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Portfolios and Trades Permissible Values

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Portfolio Definitions

Field Name Description Permissible Values
Portfolio ID The ID for the portfolio (immutable) Free text  (no spaces)
Name The name of the portfolio Free text
Company ID The Company ID Any existing company
See company configuration
Entity ID The Entity ID Any existing entity
See entity configuration
Description Portfolio description Free text
Shared Between Teams Whether the portfolio will be accessible across all teams Boolean
Teams The team(s) that will have access to the portfolios
Applicable only if Shared between Teams = FALSE 		Any existing team(s)
See creating a team

Trade Definitions

There are three categories of trade attributes:

  1. Generic attributes (applicable to all trades, including allocation trades)
  2. Specific attributes (according to the trade type) and specific attributes for custom trades
  3. Trade leg attributes (where applicable)

The number and permissible type of trade legs will be a function of the trade type, as follows:

Trade Type Description Trade Leg 1 Trade Leg 2
CAP_FLOOR Cap or Floor Ibor
CDS Single name CDS
CREDIT_INDEX Credit Index Trade
CREDIT_INDEX_TRANCHE Credit Index Trade
IRS IRS Ibor | Overnight | Fixed Ibor | Overnight | Fixed
INFLATION Inflation Swap Ibor | Overnight | Fixed Inflation
SWAPTION Swaption Ibor | Overnight Fixed
XCCY Cross-currency Swap Ibor | Overnight | Fixed Ibor | Overnight | Fixed
FXCOLLAR FX Collar
FXFWD FX Forward
FXSWAP FX Swap
FXOPT FX Option
FXSWAP FX Swap
LOAN NOTE Loan Note

Permissible trade’s attributes will be a function of the trade type, and will either be mandatory (M), optional (O), conditional (C). i.e. mandatory upon a certain condition, optional with a default value (D) or harcoded in Xplain (H).

Generic Trade Attributes

Field Name Description Permissible Values TYPE
Trade ID Unique trade identifier Free text (no spaces) M
Trade Type Trade Type CAP_FLOOR | CDS | CREDIT_INDEX |
CREDIT_INDEX_TRANCHE | FXFWD | FXOPT | INFLATION |
IRS | LOAN_NOTE | SWAPTION | XCCY 		M
External Trade IDs (*) A list of external ID Sources and corresponding Trade ID Any user-defined external ID Source
Free text (no spaces) for the associated Trade ID 		O
Custom Fields (*) A list of Custom Fields and corresponding Value Any user-defined Custom Field
Free text (no spaces) for the associated value 		O
Trade Date Trade date YYYY-MM-DD (ISO 8601) O
Trade Ccy The currency in which the trade metrics are expressed Must be either one of the legs' currency
Harcoded to the single trade curency where applicable
Default = Base Currency for Trade Type = FXFWD 		D/M/H
Counterparty Counterparty identifier Free text O
Counterparty Type (**) Counterparty type BILATERAL | CLEARED O
CSA Discount Ccy The discount currency to apply (if applicable) if CSA Discounting is set to TRUE at valuation level Any permissible discount currency O
Client PV Client PV Numeric O
Description Description Free text O
Onboarding Information Trade onboarding data and requirements See Trade Onboarding O

(*) External ID sources and custom fields have to be defined first. See here.

(**) Where applicable, the relevant cleared or bilateral inflation curve will be used to price inflation trades according to the counterparty type.

Specific Trade Attributes

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT H
Calendar The default business centre(s) Derived from trade type and currency H
Type Cap/floor type CAP | FLOOR M
Strike(*) Cap/floor strike Numeric M
Premium Payment Date
Convention 		Premium payment date adjustment convention See Permissible Daycount Conventions
Conditional: For Premium Amount <> "" with Default = "Following" 		C
Premium Amount Premium amount Numeric
Default = 0 		O
Premium Payment Date Premium payment date YYYY-MM-DD (ISO 8601)
For Premium Amount <> "" with Default = Expiry Date 		M
Position Buy/sell optionality BUY | SELL M
Stub Convention Stub convention None H
Pay Leg Type Pay Leg Type Ibor H

