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Overview

Eagle models all Credit Default Swap (CDS) contracts as long positions, with Interest Rate Swaps (IRS) typically held long as well. Therefore the signage of market value is controlled by the sign of the price, which requires Accounting to support both positive and negative prices. This document details how to adjust a par-based price (around 100), such as those quoted by Bloomberg, to be used in Eagle's par-zero (around 0) pricing methodolgy. All calculations assume a Price Multiplier (18) = 0.01.

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Credit Default Swap

Sell Protection

In this example of selling protection on GE Capital Corp, the Bloomberg price is 91.4880439. The formula below should be used to convert Bloomberg’s price to a price consistent with Eagle processing:

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Whether selling or buying protection, in this case the formula used to calculate a price for Eagle will be 100 - 100 = 0.

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Interest Rate Swap

Pay Float/Receive Fixed

Bloomberg quotes a principal (excluding accrued interest) of -4,151.25 for 1MM notional. Bloomberg trade screens don’t quote this in terms of a price, they supply a total amount. It can be converted to a par-zero price as Eagle requires using this formula:

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