Security Data and Security Master Settings

Fetching Security Data

Security data can be fetched from either the history tables or the composite tables, depending on report rule configuration. The composite tables are most often used for reporting purposes, so that the query is made against a smaller set of data. The composite tables store only the best, most recent security reference data. The history tables have two additional columns, effective date and source.

Following is a security data example.

The examples in the table are described below.

1. You have a source rule that references Source A, and a field attribute, pointing to coupon, that is source specific to Source A. If both the source rule and the field attribute reference Source A, the fetch goes to the history tables and reports a Coupon of 4.

2. You are using the same source specific field attribute pointing to a coupon that is source specific to Source A. However, you don’t have Source A or Source B listed in the source rule. In this case, the security master record is not used, but the History record is, and reports a Coupon of 4.

3. You are not using a source specific field attribute. However, Source B has been selected in the source rule. In this case, the fetch goes to the history tables and reports a Coupon of 6.

4. You are not using a source specific field attribute and you do not have Source A or Source B listed in the source rule. In this case, the fetch goes to the security master and reports a Coupon of 5.

Configuring Security Master History Date

You can specify which date field is used from the trade or cash activity table to retrieve the security master history records when the PACE report is configured to display historical security master data.

There is a security master history fetch process in trades reports, multi period cash activity reports, multi period cash balance reports, and ledger activity reports. Each of these report types contains the SMF fetch setting.

• Trades reports. The SMF fetch setting lists all of the field attributes that are defined against the TRADE table.

• Multi period cash activity and multi period cash balance reports. The setting lists all of the field attributes that are defined against the CASH_ACTIVITY, CASH_BAL, and CASH_FLOW_PROJECTION tables.

• Ledger activity reports. The setting lists all of the field attributes that are defined against any of the tables in the LEDGER database. This setting does include internal field attributes that exist for these tables.

Complete the following procedure to configure security master history data.

1. Click Options on the first dialog box of the report profile edit session.
   You see the Specify Date Types tab on the Advanced Options dialog box appears, displaying different settings based on the PACE report type that you are editing.

When this setting is populated and the report is configured to retrieve security master history data, the selected date field is used in the security master history fetch process. The date value returned by the selected date field for each activity record returned by the report is the date used in the security master history fetch against the SECMASTER_HISTORY table. So, each record returned by the PACE report could return a separate security master history date record.

Account-Specific Security Master History Overrides

You can override the security master source at the account level. This allows you to store security master data such as Issue Name and Issue Country differently for specific accounts, as compared to the core Security Master record data.

For example, if Company A is stored as a USD security in the core Security Master record, but Account A wants to see Company A as a GBP security in their reports, you can store the override of the currency value for Account A. To do this, store the override currency under an override source that is configured as the override source for Account A. This feature is implemented at both the entity and client levels, so both clients and entities can have security master overrides established.

Configuring Metadata for Overrides

PACE reporting does not recognize security master overrides without the Entity Overrides (Tag 334) and Client Overrides (Tag 335) fields. The account-specific Security Master History Overrides feature is triggered by the existence of the internal field attributes in these fields of the Security Override Source table.

You must run the following procedures to enable these columns in the Scrub Tables and make them visible from the Entity and Client Maintenance windows. These procedures are not run as part of the installation or upgrade scripts.

Execute RegisterScrubTables2 null, null, 'RULES.DBO.ENTITY_OVERRIDES', 'ENT'

Execute RegisterScrubTables2 null, null, 'RULES.DBO.CLIENT_OVERRIDES', 'CLT'

Overrides in Entity and Client Maintenance

The Entity Overrides field in the Rules database contains the entity ID of the account that has a Security Override, and the instance value of the source under which the override is stored in the database. You can update these records from the Entity Details tab in Entity Maintenance.

The Client Overrides field in the Rules database contains the instance value of the Client that has a Security Override, and the instance value of the source under which the override is stored in the database. You can update these records from the Client Details tab.

Security History Records

Once you establish an override source and tie it to an account, you can add the override values to the security history records using the Data Scrubbing function. Only the value that is to be overridden has to be populated in the override source record. If the override source record contains a NULL value in a specific column, the reporting engine retrieves the value for that column from the core security master record.

In the example in the following table, the user choose to override only the Sector value for Security Alias 1, and to use the Industry value from the core Security Master record by leaving that column as a NULL value in the Security Override source record for this account. The Concentration Reporting engine recognizes Insurance as the overridden Sector value for Security Alias 1 when this account is included in a report, and uses the core security master record industry value of “Finance” for this account since no industry override value was populated.

Security Source Selection in Report Configuration

The PACE report that retrieves the account-specific security master override data must have a security source selected as part of the report’s source rule. Without a security source, the history tables in the security database is not queried.

About the Account Hierarchy for Overrides

The Security Master Override feature deals with a hierarchy of accounts if both have an override source specified.

Composite Entities Account Hierarchy

If you apply a security master override source to a composite entity, and to one or more of the portfolios contained in the composite, and a PACE report is run at the composite level, the security master override source from the composite is applied to the report. In this situation, the security master override source selected at the portfolio level is ignored by the PACE reporting engine. If the PACE report is run at the portfolio level, the security master override source selected at the composite level is never encountered by the reporting engine.

Clients and Entities Account Hierarchy

If you apply a security master override source to a client, and to an entity contained in the client, and a PACE report is submitted for the client, the security master override source from the entity is applied to the report. In this situation, the security master override source selected at the client level is ignored by the PACE reporting engine.

Using Null Values Compared With Most Recent Data

By default, PACE ignores NULL data. However, you may want NULL data treated as valid values. You can use the following options with security fields when using history, analytic fields, price fields, and rating fields:

• Consider Null Values. This option is set on a field attribute making NULL a valid value in a report.

• Always Use Most Recent Data. This option optimizes the way the report is run and is set on the report level, applying to all fields in a field rule. When this option is not selected, a query is done for each field in the field rule. If this option is selected, only one query is required per table. If this option is selected, it overrides the setting for Consider Null Values.

Some example report results based on the example in the above table are:

• Example 1 – Run a report with the following:

  • Option Always Use Most Recent Data is selected

  • Field attribute Convexity that does not have the motion Consider Null Values selected

  • For date 3/14

Result – The result of this report shows the convexity and the duration from 3/13, with the following values:

• Convexity = NULL

• Duration = 1.50

• Example 2 – Run a report with the following:

  • Option Always Use Most Recent Data is not selected

  • Field attribute Convexity that has the option Consider Null Values selected

  • For date 3/14

Result – The result of this report shows the convexity and the duration from 3/13, with the following values:

• Convexity = NULL

• Duration = 1.50

• Example 3 – Run a report with the following:

  • Option Always Use Most Recent Data is not selected

  • Field attribute Convexity that does not have the option Consider Null Values selected

  • For date 3/14

Result – The result of this report shows the convexity from 3/12 and the duration from 3/13, with the following values:

• Convexity = 1.0

• Duration = 1.50

• Example 4 – Run a report with the following:

  • Option Always Use Most Recent Data is selected

  • Field attribute Convexity that has the option Consider Null Values selected

  • For date 3/14

Result – The result of this report shows the convexity and the duration from 3/13, with the following values:

• Convexity = NULL

• Duration = 1.50