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention "Following" H
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT H
Calendar The default business centre(s) Derived from trade type and currency H
Fee Payment Date
Convention 		Fee payment date adjustment convention Fee payment date adjustment convention,"See Permissible Business Days Conventions
Conditional: For Fee Amount <> "" with Default = "Following" 		C
Fee Amount Fee amount Numeric
Default = 0 		O
Fee Payment Date Fee payment date YYYY-MM-DD (ISO 8601)
For Fee Amount <> "" with Default = Expiry Date 		M
Protection Buy/sell credit protection BUY | SELL M
Notional Notional Numeric M
Ccy Credit Currency
(3-letter ISO 4217 currency code) 		EUR | GBP | JPY | USD M
Freq Frequency of accrual dates 1M | 3M | 6M | 1YDefault = "3M" D
Fixed Rate Fixed rate NumericDefault = "0.01" D
Doc Clause Documentation clause MM14 | MR14 | XR14 | CR14
MM | MR | XR | CR 		M
Sector Sector See Permissible Credit Sectors
Default = "Undefined" 		D
Day Count Day Count Act/360 H
Seniority CDS debt level of the reference entity See Permissible Seniorities M
Corp Ticker CDS corporate ticker Free Text O
Reference CDS identifier Free Text M
Long Name CDS long name Free Text O
Stub Convention Stub convention SmartIntial H

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention "Following" H
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT H
Calendar The default business centre(s) Derived from trade type and currency H
Fee Payment Date
Convention 		Fee payment date adjustment convention Fee payment date adjustment convention,"See Permissible Business Days Conventions
Conditional: For Fee Amount <> "" with Default = "Following" 		C
Fee Amount Fee amount Numeric
Default = 0 		O
Fee Payment Date Fee payment date YYYY-MM-DD (ISO 8601)
For Fee Amount <> "" with Default = Expiry Date 		M
Protection Buy/sell credit protection BUY | SELL M
Notional Notional Numeric M
Ccy Credit Currency
(3-letter ISO 4217 currency code) 		EUR | GBP | JPY | USD M
Freq Frequency of accrual dates 1M | 3M | 6M | 1YDefault = "3M" D
Fixed Rate Fixed rate NumericDefault = "0.01" D
Doc Clause Documentation clause MM14 | MR14 | XR14 | CR14
MM | MR | XR | CR 		O
Sector Sector See Permissible Credit Sectors
Default = "Undefined" 		D
Day Count Day Count Act/360 H
Reference The credit index identifier Free Text M
Long Name Credit index name See Permissible Credit Index Long Names O
Series Credit index series Numeric integer value O
Version Credit index version Numeric integer value O
Stub Convention Stub convention SmartIntial H

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention "Following" H
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT H
Calendar The default business centre(s) Derived from trade type and currency H
Fee Payment Date
Convention 		Fee payment date adjustment convention Fee payment date adjustment convention,"See Permissible Business Days Conventions
Conditional: For Fee Amount <> "" with Default = "Following" 		C
Fee Amount Fee amount Numeric
Default = 0 		O
Fee Payment Date Fee payment date YYYY-MM-DD (ISO 8601)
For Fee Amount <> "" with Default = Expiry Date 		M
Protection Buy/sell credit protection BUY | SELL M
Notional Notional Numeric M
Ccy Credit Currency
(3-letter ISO 4217 currency code) 		EUR | GBP | JPY | USD M
Freq Frequency of accrual dates 1M | 3M | 6M | 1YDefault = "3M" D
Fixed Rate Fixed rate NumericDefault = "0.01" D
Doc Clause Documentation clause MM14 | MR14 | XR14 | CR14
MM | MR | XR | CR 		O
Sector Sector See Permissible Credit Sectors
Default = "Undefined" 		D
Day Count Day Count Act/360 H
Reference The credit index identifier Free Text M
Long Name Credit index name See Permissible Credit Index Long Names O
Series Credit index series Numeric integer value O
Version Credit index version Numeric integer value O
Tranche Credit index Tranche 0-3 | 0-10 | 0-15 | 3-6
3-7 | 6-12 | 7-15 | 10-20 | 12-100
15-25 | 15-100 | 20-35 | 25-35 | 35-100
Validation applies if a long name is provided 		M
Stub Convention Stub convention SmartIntial H

