Synthetic Cash Processing Notes

Owned by Jawann Swislow, created
Last updated: Feb 13, 2024
1 min read

Overview

Synthetic Cash securities are used in Eagle Enrichment to offset the full notional value of the single-leg derivatives such as Futures, Options, and Credit Swaps. This allows the full notional market value to be used in exposure-based analyses, which produce more meaningful returns. These securities are identified with Processing Security Type = SYNTHETIC.

Identifiers

We recommend not allowing an Xref Qualifier (9111) of Duplicate for Investment Type (11) = SYTH. Doing so can result in security resolution issues when booking trades via Message Center. This is defined as part of the Security Cross Reference Configuration. The Synthetic Cash security identifiers are concatenated as shown in the example below.

  • Issue Name = "Underlying Security " + Parent Security Issue Name

  • Primary Asset ID = Parent Security Primary Asset ID + "_S"

Security

Issue Name

Primary Asset ID

Security

Issue Name

Primary Asset ID

Parent Security

E-Mini S&P 500 Future

EMINISP500

Synthetic Cash

Synthetic Cash E-Mini S&P 500 Future

EMINISP500_S

Setup

Synthetic Cash securities are typically created automatically during security setup by setting Create Synthetic CASH Security (2300) = Yes, but they can also be added manually using Issue Viewer or Reference Data Center (RDC).

If you set up a Synthetic Cash security manually, you must also link it to the parent security using Add Underlying Security with Underlying Type (916) = SYNTHETIC.