The Swap Reset Schedule is designed to support automated corporate action processing for Total Return Swaps (TRS). It is stored in the SCHEDULE table, allowing you to review the full schedule of dates to verify the accuracy of your security master file (SMF) setup. This can be helpful when implementing new swap types.
If a Swap Reset Schedule exists, the dates in the schedule (including any changes) override the dates the fixed income code typically calculates on the fly. When Generate Swap Reset Schedule (2299) is set to Yes, the schedule is regenerated (wiping out any previous changes) each time SMF data is changed. It can also be triggered ad hoc using Generate Swap Reset Schedule.
If any of the dates are incorrect due to irregular date conventions, they can be updated by deleted, changed, or added using the Schedule tools. Once a schedule is amended, the remaining schedule can only be updated manually (all changes are overwritten when a schedule is regenerated)
The only cases where Swap Reset Schedules are required are:
- TRS that are eligible for corporate actions
- Swaps with irregular date conventions
We recommend not having a Swap Reset Schedule in all other scenarios. If you need to review the dates to verify the accuracy of your SMF setup, we recommend deleting the schedule afterwards.
Prior to V17, the Swap Reset Schedule is calculated on the fly. Starting in V17, it is generated automatically for each TRS and stored in the SCHEDULE table because it is required for automated corporate action processing. The schedule is automatically regenerated each time SMF data is changed. It can also be triggered ad hoc using Generate Swap Reset Schedule. When implementing TRS for the first time or adding new flavors, you should check the schedule for accuracy before booking trades.
- If any of the dates are incorrect due irregular resets, they can be updated by deleted, changed, or added using the Schedule tools
- Note: once a schedule is amended, the remaining schedule can only be updated manually (all changes are overwritten when a schedule is regenerated)
- If dates in the SMF-level Business Calendar are modified subsequent to the schedule being generated, it will need to be regenerated for the changes to take effect
- We recommend regenerating schedules annually and/or whenever a security's Business Calendar is updated, unless the schedule has been customized
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