5.4 Futures

Enhancements

Futures now create a cash flow event in the planning forecast. Upon contract maturity, the cash flow amount will be determined as the difference between current (i.e. instrument-level specified) market value and the original contract price.

Calculations

The Cash Flow Value of a futures contract is its current specified market value less its original (or acquisition value) times the number of contracts times the contract size. This is approach applies for all futures types, including bond and Eurodollar futures.

Limits

Unlike market value calculations, cash flow calculations are only dependent upon the contractual features of the future itself, and not on the underlying collateral. Also, cash flow events will be the same regardless of the interest rate scenario, and will only export to the RES_MASTER reporting table (for ALM).