XplainTRS is an add-on module which allows to:
- maintain an audited bookkeeping of total return swaps; and
- generate accrual accounting valuations (including records of underlying index and related dividends).
On this page, we will discuss how to set up the TRS market data framework, including how to:
- create a TRS index
- define the corresponding MDK and provider mapping
- create a TRS market data group
- add TRS market data (index value and related dividends)
- define default TRS market data settings
1. Creating a TRS index
The TRS index serves as a reference index in Xplain, with standardised rules and defined, to which TRS market data can be mapped.
Under
TRS/TRS INDICES
A description of a TRS index’s attributes and corresponding permissible values are set out in the table below.
| Field Name | Description | Permissible Values |
|---|---|---|
| Index Name | The TRS index's name | Free text |
| Index Type | The TRS index's type | Bond | Share |
| Currency | Trade 3-letter ISO 4217 currency code | See Trade Permissible Currencies |
| Description | The TRS index's description | Free text |
2. Defining a Market Data Key
For each TRS index, Xplain automatically generates a unique identifier, referred to as a market data key (MDK), which is derived from the index’s name and type. Such MDKs can be viewed or exported at the TRS index list level.
Market data keys will be used to map historical market data to the relevant instrument.
The two steps required to define an MDK are as follows:
- Create an MDK; and
- Add data provider mappings.
Please refer to the Market Data Mapping section. For market data related to TRS, MDK are defined as follows:
MDK Definition for TRS Indices
| TRS INDEX TYPE | MDK Definition | MDK Example |
|---|---|---|
| Bond | IndexName & “_” & “BOND” | IBOXHY_BOND |
| Share | IndexName & “_” & “SHARE” | MLEIVTXA_SHARE |
| Share - Dividend | IndexName & “_” & “DIVIDEND” | MLEIVTXA_DIVIDEND |
3. Creating a TRS Market Data Group
Under
TRS/Market Data Groups
A description of a TRS market data group’s attributes and corresponding permissible values are set out in the table below.
| Field Name | Description | Permissible Values |
|---|---|---|
| Name | The name of the TRS market data group | Free text |
| Pricing Slot | The pricing slot associated with the market data group (optional) | See permissible pricing slot values |
| Shared between companies | Whether the TRS market data group will be accessible across all companies | Boolean |
| Companies |
The company(ies) that will have access to the TRS market data group Applicable only if Shared between companies = FALSE |
Any existing company See company configuration |
| Shared between teams | Whether the TRS market data group will be accessible across all teams | Boolean |
| Teams |
The team(s) that will have access to the TRS market data group Applicable only if Shared between Teams = FALSE |
Any existing team(s) See creating a team |
4. Adding a TRS Market Data
At the TRS market data group level, you can import (import) a list of TRS market data (index value or associated dividends for a share index) or manually upload one (e.g. the IBOXIG market data for ticker IBOXIG_BOND) by first clicking on the
A description of a TRS market data’s attributes and corresponding permissible values are set out in the table below.
| Field Name | Description | Permissible Values |
|---|---|---|
| Provider | The raw market data’s provider |
Any existing data provider See |
| Date | The raw market data’s historical publication date | YYYY-MM-DD (ISO 8601) |
| Ticker | The raw market data’s ticker | Free text (e.g. IBOXHY) |
| Bid/Ask | The TRS market data side | Bid | Ask |
| Value | The raw market data’s historical value (unscaled) | Numeric |
5. Defining Default TRS Market Data Settings
At a company’s level, you can specify the default settings in respect of:
- valuation
- valuation data providers
- TRS market data
For 1. and 2. above, please refer to Company Default Valuation Settings
Company Default TRS Market Data Settings
For the purposes of TRS accrual calculations, you can specify the default TRS market data group and preferred data providers at company or entity level (where applicable).
Portfolios/Company List/BLUESTONE/Default Settings
A description of a company’s TRS market data settings and corresponding permissible values are set out in the table below.
| Field Name | Description | Permissible Values |
|---|---|---|
| TRS Market Data Group | The default TRS market data group | Any existing TRS market data group |
| TRS Market Data Type | The TRS market data type | BOND | SHARE | DIVIDEND |
| Primary Provider | The Primary Provider for TRS market data | Any existing market data provider. |
| Secondary Provider | The Secondary Provider for TRS market data (optional) | Any existing market data provider. |
Entity Default TRS Market Data Settings
At the entity level, you can override the entity’s settings that are inherited by default from the parent company in respect of TRS market data by setting Settings to “Entity Bespoke Setting” instead of “Company TRS Market Data Settings”.
Portfolios/Company List/BLUESTONE/ALT_INV_FUND
