Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 12 Next »

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.

Content on this page:

Forwards

FieldTagDB.TABLE.COLUMNNotes
Sell Quantity366

TRADESDBO.TRADE.PAR_OR_SHARES

HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE

HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES

On sell side
Buy Quantity316

TRADESDBO.TRADE.PAR_OR_SHARES

HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE

HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES

On buy side
Base Net Amount478

TRADESDBO.TRADE.TRADE_BASE_AMOUNT

CASHDBO.CASH_ACTIVITY.BASE_AMOUNT


Commission Amount Local47

TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT

HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION

CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION

On whichever side matches the Settlement Currency (63)
Other Fee3752

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)

FieldTagDB.TABLE.COLUMNNotes
Contracts40

TRADESDBO.TRADE.PAR_OR_SHARES

HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE

HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES


Price per Contract45

TRADESDBO.TRADE.PRICE

HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE

CASHDBO.CASH_ACTIVITY.PRICE


Commission Amount Local47

TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT

HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION

CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION


Other Fee3752

TRADESDBO.TRADE.SEC_FEES

HOLDINGDBO.POSITION_COST_LOT.SEC_FEES

CASHDBO.CASH_ACTIVITY.SEC_FEES

Futures only
Notional Amount Local7429

TRADESDBO.TRADE.COST_LOCAL


Notional Amount Base7509TRADESDBO.TRADE.COST_BASE

No Variation Margin (VM)

FieldTagDB.TABLE.COLUMNNotes
Contracts40

TRADESDBO.TRADE.PAR_OR_SHARES

HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE

HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES


Price per Contract45

TRADESDBO.TRADE.PRICE

HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE

CASHDBO.CASH_ACTIVITY.PRICE


Tax Amount46

TRADESDBO.TRADE.TAXES

HOLDINGDBO.POSITION_COST_LOT.LOCAL_TAX_UNIT_BOOK_VALUE

CASHDBO.CASH_ACTIVITY.TRADE_TAXES


Commission Amount Local47

TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT

HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION

CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION


SEC Fee48

TRADESDBO.TRADE.EXCHANGE_FEE

HOLDINGDBO.LOT_LEVEL_POSITION.EXPENSES

CASHDBO.CASH_ACTIVITY.TRADE_FEE


Stamp Duty Tax51

TRADESDBO.TRADE.OTHER_FEE

HOLDINGDBO.POSITION_COST_LOT.OTHER_CHARGES

CASHDBO.CASH_ACTIVITY.LOCAL_STAMP_DUTY_TAX


Other Fee3752

TRADESDBO.TRADE.SEC_FEES

HOLDINGDBO.POSITION_COST_LOT.SEC_FEES

CASHDBO.CASH_ACTIVITY.SEC_FEES


Local Net Amount50

TRADESDBO.TRADE.NET_CASH

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT


Settlement Net Amount64

TRADESDBO.TRADE.SETTLEMENT_AMOUNT

HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS

HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT

Options only
Base Net Amount478

TRADESDBO.TRADE.TRADE_BASE_AMOUNT

CASHDBO.CASH_ACTIVITY.BASE_AMOUNT


Swaps

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

FieldTagDB.TABLE.COLUMNNotes
Original Face41

TRADESDBO.TRADE.ORIGINAL_FACE_VALUE

HOLDINGDBO.POSITION_DETAIL.ORIG_FACE

HOLDINGDBO.LOT_LEVEL_POSITION.ORIG_FACE

CDX only
Factor91TRADESDBO.TRADE.FACTORCDX only
Notional Principal Value40

TRADESDBO.TRADE.PAR_OR_SHARES

HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE

HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES


Price45

TRADESDBO.TRADE.PRICE

HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE

CASHDBO.CASH_ACTIVITY.PRICE


Traded Interest Local49

TRADESDBO.TRADE.ACCRUED_INTEREST

HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED

HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED

CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD


Principal165TRADESDBO.TRADE.PRINCIPAL
Commission47

TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT

HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION

CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION


Other Fee Local3752

TRADESDBO.TRADE.SEC_FEES

HOLDINGDBO.POSITION_COST_LOT.SEC_FEES

CASHDBO.CASH_ACTIVITY.SEC_FEES


Comm Amt S17989CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTOnly 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 S17988CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTOnly 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 Amount50

TRADESDBO.TRADE.NET_CASH

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT


Settlement Net Amount64

TRADESDBO.TRADE.SETTLEMENT_AMOUNT

HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS

HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT


Base Net Amount478

TRADESDBO.TRADE.TRADE_BASE_AMOUNT

CASHDBO.CASH_ACTIVITY.BASE_AMOUNT


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

FieldTagDB.TABLE.COLUMNNotes
Notional Principal Value40

TRADESDBO.TRADE.PAR_OR_SHARES

HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE

HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES


Price45

TRADESDBO.TRADE.PRICE

HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE

CASHDBO.CASH_ACTIVITY.PRICE

Contract only
Traded Interest Local49

TRADESDBO.TRADE.ACCRUED_INTEREST

HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED

HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED

CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD

Legs only
Principal165TRADESDBO.TRADE.PRINCIPALContract only
Commission Amount Local47

TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT

HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION

CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION

Contract only
Other Fee Local3752

TRADESDBO.TRADE.SEC_FEES

HOLDINGDBO.POSITION_COST_LOT.SEC_FEES

CASHDBO.CASH_ACTIVITY.SEC_FEES

Contract only
Comm Amt S17989CASHDBO.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 S17988CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTOnly 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 Amount50

TRADESDBO.TRADE.NET_CASH

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT


Settlement Net Amount64

TRADESDBO.TRADE.SETTLEMENT_AMOUNT

HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS

HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT


Base Net Amount478

TRADESDBO.TRADE.TRADE_BASE_AMOUNT

CASHDBO.CASH_ACTIVITY.BASE_AMOUNT


Initial Cash Receipt316CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTCCS legs only
Initial Cash Payment366CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTCCS legs only
Final Cash Payment8317CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTCCS legs only, once position is closed/terminated
Final Cash Receipt8318CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNTCCS legs only, once position is closed/terminated

Total Return (TRS)

FieldTagDB.TABLE.COLUMNNotes
Shares40

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
Price45

TRADESDBO.TRADE.PRICE

HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE

CASHDBO.CASH_ACTIVITY.PRICE

Return leg only
Traded Interest Local49

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)165TRADESDBO.TRADE.PRINCIPALOnly populated if Swap Fee Local (7510) is greater than zero
Principal (return leg)165TRADESDBO.TRADE.COST_LOCALTRADESDBO.TRADE.PRINCIPAL is not populated for return legs
Commission47

TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT

HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION

Return leg only
Other Fee3752

TRADESDBO.TRADE.SEC_FEES

HOLDINGDBO.POSITION_COST_LOT.SEC_FEES

Return leg only
Local Net Amount50

TRADESDBO.TRADE.NET_CASH

CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT


Settlement Net Amount64

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 Amount478

TRADESDBO.TRADE.TRADE_BASE_AMOUNT

CASHDBO.CASH_ACTIVITY.BASE_AMOUNT


  • No labels

0 Comments

You are not logged in. Any changes you make will be marked as anonymous. You may want to Log In if you already have an account.