PURPOSE
This document describes how to create interest rate swap in CS Lucas system.
WHY IS THIS IMPORTANT?
Allows booking of interest rate swap/ cross currency rate swap trade with front, back, front and back and front and back with interim principal exchanges.
PROCEDURE
1. Select Transaction > Interest Rate Swap. The launch screen is displayed.
2. Click on Action and select New. The New Interest Rate Swap screen with default values is displayed.
3. Fill in the mandatory fields characterized by asterisk (*).
4. Accounting centre would have been defaulted to the user’s default accounting centre. If not, it will be left blank. Choose the proper Accounting Centre.
5. Enter the Transaction Date (TDate), Start Date (SDate), and Maturity Date (MDate). The TDate and SDate are defaulted to the system date. You may change it to an earlier date. TDate cannot be a future date. SDate must be on or after the TDate. MDate must after the SDate.
6. Choose the Structure from the dropdown.
7. First coupon is to determine the first interest settlement date of the IRS schedule. Subsequent interest settlement dates will be computed from this date. For example, if the first coupon is set to 14-Jun-2016 and the settlement of interest is every 6 months, the next interest settlement will be 6 months from 14-Jun-2016. If this field is left blank, the first interest settlement date will be computed from the start date of the interest rate swap.
8. Select Currency (Ccy) for the Pay and Receive legs.
9. Key in the Principal amount.
10. Choose Basis from the dropdown. This is a user-definable field. To set up float basis, click here.
11. Input Margin percentage, and the current interest rate. Margin is defaulted to 0. If there is no margin, leave it as default. Margin is for information only.
12. Choose the Pay frequency.
13. Select Day Convention, Settle Convention, and Reset Convention. This is to tell the system how you wish to adjust the IRS interest settlement dates when they fall on non-business dates. For more explanations of the convention settings, see Day Convention for Dates Generation.
14. Input Reset Days. For example, if it is 2 days before the interest settlement date, input 2 for the reset days. This is for information only.
15. Leave the Accruals field blank. They will follow the accruals convention in the Currency set up. You may choose to use another accruals convention by selecting from the field here. For more explanations of accruals convention, see Accrual Methods Definition.
16. Click Refresh Button next to the Facility field, and the facility or facilities will show up in a dropdown. Select one. The Ctpy ID will be auto-populated. At the same time, the system calculates the available facility limit and the percentage available.
17. At this point, the transaction can already be booked. However, other fields that are optional can be filled out as necessary.
18. When completed, click Book.
19. At the prompt. click Yes to confirm.
20. On the Interest Rate Swap screen, select the accounting centre and maturity date from accordingly and click on Refresh. The new transaction will be displayed.
FREQUENTLY ASKED QUESTIONS
FAQ01. How do I key a cross currency swap?
A cross currency swap transaction can be keyed in under Interest Rate Swap. You can select a different currency for the Pay and Receive legs of the trade.
FAQ02. How to maintain the structure of an IRS booked as a currency loan swap?
See user guide on Currency Loan Swap.
RELATED INFORMATION
CHANGE HISTORY
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