Lock Contracts

Best Practices Guide

Last Update: 8/23/2017

OVERVIEW

This document applies to all releases of Eagle software V11 and above. Version-dependent functionality is noted with the initial release(s) it became available.

Eagle supports end-to-end processing of Price, Spread, and Rate Lock Contracts. This document covers the details of Accounting, Data Management, and Performance Measurement.

SECURITY DATA

Security Reference:

• Issue Name
• Primary Asset ID & Type
• Process Security Type = SWLOCK
• Issue Country
• Asset Currency
• Buy/Sell Indicator
• Maturity Date
  • Ability to have Lock Contracts automatically expire or mature is not currently supported
  • Maturity/Expiration Date can be entered, but a close transaction must be submitted to close out the position
• Coupon
  • Coupon is for reference only
  • The assumption for the Coupon (Lock-in Rate) is that accrued interest will be incorporated into the Lock Contract’s price

ENTITY SETUP

Lock Contracts do not require any special setup above and beyond the normal requirements for creating an entity. The Add/Change Entity process can be used to add or modify entity data.

MESSAGE CENTER

Lock Contract trades can be loaded via default STAR and CSV Message Center streams.

Loading Lock Contract security data for Lock Contracts is not supported in the default STAR or CSV Message Center streams.

TRADE PROCESSING

All Lock Contracts are established as long positions in Accounting. Once security reference and entity data are setup, trades can be entered using the Book Trade module under the Trade tab. The required fields for booking a Lock trade are listed below.

Open

• Entity ID/Name
• Security ID
• Trade Date
• Settle Date
• Notional Principal Value
• Broker

Close

The maturity process has been turned off for Lock Contracts, requiring the user to process a close transaction to close out the position.

• Entity ID/Name
• Security ID
• Trade Date
• Settle Date
• Data Entry Method
• Notional Principal Value
• Price
• Broker

ACCOUNTING

Once a Lock Contract trade is successfully booked it will follow all core Eagle Accounting processes.

Valuation

Eagle Accounting calculates the value of a Lock security by using the formula below:

• Market Value = Notional Amount * Clean Unit Price * Price Multiplier * Quantity Scale

STAR TO PACE

The STAR to PACE process will create a single position in the position_detail table.

Similar to other instruments, STAR to PACE creates data in position, position_detail, trade, and cash_activity tables.

• Reflexive Flows need to be added via the STAR to PACE process in order to calculate performance

OPERATIONAL REPORTING

Eagle has a core set of report queries that can be used to review Lock Contract data along with other instruments. The reports were specifically designed to support the daily operational workflow. They are used to quickly identify differences and provide the necessary detailed information in order to resolve any discrepancies that may exist. The reports are primarily driven off of Data Management with data updated by the STAR to PACE Direct events. Eagle recommends following current best practices of using these core queries and building custom result profiles that fit your business needs.

INVESTMENT REPORTING

The STAR to PACE process moves position, cash activity, and trade data to Data Management. This enables users to take advantage of the OLAP reporting capabilities:

• Single/multi period lot, aggregate, and position reporting.
• Trade activity reporting.
• Cash activity reporting.

PERFORMANCE

Reflexive Flows need to be added via the STAR to PACE process in order to calculate performance.