...
- In the Accounting Center, in the left navigation pane, click Transactions > Trades > Book Trade/Rebook Trade > Book Trade.
You see the Book Trade workspace. - Complete the options in the Search Details pane and click Search.
You see the search results based on the criteria you selected. - Select the row with the forward starting total return swap security you want to trade.
- On the Book Trade tab, in the Actions group, click Action Rules, point to Open, and then click Open Swap Contract.
You see the Open Total Return Swap panel. - Under Issue Information, review the value of the Notional Reset Type field.
If you selected a forward starting total return swap, you see a value of CF (Constant Notional Forward) or RF (Recalc Notional - Forward). - Complete the contract, pay leg, and receive leg options on the Open Total Return Swap panel.
Once you enter the basic trade details, the multi row pane at the bottom of the panel opens. The panel refreshes when you click the contract, pay leg, or receive leg rows in the multi row pane. Options available for the legs vary depending on the value you selected at the security level for the Notional Reset Type field. - If you selected a value of Recalc Notional - Forward for the security, you can set the Notional / Units field to Enter Units, enter the equity leg units in the Shares field, and enter a Price field amount that is equal to zero.
The panel assigns the equity units to the Finance leg. - If you selected a value of Constant Notional - Forward for the security, you can set the Notional / Units field to Enter Notional, enter the notional amount in the Notional field, and enter display a Price field amount that is equal to zero.
The panel assigns the Notional amount to the units of the Equity and Finance leg. - Click Submit.
Once you book the trade, it follows all core accounting processes. The system uses the core cost tags to store the notional cost values at the position, open, and close Cost object levels for the equity leg of total return swap.
...
Valuing Forward Starting Total Return Swaps
...