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 (import) and select the relevant portfolio list definition .CSV file.

You can download the import file template here

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 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 (import) 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:

Trade Type	Description	Trade Leg 1	Trade Leg 2
CAP_FLOOR	Cap or Floor	Ibor
CDS	Single name CDS
CREDIT_INDEX	Credit Index Trade
CREDIT_INDEX_TRANCHE	Credit Index Trade
IRS	IRS	Ibor \| Overnight \| Fixed	Ibor \| Overnight \| Fixed
INFLATION	Inflation Swap	Ibor \| Overnight \| Fixed	Inflation
SWAPTION	Swaption	Ibor \| Overnight	Fixed
XCCY	Cross-currency Swap	Ibor \| Overnight \| Fixed	Ibor \| Overnight \| Fixed
FXCOLLAR	FX Collar
FXFWD	FX Forward
FXSWAP	FX Swap
FXOPT	FX Option
FXSWAP	FX Swap
LOAN NOTE	Loan Note

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.

Field Name	Description	Permissible Values	TYPE
Trade ID	Unique trade identifier	Free text (no spaces)	M
Trade Type	Trade Type	CAP_FLOOR \| CDS \| CREDIT_INDEX \| CREDIT_INDEX_TRANCHE \| FXFWD \| FXOPT \| INFLATION \| IRS \| LOAN_NOTE \| SWAPTION \| XCCY	M
External Trade IDs ^(*)	A list of external ID Sources and corresponding Trade ID	Any user-defined external ID Source Free text (no spaces) for the associated Trade ID	O
Custom Fields ^(*)	A list of Custom Fields and corresponding Value	Any user-defined Custom Field Free text (no spaces) for the associated value	O
Trade Date	Trade date	YYYY-MM-DD (ISO 8601)	O
Trade Ccy	The currency in which the trade metrics are expressed	Must be either one of the legs' currency Harcoded to the single trade curency where applicable Default = Base Currency for Trade Type = FXFWD	D/M/H
Counterparty	Counterparty identifier	Free text	O
Counterparty Type ^(**)	Counterparty type	BILATERAL \| CLEARED	O
CSA Discount Ccy	The discount currency to apply (if applicable) if CSA Discounting is set to TRUE at valuation level	Any permissible discount currency	O
Client PV	Client PV	Numeric	O
Description	Description	Free text	O
Onboarding Information	Trade onboarding data and requirements	See Trade Onboarding	O

^(*) 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.

Field Name	Description	Permissible Values	TYPE
Start Date	Accrual schedule's start date	YYYY-MM-DD (ISO 8601)	M
End Date	Accrual schedule's end date	YYYY-MM-DD (ISO 8601)	M
Business Day Convention	Business days adjustment convention	See Permissible Business Days Conventions Default = "Following"	D
Business Day Adjustment	Business days adjustment type (Accrual and/or Payment Dates)	ACCRUAL_AND_PAYMENT or PAYMENT_ONLY Default = "ACCRUAL_AND_PAYMENT"	D
Calendar	The default business centre(s)	Derived from trade type and currency	H
Stub Convention	Stub convention	See Permissible Stub Conventions Default = "SmartIntial"	D
Regular Start Date	Regular accrual schedule's start date	YYYY-MM-DD (ISO 8601) For Stub = "Both"	C
Regular End Date	Regular accrual schedule's end date	YYYY-MM-DD (ISO 8601) For Stub = "Both"	C
Initial Exchange	Initial exchange of notional?	Boolean Default = FALSE	D
Final Exchange	Final exchange of notional?	Boolean Default = FALSE	D
Roll Convention	Roll convention applicable to trade	See Permissible Roll Conventions Default = "None"	D
Pay Leg Type	Pay Leg Type	Ibor \| Overnight \| Fixed \| Inflation	M
Receive Leg Type	Recieve Leg Type	Dependent on trade type and other leg	M

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 (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 (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.

Field Name	Description	Permissible Values	TYPE
Company ID ⁽¹⁾	Company -> Entity -> Portfolio	Any existing company	M
Entity ID ⁽¹⁾	Company -> Entity -> Portfolio	Any existing entity	M
Portfolio ID ⁽¹⁾	Company -> Entity -> Portfolio	Any existing portfolio	M
Reference Security ⁽²⁾	Reference Security	Any existing reference security	M
Allocation Notional ⁽³⁾	Notional of allocation trade	Numeric. Must be positive.	M
Trade Date	Trade date	YYYY-MM-DD (ISO 8601)	O
Counterparty	Counterparty identifier	Free text	O
Counterparty Type	Counterparty type	BILATERAL \| CLEARED	O
Client PV	Client PV	Numeric	O
Description	Description	Free text	O
Buy / Sell ⁽⁴⁾	Buy/sell optionality/credit protection	BUY \| SELL	M
Onboarding Information	Trade onboarding data and requirements	See Trade Onboarding	O

⁽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 (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:

Custom Trade Type	Description
CUSTOM RATES	Custom Rates Type 1 to 5
CUSTOM FX	Custom FX Type 1 to 5
CUSTOM CREDIT	Custom Credit Type 1 to 5
CUSTOM EQUITY	Custom Equity Type 1 to 5
CUSTOM COMMODITY	Custom Commodity Type 1 to 5
CUSTOM OTHER	Custom Other Type 1 to 5

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Field Name	Description	Permissible Values	TYPE
Asset Class	Asset Class	Free Text	O
Sub-Asset Class	Sub-Asset Class	Free Text	O
Underlying	The trade currency(ies)	Free Text	O
Option Position	Buy/sell optionality	BUY \| SELL \| [N/A]	O
Ccy	Trade 3-letter ISO 4217 currency code	See Permissible Currencies	M
Notional	Notional applied to both legs where applicable	Numeric (positive)	M
Start Date	Accrual schedule's start date	YYYY-MM-DD (ISO 8601)	M
End Date	Accrual schedule's end date	YYYY-MM-DD (ISO 8601)	M
Additional Information	Additional Information	Free Text	O

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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