...
In the Credit Index Swap panel, you can manually add and change a credit index swap. A credit index swap is a credit derivative used to hedge credit risk or to take a position on a basket of credit entities. Unlike a credit default swap, which is an over the counter credit derivative, a credit swap index is a completely standardized credit security and may therefore be more liquid and trade at a smaller bid-offer spread.
This article assumes you are familiar with the entity elections that have been made for processing credit index swaps.
Add Credit Index Swaps
To manually add a Credit Index Swap:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.Click the Add arrow.
Point to Derivatives and click Credit Index Swap.
You see the Credit Index Swap panel.Complete the options on the Credit Index Swap panel.
The following fields are required to set up a credit index swap: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Price, Issue Date, Dated Date, First Coupon Date, Last Coupon Date, Maturity Date, and Maturity Price.Click Submit.
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Related content
Change a Credit Index Swap
Some fields are locked when there is an existing position on the security. This is because a change would impact the existing position. These fields include Asset Currency, Dual Currency Indicator, Investment Type, Processing Security Type, Quantity Type, Price Multiplier, and Quantity Scale. Other fields are locked so they cannot be changed. See the About Locked Security Master Record Fields in Issue Viewer page for more information.
If you need to change a security master record, Eagle recommends canceling the security, making changes to the security master record, and rebooking the security.
To manually change a credit index swap:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.Enter the query parameters and click Search.
You see a list of security records that meet your selection criteria in the Query Result window.Select the security record you want to update, click the Change arrow, and click Change Credit Index Swap. Or double-click the security record.
You see the Change Credit Index Swap panel.Complete the options on the Change Credit Index Swap panel.
Click Submit.
Credit Index Swap Panel Options
The following are the options in the Credit Index Swap panel. Note options may vary according to your selections.
...
Option
...
Tag
...
Description
...
SRM Status Flag
...
Release Status
...
614
...
Displays the release status of the Security Reference Manager (SRM) record. This field is null when adding a new security.
...
Authorize Flag
...
11742
...
Flags records that have been authorized.
...
Validation Process Flag
...
4569
...
Flags records that have been reviewed in the Security Reference Manager (SRM).
...
Swap Identification
...
Issue Name
...
961
...
Specifies the name of the security.
...
Issue Description
...
962
...
Describes the security.
...
Primary Asset ID Type
...
1432
...
Specifies the primary asset identifier type for the security, such as CUSIP, ISIN, and SEDOL.
...
Primary Asset ID
...
14
...
Specifies the primary asset identifier for the security.
...
Alt Asset ID Type
...
5501
...
Specifies an alternate asset identifier type for the security.
...
Alt Asset ID
...
1795
...
Specifies the alternate asset identifier for the security.
...
Red Code
...
2517
...
Specifies the unique identification number used by Markit.
...
Swap Xreference Identification
...
CUSIP
...
1952
...
Specifies the Committee of Uniform Security Identification Procedure (CUSIP) that identifies the security issue.
...
Unique Product Identifier (UPI)
...
1955
...
Specifies the Unique Product Identifier (UPI) that identifies the security issue.
...
Unique Swap Identifier (USI)
...
1958
...
Specifies the Unique Swap Identifier (USI) that identifies the security issue.
...
Reuters
...
1961
...
Specifies the Reuters identification number that identifies the security issue.
...
Bloomberg ID
...
1964
...
Specifies the Bloomberg identification number that identifies the security issue.
...
SICOVM
...
1967
...
Specifies the SICOVM identification number that identifies the security issue.
...
Valoren
...
1970
...
Specifies the Valoren identification number that identifies the security issue.
...
Cash Matching ID
...
1973
...
Identifies the security issue for use in cash matching when you use cash segregation. If you set up security cross reference identifiers of CMM for use with cash matching, you can provide a Cash Matching ID for each security you plan to use in cash matching.
...
INTERNAL
...
1976
...
Specifies the internal identification number that identifies the security issue.
...
CINS
...
1979
...
Specifies the CINS identification number that identifies a foreign security issue. The CINS numbering system is an extension of the CUSIP numbering system.
...
Swap Details
...
