Manage Credit Default Swaps

In the Credit Default Swap panel, you can manually add and change a credit default swap. A credit default swap is a credit derivative that is designed to transfer the credit exposure of fixed income products between parties. The buyer of a credit default swap receives credit protection, while the seller of the swap guarantees the credit worthiness of the product. This means that the risk of default is transferred from the holder of the fixed income security to the seller of the credit default swap.

This article assumes you are familiar with the entity elections that have been made for processing credit default swaps.

Content on this page:

Add Credit Default Swaps

To manually add a credit default swap:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. Click Add.
  5. Click Equities and Derivatives/Credit Default Swap.
    You see the Credit Default Swap panel.
  6. Complete the options on the Credit Default Swap panel.
    The following fields are required to set up a credit default swap:  Issue Name, Primary Asset ID Type, Primary Asset ID, Issue Country Code, Asset Currency, Issue Tax Type, Buy/Sell Indicator, Coupon, Coupon Type Code, Day Count Basis, Payment Frequency Code, Issue Price, Issue Date, Dated Date, First Coupon Date, Last Coupon Date, Maturity Date, and Maturity Price.
  7. Click Submit.

Change Credit Default 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, Dual Currency Indicator, 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 section 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 credit default swap:

  1. From any Eagle window, click the Eagle Navigator button to access the Eagle Navigator.
  2. Enter Issue Viewer in the Start Search text box.
  3. Click the Issue Viewer link to access the tool.
    You see the Issue Viewer tool.
  4. Enter the query parameters and click Search.
    You see a list of security records that meet your selection criteria in the Query Result window.
  5. Select the security record you want to update and click Change/Credit Default Swap. Or double click the security record.
    You see the Change Credit Default Swap panel.
  6. Change the options on the Change Credit Default Swap panel.
  7. Click Submit.

Credit Default Swap Panel Options

The following are the options in the Credit Default 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 Identification



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



CUSIP

1952

Specifies the Committee of Uniform Security Identification Procedure (CUSIP) that identifies the security issue.

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.

Bloomberg ID

1964

Specifies the Bloomberg identification number that identifies the security issue.

SICOVM

1967

Specifies the SICOVM identification number that identifies the security issue.

Valoren

1970

Specifies the Valoren identification number that identifies the security issue.

CEDEL

1973

Specifies the Centrale de Livraison de Valuers Mobilieres (CEDEL) identification number that identifies the security issue.

INTERNAL

1976

Specifies the internal identification number that identifies the security issue.

CINS

1979

Specifies the CINS identification number that identifies a foreign security issue. The CINS numbering system is an extension of the CUSIP numbering system.

Swap Details



Investment Type

11

Displays the investment type. For example, DERV.

Processing Security Type

3931

Specifies the code that the system uses to identify the type of security you are adding. For example, SWCDCO, for credit default swap securities.

Security Type

82

Specifies the type of security.

Sub Security Type

1464

Specifies the sub security type.

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.

Dual Currency Indicator

11802

Indicates whether the security is a dual currency instrument. A dual currency instrument is a financial instrument based in one currency that makes payments of income and/or principal in a different currency. Options include:

  • Yes. Indicates that the security is a dual currency instrument. If you select Yes, you can specify an income currency and/or principal currency that differs from the asset currency. Also, additional fields in the Dual Currency Information section become available. These fixing parameters provide criteria used to retrieve the appropriate FX rate, or fixing rate, at which the dual currency instrument income and/or principal payment is converted.
  • No. Default. Indicates that the security is not a dual currency instrument.

Asset Currency

85

Specifies the currency in which the security is priced. You should not change this value once a position exists. For a dual currency instrument, the asset currency identified in this field is the base currency.

Settlement Currency

63

Specifies the currency in which the security is settled. This field initially displays the value you specified for the Asset Currency field, but you can change it.

Income Currency

1186

Specifies the currency in which the security pays income. This field displays the asset currency by default, but you can change it. For a dual currency instrument, this value may be called the settlement currency. When the income currency differs from the asset currency for a dual currency instrument, the security accrues income in the asset currency but converts the local currency amounts to the income currency at the time the coupon is dropped based on the fixing parameters specified for the dual currency instrument.

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.

Notional Reset Type

4409

Specifies if the notional value (the total value of a leveraged position's assets) remains constant over the life of the security. Options include:

  • Amortizing (Default)
  • Not Amortizing

This field is not required for a credit default swap.

Premium Indicator

3302

Determines how the premium is paid. Options include:

  • All up front
  • Partial up front
  • All periodic

This field is not required for a credit default swap.

Buy/Sell Indicator

1364

Indicates whether the security is providing credit default protection or receiving credit default protection. Options include:

  • Buy. Receives credit protection.
  • Sell. Provides credit protection.

