About Deriving Trade Fields for Forwards

The S2P Direct process for forward contracts derives several values to populate the TRADE and TRADE_DETAIL tables in the TRADE database. It maintains each leg of the forward contract as a separate security. The forward contract generates two positions: the security position for the currency bought and the security position for the currency sold.

A forward contract can fracture into many lots in STAR, when the quantity of the closing forward contract closes more than the current quantity of the open forward contracts. The system stores fractured forward contracts in the STAR object as one transaction in the warehouse, as it does for all other security types. The TRADES database in the PACE data warehouse reflects the transaction sent to the STAR accounting application, after STAR to PACE Direct processing "rolls-up" the fractured contract into a single forward contract.

STAR generates each currency leg position as an Open position and the long/short indicator and record type of the cost position must clearly bifurcate the Buy and Sell leg for the forward contract. S2P logic resolves any ambiguity for reporting Buy and Sell legs by inspecting the Buy/Sell Indicator (tag 1364) and Cancel Flag (tag 10045) to determine the correct signage on each leg:

If Buy/Sell Indicator = 'S', then S2P flips trade fields to opposite signs (~ multiply by -1)
If Buy/Sell Indicator = 'B', then S2P sets trade fields positive (~ absolute value)
If Buy/Sell Indicator = 'S' and Cancel Flag = 'Y', then S2P sets trade fields positive
If Buy/Sell Indicator = 'B' and Cancel Flag = 'Y', then S2P flips trade fields to opposite signs

If you do not store the Buy/Sell Indicator in the STAR object, the STAR to PACE Direct logic defaults to the logic described in a legacy release.

Fields Affected by STAR to PACE Direct Derivation Logic for Forwards

The following table lists the fields, STAR tag number, and descriptions of the fields affected by the S2P derivation logic for forward contracts.

Option	Tag	Description

Option	Tag	Description
MTTYPE	1	TRADEFWD transactions are split into a closing transaction and an opening transaction. This can be unrelated to the business purpose of the transaction. A closing/ opening transaction can initiate a position or close an existing position. Options include: MTCLOSE. Close side of the contract MTOPEN. Open side of the contract
Long Short Indicator	15	Specifies the long short indicator for the leg of the forward contract, as derived below: Set to L for both sides of the forward contract when the entity election specifies to net forward contracts (see tag 3924) Set to S for the sell side of the forward contract when the entity election is NOT specified to net forward contracts (see tag 3924). Set to L for the buy side of the forward contract.
Event Type	55	Specifies the event type for the leg, as derived below: Set to TRADEFWD in STAR for both legs of the forward contract. Set to SETTLEFWD for the maturity of the forward contract. Set to TRADEFWDCANCEL or SETTLEFWDCANCEL when the record corresponds to the cancel event to a forward contract.
Reason Code	56	Specifies the client intent for the contract. A client may initiate a forward contract or close an existing contract position. For example: Contact is an opening (OP) transaction Contact is a closing (CL) transaction The field is optional. When the client does not value this field, STAR to PACE logic defaults to standard values.
Buy/Sell Indicator	1364	STAR populates the Buy/Sell Indicator on the position level of the object for both the legs of the forward contract. The value is established for the lifecycle of the position when STAR initially creates the new forward position (leg). The field is reset when a new transaction arrives that predates the existing processed contract. The STAR AS OF processing supports the submission of transactions out of order, that is, the STAR roll back and replay reprocesses the transactions in the true order. Note: When the value is set incorrectly, you must cancel the transaction and create a new forward contract security master record.
Forward Close Eligible Indicator	3924	Specifies the entity option created during the Create Entity function to control forward close eligibility. Options include: Y. The user intends to process the impact of multiple forward contracts as one position (each leg). N. The user intends to process the impact of multiple forward contracts as individual positions (each leg). Note: A position holds only one transaction until maturity.
Cancel Flag	10045	Indicates whether a record in the warehouse is a cancel record. The field is not available or stored in the STAR core object. Options include: Y. Cancel record N. Not a cancel record
Record Type	5525	Specifies the actual ESTAR cost object level where the forward trade is stored. Options include: 150 – Open Lots (Level 150) 180 – Close Lots (Level 180) 250 – Cancel Open (Level 250) 280 – Cancel Close (Level 280)

TRADES Database Fields Derived for Forwards

The following table lists the TRADES database fields established by S2P processing for forward contracts.

Event Type	Cash Category	Fields Used

Event Type	Cash Category	Fields Used
TRADES	TRADE	COST_BASE COST_LOCAL NET_CASH ORIG_ACQ_COST_BASE ORIG_ACQ_COST_LOCAL PAR_OR_SHARES TRADE_AMOUNT TRADE_BASE_AMOUNT
TRADES	TRADE_DETAIL	DISP_BOOK_VALUE_GAAP DISP_BOOK_VALUE_STAT NETSETTLEAMT