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Best Practices Guide
Last Update: 7/25/2017
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TABLE OF CONTENTS
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OVERVIEW
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Eagle recommends setting up Boosted TARFs as FX Options in order to support the cashflows on each settlement date. The initial trade is booked consistent with Trade Date specified in the contract. This position is then exercised on the first Valuation Date, with payoffs calculated based on market rate vs. the Strike Rate. Assuming the Early Termination Provision has not been met, a new position will be opened after exercise and held through the second Valuation Date. This workflow of exercising and reopening will continue until the final Valuation Date or the Early Termination Provision is met, whichever comes first.
Example reference data screens, trade screens, and reports are attached:
ENTITY SETUP
Before any trades can be booked, the target entity must be set up appropriately.
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REFERENCE DATA
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The S2P process creates a single row for each Boosted TARF in the position, position_detail, trade, and cash_activity tables.
Accounting Reports
Eagle has a core set of
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accounting reports that can be used to review Boosted TARF
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information. These
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are designed to support the daily operational workflow for business users,
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allowing Grid Reports
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to be easily exported to Excel and customized to provide additional details
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as needed. Advanced Reports are intended to be client-facing
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and do not provide the same level of customization.
Data Management Reporting
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PERFORMANCE
The performance toolkit calculates market value-based performance for Boosted TARFs using data supplied by the S2P process. However, this can be misleading because traditional market values do not capture a Boosted TARF’s true exposure. Exposure-based analyses, which can be implemented using Eagle Enrichment, calculate more accurate returns.
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Exposure reporting and analysis are available in the product suite, but some accounting data must be augmented via Eagle Enrichment. Please contact Instrument Engineering for more implementation information based on your specific requirements. Additional details are also available in the Exposure Reporting and and the Eagle Enrichment Quick Reference documentsUser Guide 2015.
AUTOMATION
Boosted TARF security master files (SMFs) and trades can be loaded through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to the Generic Streams and Data Uploaders Reference Guide for more information.
- When Net Option Positions is set to Yes, short positions are maintained using standard Buy and Sell transactions
- When Net Option Positions is set to No, short positions are maintained using Write and BuytoCover transactions; to process such trades through Message Center, the event type must set to WRITE or BUYCVR
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