Workflow
- Global process is scheduled to run on a daily basis in a production setting
- The underlying price must be populated directly on the return leg for valuation date before processing the reset
- Accounting does not automatically look to the underlying for reset prices
- Security Query Flag (1256) controls whether prices and FX rates must be loaded for the reset date (
ACTUAL
, default), or if the most recently available will be used (RECENT
)- WhenÂ
ACTUAL
is used and either prices or FX rates (for foreign TRS) are missing, the reset will fail - Using
RECENT
will prevent failures, but may lead to incorrect reset activity
- WhenÂ
- Resets should be scheduled to run prior to accruals to ensure financing is calculated on the correct notional on reset date
Calculation
The reset cash flow direction is determined by reset price being above or below initial price (trade price or last reset price). Positive amounts are disbursements when paying the return and receipts when receiving it. Conversely, negative amounts are receipts when paying the return and disbursements when receiving it.
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