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT or PAYMENT_ONLY
Default = "ACCRUAL_AND_PAYMENT" 		D
Calendar The default business centre(s) Derived from trade type and currency H
Stub Convention Stub convention See Permissible Stub Conventions
Default = "SmartIntial" 		D
Regular Start Date Regular accrual schedule's start date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Regular End Date Regular accrual schedule's end date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Initial Exchange Initial exchange of notional? Boolean
Default = FALSE 		D
Final Exchange Final exchange of notional? Boolean
Default = FALSE 		D
Roll Convention Roll convention applicable to trade See Permissible Roll Conventions
Default = "None" 		D
Pay Leg Type Pay Leg Type Ibor | Overnight | Fixed | Inflation M
Receive Leg Type Recieve Leg Type Dependent on trade type and other leg M

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT H
Calendar The default business centre(s) Derived from trade type and currency H
Stub Convention Stub convention See Permissible Stub Conventions
Default = "SmartIntial" 		D
Regular Start Date Regular accrual schedule's start date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Regular End Date Regular accrual schedule's end date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Initial Exchange Initial exchange of notional? Boolean
Default = FALSE 		D
Final Exchange Final exchange of notional? Boolean
Default = FALSE 		D
Roll Convention Roll convention applicable to trade See Permissible Roll Conventions
Default = "None" 		D
Pay Leg Type Pay Leg Type Ibor | Overnight | Fixed | Inflation M
Receive Leg Type Recieve Leg Type Dependent on trade type and other leg M

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT or PAYMENT_ONLY
Default = "ACCRUAL_AND_PAYMENT" 		D
Calendar The default business centre(s) Derived from trade type and currency H
Expiry Date Expiry date YYYY-MM-DD (ISO 8601) M
Expiry Time Option expiry time (info only) "hh:mm"
Default = "11:00" 		D
Expiry Zone Option expiry zone (info only) See Permissible Expiry Zones
Default = "Europe/London" 		D
Expiry Date Convention Swaptions expiry date adjustment convention See Permissible Business Days Conventions
Default = "Preceding" 		D
Settlement Type Swaptions settlement type CASH | PHYSICAL
CASH = PAR_YIELD methodology 		M
Settlement Date Swaptions settlement date YYYY-MM-DD (ISO 8601)
For Settlement Type = "CASH" 		C
Premium Payment Date
Convention 		Premium payment date adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Premium Amount Premium amount Numeric
Default = 0 		D
Premium Payment Date Premium payment date YYYY-MM-DD (ISO 8601)
For Premium Amount <> "" with Default = Expiry Date 		D
Position Buy/sell optionality BUY | SELL M
Stub Convention Stub convention See Permissible Stub Conventions
Default = "SmartIntial" 		D
Regular Start Date Regular accrual schedule's start date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Regular End Date Regular accrual schedule's end date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Initial Exchange Initial exchange of notional? Boolean
Default = FALSE 		D
Final Exchange Final exchange of notional? Boolean
Default = FALSE 		D
Roll Convention Roll convention applicable to trade See Permissible Roll Conventions
Default = "None" 		D
Pay Leg Type Pay Leg Type Ibor | Overnight | Fixed | Inflation M
Receive Leg Type Recieve Leg Type Dependent on trade type and other leg M

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Business Day Adjustment Business days adjustment type
(Accrual and/or Payment Dates) 		ACCRUAL_AND_PAYMENT or PAYMENT_ONLY
Default = "ACCRUAL_AND_PAYMENT" 		D
Calendar The default business centre(s) Derived from trade type and currency H
Stub Convention Stub convention See Permissible Stub Conventions
Default = "SmartIntial" 		D
Regular Start Date Regular accrual schedule's start date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Regular End Date Regular accrual schedule's end date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Initial Exchange Initial exchange of notional? Boolean
Default = TRUE 		D
Final Exchange Final exchange of notional? Boolean
Default = TRUE 		D
Roll Convention Roll convention applicable to trade See Permissible Roll Conventions
Default = "None" 		D
Pay Leg Type Pay Leg Type Ibor | Overnight | Fixed | Inflation M
Receive Leg Type Recieve Leg Type Dependent on trade type and other leg M

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention "Following" H
Calendar The default business centre(s) Derived from trade type and currency H
Position Buy/sell optionality BUY | SELL M
Pay Leg Type Pay Leg Type Ibor H
Receive Leg Type Recieve Leg Type Dependent on trade type and other leg H
Notional FRA notional Numeric M
Fra Discounting Method Fra Discounting Method ISDA | AFMA H

