In the Reset Total Return Swap panel, the system uses all of the information in the Security Master File or the Coupon/Reset type schedule, if available, to determine the day's price used to reset the swap, generate the payment, and reset the notional. The reset process recalculates the accruals to date if the coupon on the accrual leg is not paid at the same time.
For a security identified as a forward starting total return swap, on the Effective date of the security, the reset process recognizes the position is forward starting, and the reset adjusts the position to set the correct units and notional amount. The system does not create a cash record.
The swap's Notional Reset Type value determines if the system adjusts the total return swap's finance leg at reset or whether it accrues on the original notional for the life of the swap, This option affects the total return swap during the reset process as follows:
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 the notional cost, but tracks adjusted shares 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. If you booked the trade, set the Notional/Units option to Enter Notional, and then entered the notional amount in the Notional field, the system assigns the Notional amount to the units of the equity and finance leg. 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, but tracks adjusted shares 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. If you booked the trade, set the Notional/Units option to Enter Units, and then entered the equity leg units in the Shares field, the system assigns the equity units to the finance leg. The reset process creates a units adjustment to the equity leg and creates a notional units adjustment to the finance leg. The system does not create a cash payable or receivable.
If you process forward starting total return swaps, you can exclude forward starting total return swaps when you run the reset process at the beginning of the day. You can then use the reset process to process only forward starting total return swaps at the end of the day. For more information, see Manage Forward Starting Total Return Swaps.
To reset a total return swap:
In Accounting Center, in the left navigation pane, click Processing and Exceptions > Global Processes > Swaps > Reset Total Return Swap.
You see the Reset Total Return Swap panel.Complete the options on the Reset Total Return Swap panel.
Click Submit.
Reset Total Return Swap Panel Options
The following are the options in the Reset Total Return Swap panel. You can use this panel to reset a total return swap. Note options may vary according to your selections.
Option | Tag | Description |
|---|---|---|
Total Return Reset | ||
Select Query Option | 1163 | Specifies the query criteria. Options include:
|
Entity Information | ||
Entity ID | 1163 | Specifies the unique entity identifier. |
Entity Name | 1164 | Specifies the name of the entity. |
Security Information | ||
Asset ID Type | 1432 | Specifies the asset identifier type for the security. |
Asset ID | 14 | Specifies the asset identifier for the security. |
Issue Name | 961 | Specifies the name of the security. This field appears only if you select All Entities/One Security or One Entity/One Security. |
Total Return Reset Date | ||
Trade Date | 35 | Specifies the effective date of the trade. |
Swap Type | 4342 | Identifies the type of total return swaps that you want to process. This option allows you to include or exclude forward starting total return swaps during processing. You can process a forward starting total return swap prior to knowing the open price, notional amount, or units. Options include:
|
Entity Attributes | ||
Conversion Value | 3914 | Specifies the entity's conversion value. This field appears if you select All Entities/One Security or All Entities/All Securities. |
Process Center | 4896 | Specifies the entity's process center. This field appears if you select All Entities/One Security or All Entities/All Securities. |
Exchange Rate Source | 514 | Specifies the pricing source that the system uses for pricing foreign exchange rates for the entity/accounting basis. This field appears if you select All Entities/One Security or All Entities/All Securities. |
Security Attributes | ||
Region | 4859 | Specifies the region associated with entities that you want to process. This field appears if you select One Entity/All Securities or All Entities/All Securities. |
Domestic/Foreign Indicator | ||
Domestic/Foreign Processing Indicator | 10706 | Specifies the type of positions you are processing. Options include:
|
Report Type | 444 | Displays the type of report extract. This field appears if you select One Entity/All Securities or All Entities/All Securities. |
Partition | 95 | Specifies the entity partition code. This field appears if you set the Select Query Option to All Entities. |
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