout the Attribution Toolkit.
Interface Details
The generic SMF interface is a generic stream available in Message Center in the CSV or STAR formats:
- Eagle_Default_In_Csv_Smf
- Eagle_Default_In_Star_Smf
Columns Used
The following table shows columns used by the Attribution Toolkit.
| Database Column | Table | Tag | Required? | Purpose |
|---|---|---|---|---|
ISSUE_NAME | SECURITY_MASTER | 961 | Y | Name of security |
INVESTMENT_TYPE | SECURITY_MASTER | 11 | Y | Investment type |
CURRENCY_CODE | SECURITY_MASTER | 85 | N | Currency |
REGION | SECURITY_MASTER_DETAIL | 5423 | N | Region |
COUNTRY_OF_RISK | SECURITY_MASTER_DETAIL | 10536 | N | Country |
GICS_SECTOR | SECMASTER_DETAIL_EXT | 10181 | N | GICS Sector |
GICS_INDUSTRY_GROUP | SECMASTER_DETAIL_EXT | 10183 | N | GICS Industry Group |
GICS_INDUSTRY | SECMASTER_DETAIL_EXT | 10185 | N | GICS Industry |
GICS_SUB_INDUSTRY | SECMASTER_DETAIL_EXT | 10187 | N | GICS Sub Industry |
AGG_BOND_L1 | SECMASTER_DETAIL_EXT | 2504 | N | Aggregate Bond Level 1 |
AGG_BOND_L2 | SECMASTER_DETAIL_EXT | 2505 | N | Aggregate Bond Level 2 |
AGG_BOND_L3 | SECMASTER_DETAIL_EXT | 2506 | N | Aggregate Bond Level 3 |
AGG_BOND_L4 | SECMASTER_DETAIL_EXT | 2507 | N | Aggregate Bond Level 4 |
Generic Performance Interface
The Attribution Toolkit requires performance data for each entity. If you are loading portfolio performance and not using the Calculation Toolkit, you need to load performance data for your portfolios. If you are loading benchmarks, refer to Chapter 3: Index Toolkit.
Interface Details
The generic Performance interface is a generic uploader available in the PIPE format under:
Eagle Generic Interfaces (EGLGENERIC) > Performance (PRF)
See Supported Generic Interfaces V17 GENERICINTER for more details.
Columns Used
The following table shows columns used by the Attribution Toolkit.
| Database Column | Table | Required? | Purpose |
|---|---|---|---|
PSR_USER_FLOAT7 | PERF_SEC_RETURNS | Y | Gross investment base |
PSR_USER_FLOAT8 | PERF_SEC_RETURNS | Y | Gross return |
PSR_USER_CHAR1 | PERF_SEC_RETURNS | N | Currency Code used as the Yield Curve Identifier Example: USD (Required if conducting Sector Level FIA attribution) |
PSR_USER_FLOAT60 | PERF_SEC_RETURNS | N | Effective Duration (Required if conducting FIA attribution based on sector level data) |
PSR_USER_FLOAT61 | PERF_SEC_RETURNS | N | Effective Yield (Required if conducting FIA attribution based on sector level data) |
Generic Analytics Interface
The Attribution Toolkit requires security analytics to be set up for Fixed Income Attribution.
Interface Details
The generic Analytics interface is a generic stream available in Message Center in the CSV or STAR formats:
- Eagle_Default_In_Csv_Analytics
- Eagle_Default_In_Star_Analytics
Columns Used
The following table shows columns used by the Attribution Toolkit.
| Database Column | Table | Required? | Purpose | |
|---|---|---|---|---|
SECURITY_ALIAS | SECURITY_ANALYTICS | 1233 | Y | Security Alias |
EFFECTIVE_DATE | SECURITY_ANALYTICS | 1109 | Y | Effective Date of analytics data |
CURRENCY_CODE | SECURITY_MASTER | 85 | N | Currency Example: USD (Required if conducting FIA attribution based on security level data) |
EFF_YLD | SECURITY_ANALYTICS | 8614 | N | Effective Yield (Required if conducting FIA attribution based on security level data) |
EFF_DUR | SECURITY_ANALYTICS | 8618 | N | Effective Duration Yield (Required if conducting FIA attribution based on security level data) |
EFF_CONVEXITY | SECURITY_ANALYTICS | 8657 | N | Effective Convexity (Required if conducting FIA attribution based on security level data) |
Generic Yield Curve Interface
The Attribution Toolkit requires yield curve data for each Fixed Income Attribution analysis.
Interface Details
The generic Yield Curve interface is a generic uploader available in the PIPE format under:
Eagle Generic Interfaces (EGLGENERIC) > Security (Yield Curve)
Columns Used
The following table shows columns used by the Attribution Toolkit.
| Database Column | Table | Required? | Purpose |
|---|---|---|---|
EFFECTIVE_DATE | YIELD_CURVE | Y | Yield Curve Effective Date |
YIELD_CURVE_CODE | YIELD_CURVE | Y | Yield Curve Code Example: USD |
DURATION | YIELD_CURVE_DETAIL | Y | Yield Curve Duration Point |
YIELD | YIELD_CURVE_DETAIL | Y | Yield Curve Yield Point |
SRC_INTFC_INST | YIELD_CURVE | N | Source code; default value is EAGLE PACE |
Additional Information
The Yield Curve uploader loads SECURITYDBO.YIELD_CURVE and SECURITYDBO.YIELD_CURVE_DETAIL tables. This is a batch uploader based on EFFECTIVE_DATE + Yield Curve code + Source Short Name. Yield Curve data for use with the Performance Toolkit must be loaded with the Source Short Name value of EAGLE PACE.
Ensure source files are sorted so that all rows in the same batch are grouped together. If one of the rows of data for this combination fails, the entire batch is rolled back. This is a standard behavior of batch uploaders. Inputs to this process are Yield curve code, Duration, Yield, Effective_date, and Source Short Name. Based on the duration value, Eagle calculates and stores a maturity date. The process creates one row in the YIELD_CURVE table for every combination of EFFECTIVE_DATE + Yield Curve code + Source Short Name. All the yield/duration values for this combination are loaded to the YIELD_CURVE_DETAILS table using the same system generated internal YIELD_CURVE_ID.