3.11 Replicating Portfolio

The Tractor Transfer Pricing Method utilizes Replicating Portfolio concept. Replicating Portfolios are a special type of Non-Maturity Behavior Patterns and are created and managed directly through Replicating Portfolio UI.

Through the Replicating Portfolio UI, users can define one or more Core Balance Amounts. Users assign a Term to each Core and Generate Balance Strips at any granularity (for example, Daily or Monthly, depending on the frequency of the Transfer Pricing Process). To maintain the Portfolio over time, users must roll and re-balance the Portfolio to update the Volatile Plug Amount, and if needed, re-balance the Core Amount.

Update the Balance Type when Source Table is the Instrument Table. The Balance Type allows you to select the type of the Balance.

• If the Source is selected as “Management Ledger, then it can be either Average Balance or Ending Balance.
• If the source is selected as either “Instrument” or Aggregate Table”, then it can be Cur Book, Cur Par or Average Balance.