Example reference data screens, trade screens, and reports are attached:

Entity Setup

Entities trading ETFs do not require any special setup.

Reference Data

Security Data

ETFs can be set up and maintained in Issue Viewer, Security Reference Manager (SRM), or Reference Data Center (RDC). The list below captures all required fields.

• Issue Name (961)

• Primary Asset ID (14) & Type (1432)

• Processing Security Type (3931) = EQEQMF (Mutual Fund)

• Price Multiplier (18) = 1.00

• Quantity Scale (19) = 1.00

• Issue Country (1418)

• Asset Currency (85)

• Primary Exchange (17)

• Close End Fund (1792) = No

Trade Processing

Open

Trades are entered using the Book Trade module once the entity and reference data have been configured. Enter the appropriate entity, security identifier, and trade (35)/settle dates (37) and click Submit to query for the security. Right-click it and select Open > Buy or ShortSell.

• Shares (40): # of shares of the ETF

• Price Per Share (45): trade price

• The following fields are available to capture trade fees and taxes:

  • Commission (47)

  • SEC Fee (48)

  • Tax Amount (46)

  • Stamp Duty Tax (51)

  • Other Fee (3752)

• Broker (88)

Close

The Book Trade module should also be used to process both full and partial terminations. Enter the same information as the open to query for the security. Right-click it and select Close > Sell or BuytoCover depending on whether the existing position is long or short.

All fields on the close are the same as the open, except Lot Selection Method (27). This defaults to the entity-level election, but can be overridden.

Cancel & Rebook

Faulty ETF transactions can be cancelled and rebooked using the Cancel & Rebook Trade module. Alternatively, trades can be cancelled using Cancel Trade, with the transaction rebooked using the Book Trade module.

Accounting

Once an ETF 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 the STAR to PACE push.

• These can be scheduled or triggered manually

  • Global Processes (V17)

    • 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

  • Global Process Center (prior to V17)

    • 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

ETF are valued using clean prices, with valuation calculated using the formula below.

• Market Value = # of Shares * Quantity Scale * Price * Price Multiplier

  • Quantity Scale and Price Multiplier should both be set to 1.00

Reporting

STAR to PACE (S2P)

Almost all reports in Eagle leverage data from the Warehouse, 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 ETF in the POSITION, POSITION_DETAIL, TRADE, and CASH_ACTIVITY tables. The MARKET_VALUE_INCOME column captures the total market value, inclusive of price fluctuations and period-to-date accruals payable or receivable.

Accounting Reports

Eagle has a core set of accounting reports that can be used to review ETF 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 has full functionality to calculate market value-based performance for ETFs using data supplied by the S2P process. Risk and performance attribution features are available to analyze ETF performance.

Automation

ETF 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.