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TRS Valuation is based on Return Leg prices. It can be priced on a daily basis, and unrealized gain/loss is calculated based on the day-to-day price movements. The contract should not be priced.

  • Add Issue Price can be accessed through Issue Viewer, SRM, or Reference Data Center (RDC)

    • The contract and finance leg are filtered out, ensuring that only return legs are available

    • If a price is loaded to the return leg's underlying for Effective Date (1109), it will be pulled into the screen automatically when the return leg is retrieved

      • You must click Submit to add this price to the return leg

  • Rules can be established in Pricing Center to automatically pull the underlying price up to the return leg; refer to TRS Price from Underlying Processing Notes for more information

Total Market Value of TRS = Cumulative Unrealized Gain/Loss Return Leg + PTD Accrual Finance Leg

  • Cumulative Unrealized G/L = Shares * (Current Price - Initial Price)

Effective Date

Issue Name

Price

2008.06.11

EQUITY INDEX SWAP HIMALAYA/CDOR (ESD1455)_EQUITY_R

0.18950000

2008.06.12

EQUITY INDEX SWAP HIMALAYA/CDOR (ESD1455)_EQUITY_R

0.18970000

2008.06.13

EQUITY INDEX SWAP HIMALAYA/CDOR (ESD1455)_EQUITY_R

0.19500000

Effective Date

Equity Shares

Price Change

Unrealized G/L

URGL

Cumulative

Unrealized G/L

URGL

2008.06.12

8,741,881.00

0.00020000

1,748.38

1,748.38

2008.06.13

8,741,881.00

0.00530000

46,331.97

48,080.35