Attribution Toolkit: Generic Interfaces

Owned by Pamela Totas (Deactivated), created
Last updated: Jan 16, 2024
3 min read

Generic Entity Interface

The Attribution Toolkit requires each entity to be set up. If you are loading portfolio performance and not using the Calculation Toolkit, you need to set up entities for your portfolios. If you are loading benchmarks, refer to the Index Toolkit.

Interface Details

The generic Entity interface is a generic stream available in Message Center in the CSV or STAR formats:

  • Eagle_Default_In_Csv_Entity

  • Eagle_Default_In_Star_Entity

See  Supported Generic Interfaces  for more details.

Columns Used 

The following table shows columns used by the Attribution Toolkit.

Database Column

Table

Tag

Required?

Purpose

Database Column

Table

Tag

Required?

Purpose

ENTITY_DETAIL_ID

ENTITY_DETAIL

2539

Y

Unique identifier for benchmark entity

ENTITY_TYPE

ENTITY_DETAIL

Not Needed

Y

Type of assignment, should always be INDX

LIST_ORDER

ENTITY_DETAIL

2540

Y

Benchmark definition number, should be 1 for primary benchmark

PROCESS_ACROSS_CHANGES

ENTITY_DETAIL

2541

N

Enable Process Across Changes for the assignment

Generic SMF Interface

Security level performance requires each security to be set up. If you are loading portfolio performance and not using the Calculation Toolkit, you need to set up securities for your portfolios. If you are loading benchmarks, refer to Chapter 3: Index Toolkit.

During performance calculation, security attributes are rolled up into performance segments and become the basis for segment analysis used throughout the Attribution Toolkit.

Interface Details

The generic SMF interface is a generic stream available in Message Center in the CSV or STAR formats:

  • Eagle_Default_In_Csv_Smf

  • Eagle_Default_In_Star_Smf

Columns Used

The following table shows columns used by the Attribution Toolkit.

Database Column

Table

Tag

Required?

Purpose

Database Column

Table

Tag

Required?

Purpose

ISSUE_NAME

SECURITY_MASTER

961

Y

Name of security

INVESTMENT_TYPE

SECURITY_MASTER

11

Y

Investment type

CURRENCY_CODE

SECURITY_MASTER

85

N

Currency

REGION

SECURITY_MASTER_DETAIL

5423

N

Region

COUNTRY_OF_RISK

SECURITY_MASTER_DETAIL

10536

N

Country

GICS_SECTOR

SECMASTER_DETAIL_EXT

10181

N

GICS Sector

GICS_INDUSTRY_GROUP

SECMASTER_DETAIL_EXT

10183

N

GICS Industry Group

GICS_INDUSTRY

SECMASTER_DETAIL_EXT

10185

N

GICS Industry

GICS_SUB_INDUSTRY

SECMASTER_DETAIL_EXT

10187

N

GICS Sub Industry

AGG_BOND_L1

SECMASTER_DETAIL_EXT

2504

N

Aggregate Bond Level 1

AGG_BOND_L2

SECMASTER_DETAIL_EXT

2505

N

Aggregate Bond Level 2

AGG_BOND_L3

SECMASTER_DETAIL_EXT

2506

N

Aggregate Bond Level 3

AGG_BOND_L4

SECMASTER_DETAIL_EXT

2507

N

Aggregate Bond Level 4

Generic Performance Interface

The Attribution Toolkit requires performance data for each entity. If you are loading portfolio performance and not using the Calculation Toolkit, you need to load performance data for your portfolios. If you are loading benchmarks, refer to Chapter 3: Index Toolkit.

Interface Details

The generic Performance interface is a generic uploader available in the PIPE format under:

Eagle Generic Interfaces (EGLGENERIC) > Performance (PRF)

See Supported Generic Interfaces V17  for more details.

Columns Used

The following table shows columns used by the Attribution Toolkit.

Database Column

Table

Required?

Purpose

Database Column

Table

Required?

Purpose

PSR_USER_FLOAT7

PERF_SEC_RETURNS

Y

Gross investment base

PSR_USER_FLOAT8

PERF_SEC_RETURNS

Y

Gross return

PSR_USER_CHAR1

PERF_SEC_RETURNS

N

Currency Code used as the Yield Curve Identifier

Example: USD

(Required if conducting Sector Level FIA attribution)

PSR_USER_FLOAT60

PERF_SEC_RETURNS

N

Effective Duration (Required if conducting FIA attribution based on sector level data)

PSR_USER_FLOAT61

PERF_SEC_RETURNS

N

Effective Yield (Required if conducting FIA attribution based on sector level data)

Generic Analytics Interface

The Attribution Toolkit requires security analytics to be set up for Fixed Income Attribution.

Interface Details

The generic Analytics interface is a generic stream available in Message Center in the CSV or STAR formats:

  • Eagle_Default_In_Csv_Analytics

  • Eagle_Default_In_Star_Analytics

Columns Used

The following table shows columns used by the Attribution Toolkit.

Database Column

Table

Required?

Purpose

Database Column

Table

Required?

Purpose

SECURITY_ALIAS

SECURITY_ANALYTICS

Y

Security Alias

EFFECTIVE_DATE

SECURITY_ANALYTICS

Y

Effective Date of analytics data

CURRENCY_CODE

SECURITY_MASTER

N

Currency

Example: USD

(Required if conducting FIA attribution based on security level data)

EFF_YLD

SECURITY_ANALYTICS

N

Effective Yield (Required if conducting FIA attribution based on security level data)

EFF_DUR

SECURITY_ANALYTICS

N

Effective Duration Yield (Required if conducting FIA attribution based on security level data)

EFF_CONVEXITY

SECURITY_ANALYTICS

N

Effective Convexity (Required if conducting FIA attribution based on security level data)

Generic Yield Curve Interface

The Attribution Toolkit requires yield curve data for each Fixed Income Attribution analysis.

Interface Details

The generic Yield Curve interface is a generic uploader available in the PIPE format under:

Eagle Generic Interfaces (EGLGENERIC) > Security (Yield Curve)

Columns Used

The following table shows columns used by the Attribution Toolkit.

Database Column

Table

Required?

Purpose

Database Column

Table

Required?

Purpose

EFFECTIVE_DATE

YIELD_CURVE

Y

Yield Curve Effective Date

YIELD_CURVE_CODE

YIELD_CURVE

Y

Yield Curve Code

Example: USD

DURATION

YIELD_CURVE_DETAIL

Y

Yield Curve Duration Point

YIELD

YIELD_CURVE_DETAIL

Y

Yield Curve Yield Point

SRC_INTFC_INST

YIELD_CURVE

N

Source code; default value is EAGLE PACE

Additional Information

The Yield Curve uploader loads SECURITYDBO.YIELD_CURVE and SECURITYDBO.YIELD_CURVE_DETAIL tables. This is a batch uploader based on EFFECTIVE_DATE + Yield Curve code + Source Short Name. Yield Curve data for use with the Performance Toolkit must be loaded with the Source Short Name value of EAGLE PACE.

Ensure source files are sorted so that all rows in the same batch are grouped together. If one of the rows of data for this combination fails, the entire batch is rolled back. This is a standard behavior of batch uploaders. Inputs to this process are Yield curve code, Duration, Yield, Effective_date, and Source Short Name. Based on the duration value, Eagle calculates and stores a maturity date. The process creates one row in the YIELD_CURVE table for every combination of EFFECTIVE_DATE + Yield Curve code + Source Short Name. All the yield/duration values for this combination are loaded to the YIELD_CURVE_DETAILS table using the same system generated internal YIELD_CURVE_ID.