Set Up Entities for TBAs

Before you process To Be Announced (TBA) trades in Eagle Accounting, you can set up entities or master funds for TBAs.

TBA Cashflow

In the Create/Edit Entity panel or the Create Master Fund panel, you can specify a value for TBA Cashflow (tag 9406). This field specifies whether a TBA (to be announced) security functions as a buy or sell or nets the difference. Options include:

• No. Default. Do not create cash flows for the open of the TBA tax lot, but create the net cash flow at the close of the position using notional cost. Applicable event types are TBAOPEN and TBACLOSE.

• Yes. Create cash flows for the open of the TBA tax lot using cost. Applicable event types are BUY, SELL, SHORTSELL, and BUYCVR. The TBAOPEN and TBACLOSE event types are also available with this setting, but they will continue to process using notional cost.

In the Book Trade tool, the Open TBA panel includes a field named Create TBA Cashflow (tag 9406). The value you specify at the entity level determines the default value for the trade panel, but you can override it at the trade level.

TBA Netting

In the Create/Edit Entity panel or the Create Master Fund panel, you can specify a value for TBA Netting (tag 18577) starting in V17 R2.48. This field specifies whether long and short TBA trades are held as separate positions or netted into a single position. Options include:

• No. Long and short trades generate separate positions, similar to equities and most other fixed income securities. A long open must be closed by a long close and a short open must be closed by a short close. Two trades are required to take a position from long to short, or vice versa: one to close out the open position and another to open the new position in the opposite direction.

• Yes. Long and short trades are netted into a single long position, with short positions represented by negative units. A single trade can take a position from long to short, or vice versa.

The table below summarizes the available event types and long/short indicators for each combination of TBA Cashflow and TBA Netting.