Pay Receive Indicator

4590

Displays additional information on credit default protection. For example, if you set the Buy/Sell Indicator field to Buy, this field displays Accrue Payable. If you set the Buy/Sell Indicator field to Sell, this field displays Accrue Receivable.

Swap Coupon 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:

  • 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.
  • Fixed Rate. The security has fixed coupon dates and has a fixed coupon rate to calculate the coupon for use in earnings.

Day Count Basis

471

Specifies the number of days assumed in a month or year when interest rates are quoted.

Payment Frequency

2287

Specifies the frequency at which the security pays interest.

Payment Frequency Code

472

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

Specifies the day of the month in which the coupon is payable.

Business Calendar Name

1480

Specifies the business calendar for the security. The system uses the value 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.

Interest Payment Timing

1523

Specifies the day of the month in which interest is paid. Options include:

  • Last Day of Month
  • Same Day of Month
  • None

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

Specifies the number of days to extend the coupon period.
This field is not required for a credit default swap.

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.

This field is not required for a credit default swap.

Maturity Delay Days

3997

Specifies the number of days to delay generation of the maturity transaction.
This field is not required for a credit default swap.

Maturity Delay Days Type

3998

Specifies whether the maturity delay days are business days or calendar days. 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.

This field is not required for a credit default swap.

Swap Dates



Issue Price

69

Specifies the original 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.

First Coupon Date

473

Specifies the first day the swap security can be traded.

Last Coupon Date

474

Specifies the date of the last normal length coupon period. Eagle recommends that you enter penultimate.

Maturity Date

38

Specifies the date that the security repays all outstanding income and stops earning interest.

Maturity Price

42

Specifies the price at which the credit default swap returns income.

Swap Flags



Trading Flat

3949

Indicates whether the security is trading with or without interest. Options include:

  • Yes. The system does not calculate accrued interest purchased or sold at the time of the acquisition or disposition. In the event of a disposition mid-coupon, the system creates a coupon at the end of the coupon period based on the interest earned during the period.
  • No. The system calculates accrued interest purchased or sold at the time of the acquisition or disposition.

Default Indicator

1551

Indicates whether a swap is in default.

  • Yes. The swap is in default.
  • No. The swap is not in default.

Default Date

10142

Specifies the date on which the swap went into default.

OID Indicator

218

Indicates whether the credit default swap is OID (original issue discount) eligible. Options include:

  • Yes. The security is OID eligible. For this flag to be set to Yes, the issue price must be less than the value in the Maturity Price field. The value in the Maturity Price field cannot be 0.
  • No. The security is not OID eligible.

This field is not required for credit default swaps.

Look Thru Value

1808

Specifies the underlying security.

Look Thru Ind

1776

Used to view exposure to the underlying security, index, or portfolio.

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:

  • Yes. The security is an exchange cleared swap. The system calculates variation margin and accrues interest for cleared swaps. The Approve Margin process sums the unapproved margin and interest and creates a traded cash record. Cleared swaps trade with notional cost and do not generate coupons.
  • No. The security is not an exchange cleared swap.

Variation Margin

4533

Indicates whether the system calculates a variation margin for the swap. If you set the Cleared Security field to Yes, this field appears and displays a value of Yes.

Inactive Flag

11043

Indicates whether the security is inactive. Options include:

  • Yes. The system reports the security as inactive.
  • No. The system reports the security as active.

NOTE: If this field is set to Yes, no trades are allowed.

Underlying Information



Underlying Issuer Name

1141

Specifies the name of the underlying security.
For credit default swaps, this field is used for reporting purposes.

Underlying Ticker

1349

Specifies the ticker of the underlying security.
For credit default swaps, this field is used for reporting purposes.

Underlying Asset ID

1348

Specifies the asset identifier of the underlying security.
For credit default swaps, this field is used for reporting purposes.

Underlying Type

916

Specifies the underlying security type.
For credit default swaps, this field is used for reporting purposes.

Dual Currency Information



Dual Currency Conversion Factor

11803

Specifies the initial FX rate at issuance used at issuance to convert the local currency for a dual currency instrument. Used for reference purposes only. This field appears if the Dual Currency Indicator field has a value of Yes.

Principal Currency

11813

Specifies the currency in which the security pays principal for a dual currency instrument. This field displays the asset currency by default, but you can change it if you identify the security as a dual currency instrument. The principal currency matches either the asset currency or the income currency, allowing you to apply a single set of fixing parameters to the dual currency instrument. When the principal currency differs from the asset currency for a dual currency instrument, the security calculates principal in the asset currency but converts the local currency amounts to the principal currency at the time the maturity or corporate action is created. It bases the amount on the fixing parameters specified for the dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes.

