Create Enrichment Rules

To create an Enrichment rule:

1. In Portfolio Data Center, in the left navigation pane, click Portfolio Desk > Enrichment.
   You see the Eagle Enrichment workspace.

2. Click Create.
   You see the Creating Enrichment Rule dialog box, with the Rule Info tab selected by default.

   

3. Complete the settings on the Rule Info tab.
   Options include:
   - Name. Enter a name for the rule.
   - ID. (optional) Assign a unique ID if you plan to migrate to another environment. If you do not assign an ID, an ID with a sequential value is assigned automatically.
   - Description. Enter a description for the rule.
   - Enabled. Select this check box to enable the rule. Clear the check box to disable the rule.
   - Residual Processing. Select this check box to create a residual rule.
   - Roll Forward Processing. Select this check box to create a roll forward rule.
   - Funds. Select the funds.
   - Security Criteria. Define the security criteria. Make sure the new rule does not include security criteria that overlaps with other enabled rules for the same fund. If multiple rules contain an overlapping security criteria with different enrichments (for the same fund) only the first rule is applied.

4. Click Next.
   You see the Holding Enrichment tab.

Define Holding Enrichment

In the Creating Enrichment Rule dialog box's Holding Enrichment tab, you can define the enrichment for direct holdings and for synthetic holdings. The tab includes these two sections: 

• Direct Holdings. Allows you to select the field attributes that define the required enrichment for direct holdings. Direct holdings refer to the positions actually held by the fund, as opposed to the synthetic cash holdings that the system creates during the enrichment process.

• Synthetic Holdings. Allows you to specify the required enrichments (detail calculations) for synthetic cash holdings that the system creates during the enrichment process. You can create a synthetic cash position for each enriched security.

  

To add field attributes for direct holding enrichment:

1. In the Direct Holdings section, to add new enrichments, click Add. 

2. Click an empty cell in the Field column.
   You see the Field Selector dialog box.

3. Navigate to the appropriate field and select it.

4. Map the results back to the database by specifying a Target Table in the Target Table column.
   The default is the POSITION_DETAIL table.

5. Select a Target Column in the Target Column column.
   If you map an enrichment value to a previously unused column you may need to create a field attribute to be able to use it in OLAP and Performance reports.

To remove field attributes for direct holding enrichment:

In the Direct Holdings section, to delete new enrichments, select the row and click Remove.

To create synthetic cash holdings:

1. In the Synthetic Holdings section, if you want the rule to create a synthetic cash position for each enriched security, select the Create synthetic cash holdings check box. 
   When you select this check box:
   - Every security that meets the rules criteria must have a corresponding synthetic cash security in security master. The primary asset must have its underlying type set to PRIMARY. The synthetic cash asset must have its underlying type set to SYNTHETIC. Note that the Eagle Issue Viewer automates this process when you add futures or options to the system.
   - Prices for an options primary underlying asset must be available daily in the system, and the underlying asset must have price multiplier in security master. Options must have DELTA stored in the Delta column of the security analytics table.
   - The standard rules for futures and options have this option selected by default. If you are defining enrichment for something other than futures or options, clear this check box.
   - If you are using an alternate method to add options and futures you must enhance your security set-up workflow before selecting this check box. This is not necessary for enrichments for securities that do not require synthetic cash maintenance.

2. Click Add to specify the required enrichments (detail calculations).

3. Click Next.
   You see the Cash Enrichment tab. 

Define Cash Enrichment

In the Creating Enrichment Rule dialog box's Cash Enrichment tab (not applicable to roll forward rules), you can define enrichments for cash activity (performance transactions). You can filter on specific attributes of a trade record. If you need to apply different enrichments for the same security type, but different trade criteria, you can either use the filter or a detail calculation. 

For example, if the calculated trade amount for a future buy has a different formula than a sell you can either: 

• Create a futures rule and set the transaction criteria to trans type = buy, and then add another rule for trans type = sell

• Use one rule with a detail calculation to set the value before it is mapped. For example: if transaction type = buy, then A+B, if transaction type = sell then y + z.

