Forwards Entity Setup Processing Notes

Entities trading Forwards require a few additional pieces of data before processing:

• Forward Price Source (2920): defaults to a concatenation of Valuation FX Source (11652) instance/number and Account Base Currency (86) for Eagle's Forward price interpolation functionality
  • If Valuation FX Source = EAGLE PACE and Account Base Currency = USD, Forward Price Source defaults to 4 USD; if Valuation FX Source = EAGLE ENRICHMENT and Account Base Currency = EUR, Forward Price Source defaults to 5 EUR; etc.
  • This allows an entity that uses a single price source for all other assets to select a different forward points source for pricing Forwards
  • If you do not intend to use Eagle's Forward price interpolation functionality, you can set this to whatever source is appropriate
    • Note: when you retrieve an entity using Create/Edit Entity, there's panel logic that defaults Forward Price Source to 4 USD, even if the actual value in Data Management is different; you can use List Entities to confirm the actual value
• Forward Position By Broker (3913): specifies whether multiple Forwards with the same buy/sell currencies and expiration dates will use the same security master file (SMF) when traded with different brokers
  
  • No: a single SMF will be used for trades across different brokers 
  • Yes: a new SMF will be created for trades with each broker
    • Broker (88) gets included in the Issue Name (961 or 1104) concatenation
• Forward Close Eligible (3924)
  • Yes: Accounting will record two long positions, allowing the open Forward to be closed by an offsetting Forward prior to settlement (maturity)
    • For example: if you open a Forward on 7/9/2010 by selling USD to purchase GBP for settlement 11/30/2010, then purchase another Forward on 7/15/2010 by selling GBP to purchase USD for settlement 11/30/2010, the original position will be closed out (taken down to zero)
  • No: Forwards are held to settlement (maturity) and Accounting records separate offsetting positions instead of closing out the existing position
    • For example: using the same trade scenario mentioned above, you will end up with two separate offsetting positions that stay on the books until maturity
• Forward Settlement Currency (3926): Accounting will create receivable and payable records for trades based on this value
  • This sets the default Settlement Currency (63) at trade time, which can be overridden
• Forward Security Exists (675): this must be populated to book a Forward trade
  • No: Accounting will insert a new SMF (if needed) at the time the trade is booked
  • Yes: the SMF must be created prior to booking the trade