TRS Swap Reset Schedule Upload Processing Notes

Owned by Jawann Swislow
Last updated: Jul 28, 2023 by Jawann Swislow
1 min read

The schedule is structured as follows.

  • Schedule Type (1250) = CPNRESET (Coupon/Reset)

  • Effective Date (1109, Both Legs): first day in the calculation period; this is Dated Date for the first period and prior reset date in all subsequent periods

  • End Date (73, Both Legs): last day in the calculation period and date when return is locked in

  • Fixing Date (16410, Finance Leg, V17): date from which the floating rate is pulled for accruals through End Date

  • Valuation Date (16409, Return Leg, V17): date from which the TRS price is pulled for the reset

  • Reset Date (16408, Both Legs, V17)

    • Return Leg: date return is locked in, new price is applied, and notional changes (if applicable); this will match End Date

    • Finance Leg: first day of accruals and date when floating rate was applied for accruals through End Date; this will match Effective Date

  • Cash Payment Date (16411, Both Legs, V17): date when cash settles