Set Up Entities for Derivative Segregation with or without Cash Segregation
If you use cash segregation, set up entities to use cash segregation. Ensure that you set the Segregate Derivatives (tag 16253) field to Yes for those entities where you segregate derivatives in the custody basis.
If you do not use cash segregation, you can also set the entity's Segregate Derivatives (tag 16253) field to Yes. In that case, the system does segregate derivatives in the custody basis. It does however, allow you to process derivatives with multiple brokers and keep positions segregated as such.
Define Entity to Custodian and Clearing Broker Relationships
???? do you create the entity & clearing broker relationship for entities both with and without Cash Segregation? or just with? do you need the cash accounts and cash account relationships?
Bug 125329 - added a warning to the add bank relationship panel to notify the user that
relationships are not required if the derivatives segregation flag is Y but a custody basis does
not exist
- Clearing Broker codes.
- Cash accounts.
- Bank account relationships for the entities that use derivative segregation to identify the relationships between those entities and their clearing brokers. To do do, you must create bank account relationships with a relationship type of Entity & Clearing Broker Relationship, where bank account relationship defines the relationship between a composite and a clearing broker.
- Cash account relationships that link together the cash accounts and the bank account relationships.
Book Trades for Derivatives for Cash Segregation
When you book a manual trade for an entity that uses cash segregation, you must provide custodian and cash account information for all types of securities. When you book a trade for an entity that uses derivative segregation, you must additionally specify the trade's clearing broker where available.
If you book a trade for an exchange cleared security (credit index swaps, credit default swaps, and interest rate swaps), the system uses the clearing broker for segregation purposes, and you must specify the clearing broker for the trade. You must identify the Clearing Broker (tag 1236) and the Clearing Broker Code (tag 1237) on the following panels if the Variation Margin (tag 4533) option displays a value of Yes:
If you are booking a trade for a total return swap, the system uses the bank alias for segregation purposes.
When Eagle Accounting processes trades that use derivative segregation in the following panels, it stores the the Entity to Clearing Broker relationship alias as the Source System (tag 98) field value to allow for multiple positions under the same asset id:
- Future with Variation Margin panel
- Option with Variation Margin panel
- Open Total Return Swap panel
- Close Total Return Swap panel
When Eagle Accounting processes trades that use derivative segregation in the following panels, if the Cleared Swap Flag is set to Yes, it stores the the Entity to Clearing Broker relationship alias as the Source System (tag 98) field value to allow for multiple positions under the same asset id:
- Open Credit Default Index Swap panel
- Close Credit Default Index Swap panel
- Open Credit Default Swap panel
- Close Credit Default Swap panel
- Open Interest Rate Swap panel
- Close Interest Rate Swap panel
- Open Currency Rate Swap panel
- Close Currency Rate Swap panel
When Eagle Accounting processes trades that use derivative segregation in the following panels, if the Variation Margin (tag 4533) field is set to No, it stores the the Entity to Clearing Broker relationship alias as the Source System (tag 98) field value to allow for multiple positions under the same asset id:
- Open and Close Options panel
Manage Variation Margin for Derivatives for Cash Segregation
125329 Updated Margin and Approval panel to require Clearing Broker if Entity Election Derivative Segregation is set to yes and run for one security.
Bug 125329 - modified the margin and margin approval global panels to execute lookups by
clearing broker code if the entity is segregating derivatives but does not have a custody
basis. Previously, the panels looked for clearing broker/entity relationships if segregating
derivatives.
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