Overview

Support for Amortizing Notional Swaps was added in V17 R2.30. These are swaps where the notional value decrease periodically throughout the life the contract. The changes in notional may be accompanied by an exchange of cash equal to the notional amounts, similar to the final exchange for a Vanilla CCS. In some cases, known as Rollercoaster Swaps, the notional value can also increase temporarily, before eventually amortizing down to zero.

Notional changes are processed as corporate actions in Eagle Accounting. The full schedule can be loaded upfront for subsequent processing when the adjustments occur.

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

Reference Data

Security Data

• Notional Reset Type (4409) = A (Amortizing Notional)

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

Accounting

Notional Changes

Notional changes (decreases and increases) are processed as corporate actions. The announcements are added at the contract level and applied proportionately to both legs. To create one, open Reference Data Center > Corporate Actions > Announcements > Create Amortizing Notional or Issue Viewer > Corporate Action Announcements > Amortizing Notional and query for your CCS. If Initial Exchange of Principal is set to Yes on the SMF, a cash exchange will occur each time the notional changes.

• Sweep Date (1197): date when Eagle Accounting’s global corporate action process will pick up the notional change

• Ex Date (65): effective date of the notional change

• Corporate Action Status (54): select Released to initiate the change in notional when the global corporate action process runs for the Sweep Date

  • Select Pending or Incomplete to simply store the announcement and not have it process automatically

• Prior Notional Amount (1725): from the previous period

• Current Notional Amount (1712): from the new period

• Percent Change In Notional Amount (1001): calculated automatically as (Current Notional Amount - Prior Notional Amount) / Prior Notional Amount * 100 

  • This rate is applied proportionately to both legs

• Corporate Action Type (1728) = Amortizing Notional

The global corporate action process will be scheduled to run in production similar to other global events, but it can also be triggered manually via Accounting Center > Processing and Exceptions > Global Processes > Corporate Actions > Amortize Notional.

Pre-V17 R2.30

In releases prior to V17 R2.30, a workflow can be implemented that produces the expected results. This involves booking a close (or open) for each scheduled notional change date.

• At each scheduled notional change date, enter a close trade at the same price as the open for the difference between remaining notional for the current period and remaining notional for the next period.

• Set Notional Exchange (16736) = Yes on the close trade to create a cash exchange