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.

Content on this page:

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 page for more information.

Add Total Return Swap Contracts

To manually add a total return swap contract, pay leg, and receive leg:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Issue Viewer in the Start Search text box.
Click the Issue Viewer link to access the tool.
You see the Issue Viewer tool.
Click Add.
Click Equities and Derivatives/Total Rate Return Swap.
You see the Total Rate Return Swap panel.
Add the contract on the Multiple Leg Swap panel.
The following fields are required to set up the contract: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Income Currency, Issue Date, Dated Date, Maturity Date, First Payment Date, Last Payment Date, and Calculate/Validate Last Payment Date.
Click the second row of the multi row pane at the bottom of the panel and add the pay leg.

The following fields are required to set up the pay leg: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Income Currency, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Date, Dated Date, Maturity Date, First Payment Date, Last Payment Date, and Calculate/Validate Last Payment Date.
Click the third row of the multi row pane at the bottom of the panel and add the receive leg.

The following fields are required to set up the receive leg: Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Settlement Currency, Income Currency, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Date, Dated Date, Maturity Date, First Payment Date, Last Payment Date, and Calculate/Validate Last Payment Date. If the leg is floating, the following fields are also required: First Rate Reset Date, Reset Frequency Code, Reset Look Back Days, and Underlying Security ID. If the leg is a return leg, Underlying Security ID. is required as well.
Click Submit.
You can manually add a coupon/reset schedule for the equity and finance legs prior to resetting the total return swap. See the Manage Schedules section. Otherwise, if you do not manually add a reset schedule, the system calculates the payment dates for you using Security Master File information in a manner similar to that used to calculate a coupon for a bond.

Change Total Return 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, 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 page 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 total return swap:

From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
Enter Issue Viewer in the Start Search text box.
Click the Issue Viewer link to access the tool.
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 and click Change/Total Rate Return Swap. Or double click the security record.
You see the Change Multiple Leg Swap panel.
Change the options on the Change Multiple Leg Swap panel.
Click Submit.

