Manage Credit Default Swaps in Issue Viewer

In the Credit Default Swap panel, you can manually add and change a credit default swap. A credit default swap is a credit derivative that is designed to transfer the credit exposure of fixed income products between parties. The buyer of a credit default swap receives credit protection, while the seller of the swap guarantees the credit worthiness of the product. This means that the risk of default is transferred from the holder of the fixed income security to the seller of the credit default swap.

This article assumes you are familiar with the entity elections that have been made for processing credit default swaps.

Content on this page:

Add Credit Default Swaps

To manually add a credit default swap:

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 then click Credit Default Swap.
You see the Credit Default Swap panel.
Complete the options on the Credit Default Swap panel.
The following fields are required to set up a credit default swap: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Issue Tax Type, Buy/Sell Indicator, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Price, Issue Date, Dated Date, First Coupon Date, Last Coupon Date, Maturity Date, and Maturity Price.
Click Submit.

Change Credit Default 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 a credit default 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 Credit Default Swap. Or double-click the security record.
You see the Change Credit Default Swap panel.
Change the options on the Change Credit Default Swap panel.
Click Submit.

Credit Default Swap Panel Options

The following are the options in the Credit Default 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 Identification
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
CUSIP	1952	Specifies the Committee of Uniform Security Identification Procedure (CUSIP) that identifies the security issue.
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.
Bloomberg ID	1964	Specifies the Bloomberg identification number that identifies the security issue.
SICOVM	1967	Specifies the SICOVM identification number that identifies the security issue.
Valoren	1970	Specifies the Valoren identification number that identifies the security issue.
Cash Matching ID	1973	Identifies the security issue for use in cash matching when you use cash segregation. If you set up security cross reference identifiers of CMM for use with cash matching, you can provide a Cash Matching ID for each security you plan to use in cash matching.
INTERNAL	1976	Specifies the internal identification number that identifies the security issue.
CINS	1979	Specifies the CINS identification number that identifies a foreign security issue. The CINS numbering system is an extension of the CUSIP numbering system.
Swap Details
Investment Type	11	Displays the investment type. For example, DERV.
Processing Security Type	3931	Specifies the code that the system uses to identify the type of security you are adding. For example, SWCDCO, for credit default swap securities.
Security Type	82	Specifies the type of security.
Sub Security Type	1464	Specifies the sub security type.
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: Yes. Indicates that the security is a dual currency instrument. If you select Yes, you can specify an income currency and/or principal currency that differs from the asset currency. Also, additional fields in the Dual Currency Information section become available. These fixing parameters provide criteria used to retrieve the appropriate FX rate, or fixing rate, at which the dual currency instrument income and/or principal payment is converted. No. Default. Indicates that the security is not a dual currency instrument.
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.
Notional Reset Type	4409	Specifies if the notional value (the total value of a leveraged position's assets) remains constant over the life of the security. Options include: Amortizing (Default) Not Amortizing This field is not required for a credit default swap.
Premium Indicator	3302	Determines how the premium is paid. Options include: All up front Partial up front All periodic This field is not required for a credit default swap.
Buy/Sell Indicator	1364	Indicates whether the security is providing credit default protection or receiving credit default protection. Options include: Buy. Receives credit protection. Sell. Provides credit protection.
Amortization Accretion Rule Type	12008	Specifies the amortization/accretion rule type for the security.
Pay Receive Indicator	4590	Displays additional information on credit default protection. For example, if you set the Buy/Sell Indicator field to Buy, this field displays Accrue Payable. If you set the Buy/Sell Indicator field to Sell, this field displays Accrue Receivable.
Swap Coupon 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: Variable Rate. The security has fixed coupon dates and uses a variable rate based on the security identifier to calculate the coupon for use in earnings. You must enter the rate in the Variable Rate table. Fixed Rate. The security has fixed coupon dates and has a fixed coupon rate to calculate the coupon for use in earnings.
Day Count Basis	471	Specifies the number of days assumed in a month or year when interest rates are quoted.
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.
Coupon Day of Month	10551	Specifies the day of the month in which the coupon is payable.
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: Last Day of Month Same Day of Month None
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: B (Business). Uses business days to identify delay days. The Business Calendar Name field (tag 1480) identifies the security's business calendar. C (Calendar). Uses calendar days to identify delay days.
Coupon Delay Days	4908	Specifies the number of days to extend the coupon period. This field is not required for a credit default swap.
Coupon Delay Days Type	3999	Specifies whether the coupon delay days are business days or calendar days. Options include: B (Business). Uses business days to identify coupon delay days. The Business Calendar Name field (tag 1480) identifies the security's business calendar. C (Calendar). Uses calendar days to identify coupon delay days. This field is not required for a credit default swap.
Maturity Delay Days	3997	Specifies the number of days to delay generation of the maturity transaction. This field is not required for a credit default swap.
Maturity Delay Days Type	3998	Specifies whether the maturity delay days are business days or calendar days. Options include: B (Business). Uses business days to identify maturity delay days. The Business Calendar Name field (tag 1480) identifies the security's business calendar. C (Calendar). Uses calendar days to identify maturity delay days. This field is not required for a credit default swap.
Swap Dates
Issue Price	69	Specifies the original 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.
First Coupon Date	473	Specifies the first day the swap security can be traded.
