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REFERENCE DATA
Storage & Configuration
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Market Data
Unlike Interest Rate Swaps, both legs of a Currency Swap can have fixed interest rates (if that is the case, skip ahead to the last paragraph of this section). However, at least one leg typically floats against an underlying interest rate index. Each index must be set up as an Index security using Issue Viewer, Security Reference Manager (SRM), or Reference Data Center (RDC). Other than identifiers, the only information that has to be entered is the currency.
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Transaction | Pay Leg: KRW | Receive Leg: USD |
|---|---|---|
Open | Pay Notional in USD:
| Receive Notional in KRW:
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Daily Accrual | Pay accrual on KRW notional | Receive accrual on USD notional |
Termination | Pay Notional in KRW:
| Receive Notional in USD:
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Close (transaction type: CLOSESWAP)
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Valuation
Currency Swaps are valued using clean unit prices. The notional value of each leg is converted to the fund’s base currency using the best available FX rate. The market value can be positive or negative depending on FX and interest rate movements.
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REPORTING
STAR to PACE (S2P)
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Data Management Reporting
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CCS prices must be loaded to the contract only. Make sure you set tag 4590 = C in your price message.
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