Manage Total Return Swaps

In the Multiple Leg Swap panel, you can manually add and change a total return swap. A total return swap is a contract where one party makes periodic interest payments in exchange for receiving the return on an underlying equity, bond, index, or custom basket of securities from the counterparty. The value of total return swap is determined by the price fluctuations in the underlying assets.
Total return 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.
Total return swaps are similar to interest rate swaps. However, instead of exchanging different rates, the total return swap exchanges an interest rate for the change in valuation of an underlying security. This is typically an equity. At predetermined reset dates, the change in valuation is calculated into a cash payment/receipt. The current price of the underlying security of the return leg is used to reset the notional for the next valuation period.
To set up a total return swap, you must configure your Eagle environment to allow duplicate Primary Asset IDs. See the Add Security Cross Reference Configurations section for more information.