TRS Valuation Processing Notes

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)