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Bond Forwards are modeled using the Futures processing type. On expiration, 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.

Market Data

Eagle Accounting requires unit prices inclusive of any applicable discounting. These prices are used to calculate notional market values for valuation. Eagle Accounting calculates the unrealized gain/loss, which is also the market value for Bond Forwards, based on the difference between notional market value and notional cost. Refer to the Valuation section for additional information.

Security Data

Bond Forwards can be set up and maintained in Issue Viewer, Security Reference Manager (SRM), or Reference Data Center (RDC).

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Bond Forwards are valued at their unrealized gain/loss using the formula below(URGL). Eagle Accounting requires unit prices inclusive of any applicable discounting. The formulas below show the same calculation being broken down into its component parts.

• Market Value = URGL
• Market Value = Notional Market Value - Notional Cost
•                       Market Value = # of Contracts * Contract Size * (Current Price - Trade Price) * Price Multiplier

Reporting

STAR to PACE (S2P)

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