Field Name Description Permissible Values TYPE
Payment Date Payment date YYYY-MM-DD (ISO 8601) M
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Calendar The default business centre(s) Derived from trade type and currency H
Base Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Counter Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Base Notional Notional of the leg in the Base Ccy
A +ve (-ve) amount is an amount to be received (paid) 		Numeric (opposite sign to Counter Notional) M
Counter Notional Notional of the leg in the Counter Ccy
A +ve (-ve) amount is an amount to be received (paid) 		Numeric (opposite sign to Base Notional) M

Field Name Description Permissible Values TYPE
Base Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Counter Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Far Date Payment Date Far Leg Payment date YYYY-MM-DD (ISO 8601) M
Far Date Base Notional Notional of the far leg in the Base Ccy
A +ve (-ve) amount is an amount to be received (paid) 		Numeric (opposite sign to Counter Notional) M
Far Date Counter Notional Notional of the far leg in the Counter Ccy
A +ve (-ve) amount is an amount to be received (paid) 		Numeric (opposite sign to Base Notional) M
Near Date Payment Date Near Leg Payment date YYYY-MM-DD (ISO 8601) M
Near Date Base Notional Notional of the near leg in the Base Ccy
A +ve (-ve) amount is an amount to be received (paid) 		Numeric (opposite sign to Far Date Base Notional) M
Near Date Counter Notional Notional of the near leg in the Counter Ccy
A +ve (-ve) amount is an amount to be received (paid) 		Numeric (opposite sign to Far Date Counter Notional) M

Field Name Description Permissible Values TYPE
Payment Date Payment date YYYY-MM-DD (ISO 8601)
Default = Expiry Date + Spot Lag 		D
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Calendar The default business centre(s) Derived from trade type and currency H
Expiry Date Expiry date YYYY-MM-DD (ISO 8601) M
Expiry Time Option expiry time (info only) "hh:mm"
Default = "11:00" 		D
Expiry Zone Option expiry zone (info only) See Permissible Expiry Zones
Default = "Europe/London" 		D
Premium Payment Date
Convention 		Premium payment date adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Premium Ccy Premium currency (3-letter ISO 4217 currency code) See Permissible Currencies
Default = foreign currency 		D
Premium Amount Premium amount Numeric
Default = 0 		D
Premium Payment Date Premium payment date YYYY-MM-DD (ISO 8601)
For Premium Amount <> "" with Default = Expiry Date 		D
Position Buy/sell optionality BUY | SELL M
Call / Put Call or Put CALL = +ve Base Notional
PUT = -ve Base Notional 		M
FX Option Notional The option notional used to derive the Base Notional and the Counter Notional Numeric (+ve) M
Strike Option strike Numeric C
Base Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Counter Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Base Notional Notional of the leg in the Base Ccy
A +ve (-ve) amount is an amount to be received (paid) in a call (put) option 		Numeric (opposite sign to Counter Notional) M
Counter Notional Notional of the leg in the Counter Ccy
A +ve (-ve) amount is an amount to be received (paid) in a put (call) option 		Numeric (opposite sign to Base Notional) M

Field Name Description Permissible Values TYPE
Payment Date Payment date YYYY-MM-DD (ISO 8601)
Default = Expiry Date + Spot Lag 		D
Business Day Convention Business days adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Calendar The default business centre(s) Derived from trade type and currency H
Expiry Date Expiry date YYYY-MM-DD (ISO 8601) M
Expiry Time Option expiry time (info only) "hh:mm"
Default = "11:00" 		D
Expiry Zone Option expiry zone (info only) See Permissible Expiry Zones
Default = "Europe/London" 		D
Premium Payment Date
Convention 		Premium payment date adjustment convention See Permissible Business Days Conventions
Default = "Following" 		D
Premium Ccy Premium currency (3-letter ISO 4217 currency code) See Permissible Currencies
Default = foreign currency 		D
Premium Amount Premium amount Numeric
Default = 0 		D
Premium Payment Date Premium payment date YYYY-MM-DD (ISO 8601)
For Premium Amount <> "" with Default = Expiry Date 		D
Position Buy/sell optionality BUY | SELL (Must be opposite to first / second FX Opt) M
Call / Put Call or Put CALL = +ve Base Notional
PUT = -ve Base Notional
(Must be opposite to first / second FX Opt) 		M
FX Collar Notional The option notional used to derive the Base Notional and the Counter Notional for both options Numeric (+ve) M
Strike Option strike Numeric C
Base Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Counter Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
Base Notional Notional of the leg in the Base Ccy
A +ve (-ve) amount is an amount to be received (paid) in a call (put) option 		Numeric (opposite sign to Counter Notional) M
Counter Notional Notional of the leg in the Counter Ccy
A +ve (-ve) amount is an amount to be received (paid) in a put (call) option 		Numeric (opposite sign to Base Notional) M