Investment Type
...
11
...
Displays the investment type. For example, DERV.
...
Processing Security Type
...
3931
...
Specifies the code that the system uses to identify the type of security you are adding. For example, SWCDCX, for credit index swap.
...
Security Type
...
82
...
Specifies the type of security.
...
Sub Security Type
...
1464
...
Specifies the sub security type.
...
Risk Classification Type
...
11584
...
Specifies the risk classification type for the security. This value allows funds to disclose the primary type of underlying risk within derivatives contracts and hedging activity, such as interest rate risk, credit risk, and so on. The FAS 161 report uses this information. You can select any value defined for the RISK_TYPE code category.
...
Granularity Category
...
11476
...
Specifies the asset's classification for ledger granularity purposes. If the security attributes available for ledger granularity account breakouts (security type, long/short indicator, Federal tax indicator, market sector description, affiliated/unaffiliated, and issue country) do not provide enough detail, you can use a granularity category to classify the asset for ledger reporting. Code values are maintained under the GRANULARITY_CAT code category.
...
Cost Basis Rule Type
...
2817
...
Specifies the cost basis rule type for cost basis reporting.
...
Quantity Type
...
12
...
Displays the quantity generally accepted as a standard for exchange, such as shares and par.
...
Price Multiplier
...
18
...
Determines what the system uses for a price. You should not change this value once a position exists.
...
Quantity Scale
...
19
...
Calculates the ratio of units bought to units used for earnings. The default is 1, so that 1 unit of par purchased equals one unit of earnings. You should not change this value once a position exists.
...
Country of Risk
...
2288
...
Specifies the issuer of the security's principal place of business.
...
Country of Risk Code
...
10536
...
Specifies the code of the issuer of the security's principal place of business.
...
Issue Country
...
2290
...
Specifies the name of the country that issued the security.
...
Issue Country Code
...
1418
...
Specifies the code that represents the country that issued the security.
...
Dual Currency Indicator
...
11802
...
Indicates whether the security is a dual currency instrument. A dual currency instrument is a financial instrument based in one currency that makes payments of income and/or principal in a different currency. Options include:
Yes. Indicates that the security is a dual currency instrument. If you select Yes, you can specify an income currency and/or principal currency that differs from the asset currency. Also, additional fields in the Dual Currency Information section become available. These fixing parameters provide criteria used to retrieve the appropriate FX rate, or fixing rate, at which the dual currency instrument income and/or principal payment is converted.
No. Default. Indicates that the security is not a dual currency instrument.
...
Asset Currency
...
85
...
Specifies the currency in which the security is priced. You should not change this value once a position exists. For a dual currency instrument, the asset currency identified in this field is the base currency.
...
Settlement Currency
...
63
...
Specifies the currency in which the security is settled. This field initially displays the value you specified for the Asset Currency field, but you can change it.
...
Income Currency
...
1186
...
Specifies the currency in which the security pays income. This field displays the asset currency by default, but you can change it. For a dual currency instrument, this value may be called the settlement currency. When the income currency differs from the asset currency for a dual currency instrument, the security accrues income in the asset currency but converts the local currency amounts to the income currency at the time the coupon is dropped based on the fixing parameters specified for the dual currency instrument.
...
Primary Exchange
...
2291
...
Specifies the marketplace in which the security is traded.
...
Primary Exchange Code
...
17
...
Specifies the code of the marketplace in which the security is traded.
...
Notional Reset Type
...
4409
...
Specifies if the notional value (the total value of a leveraged position's assets) remains constant over the life of the security. Options include:
Amortizing (Default)
Not Amortizing
This field is not required for a credit index swap.
...
Premium Indicator
...
3302
...
Determines how the premium is paid. Options include:
All up front
Partial up front
All periodic
This field is not required for a credit index swap.
...
Amortization Accretion Rule Type
...
12008
...
Specifies the amortization/accretion rule type for the security.
...
Swap Coupon Periods
...
Coupon
...
70
...
Specifies the rate at which the security accrues interest. It is expressed as an accrual rate. A value of zero is required for zero coupon bonds.
...
Coupon Type Code
...
