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:
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
You see the Issue Viewer tool.Click the Add arrow.
Point to Derivatives and click 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.
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
In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer.
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, click the Change arrow, and click Change Swaps. Or double-click the security record.
You see the Change Swaps 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:
|
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:
|
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:
|
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. |
Amortization Accretion Rule Type | 12008 | Specifies the amortization/accretion rule type for the contract level security. |
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 About Day Count Basis. |
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:
|
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. Utilizes the Day Count Basis (tag 471) value to determine the actual receipts and settlements of the paydown and payup transactions. |
Delay Days Type | 5074 | Indicates whether the delay days are business days or calendar days. Options include:
|
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. |
Generate Swap Reset Schedule | 2299 | Indicates whether the system adds a Coupon/Reset type schedule for the security when you create or edit the security. For total return swaps, you define this option at the security's contract level. For more information, see Manage Swap Reset Schedules. Options Include:
|
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. |
Time Sensitive Indicator | 11926 | Specifies whether the security uses floating rate data that changes over time if you set the Coupon Type field to Floating Rate. This option can apply to the security used for the Accrual/Finance leg (processing security type of Swap Leg Interest Accrual, or SWLEAC) for interest rate swaps. Identifying swaps as time sensitive allows you to track spread changes between coupon dates using SMF earnings time periods. For details, see Calculate Earnings for Swaps When the Spread Changes Between Coupon Dates. Options include:
|
Existing Effective Dates | 7017 | Specifies the effective dates that correspond to spreads previously entered for the swap leg. If you previously entered one or more spreads, this date shows the most recent effective date by default. The field lookup allows you to view the effective dates for any spreads previously entered for the leg. You can select a date from the lookup in cases where you want to change the corresponding spread effective on an existing date. This field appears if you change a swap leg where you previously set the Time Sensitive Indicator to Yes. |
As Of Effective Date | 4212 | Specifies the effective date for the spread for the swap leg when you edit the security. This field appears if you change a swap leg where you previously set the Time Sensitive Indicator to Yes. By default a new spread value takes effect on the current date. You can change the As Of Effective Date if you are defining a new spread to take effect on a different date or are changing an existing spread. |
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. 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 Frequency | 476 | Specifies the frequency at which the security resets its rate, beginning from the date defined in the First Rate Reset Date field. 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). Options include:
|
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. 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). Options include:
|
Reset Lookback 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. 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 Lookback Days Type | 5075 | Indicates whether the system bases the reset look back days on valid business days or actual calendar days. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). Options include:
|
Reset Lockout Days | 10549 | Specifies the number of days at the end of a given period for which any new, daily rates are effectively locked out. Instead, the same rate is used across the lockout period. The rate referenced is the one that was used on the business day prior to the lockout period. The system performs the count backwards from the coupon date, inclusive of the lockout effective date and exclusive of the coupon date. |
Reset Lockout Period | 18083 | Indicates how to identify the reset lockout period. This field appears if you specify a value for the Reset Lockout Days field. Options include:
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Coupon Rate Fixing Method | 18274 | Identifies the coupon rate fixing method. Options include:
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Fixing Date Business Center | 16407 | Specifies the fixing date business calendar for the security. The Earnings process uses this business calendar you select to identify business days and non business days for the purposes of determining the fixing date for floating rate and inverse floating rate coupon date. The fixing date is the date on which a rate/price is selected for use on the reset date. If you do not select a value, the Earnings process uses the business calendar selected in the Business Calendar Name field (tag 1480) to determine the fixing date. This option allows you to specify separate calendars when a security uses one calendar for dropping coupons and a different calendar for resetting the floating rate. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater). |
Rate Reset Change Cap | 10907 | Specifies the maximum allowed increase in a variable rate from one period to the next. 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). For more information about rate reset values, see Determine Floating Rate Resets. |
Rate Reset Change Floor | 10908 | Specifies the minimum maximum allowed decrease in a variable rate from one period to the next. 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). For more information about rate reset values, see Determine Floating Rate Resets. |
Rate Reset Cap | 10909 | Specifies the maximum coupon rate allowed during the life of the security. 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). For more information about rate reset values, see Determine Floating Rate Resets. |
Rate Reset Floor | 10910 | Specifies the minimum coupon rate allowed during the life of the security. 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). For more information about rate reset values, see Determine Floating Rate Resets. |
Swap Leg Underlying Information | ||
Underlying Security ID | 1348 | Specifies the security identifier of the underlying security for the swap leg. 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). |
Underlying Issue Name | 1141 | Specifies the issue name of the underlying security for the swap leg. 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). |
Underlying Security Alias | 1347 | Displays the asset identifier of the underlying security for the swap leg. 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). |
Underlying Security Ticker | 1349 | Displays the ticker of the underlying security for the swap leg. 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). |
Underlying Type | 7103 | Specifies the type of the underlying index for the swap leg. 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). |
Index Offset | 215 | Specifies the basis point adjustment to the underlying index, for the purpose of calculating the coupon rate of a security. For interest rate swaps, you can use this field to define spread changes that occur on non-coupon dates for the swap leg. For more information, see Calculate Earnings for Swaps When the Spread Changes Between Coupon Dates. 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). |
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:
|
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. |
Final Rate Rounding Precision | 18276 | Specifies the rounding precision for the compounded rate of return on each security. This field is used if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater) and you set the Coupon Rate Fixing Method field to Reset At End. Options include:
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Final Rate Rounding Direction | 12403 | Specifies the direction of rounding for fractional numbers based on the Final Rate Rounding Precision value. This field is used if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater) and you set the Coupon Rate Fixing Method field to Reset At End. Options include:
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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. NOTE: Although this value is an FX rate, you store it as an index because the to/from currencies are embedded and not provided. It accommodates multiple values that are common to a price. |
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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