Field Name | Description | XPath | Enumeration / Coding Scheme |
|---|
| | Fixed/Float, Basis, OIS, ZCS | |
Calculation Period dates | Calculation period date schedule for floating and fixed leg | swap/swapStream/calculationPeriodDates/ | |
Unadjusted Effective Date |
Effective Date | Date when the floating accruals or fixed accruals on the swap or begin. The first day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. | swap/swapStream/calculationPeriodDates/ effectiveDate/unadjustedDate | |
Business Day Convention | The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers | swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/businessDayConvention | FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable |
Business Center reference and Business Center | A reference to a set of financial business centers used to determine whether a particular day is a business day or not. | swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/ businessCentersReference | |
| | swap/swapStream/calculationPeriodDates /effectiveDate/dateAdjustments/ businessCenters/businessCenter | |
Adjusted Effective Date |
Effective Date (Adjusted) | The start date of the calculation period. This date should already be adjusted for any applicable business day convention. This is also the date when the observed rate is applied, the reset date | swap/swapStream/calculationPeriodDates /effectiveDate/adjustedDate | |
Unadjusted Termination Date |
Termination Date | Date when fixed accruals or floating accruals stop. The last day of the term of the trade. This day may be subject to adjustment in accordance with a business day convention. | swap/swapStream/calculationPeriodDates /terminationDate/unadjustedDate | |
Business Day Convention | The business day convention to apply to each calculation period end date if it would otherwise fall on a day that is not a business day in the specified financial business centers | swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/businessDayConvention | FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable |
Business Center reference and Business Center | A reference to a set of financial business centers used to determine whether termination date is a business day or not. | swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/ businessCentersReference | |
| | swap/swapStream/calculationPeriodDates /terminationDate/dateAdjustments/ businessCenters/businessCenter | |
Adjusted Termination Date |
Termination Date | he end date of the calculation period. This date should already be adjusted for any applicable business day convention | swap/swapStream/calculationPeriodDates /terminationDate/adjustedDate | |
Calculation Period Frequency |
Calculation Frequency Period | Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream. A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). | swap/swapStream[$fixedSide/floatSide]/ calculationPeriodDates/calculationPeriodFrequency/period | |
Calculation Frequency Period Multiplier | A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1 | swap/swapStream[$fixedSide/floatSide]/ calculationPeriodDates/calculationPeriodFrequency/ periodMultiplier | D - Day W - Week M - Month Y - Year T - Term |
Calculation Period Frequency Roll convention | The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates. | calculationPeriodDates/calculationPeriodFrequency/ rollConvention | |
Stub Details |
Stub Period Type | An optional element to allow the definition of how any irregular period should be handled. This element can be present along with the explicit dates but if this is the case there is a rule that the dates generated using the stubPeriodType should be consistent with the dates present within calculationPeriodDates | swap/swapStream/calculationPeriodDates / stubPeriodType | Shortinitial ShortFinal LongInitial LongFinal |
First Regular Period Start Date | This element is specified for a front Stub. This date marks the end of the stub period calculation and the date on which the regular period begins. This date has to be greater than the Swap effective date if specified | swap/swapStream/calculationPeriodDates/ firstRegularPeriodStartDate | |
Last regular Period End Date | This field is specified for a back Stub. This date marks the end of the last regular period and the date on which the final stub period begins. This date has to be less than the Swap termination date if specified. | swap/swapStream/calculationPeriodDates/ lastRegularPeriodEndDate | |
Calculation Period and Amount Details |
Notional Amount | The notional amount associated with the calculation period for the stream | swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ initialValue/ | |
Known Amount | The known amount can be specified instead of a notional amount. This is the final amount that will be paid out at the end of the swapstream period This is used sometimes in Zero coupon swaps for the fixed leg. | swap/swapStream/calculationPeriodAmount/ knownAmountSchedule/initialValue | |
Notional amount Schedule | The schedule of step date and non-negative value pairs. On each step date the associated step value becomes effective. A list of steps may be ordered in the document by ascending step date. This will be used in amortizing swaps. | swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ step/stepDate | |
| | swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ step/stepValue | |
Notional Amount Currency | The currency associated with the notional amount of the notional amount schedule. | swap/swapStream/calculationPeriodAmount/ calculation/notionalSchedule/notionalStepSchedule/ currency | |
Day count Fraction | Day count basis convention to use to find the period between two dates | swap/swapStream/calculationPeriodAmount/ calculation/dayCountFraction | |
Fixed Rate | The fixed rate. | swap/swapStream/calculationPeriodAmount/ calculation/fixedRateSchedule/initialValue | |
Floating Rate Index | The index used for calculating the floating leg. | swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/floatingRateIndex | Please refer to the Product Scope for the supported indices. |
Floating Rate Index Tenor | The tenor or the designated maturity of the floating rate index. Frequency at which the calculation period ends for the regular part of the calculation period schedule for the fixed or float leg based on the Stream. A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). | swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/ indexTenor/periodMultiplier | |
| A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days. If the period value is T (Term) then periodMultiplier must contain the value 1 | swap/swapStream/calculationPeriodAmount/ calculation/floatingRateCalculation/ indexTenor/period | |
Initial Stub Rate | An actual rate to apply for the initial stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05. | swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ stubRate | |
Initial Stub floating Rate designated maturity (Index tenor) | This specifies the tenor information if a floating rate index is specified for the initial stub | swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ floatingRate/floatingRateIndex/indexTenor/ period | D - Day W - Week M - Month Y - Year T - Term |
| | swap/ swapStream/ stubCalculationPeriodAmount/ initialStub/ floatingRate/floatingRateIndex/indexTenor/ periodMultiplier | |
Final Stub Rate | An actual rate to apply for the final stub period may have been agreed between the principal parties (in a similar way to how an initial rate may have been agreed for the first regular period). If an actual stub rate has been agreed then it would be included in this component. It will be a per annum rate, expressed as a decimal. A stub rate of 5% would be represented as 0.05. | swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ stubRate | |
Initial Stub floating Rate designated maturity (Index tenor) | This specifies the tenor information if a floating rate index is specified for the final stub | swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ floatingRate/floatingRateIndex/indexTenor/ period | D - Day W - Week M - Month Y - Year T - Term |
| | swap/ swapStream/ stubCalculationPeriodAmount/ finalStub/ floatingRate/floatingRateIndex/indexTenor/ periodMultiplier | |
Reset Dates for Floating Rate Stream |
Reset Date calculation period dates Reference | This element is used to generate reset dates schedule and associated fixing dates related to a floating rate Stream. The reset dates are determined relative to the calculation periods schedules dates. This element is used to specify the reference to the floating rate calculation period dates. | swap/ swapStream/ resetDates/ calculationPeriodReference | |
Reset date relative to | This is used to specify whether the reset dates are determined with respect to each adjusted calculation period start date or adjusted calculation period end date. If the reset frequency is specified as daily this element must not be included. | swap/ swapStream/ resetDates/ resetRelativeTo | |
Reset Frequency | The frequency at which reset dates occur. In the case of a weekly reset frequency, also specifies the day of the week that the reset occurs. If the reset frequency is greater than the calculation period frequency then this implies that more than one reset date is established for each calculation period and some form of rate averaging is applicable. The specific averaging method of calculation is specified in FloatingRateCalculation. In case the reset frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate. | swap/ swapStream/ resetDates/ resetFrequency | |
Reset Frequency Period | Frequency at which resets occur. A time period, e.g. a day, week, month, year or term of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day). | swap/ swapStream/ resetDates/ resetFrequency/period | D - Day W - Week M - Month Y - Year T - Term |
| | swap/ swapStream/ resetDates/ resetFrequency/ periodMultiplier | |
Reset Date Adjustments | | | |
Reset Date Adjustment business day convention | The business day convention to apply to each reset date if it would otherwise fall on a day that is not a business day in the specified financial business centers. | | |
Fixing Dates for Floating Rate Stream |
Fixing Date Period | Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the resetDates element. | swap/ swapStream/resetDates/fixingDates/ period | D - Day W - Week M - Month Y - Year T - Term |
| | swap/ swapStream/resetDates/fixingDates/ periodMultiplier | |
