Manage Interest Rate Swaps

In the Multiple Leg Swap panel, you can manually add and change an interest rate swap. An interest rate swap is a deal between banks or companies in which borrowers exchange floating debt for fixed rate debt.
Interest rate swaps have three security master records. One security master record represents the contract leg. The other two security master records represent the pay leg and the receive leg. The contract provides general information about the deal. The pay and receive legs provide specific payment details. The legs are linked together by a shared Primary Asset ID. The holder of the swap pays a fixed, variable, or floating rate based on an underlying index, and receives a different amount based on a fixed, variable, or floating rate. The pay and receive coupons are based on specific accrual terms.
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 for more information.
This article assumes you are familiar with the entity elections that have been made for processing interest rate swaps.