TRS Calculator

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Calculation method Accrual Method Calculation Method Utilized to Value Standardized TRS
Input
Currency
Trade Date (T) i
Date for entering into new trade - Insert any business date from 20th March 2020 to Present Date
Maturity Date i Maturity date of the iBoxx TRS contract - IMM date equal to or no later than next IMM date 2 years after Trade Date
Notional i Economic Value Referenced for Original Trade
Calculation method Accrual Method Calculation Method Utilized to Value Standardized TRS
Input
Currency
Trade Date (T) i
Date for entering into new trade - Insert any business date from 20th March 2020 to Present Date
Maturity Date i Maturity date of the iBoxx TRS contract - IMM date equal to or no later than next IMM date 2 years after Trade Date
Notional i Economic Value Referenced for Original Trade
Initial Index Level i Index Level at entry date
Final Index Level i Index Level at Unwind Trade Date/Final Fixing Date