Derivatives Reporting Best Practices
- Jawann Swislow
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. We do not recommend reporting directly from the CASH_ACTIVITY table because it is designed to support performance calculations rather than to provide a clean view of actual cash movements.
We recommend configuring and building your reports around Security Type (tag 82) and/or Sub-Security Type (tag 1464) rather than Processing Security Type (tag 3931). The latter should be interpreted as “processing method” because many different securities can share the same Processing Security Type and users are unable to add new values for Eagle Accounting processing. Security Type and Sub-Security Type are fully configurable based on the SECURITY TYPE and SUB SEC TYPE code categories.
Forwards
Field | Tag | DB.TABLE.COLUMN | Notes |
|---|---|---|---|
Sell Quantity | 366 | TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES | On sell side |
Buy Quantity | 316 | TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES | On buy side |
Base Net Amount | 478 | TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT |
|
Commission Amount Local | 47 | TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION | On whichever side matches the Settlement Currency (63) |
Other Fee | 3752 | 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)
Field | Tag | DB.TABLE.COLUMN | Notes |
|---|---|---|---|
Contracts | 40 | TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES |
|
Price per Contract | 45 | TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE |
|
Commission Amount Local | 47 | TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION |
|
Other Fee | 3752 | TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES | Futures only |
Notional Amount Local | 7429 | TRADESDBO.TRADE.COST_LOCAL |
|
Notional Amount Base | 7509 | TRADESDBO.TRADE.COST_BASE |
|
No Variation Margin (VM)
Field | Tag | DB.TABLE.COLUMN | Notes |
|---|---|---|---|
Contracts | 40 | TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES |
|
Price per Contract | 45 | TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE |
|
Tax Amount | 46 | TRADESDBO.TRADE.TAXES HOLDINGDBO.POSITION_COST_LOT.LOCAL_TAX_UNIT_BOOK_VALUE CASHDBO.CASH_ACTIVITY.TRADE_TAXES |
|
Commission Amount Local | 47 | TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION |
|
SEC Fee | 48 | TRADESDBO.TRADE.EXCHANGE_FEE HOLDINGDBO.LOT_LEVEL_POSITION.EXPENSES CASHDBO.CASH_ACTIVITY.TRADE_FEE |
|
Stamp Duty Tax | 51 | TRADESDBO.TRADE.OTHER_FEE HOLDINGDBO.POSITION_COST_LOT.OTHER_CHARGES CASHDBO.CASH_ACTIVITY.LOCAL_STAMP_DUTY_TAX |
|
Other Fee | 3752 | TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES |
|
Local Net Amount | 50 | TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT |
|
Settlement Net Amount | 64 | TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | Options only |
Base Net Amount | 478 | TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT |
|
Swaps
Single-Name Credit Default (CDS) & Credit Default Index (CDX)
Field | Tag | DB.TABLE.COLUMN | Notes |
|---|---|---|---|
Original Face | 41 | TRADESDBO.TRADE.ORIGINAL_FACE_VALUE HOLDINGDBO.POSITION_DETAIL.ORIG_FACE HOLDINGDBO.LOT_LEVEL_POSITION.ORIG_FACE | CDX only |
Factor | 91 | TRADESDBO.TRADE.FACTOR | CDX only |
Notional Principal Value | 40 | TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES |
|
Price | 45 | TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE |
|
Traded Interest Local | 49 | TRADESDBO.TRADE.ACCRUED_INTEREST HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD |
|
Principal | 165 | TRADESDBO.TRADE.PRINCIPAL |
|
Commission | 47 | TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION |
|
Other Fee Local | 3752 | TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES |
|
Comm Amt S | 17989 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | Only if Commission And Fee Settle Separately (tag 12860) = |
Other Fee S | 17988 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | Only if Commission And Fee Settle Separately (tag 12860) = |
Local Net Amount | 50 | TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT |
|
Settlement Net Amount | 64 | TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT |
|
Base Net Amount | 478 | TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT |
|
Interest Rate (IRS) Currency (CCS), & Inflation (ILS)
Field | Tag | DB.TABLE.COLUMN | Notes |
|---|---|---|---|
Notional Principal Value | 40 | TRADESDBO.TRADE.PAR_OR_SHARES HOLDINGDBO.POSITION_DETAIL.SHARE_PAR_VALUE HOLDINGDBO.LOT_LEVEL_POSITION.PAR_OR_SHARES |
|
Price | 45 | TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE | Contract only |
Traded Interest Local | 49 | TRADESDBO.TRADE.ACCRUED_INTEREST HOLDINGDBO.POSITION_DETAIL.INTEREST_PURCHASED HOLDINGDBO.LOT_LEVEL_POSITION.INT_PURCHASED CASHDBO.CASH_ACTIVITY.LOCAL_INT_PUR_SOLD | Legs only |
Principal | 165 | TRADESDBO.TRADE.PRINCIPAL | Contract only |
Commission Amount Local | 47 | TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION CASHDBO.CASH_ACTIVITY.LOCAL_COMMISSION | Contract only |
Other Fee Local | 3752 | TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES CASHDBO.CASH_ACTIVITY.SEC_FEES | Contract only |
Comm Amt S | 17989 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | Only if Commission And Fee Settle Separately (tag 12860) = |
Other Fee S | 17988 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | Only if Commission And Fee Settle Separately (tag 12860) = |
Local Net Amount | 50 | TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT |
|
Settlement Net Amount | 64 | TRADESDBO.TRADE.SETTLEMENT_AMOUNT HOLDINGDBO.POSITION_DETAIL.CASH_EQUIVALENTS HOLDINGDBO.LOT_LEVEL_POSITION.CASH_EQUIVALENTS CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | |
Base Net Amount | 478 | TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT |
|
Initial Cash Receipt | 316 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | CCS legs only |
Initial Cash Payment | 366 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | CCS legs only |
Final Cash Payment | 8317 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | CCS legs only, once position is closed/terminated |
Final Cash Receipt | 8318 | CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT | CCS legs only, once position is closed/terminated |
Total Return (TRS)
Field | Tag | DB.TABLE.COLUMN | Notes |
|---|---|---|---|
Shares | 40 | 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 |
Price | 45 | TRADESDBO.TRADE.PRICE HOLDINGDBO.LOT_LEVEL_POSITION.OPEN_MKT_PRICE CASHDBO.CASH_ACTIVITY.PRICE | Return leg only |
Traded Interest Local | 49 | 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) | 165 | TRADESDBO.TRADE.PRINCIPAL | Only populated if Swap Fee Local (7510) is greater than zero |
Principal (return leg) | 165 | TRADESDBO.TRADE.COST_LOCAL | TRADESDBO.TRADE.PRINCIPAL is not populated for return legs |
Commission | 47 | TRADESDBO.TRADE.LOCAL_COMMISSION_AMOUNT HOLDINGDBO.LOT_LEVEL_POSITION.COMMISSION | Return leg only |
Other Fee | 3752 | TRADESDBO.TRADE.SEC_FEES HOLDINGDBO.POSITION_COST_LOT.SEC_FEES | Return leg only |
Local Net Amount | 50 | TRADESDBO.TRADE.NET_CASH CASHDBO.CASH_ACTIVITY.LOCAL_AMOUNT |
|
Settlement Net Amount | 64 | 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 Amount | 478 | TRADESDBO.TRADE.TRADE_BASE_AMOUNT CASHDBO.CASH_ACTIVITY.BASE_AMOUNT |
|