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A Bond Forward is an over-the-counter (OTC) contract where the purchaser agrees to buy or sell a fixed income security (or basket of fixed income securities) in the future at a price determined today. From an accounting perspective, Bond Forwards function very much like traditional future contracts; they are single-leg securities and valued with market value (MV) = unrealized gain/loss (URGL). Eagle does not have a dedicated security for Bond Forwards, but they can be modeled accurately using the existing future contract functionality Bond Forwards are modeled using the Futures processing type in Eagle Accounting.
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Before any trades can be booked, the target entity must be set up appropriately. You need to populate the futureFutures-related entity fields described in Futures Entity Setup Processing Notes because Bond Forwards are modeled using the Futures processing type.
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.
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Note: if the a Bond Forward requires settling coupon payments, these have to should be processed using Miscellaneous Income, Asset Specific entries because futures do not support accrual processing.
Valuation
Bond Forwards are valued at their unrealized gain/loss using the formula below.
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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 the Manage Eagle Enrichment User Guide 2015.