Swaps Entity Setup Processing Notes

Entities trading swaps need two specific pieces of data, which can be populated using Create/Edit Entity (V17) or Add/Change Entity (prior to V17).

• Swap Accrual Method (1184): controls whether accruals are posted to Income/Expense or Unrealized ledger accounts (has no effect on cash or valuation)

• Variable Rate Source (3301): specifies the source from which underlying floating rates will be pulled

  • If you receive an Expected number of underlying rates not found error, confirm the rates loaded to your underlying index match this source

• Primary Amortization/Accretion Rule (3197): must be straight line (DEFAULTSL), straight line actual (DEFAULTSLA), or none (DEFAULTNONE)

  • If it is set to anything else, a security-level amortization/accretion rule must be established specifying one of the three above

• Accrual Convention Offset (12038): leave the default of Settlement Date for standard accrual processing, or set to Settlement Date + 1 to put accrual calculations on a one-day delay (common in Canada)

  • When set to Settlement Date + 1, it can be overridden at trade time using Accrual Convention Offset Override (1604)