Counterparty Exposure Reporting in Data Mart

Owned by Kavitha Thangaswamy (Unlicensed)
Last updated: Jul 25, 2023 by Pamela Totas (Deactivated)
2 min read

The Eagle's issuer data model permits only one direct issuer of a particular security in a particular role. An exception arises if there is joint issuance reflected in a % Owned field that sums to 100 across joint direct issuers. This rule caused problems when reporting risk exposure to counterparties to over-the-counter (OTC) derivatives like Credit Default Swaps (CDS) and unfunded Credit Default Swap Indexes (CDX). These types of swaps are usually traded among multiple counterparties against a single credit instrument subject to default risk. Eagle STAR® accounts for these swaps as transactions against the same security involving different counterparties. This is not compatible with the standard Eagle issuer data model.

In V11.0 and later, there is an alternate way to report this type of counterparty exposure. While multiple counterparties can be involved in the same security and position, only one counterparty is involved in a single open trade leading to a single lot. Therefore, OTC derivatives' counterparty exposures cannot be reported at a position level, but they can be reported at the lot level.
There are 4 fields in Eagle STAR V11.0 and later used to track counterparty identity:

  • tradesdbo.trade.io_issuer_id

  • tradesdbo.trade.io_issuer_alias

  • holdingdbo.lot_level_position.io_issuer_id

  • holdingdbo.lot_level_position.io_issuer_alias

When there is a swap in STAR that requires counterparty identity, and the counterparty is new to the Issuer Organization table, a new row is set up there.
OLAP reporting does not support counterparties not uniquely linked to securities. To report counterparty exposure in Data Mart, you do not use the Issuer Role Details table, since this table relies upon security/issuer/role uniqueness other than for joint ownership. If you have issuer relationship information for your counterparties, you can load it to the Issuer Relationship table the same as for a regular issuer, since this table is issuer-related but not security-related.

To complete the setup:

  1. In Reporting Center, from the left navigation, select Reporting Tools > Datamart > Manage Marts >Data Mart.
    You see the Data Mart window.

  2. Select the Data Mart you are working with from the Data Mart Instance dropdown. By default, the dropdown displays the schema last selected.

  3. Add an issuer_alias field attribute (issuer_id is not required) to your Data Mart Lot Level Position Details table.

  4. In Data Mart's Manage Mart section, click the Administration link and then Configure.
    You see the Data Mart Configuration dialog box.

  5. In the Issuer Build Information section, select the Build All Issuers check box.

  6. Click OK.
    When you build Data Mart Issuer Details, every issuer in your Issuer Organization table is reported, and has at least one row, since you selected the Build All Issuers check box. This assures that all counterparties are reported. Counterparties have a zero value for security_alias in the table, so you must design your report SQL statements to join directly against Lot Level Positions on the issuer_alias field, and report counterparty exposure at the lot level.