Entity Setup

Entities trading Lock Contracts do not require any special setup.

Reference Data

Market Data

Lock Contracts are priced on a par-zero basis (prices around zero rather than 100). This allows for positive and negative market values because the position is always held long. The price should include the impact of any applicable accrued interest because Lock Contracts do not accrue in Eagle Accounting.

Security Data

• Issue Name (961)

• Primary Asset ID (14) & Type (1432)

• Processing Security Type (3931) = SWLOCK (Lock Contract)

• Issue Country (1418)

• Asset Currency (85)

• Buy/Sell Indicator (1364)

• Maturity Date (38): for reference purposes only as Lock Contracts are excluded from maturity processing

• Coupon (70): the lock-in rate

  • For reference purposes only as Lock Contracts are excluded from accrual processing

Trade Processing

Lock Contract transactions can be processed manually through Book Trade or using messages (refer to the Automation section for details). Enter the appropriate entity, security identifier, and trade (35)/settle (37) dates and click Submit to query for the Lock Contract. Right-click it and select Open > Open Lock Security.

Open

• Notional Principal Value (40): contract notional

• Price (45): always zero

• Broker (88)

Close

A close must be entered to remove the position and generate the net cash settlement amount. The Book Trade module should be used. Enter the same information as the open to query for the security. Right-click it and select Close > Close Lock Security.

• Data Entry Method (10485): select Enter Price to supply a clean unit price or Enter Total Settlement Amount to supply a value representing all-inclusive trade proceeds (both can be positive or negative)

  • Depending on the type of trade (open or close) and sign of the Price or Total Settlement Amount, Eagle Accounting will post either a premium payment or premium receipt as shown below:

    • Open + Positive Price/Amount = Premium Payment

    • Open + Negative Price/Amount = Premium Receipt

    • Close + Positive Price/Amount = Premium Receipt

    • Close + Negative Price/Amount = Premium Payment

• Notional Principal Value (40): close notional

• Price (45): enter the price that generates the correct net cash settlement amount

• Total Settlement Amount (4404): enter the net cash settlement amount

  • Only available if Data Entry Method = Enter Total Settlement Amount

• Broker (88)

Accounting

Once a Lock Contract trade is booked, it will be picked up in Eagle's global workflow. Accounting valuation is calculated when posting unrealized gain/loss and Data Management valuation is calculated in STAR to PACE. These can be scheduled or triggered manually.

• V17 & Above: Accounting Center > Processing and Exceptions > Global Processes

  • Accounting Valuation: Unrealized Gain Loss Entries > Post Daily Fund Unrealized Gain Loss-Position

  • Data Management Valuation: Eagle STAR to Eagle PACE Direct Processing > Transfer Data - Batch

• Prior to V17: Global Process Center

  • Accounting Valuation: Unrealized Gain Loss Entries > Post Daily Fund Unrealized Gain Loss-Position

  • Data Management Valuation: STAR to PACE Direct Processing > Transfer Data - Batch

Valuation

Eagle Accounting calculates the value of a Lock Contract by using the formula below:

• Market Value = Notional * Price * Price Multiplier * Quantity Scale

Reporting

STAR to PACE (S2P)

Almost all reports in Eagle Accounting leverage data from Data Management, which is populated by the S2P process. This will be scheduled as part of the daily workflow, but can also be triggered manually as described in the Accounting section.

The S2P process creates a single row for each Lock Contract in the POSITION, POSITION_DETAIL, TRADE, and CASH_ACTIVITY tables. The MARKET_VALUE_INCOME column captures the total market value.

Accounting Reports

Eagle has a core set of accounting reports that can be used to review Lock Contract information. These are designed to support the daily operational workflow for business users, allowing Grid Reports to be easily exported to Excel and customized to provide additional details as needed. Advanced Reports are intended to be client-facing and do not provide the same level of customization.

Data Management Reporting

Performance

The performance toolkit calculates market value-based performance for Lock Contracts using data supplied by the S2P process.

Automation

Lock Contract security master files (SMFs) and trades can be loaded through the standard Message Center streams. The SMF must be loaded prior to the trade (trades do not spawn SMFs). Refer to Supported Generic Interfaces V17 for more information.

Sample messages for the standard interfaces are listed below.