Settlement Rate Option

11816

Specifies the FX rate source used to convert the local accrued amounts into the income and/or principal currency for the dual currency instrument. This conversion determines actual income and/or principal settlement amounts. The system uses this security level source rather than the accounting basis' FX source for the security. This field appears if the Dual Currency Indicator field has a value of Yes.
NOTE: Although this value is an FX rate, you store it as an index because the to/from currencies are embedded and not provided. It accommodates multiple values that are common to a price.

FX Rate Type

11817

Identifies the type of FX fixing rate the system uses from the Settlement Rate Option field for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

  • Ask
  • Bid
  • Last

FX Fixing Period Multiplier

12027

Specifies the multiplier for the time period or FX fixing period for a dual currency instrument. You can specify a positive number such as 1, 2, or 3, or can specify a negative number. This field appears if the Dual Currency Indicator field has a value of Yes.

FX Fixing Period

11818

Identifies the time period used to calculate the fixing rate for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

  • Day
  • Month
  • Week
  • Year

FX Fixing Period Date Type

12028

Specifies whether the fixing period for a dual currency instrument uses business days or calendar days. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

  • B (Business). The fixing period uses business days when determining which date to select. The FX Fixing Business Center field identifies the business calendar to use for the security's fixing period.
  • C (Calendar). The fixing period uses all calendar days when determining which date to select. This field displays a value of C if you set the FX Fixing Period to Month, Week, or Year.

FX Fixing Business Day Convention

12029

Determines how to adjust the calendar date for the FX fixing date if the date would otherwise fall on a day that is not a business day based on the fixing day's calendar. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

  • Following. Adjusts the calendar date for the FX fixing date to the following business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.
  • None. No calendar date adjustment occurs. If the FX Fixing Period Date Type has a value of Business, this field displays a value of None. If the FX Fixing Period Date Type has a value of Calendar, do not select a value of None.
  • Preceding. Adjusts the calendar date for the FX fixing date to the preceding business day if the date would otherwise fall on a day that is not a business day. You can select this value if the FX Fixing Period Date Type has a value of Calendar.

FX Fixing Business Center

12340

Identifies the business calendar to use for the dual currency instrument's fixing period. This field appears if the Dual Currency field has a value of Yes and the FX Fixing Period Date Type field has a value of Business.

FX Fixing Date Relative To

12341

Identifies the anchor dates for selecting the FX rates for a dual currency instrument. This field appears if the Dual Currency Indicator field has a value of Yes. Options include:

  • Calculation End Date
  • Payment Date

Issuer Information



Credit Enhancement

1532

Indicates whether the security is credit enhanced. Options include:

  • Yes. The security is credit enhanced.
  • None. The security is not credit enhanced.

Issuer ID Name

2285

Specifies the name of the company or municipality that offered the security for sale.

Issuer ID

1413

Specifies the identifier of the company or municipality that offered the security for sale.

Country of Incorporation Code

1174

Specifies the ISO country code of the country in which the issuer of the security was incorporated.

Issuer Industry

1417

Specifies the industry of the issuer.

Legal Entity Identifier (LEI)

5089

Displays the Legal Entity Identifier (LEI) that identifies the issuer as a financial party. If an LEI value is present, the Legal Entity Identifier Details section appears.

Legal Entity Identifier Details



Legal Name

5090

Displays the legal name of the issuer as the financial party registered with the LEI.

Entity Status

5091

Displays the status of the issuer. For example, ACTIVE and INACTIVE.

Legal Form

5092

Displays the legal form of the issuer as financial party registered with the LEI. For example, CORPORATION.

Assigned Date

5093

Displays the date when the issuer's LEI was assigned.

Last Update Date

5094

Displays the date when the issuer's LEI information was last updated.

Disabled Date

5095

Displays the date when the issuer's LEI information was disabled.

Record State

5096

Displays the record state for the issuer's LEI. The record state indicates the current process status of the CFTC Interim Compliant Identifier (CICI) record. For example, UNDER_REVIEW, DUPLICATE, CONFLICTING_SOURCES, INADEQUATE_SOURCES, VALIDATED, PENDING_REMOVAL.

Certification State

5097

Displays the certification state used to register the issuer's LEI. For example, CERTIFIED, NOT_CERTIFIED, STALE.

Street

5098

Displays the street address used to register the issuer's LEI.

City

5099

Displays the city used to register the issuer's LEI.

State

5100

Displays the state code used to register the issuer's LEI.

Zip

5180

Displays the ZIP code used to register the issuer's LEI.

Country Code

5181

Displays the country code used to register the issuer's LEI.

Lookup Issuer Xref Information



Sub Issuer ID Type

10454

Specifies the sub issuer identification type.

Sub Issuer ID

3459

Specifies the sub issuer identifier.