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About Synthetic Cash Securities

Synthetic cash securities are not tangible assets, and funds never actually own a position in them. During the

Enrichment process a phantom position is created in synthetic cash for each directly held future or option. For this to occur there must be a synthetic cash security linked to its parent future or option.

For example, a portfolio that owns a future and an option would have accounting based holdings that look like this:

Portfolio ABC:

• Future 1

• Option 1

However, the exposure view of this portfolio requires that holdings look like this:

Portfolio ABC:

• Future 1

• Syncash Future 1

• Option 1

• Syncash Option 1

Create Synthetic Cash Securities

In Reference Data Center, synthetic cash securities are created using linked data strategies. Ensure that the Enabled checkbox has been selected on the linked data strategy for all security types that use Eagle Enrichment. You can also create a new linked data strategy if you need to use Eagle Enrichment for a security type that is not yet supported by a standard rule. When you create a linked data strategy for use with Eagle Enrichment, ensure that you set the Link Type to Synthetic Cash and select the Enabled checkbox. For more information, see Create a Linked Data Strategy.

In Issue Viewer, use the Create Synthetic CASH Security option when adding or editing existing futures

, options, and single-leg swaps. The following procedure describes how to use Issue Viewer to create a synthetic cash security.

To create synthetic cash securities

in Issue Viewer:

1. From Issue Viewer, open the Future Contract panel, following the instructions in Manage Future Contracts in Issue Viewer.

2. Set the Create Synthetic CASH Security field

1. to Yes to automatically create synthetic cash and link it to the parent asset.

1. Otherwise, select No if you do not want to create notional exposure for these instrument types. The future or option security is created without a synthetic cash counterpart.

1. Complete the remaining panel options as appropriate.

2. Click Submit.

After you submit the request:

• The future or option is established as security master according to the values specified in the panel.

• The auto-create synthetic cash process establishes a security master for a synthetic cash counterpart as

• shown in the following table.

Once the security master is complete, the process establishes a relationship between the parent security and its syncash counterpart. The relationship is maintained on

SECURITYDbo.

UNDERLYING_

SECURITY.

Once synthetic cash securities are established, you can query or edit them using Issue Viewer or

Reference

Data Center. For example, in downstream reporting, you may have a report grouped on sub-security type. Synthetic cash is assigned a sub-type of CASH. If you do not want synthetic cash grouped in the CASH category, use Eagle tools to change the synthetic cash security attributes.

Work with

Preexisting Processes

You may already have custom procedures in place to create synthetic cash. Unlike some custom procedures, the

Enrichment process does not create synthetic cash securities. Security reference data for synthetics must exist ahead of time. Before using a custom procedure for maintaining synthetic cash, be aware of the following requirements.

• Every future and option must have its own synthetic cash counterpart. The derivative and its synthetic counterpart must have:

  • A unique security_alias

  • A common primary_asset_id

• We suggest the following best practices when using additional security master information for the synthetic cash securities:

  • Security Alias. A new unique value.

  • Primary Asset ID. Inherit (duplicate) value from parent security.

  • Investment Type. Set to SYTH.

  • Security Type. Set to SYNCASH.

  • Sub Security Type. Set to CASH.

  • Processing Security Type. Set to SYNTHETIC.

  • Issue Name. Append Synthetic Cash + parent issue name.

  • Issue Description. Append Synthetic Cash + parent issue description.

  • Ticker. Append SYN + parent currency code.

  • Currency Code. Inherit (duplicate) value from parent security.

  • Income Currency. Inherit (duplicate) value from parent security.

  • Quantity Type. Set to CASH.

  • Trading Unit. Set to 1.

  • Price Multiplier. Set to 1.

• The relationship between the derivative and its synthetic cash counterpart must be maintained on

• SECURITYdbo.

• UNDERLYING_

• SECURITY, and must have its relationship type maintained. The underlying relationship should have the following information:

  • Security_Alias. Set equal to the security alias of the parent derivative.

  • Underlying_Sec_Alias. Set equal to the security alias of the associated synthetic cash security.

  • Underlying_Type. Set to SYNTHETIC (all uppercase).

  • Begin_date. Set to the derivatives begin date.

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