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Overview

This document outlines Eagles best practice in handling the process for Forward-Starting Total Return Swaps (TRS) in versions prior to V17. A Forward-Starting TRS is a contract that has been agreed upon in principal by the two parties involved, but does not become effective until a date in the future.

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• Forward-Starting TRS Pre-V2017 Portfolio Valuation Report.xlsx

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Reference Data

The swaption should be set up as shown below.

• Issue Name (961): recommend using something similar to the TRS with SWPTN or Swaption appended to the beginning or end
• Primary Asset ID Type (1432): recommend using INTERNAL or another type that allows many characters
• Primary Asset ID (14): recommend using recommend using something similar to the TRS
• Processing Security Type (3931) = OPOPSW
• Contract Size (19): amount of notional that each Swaption contract is entitled to; typically 1.00
• Issue Country (1418): same as TRS
• Asset Currency (85): same as TRS
• Expiration Date (38): set to TRS Effective Date, which is its Dated Date (1183) in Eagle
• Strike Price (67) = NULL
• Option Type (1142): any value can be used as there will be no exercise/assignment
• Underlying Security Issue Name (1141) and Asset ID (1348): if you set up the TRS SMF ahead of time you can add it here for reference purposes

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Trade Processing

Trades against the swaption should be booked at a price of zero to ensure the cost basis of the asset in the portfolio is zero.

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