Last Coupon Date	474	Specifies the date of the last normal length coupon period. Eagle recommends that you enter penultimate.
Maturity Date	38	Specifies the date that the security repays all outstanding income and stops earning interest.
Maturity Price	42	Specifies the price at which the credit default swap returns income.
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: Yes. The system generates the Coupon/Reset schedule when you create or edit the security. This allows you to review the schedule immediately. If you edit the security, the system generates new swap reset schedules for both legs and overwrites any existing schedules. No. Default. The system does not generate the Coupon/Reset schedule when you create or edit the security.
Swap Flags
Trading Flat	3949	Indicates whether the security is trading with or without interest. Options include: Yes. The system does not calculate accrued interest purchased or sold at the time of the acquisition or disposition. In the event of a disposition mid-coupon, the system creates a coupon at the end of the coupon period based on the interest earned during the period. No. The system calculates accrued interest purchased or sold at the time of the acquisition or disposition.
Default Indicator	1551	Indicates whether a swap is in default. Yes. The swap is in default. No. The swap is not in default.
Default Date	10142	Specifies the date on which the swap went into default.
OID Indicator	218	Indicates whether the credit default swap is OID (original issue discount) eligible. Options include: Yes. The security is OID eligible. For this flag to be set to Yes, the issue price must be less than the value in the Maturity Price field. The value in the Maturity Price field cannot be 0. No. The security is not OID eligible. This field is not required for credit default swaps.
Look Thru Value	1808	Specifies the underlying security.
Look Thru Ind	1776	Used to view exposure to the underlying security, index, or portfolio.
Cleared Security	5027	Indicates whether the security is an exchange cleared swap. An exchange cleared swap is an over the counter derivative cleared through a central exchange. Options include: Yes. The security is an exchange cleared swap. The system calculates variation margin and accrues interest for cleared swaps. The Approve Margin process sums the unapproved margin and interest and creates a traded cash record. Cleared swaps trade with notional cost and do not generate coupons. No. The security is not an exchange cleared swap.
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.
Inactive Flag	11043	Indicates whether the security is inactive. Options include: Yes. The system reports the security as inactive. No. The system reports the security as active. NOTE: If this field is set to Yes, no trades are allowed.
Underlying Information
Underlying Issuer Name	1141	Specifies the name of the underlying security. For credit default swaps, this field is used for reporting purposes.
Underlying Ticker	1349	Specifies the ticker of the underlying security. For credit default swaps, this field is used for reporting purposes.
Underlying Asset ID	1348	Specifies the asset identifier of the underlying security. For credit default swaps, this field is used for reporting purposes.
Underlying Type	916	Specifies the underlying security type. For credit default swaps, this field is used for reporting purposes.
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: Ask Bid Last
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: Day Month Week Year
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: B (Business). The fixing period uses business days when determining which date to select. The FX Fixing Business Center field identifies the business calendar to use for the security's fixing period. C (Calendar). The fixing period uses all calendar days when determining which date to select. This field displays a value of C if you set the FX Fixing Period to Month, Week, or Year.
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: Following. Adjusts the calendar date for the FX fixing date to the following business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar. None. No calendar date adjustment occurs. If the FX Fixing Period Date Type has a value of Business, this field displays a value of None. If the FX Fixing Period Date Type has a value of Calendar, do not select a value of None. Preceding. Adjusts the calendar date for the FX fixing date to the preceding business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.
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: Calculation End Date Payment Date
Issuer Information
Credit Enhancement	1532	Indicates whether the security is credit enhanced. Options include: Yes. The security is credit enhanced. None. The security is not credit enhanced.
Issuer ID Name	2285	Specifies the name of the company or municipality that offered the security for sale.
Issuer ID	1413	Specifies the identifier of the company or municipality that offered the security for sale.
Country of Incorporation Code	1174	Specifies the ISO country code of the country in which the issuer of the security was incorporated.
Issuer Industry	1417	Specifies the industry of the issuer.
Legal Entity Identifier (LEI)	5089	Displays the Legal Entity Identifier (LEI) that identifies the issuer as a financial party. If an LEI value is present, the Legal Entity Identifier Details section appears.
Legal Entity Identifier Details
Legal Name	5090	Displays the legal name of the issuer as the financial party registered with the LEI.
Entity Status	5091	Displays the status of the issuer. For example, ACTIVE and INACTIVE.
Legal Form	5092	Displays the legal form of the issuer as financial party registered with the LEI. For example, CORPORATION.
Assigned Date	5093	Displays the date when the issuer's LEI was assigned.
Last Update Date	5094	Displays the date when the issuer's LEI information was last updated.
Disabled Date	5095	Displays the date when the issuer's LEI information was disabled.
Record State	5096	Displays the record state for the issuer's LEI. The record state indicates the current process status of the CFTC Interim Compliant Identifier (CICI) record. For example, UNDER_REVIEW, DUPLICATE, CONFLICTING_SOURCES, INADEQUATE_SOURCES, VALIDATED, PENDING_REMOVAL.
Certification State	5097	Displays the certification state used to register the issuer's LEI. For example, CERTIFIED, NOT_CERTIFIED, STALE.
Street	5098	Displays the street address used to register the issuer's LEI.
City	5099	Displays the city used to register the issuer's LEI.
State	5100	Displays the state code used to register the issuer's LEI.
Zip	5180	Displays the ZIP code used to register the issuer's LEI.
Country Code	5181	Displays the country code used to register the issuer's LEI.
Lookup Issuer Xref Information
Sub Issuer ID Type	10454	Specifies the sub issuer identification type.
Sub Issuer ID	3459	Specifies the sub issuer identifier.

Manage Credit Default Swaps in Issue Viewer

Add Credit Default Swaps

Change Credit Default Swaps

Credit Default Swap Panel Options

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