...

An iBoxx Total Return Swap (TRS) is a standardized flavor of TRS issued by Markit that allows investors take a synthetic position on an iBoxx index. There are several flavors of iBoxx indices that can be used to acquire or hedge exposure to corporate bonds, leveraged loans, and commercial mortgage-backed securities, but they all use the same calculations and date schedule. Payments are made in accordance with the International Monetary Market (IMM) calendar (20th of March, June, September, and December), adjusted for non-business days. All flavors of iBoxx TRS can be modeled using Eagle's core TRS functionality. Refer to Total Return Swaps (TRS) Best Practices for more details about general TRS processing.

...

REFERENCE DATA

Storage & Configuration

...

Market Data

Return leg payments are generally paid out at maturity (bullet) and derived from underlying iBoxx indices which can be linked to the return leg by entering its ID in the Underlying Information section. While TRS are valued based on the underlying's price, the price must be entered directly to the return leg.

...

Notes

1. The final IMM period of the swap requires the finance leg to accrue from start date to end date inclusive
   1. We recommend posting a miscellaneous income or expense entry for one additional day of accrued interest
2. In the final IMM period, the finance leg coupon should settle three days after the final fixing date
   1. We recommend changing Settlement Date manually in Run Multiple Settlements (V17)/Multiple Manual Settlements (prior to V2017) because the other coupon payments do not have a settlement delay

...

Data Management Reporting

PERFORMANCE

The performance toolkit calculates market value-based performance for TRSs at the return leg (price changes) and finance leg (accruals) levels using data supplied by the S2P process. However, this can be misleading because swaps use notional values and typically start with a market value of zero. Exposure-based analyses, which can be implemented using Eagle Enrichment, calculate more accurate returns. Refer to Total Return Swaps (TRS) Best Practices for details.