Multiple Leg Swap Panel Options

The following are the options in the Multiple Leg 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 Information
Swap Type	4590	Indicates the type of swap you are adding. Options include: Contract. Provides general information about the swap. The contract is always held as a long position. Pay Leg. Provides specific payment details. The pay leg is held as a short position. Receive Leg. Provides specific payment details. The receive leg is held as a long position.
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
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.
Swap Details
Investment Type	11	Specifies the investment type. For example, DERV.
Processing Security Type	3931	Specifies the code value that the system uses to identify a security and determine what type of processing to perform. Options include: SWCOTR. Total Rate Return Swap Contract. Represents the contract. SWLEAC. Swap Leg Interest Accrual. Represents the finance leg, which accrues interest and swap cash on the payment date. SWEDB. Swap Leg Total Rate Return on Fixed Income. Represents a fixed income security and exchanges unrealized gain/loss and coupons on the reset date. SWLXEQ. Swap Leg Total Rate Return on Equity. Represents an equity security and exchanges unrealized gain/loss and dividends on the reset date.
Security Type	82	Specifies the type of security.
Sub Security Type	1464	Specifies the type of sub security.
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.
Asset Currency	85	Specifies the currency in which the security is priced. You should not change this value once a position exists.
Settlement Currency	63	Displays the currency in which the security is settled.
Income Currency	1186	Displays the currency in which the security pays income.
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.
Region	5423	Specifies a region. It does not necessarily mean the location of the exchange in which a security is traded. For example, suppose you have a Canadian bond that trades in the London Stock Exchange. You may want to set the region to Canada or North America.
Notional Reset Type	4409	Determines if the Total Return swap's finance leg is adjusted at reset or accrues on the original notional for the life of the swap. Options include: Constant Notional. Identifies the Total Return swap as a constant or fixed notional swap. Resets do not change the notional amount on the finance leg, and the finance leg accrues on the original notional for the life of the swap. The notional cost is not adjusted, but adjusted shares are tracked in order to correctly calculate unrealized and future resets. Recalc Notional. Identifies a Total Return swap where resets do change the notional amount on the finance leg.
Reset Calc Price	3314	Determines the price date used for calculating a total return swap reset. Options include: Reset Day. The system uses the price on the effective day of the reset transaction to calculate the cash payment. Prior Business Day. The system uses the price on a specified number of business days prior to the reset transaction to calculate the cash payment, based on the number of business days you specify in the Preceding Business Days (tag 10548) field.
Preceding Business Days	10548	If you set the Reset Calc Price field to a value of Prior Business Day, you must use this field to specify the number of business days to look back prior to the reset transaction when calculating the cash payment.
Default Indicator	1551	Indicates whether a security is in default. Options include: Yes. The security is in default. No. The security is not in default.
Default Date	10142	Specifies the date on which the security went into default.
Dividend Percent	4586	Specifies the dividend percentage provided in the trade for the swap leg. This field becomes available when you enter a swap leg with a processing security type of SWLXEQ.
Look Thru Value	1808	Used to view exposure to the underlying security, index, or portfolio.
Look Thru Ind	1776	Specifies the underlying security.
Swap Payment 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: Floating Rate. The security has fixed coupon dates and uses a variable rate that is based on an underlying index and index offset to calculate the coupon to use for earnings. You must enter the rate in the Variable Rate table. 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. Inverse Floater. The security has fixed coupon dates and uses a variable rate whose coupon rate is calculated inversely to the underlying index to which it is attached. When you select this value, the system displays the following fields: Inverse Floater Rate, Inverse Floater Multiple, Underlying Issue Name, Underlying Asset ID, and Index Offset. You must enter the rate in the Variable Rate table. Step 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. The system recognizes this option as a step bond (also called a step coupon bond, step up bond, or step down bond). Fixed Rate. The security has fixed coupon dates and has a fixed coupon rate to calculate the coupon for use in earnings. Unscheduled Variable Rate. The security has unscheduled payments and accrues interest based on the rate you enter in the Variable Rate table.
Day Count Basis	471	Specifies the number of days assumed in a month or year when interest rates are quoted. For more information, see the Fixed Income Processing Guide.
Payment Frequency	2287	Specifies the frequency at which the security pays interest.
Payment Frequency Code	427	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	If you specify a value for Business Day Convention (tag 1536) field other than None, you must specify the day of the month on which the coupon pays. You can enter a value from 1 to 31.
Business Calendar Name	1480	Specifies the business calendar for the security. The system uses the calendar 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, and is used in conjunction with the payment frequency to determine the correct coupon payment schedule. This option is not required for business day processing, but offers flexibility when a coupon schedule is unique.
Interest Payment Timing	1523	Specifies the day of the month in which interest is paid. Options include: Last Day of Month. For coupon schedules that pay on the last business day of the month, the last day of the month adjusts the coupon start date to the last calendar day of the month. Same Day of Month. Keeps the actual coupon pay date as what was specified by the first coupon date. None. This option is not required for business day processing, but offers flexibility when a coupon schedule is unique.
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.
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	Extends each calculation period x number of days past the valuation dates that are projected using the First Coupon Date and Last Coupon Date fields. This functionality is designed specifically for total return swaps that stipulate a delayed payment convention. This field shifts the actual coupon and reset dates, not just the cash settlements. To delay settlement of the cash associated with a coupon, use the Delay Days field.
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.
Maturity Delay Days	3997	Delays the maturity process for x number of days past the maturity date, which allows the position to be available for pricing and reporting.
Maturity Delay Days Type	3998	Specifies whether the maturity delay days are business days or calendar days. This value is used to determine the date the swap is matured using the global maturity process. 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.
Swap Dates
Issue Price	69	Specifies the original issue 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.
Maturity Date	38	Specifies the date that the security repays all outstanding income and stops earning interest.
First Payment/Valuation Date	473	Specifies the date of the first valuation for the swap leg. You can use the Coupon Delay Days field (tag 4908) to extend the calculation period.
Last Payment/Valuation Date	474	Specifies the date of the last valuation for the swap leg. Eagle recommends that you enter the penultimate payment date. You can use the Coupon Delay Days field (tag 4908) to extend the calculation period.
Final Valuation Date	1369	Specifies the final valuation date used to determine the price for the swap leg. This overrides the final valuation date calculated by the system and is typically used only for bullet swaps . This value is not required for processing.
Maturity Price	42	Specifies the price at which the security returns income.
Swap Leg Flags
Underlying Type	916	Defines the type of underlying security for downstream processing by Eagle Enrichment. The available elections are linked to code values retrieved from the UNRLYINGSECTYPE code category. This field does not affect accounting processes. Options include: Cheapest to deliver Fixed leg Float leg Index Loan Pay fixed Pay float Primary Receive fixed
Swap Leg Floating Rate Information
First Rate Reset Date	10911	Specifies the first calendar date that the rate resets from the dated date of the security. The system uses the First Rate Reset Date field, along with Reset Frequency Code, Business Calendar, and Business Day Convention field values to create the floating rate reset schedule of the security. This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Reset Frequency	476	Specifies the frequency at which the security resets its rate, beginning from the date defined in the First Rate Reset Date field. Options include: 10 DAY 14 Day 28 Day 30 Day 35 Day 49 Day Annual Bi-Monthly Daily Monthly Quarterly Semi-Annual Weekly This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Reset Frequency Code	1788	Specifies the code associated with the frequency at which the security resets its rate beginning from the date defined in the First Rate Reset Date field. Options include: 10_D (10 DAY) 12_M (Annual) 14_D (14 Day) 1_D (Daily) 1_M (Monthly) 28_D (28 Day) 2_M (Bi-Monthly) 30_D (30 Day) 35_D (35 Day) 3_M (Quarterly) 49_D (49 Day) 6_M (Semi-Annual) 7_D (Weekly) This field appears and is required only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Reset Look Back Days	10547	Specifies the actual number of days to look back when setting the rate on the reset date. Floating Rate type securities can use a past rate on the specified reset date. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Reset Look Back Days Type	5075	Indicates whether the reset look back days are business days or calendar days. Options include: B (Business). Uses business days to identify reset look back days, using the Business Calendar Name field (tag 1480) to identify the security's business calendar. C (Calendar). Uses calendar days to identify reset look back days. This field appears only if the Coupon Type Code field (tag 97) has a value of X (Floating Rate) or R (Inverse Floater).
Periodic Cap	10907	Specifies the maximum allowed increase in a variable rate from one period to the next. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Periodic Floor	10908	Specifies the maximum allowed decrease in a variable rate from one period to the next. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Lifetime Cap	10909	Specifies the maximum coupon rate allowed during the life of the security. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).
Lifetime Floor	10910	Specifies the minimum coupon rate allowed during the life of the security. This field appears only if you set the Coupon Type Code field (tag 97) to a value of either X (Floating Rate) or R (Inverse Floater).