Open Credit Default Index Swap Panel Options
The following are the options in the Open Credit Default Index Swap panel. Note options may vary according to your selections.
Option | Tag | Description |
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Entity Information | ||
Entity ID | 1163 | Specifies the unique identifier of the entity. |
Entity Name | 1164 | Specifies the name of the entity. |
Account Currency | 86 | Specifies the account currency. |
Issue Information | ||
Trade Date | 35 | Specifies the effective date of the trade. The trade date cannot be greater than the post date, accounting date, or settlement date. |
Accounting Date | 36 | Specifies the date the trade is reported and has an effect on the entity's holdings and cash balances. The accounting date must be greater than the trade date. |
Monthly Accounting Date | 4733 | Displays the month end accounting date. |
Settlement Date | 37 | Specifies the date the trade is settled. |
Effective Date | 2857 | Specifies the effective date of the trade. This date determines when to begin accruing interest, and is the date through which the system calculates traded interest. |
Event Type | 55 | Specifies the business intent of the transaction. For example, a trade for sell protection creates a long position with a BUY event. A trade for buy protection creates a short position with a SHORTSELL event. |
Long/Short Indicator | 15 | Specifies whether the position is long (L) or short (S). |
Cross Reference Type | 1234 | Displays the cross reference type associated with the security. |
Issue Name | 961 | Displays the name of the security. |
Cross Reference ID | 1233 | Displays the cross reference identifier associated with the security. |
Instrument Type | 11 | Displays the instrument type. |
Security Type | 82 | Displays the security type of the asset. |
Issue Currency | 85 | Displays the local currency of the security. |
Maturity Date | 38 | Displays the date the final principal payment is due on the security. |
Coupon Rate | 70 | Displays the rate at which the security accrues interest. It is expressed as an annual rate. |
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:
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Variation Margin | 4533 | Indicates whether the system calculates a variation margin for the security. If the Cleared Security field display a value of Yes, the Variation Margin field displays a value of Yes, and the system calculates a variation margin for the security. After you book a trade for the swap, you must calculate and approve the variation margin. See the Calculate and Approve Variation Margin page for more information. If the Cleared Security field does not display a value of Yes, the Variation Margin field appears blank, and the system does not calculate a variation margin for the security. |
Accounting Information | ||
Buy/Sell Protection Indicator | 1364 | Indicates whether the transaction is selling or buying protection. Sell protection creates a long position in the system. Buy protection creates a short position in the system. |
Payable/Receivable Indicator | 4590 | Displays additional information on credit default index protection. For example, Accrue Payable or Accrue Receivable. |
Accrual Method | 1184 | Displays the accrual method that the system uses to post interest accruals and dividends for the swap. For example, Income/Expense or Unrealized. |
Select Values to be Calculated by STAR | 7000 | Determines whether the system automatically calculates the trade data or allows you to enter it manually. Options include:
NOTE: If you want to enter traded interest (tag 49) from a trading system or have zero traded interest, select Calculate None. |
Accrued Interest Type | 3715 | Displays the accrued interest type. |
Data Entry Method | 10485 | Determines the data entry method. Options include:
|
Original Face | 41 | Specifies the original face value of the security. This value must be greater than zero. This is the full notional value of the contract, without the effect of factors or credit events that may have occurred. |
Factor | 91 | Specifies the paydown factor for the security. This value must be greater than zero. This field displays the current factor if a prior credit event was added. |
Notional Principal Value | 40 | Represents the notional value of the credit default index swap. |
Price | 45 | Specifies the price of the contract. You can enter a trade price if the Data Entry Method field has a value of Enter Price. |
Total Settlement Amount Local | 4404 | Specifies the settlement amount if the trade ticket does not include a price. For open trades, a positive amount creates a cash payable. A negative amount creates a cash receivable. For close trades, a positive amount creates a cash receivable. A negative amount creates a cash payable. After you enter a value, the panel displays the principal based on the settlement amount less the traded interest. |
