This is a direct conversion by Instrument Engineering from Eagle Enrichment User Guide 2015, which is only available in PDF format.
Eagle Enrichment also provides a position roll forward feature. Roll forward allows for a complete set of positions to be cloned to a new date. It also allows for enrichments to be applied during the roll forward process. Some examples of common business cases where roll forward is useful include:
- Funds that are valued quarterly or less but need monthly reporting.
- Funds with month end valuations from accounting but need an estimated daily valuation throughout the month using daily prices from different sources.
- Funds with month end, local valuations only from accounting but need a daily estimated base currency equivalent using exchange rates from different sources
As of V13.0, Eagle has verified that Eagle Enrichment supports exposure valuation for futures and options (both positions and cash activity) and certain swap contracts (position records only). Eagle has not verified exposure valuation for all derivative instruments, although support for additional derivative types may be verified in future releases. This means that through configuration, the Eagle Enrichment module may support other instrument types even though they have not yet been validated. For additional information contact your Eagle Relationship Manager. Support for synthetic cash maintenance assumes you are using either SRM (Security Reference Manager) or Eagle's Issue Viewer module to create futures and options securities. Both modules have functionality to automatically create synthetic cash securities and establish the required underlying relationships. If you are not using SRM or Issue Viewer, you may need to modify your security setup procedure before using Eagle Enrichment for futures, options and swaps. For more information on the set-up of synthetic cash refer to <<<<<Synthetic Cash Securitization>>>>> ADD LINK TO HEADER.
Enrichment Types
The following table describes the available Eagle enrichments.
Enrichment | Description |
---|---|
Standard | A security specific enrichment of holdings and/or cash activity. |
Standard, Residual | An enrichment applied to any security that is not recognized by a security specific (standard) rule. Available for both holdings and cash activity. |
Roll Forward | Creates positions for the submit date by finding a portfolios most recent positions and uses them as a foundation for a new set of positions. Only applicable to holdings. Roll forward can either move positions „as is‟ or optionally apply enrichments during the process. |
Roll Forward Residual | For positions being rolled forward, residual processing can be applied for any security that is not captured by a security specific roll forward rule. |
Rule Types
The following table provides of an overview of the different rule types.
Rule | Security Criteria | Data Type | Description |
---|---|---|---|
Standard | Required | Positions, Cash Activity | Includes (but not limited to) support for exposure valuation for derivatives/synthetic cash, basic revaluation for alternate price source and other generic enrichments. |
Standard, Residual | Not Applicable | Positions, Cash Activity | Applies generic enrichments to all securities not recognized by a security specific rule. |
Roll Forward | Optional | Positions | Used for funds with infrequent valuations and/or sporadic data feeds. Roll forward with no enrichments specified clones the original positions. |
Roll Forward Residual | Not Applicable | Positions | Applies generic enrichments to securities not recognized in a standard roll forward rule for the portfolios that are being rolled forward to a new date. |
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