  

To define cash enrichment:

1. Click the Transaction Criteria link to filter the types of cash activity records to be enriched.
   This option is used with the Security Criteria defined on the Creating Enrichment Rule dialog box Rule Info tab. For example:
   - If the Security Criteria is Security Type = Options, and you do not set a Transaction Criteria, then all cash activity records for options are enriched according to the rule definition.
   - If you set the Transaction Criteria to Transaction Type = BUY; only the buy transactions for options are enriched.

2. In the Direct Cash Activity section, click Add to select the cash activity enrichments for transactions in directly held securities. IF you do so:
   - After you click Add, click an empty cell in the Field column. The Field Selector dialog box appears.
   - Navigate to the appropriate field and select it.
   - Next, map the results back to the database by specifying a Target Table in the Target Table column.
   - Then, select a Target Column.
   If you map an enrichment value to a previously unused column you may need to create a field attribute to be able to use it in OLAP and Performance reports.

3. In the Synthetic/Underlying Cash Activity section, you can select the (optional) Create synthetic cash activity check box and then click Add to select the appropriate enrichment fields (detail calculations) in the Synthetic Cash tab.
   The standard rules for futures and options have this option selected by default. If you are defining enrichment for something other than futures or options, clear this check box.
   If you are using an alternate method to add options and futures, you must enhance your security set-up workflow before selecting this check box. Enrichments for securities that do not require synthetic cash maintenance are not subject to this requirement.

4. In the Synthetic/Underlying Cash Activity section, you can select the (optional) Create underlying cash activity check box and then click Add to select the appropriate enrichment fields (detail calculations) to create cash activity records for underlying securities in the Underlying Cash tab.
   The system can create cash activity records for the underlying securities based on the parent security when these records are not available from the Accounting system. For example, you can use this option for the legs of a multi-leg swap.

5. Click Finish. 

Enrichment Rule Examples

Example: Supported 1

This example is supported regardless of the enrichment fields contained in the rule, because the two rules have non-overlapping criteria. Both rules recognize the investment type of Future. However, Rule 1 only recognizes futures with sub type = 1 while rule 2 only recognizes sub type 2.

• Rule 1 has security criteria “Investment Type = Future and Sub Type = 1” for Funds 1-10

• Rule 2 has security criteria “Investment Type = Future and Sub Type = 2” for Funds 1-10

• Assume Rules 1 and 2 contain different enrichments.

Example: Not Supported 1

This example is not supported. Rule 1 is broadly defined as all futures. As a result, futures with a sub type = 2 are recognized by both Rule 1 and 2. In this example, the two rules have different enrichments. Any future with a sub type = 2 is captured by Rule 1 and ignored by Rule 2.

• Rule 1 has security criteria “Investment Type = Future” for Funds 1-10

• Rule 2 has security criteria “Investment Type = Future and Sub Type = 2” for Funds 1-10

• Assume Rules 1 and 2 contain different enrichments.

Example: Supported 2

This example is supported even though the two rules have overlapping criteria and different enrichment fields. This is because each rule has unique entities contained within the rule. Funds 1-10 (11-20) is only enriched according to rule 1 (rule 2).

• Rule 1 has security criteria “Investment Type = Future” for Funds 1-10

• Rule 2 has security criteria “Investment Type = Future” for Funds 11-20

• Assume Rules 1 and 2 contain different enrichments.

Example: Not Supported 2

We do not recommend including the same fund in both a standard and roll forward rule. The purpose of roll forward is to create positions for dates that do not have data. Standard rules are meant to enrich an existing set of positions. If the same fund were in multiple rules there is a risk that the enrichments of one rule would overwrite the other.

• Rule 1 is a standard rule with security criteria “Investment Type = Future” for Funds 1-10

• Rule 2 is a roll forward rule for Funds 1-10

Create Multiple Rules

You can create multiple rules that allow different funds to enrich the same security type in different ways. To do so, create multiple rules that contain the same security criteria, and then assign specific entities to the appropriate rule. Make sure for rules with the same security criteria that a fund only appears in one rule. Funds can be included in multiple rules if there is no overlap with security criteria. For example, do not put a fund into two rules where one is for "Investment Type X" and another is for "Investment type X and Sub-Type Y". Any security that meets the first rules criteria also meets the second rules criteria.