Principal | 165 | Displays the principal amount on the trade. |
Commission | 47 | Specifies the amount of the commission per trade in the local currency. This field appears if the Data Entry Method field has a value of Enter Price. |
Other Fee | 3752 | Specifies any additional fees on the transaction. This field appears if the Data Entry Method field has a value of Enter Price. |
Traded Interest | 49 | Specifies the initial interest bought or sold calculated from the dated date or last coupon date. To enter this data from a trading system or calculate a traded interest of zero, set the Select Values to be Calculated by STAR field to Calculate None. |
Local Net Amount | 50 | Displays the net amount of the trade based on the following formula: Principal + Fees. |
Settlement Currency | 63 | Specifies the currency in which the security is settled. |
Settlement Net Amount | 64 | Displays the actual settled amount of the trade. The value must not be equal to zero. |
Local to Base FX Rate | 87 | Displays the asset currency to portfolio base currency exchange rate. It is expressed as units of asset currency to one unit of portfolio base currency. |
Base Net Amount | 478 | Displays the base amount of the trade. This amount is calculated based on the following formula: Local Net Amount / Local to Base FX Rate. The value must be greater than zero. |
Transaction Fee Information | ||
Commission Settlement Date | 11579 | Specifies the commission settlement date for the swap contract. If a date is specified, a traded cash record is created for the commission. The transactions fees are expensed on the ledger. |
Other Fee Settlement Date | 9357 | Specifies the other fee settlement date for the swap contract. If a date is specified, a traded cash record is created for the other fees. The transactions fees are expensed on the ledger. |
Settlement Information | ||
Auto Settle Trade Indicator | 58 | Indicates whether the system settles the trade, coupon, and miscellaneous income and expenses automatically. Options include:
NOTE: If the entity's Auto Settle Indicator field is set to Yes, as specified on the Add/Change Entity or Master Fund Setup panels, the system will create a settlement when the trade is processed. There will be no trade to settle date gain/loss. This applies even if the settlement date is in the future. Eagle recommends that you set the Auto Settle Indicator field to No for the entity and trade panels. |
Broker Name | 1235 | Specifies the name of the primary broker. |
Broker Code | 88 | Specifies the code that represents the broker. |
Clearing Broker | 1236 | Specifies the name of the clearing broker if different from the trade broker. |
Clearing Broker Code | 1237 | Specifies the code for the clearing broker. |
Other Information | ||
Derivative Elections | 56 | Specifies the type of derivative. Options include:
|
Trade Ticket Number | 761 | Contains the trade ticket identification number. The system uses it during processing. For example, IDLOT close or cancel events use this number to locate an open lot. |
Counterparty Name | 1173 | Specifies the counterparty name. |
Counterparty Name ID | 1144 | Specifies the counterparty name identifier. |
Holding Term | 9091 | Specifies the holding term for the trade based on the number of days between the original acquisition date (tag 216) and the maturity date (tag 35) on the lot. If you use ledger reporting based on ledger granularity rules to break out accounts by holding term, the system uses this value to identify the holding term for trades related to bonds and preferred stocks. Eagle Accounting's core transaction processing calculates the holding term for you, but you can manually override the value displayed in this field. Eagle Insurance clients that use ledger granularity rules have the system calculate the holding term based on the schedule associated with a lot. Options include:
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Regulatory Intent | 8915 | If you now hold the trade in an entity/accounting basis with the new International Financial Reporting Standards (IFRS) regulatory category of Fair Value Profit Loss (FVPL) but previously held the trade in an entity/accounting basis with the old regulatory category of Fair Value Option (FVO) or Held for Trading (HFT), you can identify the old regulatory category specified for the trade at the entity/accounting basis level. You can specify a value for reporting purposes only. Options include:
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User Defined Priority | 2862 | Specifies the user generated number that determines the event sub priority. That is, after the system accounts for the event sequence and corporate action sequence. |
Order Number | 1092 | Specifies the order number of the transaction. This can be the same for multiple lots. |