PTRS

 

Why a PTRS is not a TRS.

 为什么一个PTRS（投资组合总收益互换）不是一个TRS(总收益互换)

 

Overview

 概要

First we define what a TRS is and then go on to describe a basket TRS.

首次我们要定义什么是TRS然后再来描述一篮子TRS（TRS的集合）。

 

We then show that a PTRS is not a basket TRS and the amount is has in common with a TRS is minimal.

 我们然后才知道一个PTRS不是一个一篮子的TRS（TRS的集合），PTRS的金额，正如TRS也同样拥有的，是最小的数量。（可能这句翻得有问题）

Description of a TRS

 TRS(总收益互换)的描述

A Total Return Swap or a, Total Rate of Return Swap, is a derivative trade that gives one party the economic equivalent of owning the original instrument. The two parties to the deal exchange cash flows exactly as they would have done if the real instrument had been purchased. This is normally without the initial cash required to purchase the asset and the return of that cash on maturity.

 一个总收益互换，或者说总收益率互换，是一种金融衍生品的交易，这个交易给予一方，相当于拥有某种原始金融票据一样，经济意义上替代品。交易双方商定交换的现金流，这现金完全如同真实的金融票据被支付时所付的一样。不需要初始的本金用于购买莫中资产，到期后也不会有本金偿还，这些在TRS中都是很正常的。

There arel reasons why you might wish to use a TRS as opposed to purchasing or selling the original asset. These include

有很多原因为什么你会想要做一个TRS相比买卖某种原始资产。这些包括：

1.     You cannot sell or buy the asset due to reputational or regulatory reasons

你不能够买卖这些资产由于声望或者法规控制等原因。

2.     You cannot access the asset in a liquid market - it maybe of limited issuance or have gone "special" or you may not have the required accounts in the country of issuance.

在流通市场上你买不到这样的资产。也许由于限制发行或者比较特殊，或者在某些发行国你没有必要的账户。

You can think of a TRS as a combined CDS and IRS where the Credit and Interest risk on the original instrument are passed on to the counterparty.

你可以把一个TRS比作与对方签订了一个在原始商业票据上的捆绑的CDS（Credit Default Swap信用违约互换）和IRS（Interest Rate Swap 利率互换）的协议。

 

A Basket TRS is when you take out a TRS on more than one instrument or single name. You have then taken on the economics of owning the entire set of instruments.

当你把超过一个商业票据或单名票据做一个总收益互换就是一篮子TRS（总收益互换）。如果你做了这个互换你就得到到了相当于拥有这整个票据集合所带来经济收益和风险。

 

The PTRS Business

PTRS（投资组合总收益互换）的业务

The PTRS business provides a mechanism for the counterparty to gain exposure to a basket of loans. The counterparty can managed the basket of loans dynamically by adding or removing loands to increase or reduce the overall exposure.

PTRS的业务给交易方提供了一种方式，能从一篮子的贷款中收益，面临一篮子贷款所带来的风险敞口。交易方能够管理这一篮子的贷款， 动态的增加或者去掉某几笔单款去增加或者降低整体的风险敞口。

The underlying basket changes over time. This is harder to model than a static basket TRS but could be done under the TRS model.

这些相关一篮子（贷款产品）随着时间不断的在变换。这很难把它塑造成为一个静态一篮子TRS模型，尽管单笔的TRS能够用TRS模型做到。

What really breaks the model is the PTRS deal does not have a fixed Notional amount. The PTRS deal is far more like a facility or a Line of Credit. The counterparty agrees a maximum Notional amount but the deal does not have to ever reach this amount.

最大的建模障碍是PTRS的交易上没有一个固定的名义金额。PTRS的协议远不同于一个贷款或信用额度（他们有着固定的名义金额）。交易方协定一个最大的名义金额，但是不必一定要达到这个数量。

The facility has a start date and an end date and an initial settlement date. It is subject to the ISDA document. It has a counterparty.

贷款有一个开始日期，一个结束日期和一个初始的结算日期。它依据与相关的 ISDA文件（ISDA为 国际掉期与衍生工具协会）。 它有一个交易方。

However it has a managed portfolio that can ramp up and down over time.

然而这笔贷款所在的管理完善的投资组合是能随着时间的推移慢慢开始建仓（投资组合建仓期间逐渐买入贷款，名义金额上升），慢慢结束（投资组合中的贷款逐渐到期，名义金额减少）。

Finally the Portfolio of Loans is subject to real time limit constraints. A set of rules are defined that restrict what it is possible to put in the portfolio. All these rules would need to modelled, entered in TWS, and have TWS check the rules at trade entry time.

最终这个投资组合里的贷款都要符合实时的限制约束。有一系列的规则被定义用来限制什么样的贷款可能被放在这个投资组合中。