Manage Interest Rate Swaps

In the Multiple Leg Swap panel, you can manually add and change an interest rate swap. An interest rate swap is a deal between banks or companies in which borrowers exchange floating debt for fixed rate debt.

Interest rate 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. The holder of the swap pays a fixed, variable, or floating rate based on an underlying index, and receives a different amount based on a fixed, variable, or floating rate. The pay and receive coupons are based on specific accrual terms.

Content on this page:

You can set up each leg with different interest rates, payment frequencies, day count bases, and business calendar information. The system processes each leg as an individual position so that you can view the holdings and accruals separately. Pricing is processed at the contract level only.

To set up an interest rate swap, you must configure your Eagle environment to allow duplicate Primary Asset IDs. See the Add Security Cross Reference Configurations page for more information.

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

Add Interest Rate Swaps

To manually add an interest rate 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/Interest Rate Swap.
You see the Interest Rate 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. If the pay leg is floating, the following fields are also required: First Rate Reset Date, Reset Frequency Code, Underlying Security ID, and Underlying Issue Name.
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 receive leg is floating, the following fields are also required: First Rate Reset Date, Reset Frequency Code, Underlying Security ID, and Underlying Issue Name.
Click Submit.

Change Interest Rate 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 an interest rate 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/Interest Rate 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: SWCOIR. Interest Rate Swap Contract. Specifies the contract. SWLEAC. Swap Leg Interest Accrual. Specifies the accrual/finance leg. This swap leg accrues the interest and swap cash on the payment 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.
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.
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.
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.
Look Thru Value	1808	Used to view exposure to the underlying security, index, or portfolio.
Look Thru Ind	1776	Specifies the underlying security.
Cleared Security	5027	Indicates whether the contract level 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 for each leg of the swap. 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.
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	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.
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 an interest rate 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 an interest rate swap.
Maturity Delay Days	3997	Specifies the number of days to delay generation of the maturity transaction. This field is not required for an interest rate 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 an interest rate swap.
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 first payment date.
Last Payment/Valuation Date	474	Specifies the last payment date.
Maturity Price	42	Specifies the price at which the security returns income.
Swap Leg 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.
Underlying Type	916	Specifies the underlying security type.
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).
Swap Compound Information
Compounding Indicator	18875	Specifies whether the security compounds unpaid interest. Options include: Yes No If you set this field to Yes, the remaining compound information fields are required.
Compounding Method	11876	Identifies the method used for compounding interest. Options include: All. The index offset for floating rate securities is included in the compound interest calculation. Flat. The index offset for floating rate securities is not included in the compound interest calculation.
Compounding Frequency	11877	Specifies the frequency at which the security compounds interest.
First Compounding Date	11878	Specifies the first date on which the compounding begins.
Last Compounding Date	11879	Specifies the end date of interest compounding.
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