Set Up GIPS Composite Management for Multicurrency Conversion

An example of FX Spot Rate data stored in the SECURITYDBO.FX_RATES follows in the following figure.

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Related Setup Tasks

Other setup tasks follow:

• Currency Codes with the ISO code as the Short Description must be available in Codes and Code Values.

• Appropriate Sources for FX Rate Data set up and configured in the source rules that the reports use.

• Performance metadata configured with the appropriate Currency Process defined. For more information, see Assign the Currency Process for Field Attributes Requiring Conversion.

• The currency conversion process can use the Performance Date Rule and Source Rule defined for the composite entity in its calculation.

Set Up PACE System Parameters for Currency Conversion

This section describes the PACE system parameters that support multicurrency conversion for GIPS Composite Management. These parameters can also affect currency conversion in other types of PACE reports.

To change system settings related to currency conversion:

1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.

2. Enter System Management Center in the Start Search text box and click the System Management Center link. 
   You see the System Management Center opens with the Service workspace.

3. From the left navigation, select System Settings > System Parameters. 
   You see the PACE system parameters workspace with all the available settings configured for the current environment.

4. For each system setting related to currency conversion processing that you want to edit, select the item, right-click and select Edit. Select a different value, and click Save.

The new value appears in the corresponding Sys Value cell. The following table describes each setting related to currency conversion.

Set Up Performance System Parameters for Currency Conversion

This section describes the Performance system parameters that support multicurrency conversion for GIPS Composite Management.

To change system settings related to currency conversion:

1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.

2. Enter Performance Center in the Start Search text box and click the Performance Center link to access the Performance Center.
   You see the Performance Center workspace.

3. From the left navigation, click Setup > System Settings.
   You see the System Settings workspace with all the available settings for the performance system parameters.

4. For each system setting related to currency conversion processing that you want to edit, select the checkbox to the left of the Sys Item, click the Edit link and select a different value, and click Save.

The new value appears in the corresponding Sys Value cell. The following table describes each setting related to currency conversion.

Assign the Currency Process for Field Attributes Requiring Conversion

You must configure the Currency Process field for field attributes that require currency conversion on a report or during the Performance Composite Build process.
For the system to properly convert the data, it needs to know what kind of conversion methodology to employ. For example, the algorithm for converting returns over time is greatly different from that of converting a static data point such as beginning or ending market value.

It is required to set the currency process for the field attributes that are to be converted on a report. Only the field attributes that pull data directly from the database need to be set. For example, you can build a rollup field (a field attribute gets created for this field), but the rollup field uses an underlying database field attribute. If you want to convert the rollup field on a report, then only the database field attribute needs a currency process.

A list of currency processes follows.

Begin Value

Uses the FX rate as-of the begin date of the report or period to convert the value.

For example:

Report – Composite Weighted Returns, Effective Date Between 11/30/2018 and 12/31/2018, Field - Begin Market Value.

During the conversion process the report converts the Begin Market Value of the constituent using the spot rate on 11/30/2018; Begin Market Value * FX Spot 11/30/2018. See the following figure.


End Value

Uses the FX rate as-of the end date of the report to convert the value. Using the previous example:

^{End Market Value * FX Spot 12/31/2018.}

Begin Value Fixed

The Begin Value Fixed is the begin value in previous example, but if the To currency started after the begin date (such as, begin date of 11/30/2018 and the Euro start date of 1/1/2019), then the spot rate on the start of the currency is used. The To currency in this case is always the Composite's base currency.

End Value Fixed

Similar to the end value in previous example, but if the To currency ended after the effective date of the report, then the spot rate at the end of the currency is used.

Return Value

Only applicable for returns stored in the system. To convert a return, the system calculates the currency return for the same period and geometrically links the returns. For example:

^{(Return+1)*(Spotfinal/Spotinitial)-1.}

See the following figure for a return value example.