Overview

Support for Mark-to-Market (MTM) Cross Currency Swaps (CCS, XCCY) was added in V17 R2.52. These are swaps where the notional value of one leg changes on each coupon date. The new notional is a function of the other leg’s notional and the prevailing FX rate. If the contract includes an exchange of notional, cash is paid or received equal to the change in notional.

See Cross Currency Swaps (CCS) Best Practices for full details on CCS processing in Eagle.

Reference Data

Security Data

There are no additional security reference data requirements to process an MTM CCS.

• Security Type (82) and/or Sub Security Type (1464) can be used to differentiate MTM CCS from other types

• Initial Exchange of Principal (8554) specifies if the MTM adjustment will result in a cash exchange (Yes) or not (No)

Accounting

MTM Adjustments

MTM adjustments are processed using Accounting Center > Transactions > Adjustments > Notional Change > Update Swap Notional Value. An adjustment must be processed for each entity and security pair; if the same MTM CCS is held in multiple entities, a separate adjustment must be entered for each.

• Entity ID (1163) & Name (1164): enter the ID or name to query for the entity

• Trade Date (35): effective date of the adjustment, typically a coupon date

• Long/Short Indicator (15): defaults to Long, must be changed to Short if the MTM leg is held short

• Issue Name (961) & Cross Reference ID (1233): enter the name or ID to query for the MTM leg

  • Ensure you select the appropriate leg for MTM adjustments, not the contract or constant leg

• Rate of Action Calculation Type (99) = FX Reset

• Current FX Rate (971): retrieved automatically

• Reset FX Rate (87): enter the mark-to-market FX rate

• Rate of Action (1001): calculated automatically based on Reset FX Rate vs. Current FX Rate

Automation

The messages below can be used to automate the flow of MTM adjustments. Ensure F4590 (CSV) or payabaleReceivableIndicator (EML) is correctly populated to identify the MTM leg: P for pay leg or R for receive leg.