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Support for Mark-to-Market (MTM) Cross Currency Swaps (CCS, XCCY) was added in V17 R2.52. These are swaps where the notional value of one leg changes on each coupon date. The new notional is a function of the other leg’s notional and the prevailing FX rate. If the contract includes an exchange of notional, cash is paid or received equal to the change in notional.
See Cross Currency Swaps (CCS) Best Practices for full details on CCS processing in Eagle.
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Security Type (82) and/or Sub Security Type (1464) can be used to differentiate MTM CCS from other types
Initial Exchange of Principal (8554) drives specifies if the MTM adjustment will result in a cash exchange (
Yes) or not (No)
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The messages below can be used to automate the flow of MTM adjustments. Ensure F4590/payabaleReceivableIndicator (CSV) or payabaleReceivableIndicator (EML) is correctly populated to identify the MTM leg: P for the pay leg or R for the receive leg.
Format | Example | Stream | ||||
|---|---|---|---|---|---|---|
CSV |
| eagle_default_in_csv_trades | ||||
EagleML (EML) |
| eagle_ml-2-0_default_in_xml_acct_trades |