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Overview

This document applies to all releases of Eagle software V17 and above, plus select legacy branches. Version-dependent functionality is noted with the initial release(s) it became available.

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Phase 1 of swaps netting in Eagle Accounting is limited to cleared Interest Rate Swaps (IRS) and Credit Default Index Swaps (CDX) set up with variation margin (VM) and amortization turned off. It is rules-based to support different netting configurations across clearinghouses and securities, and can be triggered manually or via a schedule. Rules are configured based on Processing Security Type (3931), Primary Asset ID (14), and Primary Exchange (17).

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Configuration

Swaps netting is a four-step process:

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Netting transactions should be cancelled using Batch Cancel Trades to ensure all constituents are rolled back together.

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Examples

Credit Default Index Swaps (CDXs)

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