Swaps Entity Setup Processing Notes
Entities trading swaps require a few specific pieces of data, which can be populated using Create/Edit Entity (V17) or Add/Change Entity (prior to V17).
Swap Accrual Method (1184): controls whether accruals are posted to
Income/Expense
orUnrealized
ledger accounts (has no effect on cash or valuation)Variable Rate Source (3301): specifies the source from which underlying floating rates will be pulled
If you receive an Expected number of underlying rates not found error, confirm the rates loaded to your underlying index match this source
Primary Amortization/Accretion Rule (3197): must be straight line (
DEFAULTSL
), straight line actual (DEFAULTSLA
), or none (DEFAULTNONE
)If it is set to anything else, a security-level amortization/accretion rule must be established specifying one of the three above
Accrual Convention Offset (12038): leave the default of
Settlement Date
for standard accrual processing, or set toSettlement Date + 1
to put accrual calculations on a one-day delay (common in Canada)When set to
Settlement Date + 1
, it can be overridden at trade time using Accrual Convention Offset Override (1604)
Swaps cannot be traded technical short even if Tech Short Eligible Indicator (57) is set to Yes
.