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| Option | Tag | Description |
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| Notional Reset Type | 4409 | Determines if the Total Return swap's finance leg is adjusted at reset or accrues on the original notional for the life of the swap, and also indicates whether the swap is a forward starting total return swap. Options include: - Constant Notional (C). Identifies the Total Return swap as a constant or fixed notional swap. Resets do not change the notional amount on the finance leg, and the finance leg accrues on the original notional for the life of the swap. The system does not adjust notional cost is not adjusted, but tracks adjusted shares are tracked in order to correctly calculate unrealized and future resets.
- Recalc Notional (R). Identifies a Total Return swap where resets do change the notional amount on the finance leg.
- Constant Notional - Forward (CF). Identifies the Total Return swap as a constant or fixed notional swap for a swap that is a forward starting swap. Resets do not change the notional amount on the finance leg, and the finance leg accrues on the original notional for the life of the swap. The system does not adjust notional cost is not adjusted, but tracks adjusted shares are tracked in order to correctly calculate unrealized and future resets.
- Recalc Notional - Forward (RF). Identifies a Total Return swap where resets do change the notional amount on the finance leg for a swap that is a forward starting swap.
WRITERS NOTE: REVISED this field.
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WRITERS NOTE: Should we mention exactly where you define the effective date that occurs in the future? is it at the contract level or leg? Field name?
Book Open Trades for Forward Starting Total Return Swaps
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WRITERS NOTE: confirm exactly what you enter and in which fields for CF and RF. have no data for forward starting security so cannot test data. . What is the timing? ?Do you enter the Units or Notional when you book the open trade or at a later time?
Valuing Forward Starting Total Return Swaps
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