Overview

Total Return Swaps (TRS) on Single Name Fixed Income (SNFI) differ from traditional TRS because the underlying bond’s coupon is included on the return leg. Interest accrues and pays in line with the bond’s coupon schedule rather than the swap’s reset schedule. This is separate from the finance leg accruals.

Support for bullet contracts (one reset at maturity) was added in V17 R.43 and support for resetting contracts was added in V17 R2.44.

Reference Data

Security Data

Price Multiplier (18) = 0.01

• Entered on the return leg in Issue Viewer or the contract in Reference Data Center (RDC)

Contract

• Dated Date (1183): set to Dated Date of the underlying bond

• Maturity Date (38): set to termination date of the TRS

Return Leg

.In addition to the fields listed in the Reference Data > Security Data > Return Leg section of Total Return Swaps (TRS) Best Practices, the accrual-related fields in the Finance Leg section must also be populated for the SWLEDB leg. These fields should match the accruals conventions of the underlying bond.

• Processing Security Type (3931) = SWLEDB (Swap Leg Total Rate Return on Fixed Income)

• First Payment/Valuation Date (473): enter the underlying bond’s next coupon date after Dated Date of the TRS

• Last Payment/Valuation Date (474): enter the underlying bond’s last coupon date prior to Maturity Date of the TRS

• Generate Swap Reset Schedule (2299): defaults to No for SWLEDB because additional dates must be provided when generating the schedule

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Trade Processing

Open (event type: OPENSWAP)

Enter the full notional/par amount in Shares (40).

Close (event type: CLOSESWAP)

In V17 R2.43, you must book a close at the final valuation price instead of processing the final reset. Trade Date and Settlement Date should match the valuation date and settlement date (respectively) of the final reset. This is not required in V17 R2.44 and above.