Swap Element Specification

NS: Not Supported

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

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