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Overview
This document applies to all releases of Eagle software. Version-dependent functionality is noted with the initial release(s) it became available.
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Assumptions
- This document uses existing Accounting functionality to accommodate ELN processing
- Security will be valued using an equity price, not a par-based price like a bond
- Income accruals are required and posted on a daily basis
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Reference Data
ELN are set up as fixed income securities in Accounting with Price Multiplier (18) and Quantity Scale (19) = 1.00 to accommodate equity pricing. The security will accrue using an inflated coupon rate, calculated as the annualized coupon rate multiplied by the starting equity price. Embedding the equity price within the coupon rate will generate the required income accrual while maintaining the traded equity units for accurate valuation.
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- Processing Security Type (3931) =
DBIBFD (Interest Bearing Debt Instrument) - Price Multiplier (18) =
1.00 - Quantity Scale (19) =
1.00 - Issue Country (1418): as specified
- Asset Currency (85): as specified
- Primary Exchange (17): typically
OTC - Coupon (70): populate with fixed rate from term sheet for reference purposes (the interest rate used for accruals will be retrieved from the variableVARIABLE_rate RATE table)
- Coupon Type (97) =
I (Variable Rate) - Day Count Basis (471): as specified
- Payment Frequency (472): as specified
- Business Day Convention (1536) =
ADJMBC (Modified Business Day – Adjusted) - Coupon Day of Month (10551): regular payment date without any adjustments for weekends or holidays (12 for attached example)
- Business Calendar (1480): as specified
- Issue Price (69) =
0.00 - Issue Date (68): first date security can be traded, populate with Issue Date (if available) or Trade Date
- Dated Date (1183): accrual start date, populate with Effective Date (if available) or Settle Date
- First Coupon Date (473): as specified
- Last Coupon Date (474): penultimate payment date
- Maturity Date (38): as specified
- Maturity Price (42):
0.00, or initial trade price if SEC yield is required - Trading Flat (3949) =
No - OID Indicator (218) =
No
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Once the security master is created a variable rate must be loaded to the variableVARIABLE_rateRATE table. Calculate this variable rate using the below formula. Fixed Coupon and Initial Equity Price can be sourced from the term sheet or trade ticket.
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Input the calculated variable rate using the Add Variable Rate panel.
- Effective Date (1109): populate with Dated Date from the SMF
- Variable Rate (96): annualized coupon rate calculated from the formula above
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Trade Processing
Trades can be entered using the Book Trade module once the reference data has been configured. Enter the appropriate entity, security identifier, and trade/settle dates and click Submit to query for the security. Right-click it and select Open > Buy/ShortShell or Close > Sell/BuytoCover.
- Select Values to be Calculated by STAR (7000) =
Traded Interest - Par Value/Current Face (40): as specified; Units from attached example
- Price (45): as specified
- Broker (88): as specified
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If Maturity Price is set to 0.00 it is likely that a negative SEC Yield will be calculated. To calculate an accurate SEC Yield, the security's Maturity Price must be set to initial trade price.
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Accounting
Once an ELN position has been established it will be picked up in Eagle’s global workflow. There is no special processing required.
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