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.
Entity Setup
Entities trading Lock Contracts do not require any special setup
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Security Data
Security Reference:
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Reference Data
Market Data
Lock Contracts are priced on a par-zero basis (prices around zero rather than 100). This allows for positive and negative market values because the position is always held long. The price should include the impact of any applicable accrued interest because Lock Contracts do not accrue in Eagle Accounting.
Security Data
Issue Name (961)
Primary Asset ID (14) & Type (1432)
Processing Security Type (3931) =
SWLOCK (Lock Contract)Issue Country (1418)
Asset Currency (85)
Buy/Sell Indicator (1364)
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
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- 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
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(38): for reference purposes only as Lock Contracts are excluded from maturity processing
Coupon (70): the lock-in rate
For reference purposes only as Lock Contracts are excluded from accrual processing
Trade Processing
Lock Contract transactions can be processed manually through Book Trade or using messages (refer to the Automation section for details). Enter the appropriate entity, security identifier, and trade (35)/settle (37) dates and click Submit to query for the Lock Contract. Right-click it and select Open > Open Lock Security.
Open
Notional Principal Value (40): contract notional
Price (45): always zero
Broker (88)
Close
A close must be entered to remove the position and generate the net cash settlement amount. The Book Trade module should be used. Enter the same information as the open to query for the security. Right-click it and select Close > Close Lock Security.
Data Entry Method (10485): select
Enter Priceto supply a clean unit price orEnter Total Settlement Amountto supply a value representing all-inclusive trade proceeds (both can be positive or negative)Depending on the type of trade (open or close) and sign of the Price or Total Settlement Amount, Eagle Accounting will post either a premium payment or premium receipt as shown below:
Open + Positive Price/Amount = Premium Payment
Open + Negative Price/Amount = Premium Receipt
Close + Positive Price/Amount = Premium Receipt
Close + Negative Price/Amount = Premium Payment
Notional Principal Value (40): close notional
Price (45): enter the price that generates the correct net cash settlement amount
Total Settlement Amount (4404): enter the net cash settlement amount
Only available if Data Entry Method =
Enter Total Settlement Amount
Broker (88)
Accounting
Once a Lock Contract trade is
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booked, it will
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be picked up in Eagle's global workflow. Accounting valuation is calculated when posting unrealized gain/loss and Data Management valuation is calculated in STAR to PACE. These can be scheduled or triggered manually.
V17 & Above: Accounting Center > Processing and Exceptions > Global Processes
Accounting Valuation: Unrealized Gain Loss Entries > Post Daily Fund Unrealized Gain Loss-Position
Data Management Valuation: Eagle STAR to Eagle PACE Direct Processing > Transfer Data - Batch
Prior to V17: Global Process Center
Accounting Valuation: Unrealized Gain Loss Entries > Post Daily Fund Unrealized Gain Loss-Position
Data Management Valuation: STAR to PACE Direct Processing > Transfer Data - Batch
Valuation
Eagle Accounting calculates the value of a Lock Contract by using the formula below:
Market Value = Notional
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*
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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
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Performance
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The performance toolkit calculates market value-based performance for Lock Contracts using data supplied by the S2P process
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Automation
Lock Contract security master files (SMFs) and trades can be loaded
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through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to https://eagledocs.
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atlassian.net/wiki/spaces/GENERICINTER for more information.
Sample messages for the standard interfaces are listed below.
Transaction Type | Default Message Center Stream | Sample Files | ||||||||
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SMF Setup | eagle_default_in_csv_smf OR |
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Trades | eagle_default_in_csv_trades OR |
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