The functionality for setting up TRS announcements is slightly different depending on your current Eagle release.

V17 R2 & Above

Corporate actions affecting TRSs can be automatically processed based on announcements for their underlying securities (this is optional if you are satisfied with the previous functionality). Following the previous example, the 5 TRSs on Microsoft can now be driven by an individual announcement for Microsoft.

• A Swap Reset Schedule must exist to settle cash dividends and ROCs with the TRS reset

  • If one does not exist, cash will settle based on the underlying corporate action announcement

• Corporate Action Reset Indicator (16633): controls the date cash settles for cash dividends

  • Pay Date (Swap Reset Schedule Exists): compare Pay Date from the underlying announcement to swap reset dates

    • If Pay Date <= next reset date, settle on that reset settlement date

    • If Pay Date > next reset date, settle on the following reset settlement date

  • Ex Date (Swap Reset Schedule Exists): compare Pay Date from the underlying announcement to swap reset dates

    • If Ex Date <= next reset date, settle on that reset settlement date

    • If Ex Date > next reset date, settle on the following reset settlement date

  • Pay Date (No Swap Reset Schedule): cash settles on Pay Date from underlying announcement

  • Ex Date (No Swap Reset Schedule): cash settles on Ex Date from underlying announcement

  • Corporate Action Pay Date: cash settles on Pay Date from underlying announcement (regardless of Swap Reset Schedule existence)

  • Note: when upgrading existing positions to V17 this field defaults to NULL, which results in the same activity as Corporate Action Pay Date; select an alternate value if you require a different settlement convention

• Stock Split: Treatment of Fractional Shares must be populated with a value other than European

  • Selecting European hides the Split Ratio field and uses a different calculation method

• ROCs

  • Dividend Reclass (8012): must be set to Cash Receivable for the action to generate cash

    • If set to Reclass, there is no cash and an offset entry hits a capital account

• Corporate actions are triggered using the same global processes as earlier versions, with the exception of the field below

  • Process Corporate Action on Swap (16813): if a corporate action is being reprocessed for a particular TRS underlying, setting this to No will prevent TRS on that underlying from being affected

    • Available only when Select Query Option (2283) = One Entity/One Security or All Entities/One Security when triggering the corporate action

• If you are on V17 R2 or above and want to use the previous functionality, you can continue setting up corporate action announcements directly for return legs

  • If a record has the same Ex Date as a corporate action on the underlying security, the return leg announcement will take priority and the underlying security's announcement will be ignored

Prior to V17 R2

Separate announcements must be set up for the return leg of each TRS. For example: if there are 5 TRSs on Microsoft, 5 corporate action announcements are required. Start by searching for Cash Dividend, Stock Dividend, Stock Split, or Return of Capital. Required data is listed below.

• Asset ID (14): enter the TRS's Primary Asset ID (only the return leg will be retrieved)

• Sweep Date (1197): date when the global corporate action process will pick up and execute the corporate action (generally current date)

• Ex Date (65): date when the corporate action takes effect

• Pay Date (1275, required for cash dividends): date when cash settles

  • Typically set to the following reset payment date

• Treatment of Fractional Shares (3965, required for stock dividends and splits)

• Corporate Action Status (54) = Released

• Corporate Action Sub Priority (3961): order of priority for corporate actions processed on the same day

  • Enter 1 unless you have this scenario

• Cash Dividends

  • Dividend Rate (1259): on a per-share basis

  • Dividend Per Share/Rate Of Action (1001): enter the number of new shares to be spawned for each share of the current holding

• Stock Splits

  • From Shares (1710): enter current number of shares of the return leg holding

  • To Shares (1723): enter ending number of shares as a result of the corporate action

  • Split Ratio (1001): required for stock splits and ROCs

    • Calculated automatically based on From Shares and To Shares for stock splits, but can also be populated directly

• ROCs

  • Dividend Reclass (8012): must be set to Cash Receivable for the announcement to affect the TRS

    • If set to Reclass, nothing will post to the TRS because Reclass hits cost and TRS only have notional cost

  • Return of Capital Rate (1001)

• Corporate Action Type (1728) = Cash Dividend, Stock Dividend, Stock Split, or Return of Capital

Trigger Corporate Actions

Once announcements have been set up, they can be processed via an automated event or triggered manually.

• V17 & Above: Accounting Center > Processing and Exceptions > Global Processes > Corporate Actions > Cash Dividend Processing, Stock Dividends/Stock Splits, or Return of Capital/Nominal Value Decrease Processing

• Prior to V17: Global Process Center > Corporate Actions Processing > Cash Dividend or Stock Dividends/Stock Splits

Ensure Corporate Action Begin Sweep Date (220) and Corporate Action End Sweep Date (221) capture the Sweep Date you entered on the announcement(s).

Process Corporate Action for Swap

Process Corporate Action for Swap (16813) controls whether the corporate action is triggered for TRS only (Yes) or for direct equity holdings only (No). It is only shown when Select Query Option (2283) is set to One Security because this targets a single security. It is not relevant for All Securities because the corporate action will always be applied to both TRS and direct equity holdings in these cases.

• We recommend using All Securities when scheduling the job as part of your daily workflow to ensure all affected positions get picked up

• If you trigger a corporate action with this field set to Yes and you do not have any current holdings of TRS on the affected equity, no loopbacks will be generated

Closes with Pending Dividends

Cash dividends typically settle 2-4 weeks after Ex Date. In V17 R.50+, this is supported with Reduce Pending Dividend (18627) on the close (see Total Return Swaps (TRS) Best Practices for additional information). In releases prior to V17 R2.50, the pending dividend will not be taken down proportionately when a close is booked after Ex Date and prior to Pay Date. If this occurs, follow the steps below to manually settle the pending dividend, either partially or fully.

• Open Accounting Center > Transactions > Cash > Run Manual Settlements

• Enter the appropriate entity and/or security criteria to target one or more positions

• Select the applicable pending dividends and click Select settlement record in the ribbon

• If the pending dividend should settle with the close trade, adjust Settlement Date (37) to equal the close trade

• Adjust Quantity to Settle (40) and Local Settlement Amount (50) proportionately to the amount of notional that was closed

  • Example: if half the position is closed, set the two fields to half of their starting values

• Set Write off remaining amount? (1076) to No leave difference in payable status