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Overview
This document applies to all releases of Eagle software. Version-dependent functionality is noted with the initial release(s) it became available.
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Entity Setup
Before any trades can be booked, the target entity must be set up appropriately. You need to populate the future-related entity fields described below because we are modeling Bond Forwards as futures.
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In addition, we recommend setting Option And Futures Expire Delay Days (12101) to 1 to prevent the Bond Forward position from being automatically expired. Please note this will impact other option and future positions held on same entity. You can contact Instrument Engineering for more information.
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Reference Data
Storage & Configuration
Standard future contract functionality is used to model Bond Forwards. On expiration of the Bond Forward, standard fixed income functionality can be used to model the underlying bond in the case of physical delivery. Each security master file (SMF) will have a single row in Data Management.
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- You may want to use the same
Issue Name(961) andIssue Description(962) for the Bond Forward and underlying bond, in which case you can useSecurity Type(82) and/orSub-Security Type(1464) to differentiate the Bond Forward from the underlying bond
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Trade Processing
Trades are entered using the Book Trade module once entity and reference data have been configured. Enter the appropriate entity, security identifier, and trade/settle dates and click Submit to query for the security. When the security is right-clicked, it will provide options to open and close.
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- Cash Settlement
- To settle the position, enter a close using the prevailing market price
- The resulting cash settlement will be equal to the gain/loss
- Physical Delivery
- To settle the position, enter a close at cost (same price as the open)
- This will prevent any cash from being generated
- Buy the underlying bond again using the same price at which the Bond Forward was originally booked
- To settle the position, enter a close at cost (same price as the open)
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Accounting
Once a bond trade is booked it will be picked up in Eagle’s global workflow. Daily accruals and periodic resets are generated as part of the earnings process, accounting valuation is calculated when posting unrealized gain/loss, and Data Management valuation is calculated in the STAR to PACE push. These can also be triggered manually via Global Process Center:
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Note: if the Bond Forward requires settling coupon payments, these have to be processed using Miscellaneous Income, Asset Specific entries because futures do not support accrual processing.
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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 one row for each Bond Forward in the position POSITION, positionPOSITION_detailDETAIL, trade TRADE, and cashCASH_activity ACTIVITY tables. The marketMARKET_valueVALUE_income INCOME column for each row captures a portion of the total market value.
Accounting Reports
Eagle has a core set of Accounting accounting reports that can be used to review bond forward and other security CLO information. These were are designed to support the daily operational workflow for business users, so allowing Grid Reports can to be easily exported to Excel and customized to provide additional details that they needas needed. Advanced Reports are intended to be client-facing , but and do not provide the same level of customization.
Data Management Reporting
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Exposure
Exposure reporting and analysis are available in the product suite, but some accounting data must be augmented via Eagle Enrichment. Please contact Instrument Engineering for more implementation information based on your specific requirements. Additional details are available in the Exposure Reporting Best Practices and the Eagle Enrichment User Guide 2015.