97
...
Indicates the type of coupon associated with the security. Options include:
Variable Rate. The security has fixed coupon dates and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. You must enter the rate in the Variable Rate table.
Fixed Rate. The security has fixed coupon dates and has a fixed coupon rate to calculate the coupon for use in earnings.
...
Day Count Basis
...
471
...
Specifies the number of days assumed in a month or year when interest rates are quoted.
...
Payment Frequency
...
2287
...
Specifies the frequency at which the security pays interest.
...
Payment Frequency Code
...
472
...
Specifies the code that represents the payment frequency.
...
Business Day Convention
...
1536
...
Used with the payment frequency value to determine when a coupon should pay interest should the scheduled coupon due date occur on a non business day.
...
Coupon Day of Month
...
10551
...
Specifies the day of the month in which the coupon is payable.
...
Business Calendar Name
...
1480
...
Specifies the business calendar for the security. The system uses the value to identify business days and non business days for the purposes of determining the coupon payment date and coupon payment schedules.
...
Day of Month Override
...
1533
...
Identifies the day of the month or business day of the month on which the security is to pay income. This is based on the business calendar.
...
Interest Payment Timing
...
1523
...
Specifies the day of the month in which interest is paid. Options include:
Last Day of Month
Same Day of Month
None
...
Delay Days
...
1799
...
Specifies the number of days between the end of the accrual period and the actual receipt of the coupon and principal payment. The system uses this value in the creation of coupons, paydown transactions, and payup transactions, as well as in the Cash Flow Projections report. Utilizes the Day Count Basis (tag 471) value to determine the actual receipts and settlements of the paydown and payup transactions.
...
Delay Days Type
...
5074
...
Indicates whether the delay days are business days or calendar days. Options include:
B (Business). Uses business days to identify delay days. The Business Calendar Name field (tag 1480) identifies the security's business calendar.
C (Calendar). Uses calendar days to identify delay days.
...
Coupon Delay Days
...
4908
...
Specifies the number of days to extend the coupon period.
This field is not required for a credit index swap.
...
Coupon Delay Days Type
...
3999
...
Specifies whether the coupon delay days are business days or calendar days. Options include:
B (Business). Uses business days to identify coupon delay days. The Business Calendar Name field (tag 1480) identifies the security's business calendar.
C (Calendar). Uses calendar days to identify coupon delay days.
This field is not required for a credit index swap.
...
Maturity Delay Days
...
3997
...
Specifies the number of days to delay generation of the maturity transaction.
This field is not required for a credit index swap.
...
Maturity Delay Days Type
...
3998
...
Specifies whether the maturity delay days are business days or calendar days. Options include:
B (Business). Uses business days to identify maturity delay days. The Business Calendar Name field (tag 1480) identifies the security's business calendar.
C (Calendar). Uses calendar days to identify maturity delay days.
This field is not required for a credit index swap.
...
Swap Dates
...
Issue Price
...
69
...
Specifies the original price of the security.
...
Issue Date
...
68
...
Specifies the first day the security can be traded.
...
Dated Date
...
1183
...
Specifies the date the security first begins to accrue interest. For swaps, this field is often referred to as the effective date.
...
First Coupon Date
...
473
...
Specifies the date of the first coupon payment.
...
Last Coupon Date
...
474
...
Specifies the date of the last normal length coupon period. Eagle recommends that you enter penultimate.
...
Maturity Date
...
38
...
Specifies the date that the security repays all outstanding income and stops earning interest.
...
Maturity Price
...
42
...
Specifies the price at which the security returns income.
...
Generate Swap Reset Schedule
...
2299
...
Indicates whether the system adds a Coupon/Reset type schedule for the security when you create or edit the security. For total return swaps, you define this option at the security's contract level. For more information, see Manage Swap Reset Schedules. Options Include:
Yes. The system generates the Coupon/Reset schedule when you create or edit the security. This allows you to review the schedule immediately. If you edit the security, the system generates new swap reset schedules for both legs and overwrites any existing schedules.
No. Default. The system does not generate the Coupon/Reset schedule when you create or edit the security.
...
Swap Flags
...
