TRS Swap Reset Schedule Upload Processing Notes

The schedule is structured as follows.

• Schedule Type (1250) = CPNRESET (Coupon/Reset)
• Effective Date (1109, Both Legs): first day in the calculation period; this is Dated Date for the first period and prior reset date in all subsequent periods
• End Date (73, Both Legs): last day in the calculation period and date when return is locked in
• Fixing Date (16410, Finance Leg, V17): date from which the floating rate is pulled for accruals through End Date
• Valuation Date (16409, Return Leg, V17): date from which the TRS price is pulled for the reset
• Reset Date (16408, Both Legs, V17)
  • Return Leg: date return is locked in, new price is applied, and notional changes (if applicable); this will match End Date
  • Finance Leg: first day of accruals and date when floating rate was applied for accruals through End Date; this will match Effective Date
• Cash Payment Date (16411, Both Legs, V17): date when cash settles