Generate a Swap Reset Schedule

If you want to manually add a coupon/reset schedule for a swap, such as a reset schedule for the equity and finance legs of a total return swap, you need to add the schedule before you reset the swap using global Reset Total Return Swap process. Otherwise, if you do not manually add a reset schedule, the system calculates the payment dates for you using Security Master File information in a manner similar to that used to calculate a coupon for a bond. The system uses all of the information in the Security Master File 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.

To add a swap reset schedule:

1. Do one of the following:  
   - In Reference Data Center, in the left navigation pane, click Reference Desk > Securities > Swap Schedules > Generate Swap Reset Schedule. 
   - In Accounting Center, in the left navigation pane, click Setup > Securities > Manage Securities > Issue Viewer > Schedules > Generate Swap Reset Schedule.
   You see the Generate Swap Reset Schedule panel.
2. Complete the options on the Generate Swap Reset Schedule panel to identify the security associated with the swap leg for which you are adding a reset schedule.
3. Click Submit.
   The system creates a swap reset schedule with a Schedule Type of Coupon/Reset. In Issue Viewer, you can use the List Schedule panel to review the schedule entries, and can use the Change Schedule panel if you need to override any dates in the reset schedule.

Generate Swap Reset Schedule Panel Options

The following are the key fields in the Generate Swap Reset Schedule panel for adding a reset schedule for a leg of a swap.