Portfolios and Trades

Portfolio and Trade Definitions

A portfolio holds the trades whose details can be used for PV calculation or valuation data anomaly detection.

Once a company tree has been defined, the steps required to define a portfolio of trades are as follows:

create a portfolio
add standalone trades ⁽¹⁾
create reference securities and add allocation trades ⁽²⁾
add custom trades ⁽³⁾

⁽¹⁾ A trade that is defined on a standalone basis, by opposition to an allocation trade
⁽²⁾ Allocation trades (e.g. with different notionals or counterparties) can be defined by reference to a common reference security
⁽³⁾ A trade that cannot be valued in Xplain, but can be used when running valuation data anomaly detection

You can then perform a system-wide search on any Trade ID (or External Trade ID).

Portfolio Example

You can use the predefined ‘IRS_PTF_1’ portfolio, or define your own independently. This page will guide you through the process using an example: manually creating a ‘NEWPORTFOLIO’ that replicates ‘IRS_PTF_1’ with its underlying trades. For trade definition, we will use two examples: manually defining a ‘USDOIS_10Y’ IRS trade, or importing all the trades. You can download the example .CSV data import files here.

1. Creating a Portfolio

Under Portfolios/Portfolio List, at the portfolio list level, you can create a portfolio either manually or by importing the definition data.

Case 1: Manually Creating a Portfolio

To manually create a portfolio, click on Add New (or edit an existing one by double-clicking on the line item).

Alt for image — Creating a portfolio
Portfolios/Portfolio List

Case 2: Importing a Portfolio

To import a portfolio (or a list of portfolios), click on and select the relevant portfolio list definition .CSV file.

You can download the import file template here

2. Adding Standalone Trades

A standalone trade is a trade that is defined on a standalone basis, by opposition to an allocation trade.

Under Portfolios/Portfolio List, at the portfolio level you can create a variety of standalone trades, , allocation trades and custom trades either manually or by importing the definition data.

Case 1: Manually Creating a Trade

To manually create a trade, click on Add New (or edit an existing one by double-clicking on the line item). You can then select a trade type (e.g. ‘IRS’) and then set the various trade’s attributes.

Case 2: Importing a Trade

To import a trade (or a list of trades), click on at the trade list level (or globally at the portfolio list level) and select the relevant trade list definition .CSV import file.

You can download the import file template here

Trade Attributes

There are three categories of trade attributes:

generic attributes (applicable to all trades, including allocation trades)
specific attributes (according to the trade type)
trade leg attributes (where applicable)

The number and permissible type of trade legs will be a function of the trade type, as follows:

Permissible trade’s attributes will be a function of the trade type, and 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).

Generic Trade Attributes

These attributes are applicable to all trade types.

^(*) External ID sources and custom fields have to be defined first. Once they are defined, at the trade level, when in Edit mode, you can manually add one or more _External Trade IDs_ or _Custom Fields_ by clicking on the relevant Add New.

^(**) Where applicable, the relevant cleared or bilateral inflation curve will be used to price inflation trades according to the counterparty type.

Adding an External Trade ID

You can add to a trade multiple trade IDs related to different external systems to a trade. Bespoke external Trade ID sources need to be defined first.

Adding a Custom Field

You can add to a trade multiple bespoke custom fields which need to be defined first.

Specific Trade Attributes

These attributes will be required to define the economics of a trade and will be further supplemented by trade leg attributes, where applicable.

For other trade types, please refer to Permissible Values / Specific Trade Attributes.

To view the attributes and permissible values for other trade types, please refer to Permissible Values / Specific Trade Attributes.

Trade Leg Attributes

Where applicable, the permissible trade leg types are:

Overnight
Fixed
Ibor
Inflation

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

3. Creating a Reference Security and Adding Allocation Trades

As an alternative to a standalone trade, you can define allocation trades (e.g. with different notionals or counterparties) by reference to a common reference security. You will first need to create a reference security by following a process similar to that of a standalone trade.

3.1. Creating a Reference Security

Under Portfolios/Security Master, at the reference security list level, you can import a list of reference securities or manually create one by clicking on Add New (or edit an existing one by double-clicking on the line item). You then have to select a trade type (e.g. ‘IRS’).

The difference in trade attributes between creating a standalone trade and a reference security are:

Reference Trade ID replaces Trade ID as the unique identifier of the reference security with the prefix “REF_”
for FX forward trades, notionals are not defined. Instead, the Trade Currency and the Base Currency are set to be the same, and you define the applicable FX Rate and whether you hold a Long / Short position. The Base Notional will be derived at the allocation trade level, with a positive sign if you are ‘long’ the forward and negative if you are ‘short’ the forward and will be set to the Allocation Notional (which is always positive). The Counter Notional derived from FX Rate, with the opposite sign to the Base Notional.
for FX swap trades, as they are defined as two FX forward trades, the same rules apply as for FX forward trades for the near date and the far date.
for FX option trades, notionals are not defined. Instead, you define the option’s Strike. The Base Notional will be derived at the allocation trade level, with a positive sign for a call option and negative for a put option and will be set to the Allocation Notional (which is always positive). The Counter Notional derived from the Strike, with the opposite sign to the Base Notional.
for FX collar trades, the same rules apply as for FX option trades for the call option and the put option component.
for options (caps / floors, swaptions and FX options) and credit trades (CDS and index), Buy / Sell is defined at the allocation trade level. For FX collar trades, Buy / Sell will apply to the call option component.
for custom trades, Option Position (and Protection for credit custom trades) are defined at the allocation trade level.

3.2. Adding Allocation Trades

Under Portfolios/Portfolio List, at the portfolio level (or also globally at the portfolio list level when importing), you can import a list of standalone trades, allocation trades and custom trades, or manually create an allocation trade by clicking on Add New (or edit an existing one by double-clicking on the line item). You then have to select ‘Allocation Trade’ as the trade type. The resulting trade will be updated according to the allocation terms and can be viewed in the second window.

A new allocation trade can only be created if there is an existing reference security that it can be mapped to.

Alternatively, you can add an allocation trade at the reference security level, under Portfolios/Security Master.

⁽¹⁾ Only applicable when the allocation trade is added at the reference security level.

⁽²⁾ Only applicable when the allocation trade is added at the portfolio level.

⁽³⁾ For swaps, Allocation Notional will be applied to the Pay Leg. The notional of the other leg will be scaled accordingly.

⁽⁴⁾ For credit custom trades, Option Position and Protection will be defined independently.

4. Adding Custom Trades

A custom trade is a trade that cannot be valued in Xplain, but can be used when running valuation data anomaly detection.

Under Portfolios/Portfolio List, at the portfolio level (or also globally at the portfolio list level when importing), you can import a list of standalone trades, allocation trades and custom trades, or manually create a custom trade by clicking on Add New CUSTOM (or edit an existing one by double-clicking on the line item). You then have to select a trade type (e.g. ‘Custom Rates 1’).

There are two categories of custom trade attributes:

generic attributes (applicable to all trades, including allocation trades)
specific attributes (according to the custom trade type)

Specific attributes will be a function of the custom trade type, as follows:

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To view the attributes and permissible values for other custom trade types, please refer to Permissible Values / Specific Custom Trade Attributes.

System-wide Search on Trade ID

You can perform a system-wide search on any Trade ID or External Trade ID by entering part of the Trade ID in the search box in the top right corner and clicking on . You can click on any result to be redirected to the selected trade.

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