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Performance clients also load analytics for fixed income securities to the SECURITY_ANALYTICS table. The fields required for the Performance load of fixed income securities analytics are noted in the data table below. Performance clients are principally interested in the effective yield, duration, and convexity.
To review the results of processing in the database, use the List Security Analytics query or Issue Viewer under the Reference category in Eagle Accounting.
The following table describes the required and optional data fields for the SECURITY_ANALYTICS table security analytics. Any security type may be loaded to this table. Fields of interest to Performance clients for fixed income analytics are annotated with an asterisked note.
Tag | Table Name | Field Name | Required/ Optional | Data Type |
|---|---|---|---|---|
1076 | Update Indicator | Update Indicator. Must be Y or N. | Required | Y/N indicator used within message stream process. Valid values: Y = Update, N = New Record, B = Both. Check for existing match. If found, update record; else insert. |
55 | Event type | Event type. Must be ADD_SEC_ANALYTICS. | Required *Req'd for Performance* | Used to route the message to the stored procedure that updates the SECURITY_ANALYTICS table. |
1234 | Xref type | Xref type | Required | CHAR. Not stored with data. |
1233 | SECURITY_ANALYTICS | SECURITY_ALIAS | Required | RESOLVED. From lookup on tag 1233 (xref-id). |
1109 | SECURITY_ANALYTICS | EFFECTIVE_DATE | Required | DATE. |
1102 | SECURITY_ANALYTICS | SRC_INTFC_INST | Required | Resolved from lookup on tag 1102 (Source Name). The source must be defined for use for Analytics feeds (feed type ANL). |
8607 | SECURITY_ANALYTICS | CURRENCY | Optional | CHAR (3) |
8608 | SECURITY_ANALYTICS | CONVEXITY | Optional | NUMBER (28,12) |
8609 | SECURITY_ANALYTICS | MOD_DURATION | Optional | NUMBER (28,12) |
8610 | SECURITY_ANALYTICS | YTM | Optional | NUMBER (28,12) |
8611 | SECURITY_ANALYTICS | YTNC | Optional | NUMBER (28,12) |
8612 | SECURITY_ANALYTICS | YTNP | Optional | NUMBER (28,12) |
8613 | SECURITY_ANALYTICS | YTS | Optional | NUMBER (28,12) |
8614 | SECURITY_ANALYTICS | EFF_YLD | Optional | NUMBER (28,12) |
8615 | SECURITY_ANALYTICS | DUR_TO_WRST | Optional | NUMBER (28,12) |
8616 | SECURITY_ANALYTICS | YTO | Optional | NUMBER (28,12) |
8617 | SECURITY_ANALYTICS | CPR | Optional | NUMBER (28,12) |
8618 | SECURITY_ANALYTICS | EFF_DUR | Optional | NUMBER (28,12) |
8619 | SECURITY_ANALYTICS | PSA | Optional | NUMBER (28,12) |
8620 | SECURITY_ANALYTICS | OAS | Optional | NUMBER (28,12) |
8621 | SECURITY_ANALYTICS | OAD | Optional | NUMBER (28,12) |
8622 | SECURITY_ANALYTICS | OAY | Optional | NUMBER (28,12) |
8623 | SECURITY_ANALYTICS | WAL | Optional | NUMBER (28,12) |
8624 | SECURITY_ANALYTICS | WAM | Optional | NUMBER (28,12) |
8625 | SECURITY_ANALYTICS | WAC | Optional | NUMBER (28,12) |
8626 | SECURITY_ANALYTICS | YTW | Optional | NUMBER (28,12) |
8627 | SECURITY_ANALYTICS | MAT_YRS | Optional | NUMBER (28,12) |
8628 | SECURITY_ANALYTICS | ACT_DAY_TO_ACCRUE | Optional | NUMBER (28,12) |
8629 | SECURITY_ANALYTICS | CASH_FLW_DURATION | Optional | NUMBER (28,12) |
8630 | SECURITY_ANALYTICS | PD3 | Optional | NUMBER (28,12) |
8631 | SECURITY_ANALYTICS | PD4 | Optional | NUMBER (28,12) |
8632 | SECURITY_ANALYTICS | EFF_SPREAD_DUR | Optional | NUMBER (28,12) |
8633 | SECURITY_ANALYTICS | MTG_EFF_ELASTICITY | Optional | NUMBER (28,12) |
8634 | SECURITY_ANALYTICS | MTG_THREAS_ELASTICITY | Optional | NUMBER (28,12) |
8635 | SECURITY_ANALYTICS | MTG_TURNOVER_ELASTICITY | Optional | NUMBER (28,12) |
8636 | SECURITY_ANALYTICS | SMM_RATE | Optional | NUMBER (28,12) |
8637 | SECURITY_ANALYTICS | STRIPPED_YIELD | Optional | NUMBER (28,12) |
8638 | SECURITY_ANALYTICS | TERM | Optional | NUMBER (28,12) |
8639 | SECURITY_ANALYTICS | MACAULAY_DURATION | Optional | NUMBER (28,12) |
8640 | SECURITY_ANALYTICS | YTNCONV | Optional | NUMBER (28,12) |
8641 | SECURITY_ANALYTICS | DTM | Optional | NUMBER (28,12) |
8642 | SECURITY_ANALYTICS | CASH_FLOW_YIELD | Optional | NUMBER (28,12) |
8643 | SECURITY_ANALYTICS | ACCRUED_FACTOR | Optional | NUMBER (28,12) |
8644 | SECURITY_ANALYTICS | EFF_SPREAD | Optional | NUMBER (28,12) |
8645 | SECURITY_ANALYTICS | OAD2 | Optional | NUMBER (28,12) |
8646 | SECURITY_ANALYTICS | OAD3 | Optional | NUMBER (28,12) |
8647 | SECURITY_ANALYTICS | MOD_TO_WRST | Optional | NUMBER (28,12) |
8648 | SECURITY_ANALYTICS | AVERAGE_LIFE_DATE | Optional | DATE |
8649 | SECURITY_ANALYTICS | AVERAGE_MATURITY | Optional | DATE |
8650 | SECURITY_ANALYTICS | DELTA | Optional | NUMBER (28,12) |
8651 | SECURITY_ANALYTICS | GAMMA | Optional | NUMBER (28,12) |
8652 | SECURITY_ANALYTICS | THETA | Optional | NUMBER (28,12) |
8653 | SECURITY_ANALYTICS | VEGA | Optional | NUMBER (28,12) |
8654 | SECURITY_ANALYTICS | R_DAY_CNT | Optional | NUMBER |
8655 | SECURITY_ANALYTICS | P_DAY_CNT | Optional | NUMBER |
8656 | SECURITY_ANALYTICS | BETA | Optional | NUMBER (28,12) |
8657 | SECURITY_ANALYTICS | EFF_CONVEXITY | Optional *Req'd for Performance* | NUMBER (28,12) |
10451 | SECURITY_ANALYTICS | MAPPING_CUSIP | Optional | CHAR (12) |
10452 | SECURITY_ANALYTICS | PRICE | Optional | NUMBER (28,12) |