Trading Flat
...
3949
...
Indicates whether the security is trading with or without interest. Options include:
Yes. The system does not calculate accrued interest purchased or sold at the time of the acquisition or disposition. In the event of a disposition mid-coupon, the system creates a coupon at the end of the coupon period based on the interest earned during the period.
No. The system calculates accrued interest purchased or sold at the time of the acquisition or disposition.
...
Default Indicator
...
1551
...
Indicates whether the swap is in default. Options include:
Yes. The swap is in default.
No. The swap is not in default.
...
Default Date
...
10142
...
Specifies the date on which the swap went into default.
...
OID Indicator
...
218
...
Indicates whether the security is OID (original issue discount) eligible. Options include:
Yes. The security is OID eligible. For this flag to be set to Yes, the issue price must be less than the value in the Maturity Price field. The value in the Maturity Price field cannot be 0.
No. The security is not OID eligible.
This field is not required for credit index swaps.
...
Look Thru Value
...
1808
...
Specifies the underlying security.
...
Look Thru Ind
...
1776
...
Used to view exposure to the underlying security, index, or portfolio.
...
Cleared Security
...
5027
...
Indicates whether the security is an exchange cleared swap. An exchange cleared swap is an over the counter derivative cleared through a central exchange. Options include:
Yes. The security is an exchange cleared swap. The system calculates variation margin and accrues interest for cleared swaps. The Approve Margin process sums the unapproved margin and interest and creates a traded cash record. Cleared swaps trade with notional cost and do not generate coupons.
No. The security is not an exchange cleared swap.
...
Variation Margin
...
4533
...
Indicates whether the system calculates a variation margin for the swap. If you set the Cleared Security field to Yes, this field appears and displays a value of Yes.
...
Inactive Flag
...
11043
...
Indicates whether the security is inactive. Options include:
Yes. The system reports the security as inactive.
No. The system reports the security as active.
NOTE: If this field is set to Yes, no trades are allowed.
...
Underlying Information
...
Underlying Issuer Name
...
1141
...
Specifies the name of the underlying security.
For credit index swaps, this field is used for reporting purposes.
...
Underlying Security ID
...
1348
...
Specifies the underlying security identifier.
For credit index swaps, this field is used for reporting purposes.
...
Underlying Ticker
...
1349
...
Specifies the ticker of the underlying security.
For credit index swaps, this field is used for reporting purposes.
...
Underlying Type
...
916
...
Specifies the underlying security type.
For credit index swaps, this field is used for reporting purposes.
...
Dual Currency Information
...
Dual Currency Conversion Factor
...
11803
...
Specifies the initial FX rate at issuance used at issuance to convert the local currency for a dual currency instrument. Used for reference purposes only. This field appears if the Dual Currency Indicator field has a value of Yes.
...
Principal Currency
...
11813
...
Specifies the currency in which the security pays principal for a dual currency instrument. This field displays the asset currency by default, but you can change it if you identify the security as a dual currency instrument. The principal currency matches either the asset currency or the income currency, allowing you to apply a single set of fixing parameters to the dual currency instrument. When the principal currency differs from the asset currency for a dual currency instrument, the security calculates principal in the asset currency but converts the local currency amounts to the principal currency at the time the maturity or corporate action is created. It bases the amount on the fixing parameters specified for the dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes.
...
Settlement Rate Option
...
11816
...
Specifies the FX rate source used to convert the local accrued amounts into the income and/or principal currency for the dual currency instrument. This conversion determines actual income and/or principal settlement amounts. The system uses this security level source rather than the accounting basis' FX source for the security. This field appears if the Dual Currency Indicator field has a value of Yes.
NOTE: Although this value is an FX rate, you store it as an index because the to/from currencies are embedded and not provided. It accommodates multiple values that are common to a price.
...
FX Rate Type
...
11817
...
Identifies the type of FX fixing rate the system uses from the Settlement Rate Option field for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:
Ask
Bid
Last
...
FX Fixing Period Multiplier
...
12027
...
Specifies the multiplier for the time period or FX fixing period for a dual currency instrument. You can specify a positive number such as 1, 2, or 3, or can specify a negative number. This field appears if the Dual Currency Indicator field has a value of Yes.
