Overview

Eagle Accounting provides a single integrated system to capture and process derivatives alongside other securities. Derivatives leverage many common processes, such as fixed income earnings, and thus use many of the same fields. However, due to the notional-based nature of derivatives, some fields do translate directly between traditional equities/fixed income and derivatives.

One example is "principal." This is an established concept for traditional securities, but it is up for interpretation when you consider derivatives. Some systems capture the full notional value in this field, but that can be misleading when viewing a report with both derivatives and traditional securities. Therefore principal is not populated in Eagle Data Management for several derivatives.

The critical components of a trade for each derivatives type are listed below, followed by our recommended location for sourcing this information in Eagle Data Management. For multi-lot positions, values in the POSITION and POSITION_DETAIL tables are the aggregates across all open lots. To report on lot-level data, STAR to PACE Batch must be configured to run with STAR Data Filter (tag 2283) equal to one of the options that includes Open Lots.

In addition, we recommend configuring and building your reports to group securities based on Security Type (tag 82) and Sub-Security Type (tag 1464), rather than Processing Security Type (tag 3931, PST). PST is more of a processing indicator than security indicator, as some securities share the same PST. Grouping based on your own Security Type and Sub-Security Type values will prevent disparate securities from being grouped together.

On this page

Forwards

Field	Tag	DB.TABLE.COLUMN	Notes
Sell Quantity	366	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES	On sell side
Buy Quantity	316	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES	On buy side
Base Net Amount	478	TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT
Commission Amount Local	47	TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION	On whichever side matches the Settlement Currency (63)
Other Fee	3752	TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES	On whichever side matches the Settlement Currency (63)

Futures & Options

With Variation Margin (VM)

Field	Tag	DB.TABLE.COLUMN	Notes
Contracts	40	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES
Price per Contract	45	TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE
Commission Amount Local	47	TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION
Other Fee	3752	TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES	Futures only
Notional Amount Local	7429	TRADESDBO.TRADE.COST_LOCAL
Notional Amount Base	7509	TRADESDBO.TRADE.COST_BASE

No Variation Margin (VM)

Field	Tag	DB.TABLE.COLUMN	Notes
Contracts	40	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES
Price per Contract	45	TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE
Tax Amount	46	TRADESDBO.TRADE.TAXES HOLDINGDBO.POSITION_COST_LOT.LOCAL_TAX_UNIT_BOOK_VALUE CASHDBO.CASH_ACTIVITY.TRADE_TAXES
Commission Amount Local	47	TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION
SEC Fee	48	TRADESDBO.TRADE.EXCHANGE_FEE HOLDINGDBO.LOT_LEVEL_POSITION.EXPENSES CASHDBO.CASH_ACTIVITY.TRADE_FEE
Stamp Duty Tax	51	TRADESDBO.TRADE.OTHER_FEE HOLDINGDBO.POSITION_COST_LOT.OTHER_CHARGES CASHDBO.CASH_ACTIVITY.LOCAL_STAMP_DUTY_TAX
Other Fee	3752	TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES
Local Net Amount	50	TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT
Settlement Net Amount	64	TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	Options only
Base Net Amount	478	TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT

Swaps

Single-Name Credit Default (CDS) & Credit Default Index (CDX)

Field	Tag	DB.TABLE.COLUMN	Notes
Original Face	41	TRADESDBO.TRADE.ORIGINAL_FACE_VALUE HOLDINGDBO.POSITION_DETAIL.ORIG_FACE HOLDINGDBO.LOT_LEVEL_POSITION.ORIG_FACE	CDX only
Factor	91	TRADESDBO.TRADE.FACTOR	CDX only
Notional Principal Value	40	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES
Price	45	TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE
Traded Interest Local	49	TRADESDBO.TRADE.ACCRUED_INTEREST HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD
Principal	165	TRADESDBO.TRADE.PRINCIPAL
Commission	47	TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION
Other Fee Local	3752	TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES
Comm Amt S	17989	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	Only if Commission And Fee Settle Separately (tag 12860) = `YES` and Settlement Currency (tag 63) differs from both Asset Currency (tag 85) and Base Currency (tag 86)
Other Fee S	17988	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	Only if Commission And Fee Settle Separately (tag 12860) = `YES` and Settlement Currency (tag 63) differs from both Asset Currency (tag 85) and Base Currency (tag 86)
Local Net Amount	50	TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT
Settlement Net Amount	64	TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT
Base Net Amount	478	TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT

Interest Rate (IRS) Currency (CCS), & Inflation (ILS)

Field	Tag	DB.TABLE.COLUMN	Notes
Notional Principal Value	40	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES
Price	45	TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE	Contract only
Traded Interest Local	49	TRADESDBO.TRADE.ACCRUED_INTEREST HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD	Legs only
Principal	165	TRADESDBO.TRADE.PRINCIPAL	Contract only
Commission Amount Local	47	TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION	Contract only
Other Fee Local	3752	TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES	Contract only
Comm Amt S	17989	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	Only if Commission And Fee Settle Separately (tag 12860) = `YES` and Settlement Currency (tag 63) differs from both Asset Currency (tag 85) and Base Currency (tag 86)
Other Fee S	17988	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	Only if Commission And Fee Settle Separately (tag 12860) = `YES` and Settlement Currency (tag 63) differs from both Asset Currency (tag 85) and Base Currency (tag 86)
Local Net Amount	50	TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT
Settlement Net Amount	64	TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT
Base Net Amount	478	TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT
Initial Cash Receipt	316	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	CCS legs only
Initial Cash Payment	366	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	CCS legs only
Final Cash Payment	8317	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	CCS legs only, once position is closed/terminated
Final Cash Receipt	8318	CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	CCS legs only, once position is closed/terminated

Total Return (TRS)

Field	Tag	DB.TABLE.COLUMN	Notes
Shares	40	TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE	Number of shares for contract and return leg, notional value for finance leg
Price	45	TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE	Return leg only
Traded Interest Local	49	TRADESDBO.TRADE.ACCRUED_INTEREST HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD	Finance leg only
Principal (contract)	165	TRADESDBO.TRADE.PRINCIPAL	Only populated if Swap Fee Local (7510) is greater than zero
Principal (return leg)	165	TRADESDBO.TRADE.COST_LOCAL	TRADESDBO.TRADE.PRINCIPAL is not populated for return legs
Commission	47	TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION	Return leg only
Other Fee	3752	TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES	Return leg only
Local Net Amount	50	TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT
Settlement Net Amount	64	TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT	Always zero on return leg
Base Net Amount	478	TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT

Derivatives Reporting Best Practices