Currency (FX) Swaps Price Conversion Processing Notes

New functionality was introduced in V17 R2.31 to convert Cross Currency Swap (CCS) prices provided at the leg level into a single contract-level price as required by Eagle Accounting. It is only available for Currency Swaps where one leg’s currency matches the contract currency. No pricing data is stored on the legs, but the original prices are stored on the contract’s price record.

New screens were introduced to perform the calculations for both direct price entry (Add Issue Price Conversion and Edit Issue Price Conversion) and Pricing Center workflows (Add/Edit Price Exchange Conversion). The calculations are invoked by setting Price Type Code (1843) = CCS Leg MV to Contract Price (4) or CCS Leg Price to Contract Price (5). When one of these values is selected, the screen:

1. Looks for an open position in the security and retrieves Pay Leg Notional (7683) and Receive Leg Notional (7684)
2. Retrieves the entity’s Valuation FX Source (11652) to populate FX Rate Source for CCS Legs to Contract (7108)
3. Infers which leg’s currency does not match the contract
4. Looks up the prevailing FX Rate for CCS Legs to Contract (7682) from the leg currency to the contract currency
5. Converts the leg’s provided MV or price to the contract currency
6. Weights the leg’s MV or price based on the ratio of notional between the legs
7. Nets both leg's MVs or prices
8. Calculates unit price based on notional and Price Multiplier (18)

For the full process to be successful, an open position in the Currency Swap must exist on or before the pricing date. Most of the required information is looked up automatically. The only fields that must be provided are:

• Price Type Code (1843) = CCS Leg MV to Contract Price (4) or CCS Leg Price to Contract Price (5)
• Pay Leg Price or MV (7680)
• Receive Leg Price or MV (7681)

You can also provide the critical calculation elements directly instead of having them looked up:

• Pricing Entity ID (7107, V17 R2.38)
• FX Rate for CCS Legs to Contract (7682)
• Pay Leg Notional (7683)
• Receive Leg Notional (7684)

 All seven fields listed above are stored on the pricing record for audit purposes.