Futures.
The system can segregate both futures with variation margin and futures without margin.
Options.
The system can segregate both options on futures with margin and options on futures without margin.
Cleared Swaps.
The system can segregate exchange cleared swaps. This applies to credit index swaps, credit default swaps, and interest rate swaps where the security has the Cleared Security field set to Yes. The system does not segregate bilateral, or uncleared, credit index swaps, credit default swaps, and interest rate swaps, and does not segregate currency rate swaps.
Total return swaps. The system can segregate total return swaps.
When you segregate derivatives, the system uses the clearing broker code value as an additional position-level criteria to establish uniqueness and drive the method of segregation.
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Set Up Entities for Derivative Segregation with or without Cash Segregation
If you do not use cash segregation, you can set the entity's Segregate Derivatives (tag 16253) field to Yes. In that case, the system does not segregate derivatives in the custody basis as it does with cash segregation. Eagle Accounting does, however, allow you to process derivatives with multiple brokers and keep positions segregated as such.
If you use cash segregation, when you set up entities to use cash segregation you typically segregate derivatives for those entities. Ensure that you set the Segregate Derivatives (tag 16253) field to Yes for those entities where you segregate derivatives in the custody basis.
Define Entity to Custodian and Clearing Broker Relationships
When you use cash segregation with derivative segregation, you must set up entity to custodian and clearing broker relationships. In addition, you must link cash accounts to those relationships. Before you can use derivative segregation with cash segregation, you must set up:
Clearing Broker codes.
Bank account relationships for the entities that use derivative segregation to identify the relationships between those entities and their clearing brokers. To do
so, you must create bank account relationships with a relationship type of Entity & Clearing Broker Relationship, where bank account relationship defines the relationship between a composite and a clearing broker.
Cash account relationships that link together the cash accounts and the bank account relationships.
Book Trades for Derivatives for Cash Segregation
When you book a manual trade for an entity that uses cash segregation, you must provide custodian and cash account information for all types of securities. When you book a trade for an entity that uses derivative segregation, you must additionally specify the trade's clearing broker where available.
If you book a trade for an exchange cleared security (credit index swaps, credit default swaps, and interest rate swaps), the system uses the clearing broker for segregation purposes, and you must specify the clearing broker for the trade. You must identify the Clearing Broker (tag 1236) and the
Clearing Broker Code (tag 1237) on the following panels if the Variation Margin (tag 4533) option displays a value of Yes
. If you are booking a trade for a total return swap, the system uses the bank alias for segregation purposes.
When Eagle Accounting processes trades that use derivative segregation in the following panels, it stores the
Entity to Clearing Broker relationship alias as the Source System (tag 98) field value to allow for multiple positions under the same asset id:
Future with Variation Margin panel
Option with Variation Margin panel
Open Total Return Swap panel
Close Total Return Swap panel
When Eagle Accounting processes trades that use derivative segregation in the following panels, if the Cleared Swap Flag is set to Yes, it stores
the Entity to Clearing Broker relationship alias as the Source System (tag 98) field value to allow for multiple positions under the same asset id:
Open Credit Default Index Swap panel
Close Credit Default Index Swap panel
Open Credit Default Swap panel
Close Credit Default Swap panel
Open Interest Rate Swap panel
Close Interest Rate Swap panel
Open Currency Rate Swap panel
Close Currency Rate Swap panel
When Eagle Accounting processes trades that use derivative segregation in the following panels, if the Variation Margin (tag 4533) field is set to No, it stores
the Entity to Clearing Broker relationship alias as the Source System (tag 98) field value to allow for multiple positions under the same asset id:
Open and Close Options panel
???? this is per FSD. it doesn't match up to the release note...
Manage Variation Margin for
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???? FSD incomplete Bug 125329 - modified the margin and margin approval global panels to execute lookups by clearing broker code if the entity is segregating derivatives but does not have a custody basis. Previously, the panels looked for clearing broker/entity relationships if segregating derivatives. |
Reporting
Derivative Segregation
In the global Run Variation Margin panel and in the Approve Variation Margin panel, when you are approving variation margin, you can identify the clearing broker name and the clearing broker code associated with the transactions you want to process. You must specify these values if you select an entity that segregates derivative positions by clearing broker.
The panels include the following fields:
Clearing Broker (tag 1236). Specifies the name of the clearing broker. If you are processing one security and you select an entity where Segregate Derivatives is set to Yes, you must specify a value.
Clearing Broker Code (tag 1237). Specifies the clearing broker code associated with the selected clearing broker. If you are processing one security and you select an entity where Segregate Derivatives is set to Yes, you must specify a value.