Fixing Date relative to | Specifies the anchor date as an href attribute. The href attribute value is a pointer style reference to the element or component elsewhere in the document where the anchor date is defined | swap/ swapStream/resetDates/fixingDates/ dateRelativeTo | |
Fixing date business day convention | The convention for adjusting the fixing date if it falls on a day that is not a business day. | swap/ swapStream/resetDates/fixingDates/ businessDayConvention | |
Fixing Date Business Centers | A reference to a set of financial business centers used to determine whether fixing date is a business day or not. | swap/ swapStream/resetDates/fixingDates/ businessCenters/businessCenter | |
Fixing Date Offset Period | Specifies the fixing date relative to the reset date in terms of a business days offset and an associated set of financial business centers. The href attribute on the dateRelativeTo element should reference the id attribute on the adjustedEffectiveDate element. | | |
Payment Dates Calculation (swap/swapStream/paymentDates) Defines all the dtaes and calculations required to calculate the payment date. |
Reference to the Calculation period Date | A Reference to the calculation Period date | swap/ swapStream/paymentDates/ calculationPeriodDatesReference | |
Payment Date Frequency | The frequency at which regular payment dates occur. If the payment frequency is equal to the frequency defined in the calculation period dates component then one calculation period contributes to each payment amount. If the payment frequency is less frequent than the frequency defined in the calculation period dates component then more than one calculation period will contribute to the payment amount. A payment frequency more frequent than the calculation period frequency or one that is not a multiple of the calculation period frequency is invalid. If the payment frequency is of value T (term), the period is defined by the swap\swapStream\calculationPerioDates\effectiveDate and the swap\swapStream\calculationPerioDates\terminationDate | swap/ swapStream/paymentDates/ paymentFrequency/ periodMultiplier | |
| | swap/ swapStream/paymentDates/ paymentFrequency/ period | D - Day W - Week M - Month Y - Year T - Term |
Payment Date Relative to | This element specifies whether payments occur relative to the calculation period start or end date, or the reset date | swap/ swapStream/paymentDates/ payRelativeTo | CalculationPeriodStartDate CalculationPeriodEndDate LastPricingDate ResetDate ValuationDate |
Payment Date Business Day convention | The business day convention to apply to each payment date if it would otherwise fall on a day that is not a business day in the specified financial business centers. | swap/ swapStream/paymentDates/ paymentDatesAdjustments/ businessDayConvention | FOLLOWING FRN MODFOLLOWING PREDEDING MODPRECEDING NEAREST NONE NotApplicable |
Payment Date Business Center Reference | A reference to a set of financial business centers used to determine whether the payment date is a business day or not. | swap/ swapStream/paymentDates/ paymentDatesAdjustments/ businessCenters/ businessCenter | |
CashFlows swap/swapStream/cashFlows Defines all the cash flows associated with the swap. The cleared confirm will include all the cashflows associated with the swap for the life of the swap. |
Cash Flow Match Parameter | A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information. | swap/ swapStream/cashFlows/cashflowsMatchParameters | |
Adjusted Payment Date | The adjusted payment date and associated calculation period parameters required to calculate the actual or projected payment amount. A list of payment calculation period elements may be ordered in the document by ascending adjusted payment date. | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ adjustedPaymentDate | |
Adjusted Calculation period Start date | The calculation period start date, adjusted according to any relevant business day convention. | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/adjustedStartDate | |
Adjusted Calculation period End date | The calculation period end date, adjusted according to any relevant business day convention. | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/adjustedEndDate | |
Notional Amount | The amount that a cashflow will accrue interest on | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/notionalAmount | |
Adjusted Fixing Date | The adjusted fixing date, i.e. the actual date the rate is observed. The date should already be adjusted for any applicable business day convention. | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/floatingRateDefinition/ rateObservation/ adjustedFixingDate | |
Floating Rate | The actual observed rate before any required rate treatment is applied, e.g. before converting a rate quoted on a discount basis to an equivalent yield. An observed rate of 5% would be represented as 0.05 | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/floatingRateDefinition/ rateObservation/ observedRate | |
Fixed rate | The calculation period fixed rate. A per annum rate, expressed as a decimal. A fixed rate of 5% would be represented as 0.05. | swap/ swapStream/cashFlows/ paymentCalculationPeriod/ calculationPeriod/fixedRate | |
