TRS

Mandatory Fields


Counterparty- Account		"The Counterparty Name and Account Number against which the trade is assigned. Accounts have Collateral, Ratings, Netting Agreements and Recovery Rates."
Currency	Currency	The currency of the instrument.
Notional	Amount	The Notional is the reference amount of the trade used to compute payments.
Maturity	Date	The date when the contract expires.
Frequency	Integer	Frequency at which coupons are paid.
Currency	Currency	The currency of the instrument
Discount Curve	Yield Curve	The interest rate curve used to discount flows.
Notional	Amount	The Notional is the reference amount of the trade used to compute payments.
Maturity	Date	The date when the contract expires
Frequency	Integer	Frequency at which coupon are paid.

Rule Based Fields

Receive Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. The reference index is used to estimate forwards via risk neutral pricing.
Receive Floating	Spread	SPREAD	The additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
Receive Floating	Known Rate	RATE	The Known Reset Rates
Receive Floating	Known Spread	SPREAD	The Known Reset Spreads
Receive Floating	Reset-Flows	RESETS	User defined Reset Flows. These are floating rate flows. Either set in Arrears or in Advance with or without averaging and or compounding defined by the user and storred with the trade in the databse.
Receive Fixed	Fixed	RADIO	Defines if the rate is fixed or floating.
Receive Fixed	Coupon	RATE	The Coupon defines the annual rate paid by the issuer. The coupon is divided by the frequency and multipllied by the daycount fraction to define payments.
Receive Fixed	Next Reset	RATE	The known reset rate.
Receive Fixed	First Coupon	DATE	The Date when the First Coupon is paid
Receive Fixed	Cash-Flows	FIXEDFLOWS	"User defined Cash-flows. These are streams of rates, notional amounts and dates defined by the user and storred with the trade in the database. "
Receive Fixed	Issuer	ISSUER	The Issuer or Obligor who Issued the Asset. Used to bind probabilities of default and perhaps recovery.
Receive Fixed	Rating	RATING	The Rating Rank of the instrument exposure..
Receive Fixed	Rating Agency	AGENCY	The Rating Agency That defined the Rating System. By Default the Agency is Defined as Internal
Receive Fixed	Recovery Rate	RATE	The Recovery Rate
Receive Fixed	Recovery Volatility	RATE	The Recovery Volatility
Receive Fixed	DaysPastDue	NUMBER	The Number of days the Obligor has been Deliquent in order to assume Default.
Pay Fixed	Fixed	RADIO	This flag defines if the rate paid or received is fixed or floating.
Pay Fixed	Swap Rate	RATE	The forward rate of the fixed leg of the swap [determined leg].
Pay Fixed	Next Reset	RATE	"The next reset rate, if known"
Pay Fixed	First Coupon	DATE	The Date when the First Coupon is paid
Pay Fixed	Cash-Flows	FIXFLOWS	"Cash-flows are pre-agreed streams of rates, notional amounts and date tuples. "
Pay Fixed	Rating	RATING	The Rating Rank of the Asset Leg of the Instrument
Pay Fixed	Rating Agency	AGENCY	The Rating Agency That defined the Rating System. By Default the Agency is Defined as Internal
Pay Floating	Reset Index	REFINDEX	The Reference Index is the term structure used to fix floating rate coupons. The reference index is used to estimate forwards via risk neutral pricing.
Pay Floating	Spread	SPREAD	The additional basis points paid on top of the rate. (a spread of 100 corresponds to 100/10 000) or 1%.
Pay Floating	Known Rate	RATE	The Known Reset Rates
Pay Floating	Known Spread	SPREAD	The Known Reset Spreads
Pay Floating	Averaging	AVG	Averaging defines if floating rates reset levels are defined according to an average.
Pay Floating	Compounding	COMP	Compounding defines if floating rates reset levels used to define the payment are defined according to a rate that is compounded.
Pay Floating	Reset-Flows	RESETS	Reset Flows are floating rate flows. Resets can be set in Arrears or in Advance (by default).

User Level Based Fields


Zero-Interest	BOOL	Zero Interest disables accruing overnight interest rate accumulation of the instrument's receivables/payables that have been credit/debited from the cash-account.
Impermissible	CHECK	"The Impermissible flags is defined for Swaps, Forwards and Options. If a position is a loss for us there is no credit risk, as our counterparty is making a profit."
Discount Curve	CURVE	The interest rate curve used to discount flows.
Cash	CASHACCOUNT	"The cash-account in which payables/receivables will be debited/credited. The balance is carried at the over-night rate of the underlying curve, except when zero-interest is specified."
Cash	CASHACCOUNT	Cash defines a liquid deposit made in a given currency where all proceeds of the trade or leg are invested as the portfolio is simulated throughout time.

Optional Fields


Tag	TAGS	The Tag(s) associated with the position(s). Tags are defined as uris with / in order to slice and dice valuation. A Tag is always preceded by the name of the dimension to which it belongs.
Portfolio	PORTFOLIOS	The Portfolio to which belongs the position.
Protection Buyer	PROTECTIONBUYSELL	Protection Buyer receives Payment upon Default. Protection Seller Pays upon Default.
Fx-Hedge	PERCENT	The foreign Exchange Percentage that is hedged out. 0%= no hedge. 100% Fully Hedged.
Open Date	DATE	The Date when the position is taken into account in the Analysis.
Close Date	DATE	The Date when the position will ceases to be taken into account in the Analysis.
Start Date	DATE	The date when the trade kicks in.
Settlement	DATE	The Date(s) when the trade(s) is(are) settled.
Settlement Price	PRICE	The Price(s) paid when the instrument settles.
Settle Ccy	CCY	The Currency(ies) of The settlement price(s). The currency is used to convert and discount flows with the currency's riskless rate.
Swap Hedge	NUMBER	The Hedge Ratio of the Swap's Exposure Leg
Risk Weight	FACTOR	The Risk Weight Applicable to the Exposure Leg
Averaging	AVG	Averaging takes place if floating rates are computed according to an average computed from multiple observations.
Compounding	COMP	Compounding takes place when the coupon is computed from multiple observations that are compounded between the reference reset end and start dates.
Payment	PAYMENT	"The additional payment or fee attached to a trade or the individual receivable and/or payable legs. As opposed to notional cash-flows, Payments on each leg are considered exchanged."