You can set up each leg with different interest rates, payment frequencies, day count bases, and business calendar information. The system processes each leg as an individual position so that you can view the holdings and accruals separately. Pricing is processed at the contract level only.
To set up an interest rate swap, you must configure your Eagle environment to allow duplicate Primary Asset IDs. See the Add Security Cross Reference Configurations section page for more information.
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This article assumes you are familiar with the entity elections that have been made for processing interest rate swaps. |
Add Interest Rate Swaps
To manually add an interest rate swap contract, pay leg, and receive leg:
- From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
- Enter Issue Viewer in the Start Search text box.
- Click the Issue Viewer link to access the tool.
You see the Issue Viewer tool. - Click Add.
- Click Equities and Derivatives/Interest Rate Swap.
You see the Interest Rate Swap panel. - Add the contract on the Multiple Leg Swap panel.
The following fields are required to set up the contract: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Income Currency, Issue Date, Dated Date, Maturity Date, First Payment Date, Last Payment Date, and Calculate/Validate Last Payment Date. - Click the second row of the multi row pane at the bottom of the panel and add the pay leg.
The following fields are required to set up the pay leg: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Income Currency, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Date, Dated Date, Maturity Date, First Payment Date, Last Payment Date, and Calculate/Validate Last Payment Date. If the pay leg is floating, the following fields are also required: First Rate Reset Date, Reset Frequency Code, Underlying Security ID, and Underlying Issue Name. - Click the third row of the multi row pane at the bottom of the panel and add the receive leg.
The following fields are required to set up the receive leg: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Income Currency, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Date, Dated Date, Maturity Date, First Payment Date, Last Payment Date, and Calculate/Validate Last Payment Date. If the receive leg is floating, the following fields are also required: First Rate Reset Date, Reset Frequency Code, Underlying Security ID, and Underlying Issue Name. - Click Submit.
Change Interest Rate Swaps
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 section for more information.
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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 an interest rate swap
- From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
- Enter Issue Viewer in the Start Search text box.
- Click the Issue Viewer link to access the tool.
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 and click Change/Interest Rate Swap. Or double click the security record.
You see the Change Multiple Leg Swap panel. - Change the options on the Change Multiple Leg Swap panel.
- Click Submit.
Multiple Leg Swap Panel Options
The following are the options in the Multiple Leg 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 Information | ||
Swap Type | 4590 | Indicates the type of swap you are adding. Options include:
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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. |
Swap Xreference Identification | ||
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. |
Swap Details | ||
Investment Type | 11 | Specifies the investment type. For example, DERV. |
Processing Security Type | 3931 | Specifies the code value that the system uses to identify a security and determine what type of processing to perform. Options include:
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Security Type | 82 | Specifies the type of security. |
Sub Security Type | 1464 | Specifies the type of sub security. |
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:
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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. |
Region | 5423 | Specifies a region. It does not necessarily mean the location of the exchange in which a security is traded. For example, suppose you have a Canadian bond that trades in the London Stock Exchange. You may want to set the region to Canada or North America. |
Default Indicator | 1551 | Indicates whether a security is in default. Options include:
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Default Date | 10142 | Specifies the date on which the security went into default. |
Look Thru Value | 1808 | Used to view exposure to the underlying security, index, or portfolio. |
Look Thru Ind | 1776 | Specifies the underlying security. |
Cleared Security | 5027 | Indicates whether the contract level security is an exchange cleared swap. An exchange cleared swap is an over the counter derivative cleared through a central exchange. Options include:
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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. |
Swap Payment 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:
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Day Count Basis | 471 | Specifies the number of days assumed in a month or year when interest rates are quoted. For more information, see the Fixed Income Processing Guide. |
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. |
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:
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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. |
Delay Days Type | 5074 | Indicates whether the delay days are business days or calendar days. Options include:
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Coupon Delay Days | 4908 | Specifies the number of days to extend the coupon period. |
Coupon Delay Days Type | 3999 | Specifies whether the coupon delay days are business days or calendar days. Options include:
This field is not required for an interest rate swap. |
Maturity Delay Days | 3997 | Specifies the number of days to delay generation of the maturity transaction. |
Maturity Delay Days Type | 3998 | Specifies whether the maturity delay days are business days or calendar days. Options include:
This field is not required for an interest rate swap. |
Swap Dates | ||
Issue Price | 69 | Specifies the original issue 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. |
Maturity Date | 38 | Specifies the date that the security repays all outstanding income and stops earning interest. |
First Payment/Valuation Date | 473 | Specifies the first payment date. |
Last Payment/Valuation Date | 474 | Specifies the last payment date. |
Maturity Price | 42 | Specifies the price at which the security returns income. |
Swap Leg Flags | ||
Trading Flat | 3949 | Indicates whether the security is trading with or without interest. Options include:
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Underlying Type | 916 | Specifies the underlying security type. |
Swap Leg Floating Rate Information | ||
First Rate Reset Date | 10911 | Specifies the first calendar date that the rate resets from the dated date of the security. The system uses the First Rate Reset Date field, along with Reset Frequency Code, Business Calendar, and Business Day Convention field values to create the floating rate reset schedule of the security. |
Reset Frequency | 476 | Specifies the frequency at which the security resets its rate, beginning from the date defined in the First Rate Reset Date field. Options include:
This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Frequency Code | 1788 | Specifies the code associated with the frequency at which the security resets its rate beginning from the date defined in the First Rate Reset Date field. Options include:
This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater). |
Reset Look Back Days | 10547 | Specifies the actual number of days to look back when setting the rate on the reset date. Floating Rate type securities can use a past rate on the specified reset date. |
Reset Look Back Days Type | 5075 | Indicates whether the reset look back days are business days or calendar days. Options include:
This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). |
Periodic Cap | 10907 | Specifies the maximum allowed increase in a variable rate from one period to the next. |
Periodic Floor | 10908 | Specifies the maximum allowed decrease in a variable rate from one period to the next. |
Lifetime Cap | 10909 | Specifies the maximum coupon rate allowed during the life of the security. |
Lifetime Floor | 10910 | Specifies the minimum coupon rate allowed during the life of the security. |
Swap Compound Information | ||
Compounding Indicator | 18875 | Specifies whether the security compounds unpaid interest. Options include:
If you set this field to Yes, the remaining compound information fields are required. |
Compounding Method | 11876 | Identifies the method used for compounding interest. Options include:
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Compounding Frequency | 11877 | Specifies the frequency at which the security compounds interest. |
First Compounding Date | 11878 | Specifies the first date on which the compounding begins. |
Last Compounding Date | 11879 | Specifies the end date of interest compounding. |
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. |
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:
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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:
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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:
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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:
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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:
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