...
FX Fixing Period
...
11818
...
Identifies the time period used to calculate the fixing rate for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:
Day
Month
Week
Year
...
FX Fixing Period Date Type
...
12028
...
Specifies whether the fixing period for a dual currency instrument uses business days or calendar days. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:
B (Business). The fixing period uses business days when determining which date to select. The FX Fixing Business Center field identifies the business calendar to use for the security's fixing period.
C (Calendar). The fixing period uses all calendar days when determining which date to select. This field displays a value of C if you set the FX Fixing Period to Month, Week, or Year.
...
FX Fixing Business Day Convention
...
12029
...
Determines how to adjust the calendar date for the FX fixing date if the date would otherwise fall on a day that is not a business day based on the fixing day's calendar. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:
Following. Adjusts the calendar date for the FX fixing date to the following business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.
None. No calendar date adjustment occurs. If the FX Fixing Period Date Type has a value of Business, this field displays a value of None. If the FX Fixing Period Date Type has a value of Calendar, do not select a value of None.
Preceding. Adjusts the calendar date for the FX fixing date to the preceding business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.
...
FX Fixing Business Center
...
12340
...
Identifies the business calendar to use for the dual currency instrument's fixing period. This field appears if the Dual Currency field has a value of Yes and the FX Fixing Period Date Type field has a value of Business.
...
FX Fixing Date Relative To
...
12341
...
Identifies the anchor dates for selecting the FX rates for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:
Calculation End Date
Payment Date
...
Issuer Information
...
Credit Enhancement
...
1532
...
Indicates whether the security is credit enhanced. Options include:
Yes. The security is credit enhanced.
None. The security is not credit enhanced.
...
Issuer ID Name
...
2285
...
Specifies the name of the company or municipality that offered the security for sale.
...
Issuer ID
...
1413
...
Specifies the identifier of the company or municipality that offered the security for sale.
...
Country of Incorporation Code
...
1174
...
Specifies the ISO country code of the country in which the issuer of the security was incorporated.
...
Issuer Industry
...
1417
...
Specifies the industry of the issuer.
...
Legal Entity Identifier (LEI)
...
5089
...
Displays the Legal Entity Identifier (LEI) that identifies the issuer as a financial party. If an LEI value is present, the Legal Entity Identifier Details section appears.
...
Legal Entity Identifier Details
...
Legal Name
...
5090
...
Displays the legal name of the issuer as the financial party registered with the LEI.
...
Entity Status
...
5091
...
Displays the status of the issuer. For example, ACTIVE and INACTIVE.
...
Legal Form
...
5092
...
Displays the legal form of the issuer as financial party registered with the LEI. For example, CORPORATION.
...
Assigned Date
...
5093
...
Displays the date when the issuer's LEI was assigned.
...
Last Update Date
...
5094
...
Displays the date when the issuer's LEI information was last updated.
...
Disabled Date
...
5095
...
Displays the date when the issuer's LEI information was disabled.
...
Record State
...
5096
...
Displays the record state for the issuer's LEI. The record state indicates the current process status of the CFTC Interim Compliant Identifier (CICI) record. For example, UNDER_REVIEW, DUPLICATE, CONFLICTING_SOURCES, INADEQUATE_SOURCES, VALIDATED, PENDING_REMOVAL.
...
Certification State
...
5097
...
Displays the certification state used to register the issuer's LEI. For example, CERTIFIED, NOT_CERTIFIED, STALE.
...
Street
...
5098
...
Displays the street address used to register the issuer's LEI.
...
City
...
5099
...
Displays the city used to register the issuer's LEI.
...
State
...
5100
...
Displays the state code used to register the issuer's LEI.
...
Zip
...
5180
...
Displays the ZIP code used to register the issuer's LEI.
...
Country Code
...
5181
...
Displays the country code used to register the issuer's LEI.
...
Lookup Issuer Xref Information
...
Sub Issuer ID Type
...
10454
...
Specifies the sub issuer identification type.
...
Sub Issuer ID
...
3459
...