You can set up an exchange-traded fund (ETF) security for use with systematic valuation. You can use Reference Data Center to create securities.
To set up an ETF security that is eligible for systematic valuation:
- Set the Processing Security Type (tag 3931) field to (EQEQMF) Mutual Fund.
- Set the SVO Category (tag 5856) field to ETF Identified by SVO (Code 81).
- In the Payment Frequency field, select a common payment frequency, such as M, Q. The system uses the payment frequency for effective yield calculation. This value is not required. The Default value is monthly.
- About Support of Irregular Distribution Payments. The distribution payments for your ETF may be the first of the month or they could pay on a different day of the month. These are your options for configuring the date of payment.
- Option 1: Monthly ETF with distributions as of the 1st. This is based on even monthly distributions, posting as of the 1st of the month. This is the default setting. No additional SMF settings are required.
- Option 2: Define Dated Date to shift the day of the month. Use dated date on the SMF to adjust distribution payment date
In addition, for systematic valuation processing to occur in the Eagle earning process, third party cash flows must exist for the security. These cash flows must exist as of the settlement date of the acquisition for systematic valuation to process successfully.
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