You can roll a credit default index swap (also called a CDX swap contract) into another asset ID when you are rolling it to a subsequent version.
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Eagle's accounting solutions allows you to use the Create Exchange Offers corporate action announcement panel and the corresponding Merger Processing Exchange Offer global processes panel for a CDX roll. During the roll, the system closes the existing position in the old security and opens a new position in the updated security. The system maintains a record of the original quantity (notional), current quantity, and factor from old position to new position. It clears out accrued interest life-to-date on the old position as part of the roll process.
To set up an exchange offer for a CDX roll:
In Reference Data Center, in the left navigation pane, click Reference Desk > Corporate Actions
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> Announcements > Create Exchange Offers.
You see the Create Exchange Offers panel.In the Lookup Security Information area, select the CDX swap contract you are rolling.
You can select a credit index swap, or CDX swap contract, with a processing security type of SWCDCX, as the From security.In the Exchange Offer Type list, click Rate.
In the Treatment of Interest Indicator list. click Transfer.
Complete the remaining
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options in the Create Exchange Offers panel.
You identify the CDX with the new version as the To security.Click Submit.
The corporate action has a transaction type of NONTAXMERGR, indicating that the exchange offer is based on a rate and is non taxable.
You can use the global Merger Processing Exchange Offer panel to process the corporate action announcement for the exchange offer.