Here all types of cross currency interest rate swaps are entered. For example paying and receiving floating interest (basis swap) or paying fixed interest against floating interest etc. Different interest fixing and payment periods can be entered and with or without an amortisation plan.
- Choose new deal - Interest Rate Swap
- Choose Swap type Cross Currency Swap.
- Choose Interest type Fixed/floating or Floating/floating. Fixed/floating is set by default.
- Choose which type of interest you will pay, fixed or receive fixed. Pay fixed is set by default. If Floating/floating is chosen no choice will appear.
- If an amortized swap choose between Annuity or Straight amortisations, by default No amortisation is set.
- Fill in the right currency on each leg.
- Notional rate (the rate between the currency pair) will be calculated and shall not be filled in.
Please observe that End date must be entered correctly when entering the deal and be already adjusted with the business day convention. For example if a 2-year IRS deal is entered with begin date 2018-03-21 and the end date (plus 2 years) then will be on 2020-03-21 which is on a Saturday you need to enter 2020-03-23 as End date. Please check in the calendar icon.In Interest tab choose Fixing index when Interest type Floating is chosen. If no "ibor" rate are show in the list. it needs to be predefind in Market data set up it can't be left blank.
- Choose the right type of capital exchange. None = No capital exchange at all. Initial = exchange only at start. Final = Only exchange at maturity. Intital and Final = exchange both at start and end.
- Fill in all data for both legs interest term. If floating interest, do not forget to fill in the right Fixing index. 'Base interest %' for first period is filled automatically and the interest period is thereby Fixed. If first fixing period is Broken (uneven) the 'Base interest %' will be interpolated.
- Fixing and payment period can be entered with different period if that is agreed.
- Last day of period: Checked = adjust roll date to last day of period. For example if a period ends on the 30th of March the date will be adjusted to the 31st in accordance with the business day convention (Date rolling behaviour).
- Choose correct day count convention. For further explanation see Day count convention
- Three options for adjust dates:
- None = no adjustment on either maturity or payment date.
- Payment date = Only payment date will be adjusted. If maturity date falls on a sunday the interest rate will be calculated until sunday but paid on monday (or according to chosen business day convention).Normally called adjusted in agreements. Normally called no adjusted in agreements.
- Maturity and Payment Date = Both interest calculation date (maturity date) and payment date will be adjusted according to the enterered business day convention. Normally called adjusted in agreements.
- Bank accounts are set according to the set up in Default Bank Accounts. Legal entity's bank accounts must be filled in (mandatory fields) for both legs. Counterpart's bank account are optional.
- TAB Tags are optional. If a tag value is entered on one of the legs (paying) it will not be automatically be set on the other leg (receiving). It needs to be set for both legs. If it is an internal deal the mirror will get the same tags.
- TAB Finish if additional bank holiday calendar will be added this will be done on tab - Finish. By default the transactions currency will be set as effective calendar. Will both currencies affects both legs you need to add the other currency on each leg.
- If an internal interest rate swap are entered and an automatic mirror deal shall be created this needs to be set up in Mirror Rules. The rule can be overruled here by changing from "Use rule" to No Mirror or Create mirror in field Mirror creation type.
- Press Save
Two legs will be created in one Deal ID: Payer and Receiver Leg:
How to enter an Interest Rate Swap, please click on the link: How to enter an Interest Rate Swap
How to update a existing Cross Currency Interest Rate swap: How to update an Cross Currency Interest Rate Swap
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