TRS Trade Definition

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Once a company and entity have been created, the two steps required to define a non-MTM portfolio of TRS trades are as follows:

1. Create a non-MTM portfolio; and
2. Add TRS trades.

1. Creating a non-MTM Portfolio

Under Portfolios/Non-MTM Portfolios , at the portfolio list level, you can IMPORT a list of non-MTM portfolios or manually create one by clicking on ADD NEW (or edit an existing one by double-clicking on the line item).

Creating a non-MTM portfolio
Portfolios/Non-MTM Portfolios

After clicking on ADD NEW, setting Portfolio ID = NEWTRSPORTFOLIO and Name = NEW TRS PORTFOLIO NAME, selecting NEWCOMP and NEWENT as the Company ID and Entiy ID respectively, and unselecting Shared between teams

After selecting Shared between teams and clicking on SAVE

A description of a non-MTM portfolio’s attributes and corresponding permissible values are set out in the table below.

Field Name	Description	Permissible Values
Portfolio ID	The ID for the portfolio (immutable)	Free text  (no spaces)
Name	The name of the portfolio	Free text
Company ID	The Company ID	Any existing company See company configuration
Entity ID	The Entity ID	Any existing entity See entity configuration
Description	Portfolio description	Free text
Shared Between Teams	Whether the portfolio will be accessible across all teams	Boolean
Teams	The team(s) that will have access to the portfolios Applicable only if Shared between Teams = FALSE	Any existing team(s) See creating a team

2. Adding TRS trades

At the non-MTM portfolio level (or also globally at the non-MTM portfolio list level when importing), you can IMPORT a list of TRS trades or manually create them by clicking on the ADD NEW button (or edit an existing one by double-clicking on the line item). You then have to select a TRS trade type and input the trade details.

There are two types of TRS trades in Xplain: ‘TRS Bond’ (where the underlying index is a bond) and ‘TRS Share’ (where the underlying index is an equity index or a share).

Adding a TRS trade
Portfolios/Non-MTM Portfolios/NEWTRSPORTFOLIO

Case 1: After clicking on ADD NEW and selecting 'TRS Bond'

Case 2: After clicking on IMPORT and selecting the relevant TRS trade list file - Versioning options

Case 2: After clicking on IMPORT

A trade field will either be mandatory (M), optional (O), conditional (C) (i.e. mandatory upon a certain condition), optional with a default value (D) or harcoded in Xplain (H).

In addition to the generic fields that set out information about the trade, a TRS will have:

1. Specific trade fields
2. A funding leg (Overnight, Fixed or Ibor)
3. A Performance Leg

A description of the funding leg’s attributes and corresponding permissible values are set out in the Portfolios and Trades Permissible Values section.

A description of the TRS specific trade’s attributes, performance leg and corresponding permissible values are set out in the tables below.

TRS

Field Name	Description	Permissible Values	TYPE
Pay Leg Type	Pay Leg Type	Ibor | Overnight | Fixed | Performance	M
Receive Leg Type	Recieve Leg Type	Dependent on trade type and other leg	M
Ccy	Trade 3-letter ISO 4217 currency code	See Permissible Currencies	M
Management Fees	Management fees (with respect to the performance leg)	Numeric (+ve)	O
Management Fees Day Count	Management fees' day count	See Permissible Daycount Conventions	C
Performance Leg Last Payment Withheld	Performance leg last payment withheld?	Boolean Default = FALSE	D
Funding Leg Last Payment Withheld	Funding leg last payment withheld?	Boolean Default = FALSE	D

Funding Leg

Additional to the fields applicable to trade legs defined in Portfolios and Trades Permissible Values, the following fields apply for the funding legs of TRS trades.

LEG TYPE	Field Name	Description	Permissible Values	TYPE
Ibor	Initial Coupon	The value for the initial fixing rate used in ibor funding leg valuation	Numeric	O
Ibor	Accrual Offset Days	Leg accrual date offset (in business days)	Integer (+ve) Default = 0	D
Ibor	Ibor Fixing Calendar	Fixing business day calendar(s), separated by '+'	Default = Leg Calendar	D
Overnight	Accrual Offset Days	Leg accrual date offset (in business days)	Integer (+ve) Default = 0	D
Fixed	Accrual Offset Days	Leg accrual date offset (in business days)	Integer (+ve) Default = 0	D
Overnight	Overnight Fixing Offset Days	Index fixing date offset (in business days)	Integer Default = 0	D

Performance Leg

Field Name	Description	Permissible Values	TYPE
Notional	Leg notional	Numeric	M
Accrual Freq	Frequency of leg accrual dates	See Permissible Frequencies	M
Payment Freq	Frequency of leg payment dates	See Permissible Frequencies	M
Payment Offset Days	Leg payment date offset (in business days)	Integer Default = 0	D
Compounding Method	Leg compounding method	See Permissible Compounding Methods Only applicable if AccrualFreq <> PaymentFreq Default = "None"	D
Accrual Offset Days	Leg accrual date offset (in business days)	Integer (+ve) Default = 0	D
TRS Index	TRS index	Any existing TRS index	M
TRS Index Type	TRS index type	Hardcoded based on trade type BOND | SHARE	H
TRS Index Fixing Offset Days	Index fixing date offset (in business days)	Negative Integer Default = 0	D
TRS Index Fixing Calendar	Fixing business day calendar(s), separated by "+"	See Permissible Calendars	D
Initial Base Index	The value for the initial index used in performance leg valuation	Numeric	D
Dividend Payout	Dividend payable for share index	Numeric (+ve) For Trade Type = ""TRS_SHARE"" Default = 0	C
Identifier	Leg Identifier	Leg Identifier for individual legs, must be unique	O

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Related Docs

• IR and Inflation Curve Construction
• CSA Definitions
• CTD Curves
• TRS Accrual Calculations - Run and Results