Field Name Description Permissible Values TYPE
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Calendar The default business centre(s) Derived from trade type and currency H
Ccy Loan note currency GBP | EUR | USD | JPY M
Reference GVT_CURVE Loan note reference UKGT | UST | DEGT | JPGT M
Credit Spread Loan note credit spread Numeric M
Notional Loan note notional Numeric M
Fixed Rate Loan note fixed rate Numeric M
Freq Loan note payment frequency See Permissible Frequencies M
Day Count Loan note day count See Permissible Daycounts
Defaults = ACT/ACT ICMA 		D
Business Day Convention Loan note business day convention Hardcoded to NoAdjust H
Settlement Date Offset Number of business days between the valuation date and the settlement date NumericDefault = 0 D
Stub Convention Stub convention See Permissible Stub Conventions
Default = "SmartIntial" 		D
Regular Start Date Regular accrual schedule's start date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Regular End Date Regular accrual schedule's end date YYYY-MM-DD (ISO 8601)
For Stub = "Both" 		C
Roll Convention Roll convention applicable to trade See Permissible Roll Conventions
Default = "None" 		D

Field Name Description Permissible Values TYPE
Company ID (1) Company -> Entity -> Portfolio Any existing company M
Entity ID (1) Company -> Entity -> Portfolio Any existing entity M
Portfolio ID (1) Company -> Entity -> Portfolio Any existing portfolio M
Reference Security (2) Reference Security Any existing reference security M
Allocation Notional (3) Notional of allocation trade Numeric. Must be positive. M
Trade Date Trade date YYYY-MM-DD (ISO 8601) O
Counterparty Counterparty identifier Free text O
Counterparty Type Counterparty type BILATERAL | CLEARED O
Client PV Client PV Numeric O
Description Description Free text O
Buy / Sell (4) Buy/sell optionality/credit protection BUY | SELL M
Onboarding Information Trade onboarding data and requirements See Trade Onboarding O

(1) Only applicable when the allocation trade is added at the reference security level.

(2) Only applicable when the allocation trade is added at the portfolio level.

(3) For swaps, Allocation Notional will be applied to the Pay Leg. The notional of the other leg will be scaled accordingly.

(4) For credit custom trades, Option Position and Protection will be defined independently.

Specific Custom Trade Attributes

Field Name Description Permissible Values TYPE
Asset Class Asset Class Free Text O
Sub-Asset Class Sub-Asset Class Free Text O
Underlying The trade currency(ies) Free Text O
Option Position Buy/sell optionality BUY | SELL | [N/A] O
Ccy Trade 3-letter ISO 4217 currency code See Permissible Currencies M
Start Date Accrual schedule's start date YYYY-MM-DD (ISO 8601) M
End Date Accrual schedule's end date YYYY-MM-DD (ISO 8601) M
Additional Information Additional Information Free Text O

CUSTOM TRADE TYPE Field Name Description Permissible Values TYPE
All but FX Notional Notional Numeric (positive) M
FX Base Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
FX Counter Ccy Leg 3-letter ISO 4217 currency code See Permissible Currencies M
FX Base Notional FX trade base ccy notional Numeric (opposite sign to Counter Notional) M
FX Counter Notional FX trade counter ccy notional Numeric (opposite sign to Base Notional) M
Credit Sector Sector See Permissible Credit Sectors
Default = "Undefined"
Credit Protection Buy/Sell credit Protection BUY | SELL M
RATES Pay Leg Type Pay Leg Type Fixed |Overnight | Ibor | Inflation | Other M
RATES Receive Leg Type Receive Leg Type Fixed |Overnight | Ibor | Inflation | Other M

Trade Leg Attributes

Field Name Description Permissible Values TYPE
Ccy Leg currency (3-letter ISO 4217 currency code) See Permissible Currencies M
Notional Leg notional Numeric M
Overnight Index OIS index See Permissible Overnight Indices M
Day Count OIS leg daycount See Permissible Daycounts D
Margin OIS leg spread Numeric D
Overnight Accrual Method OIS leg accrual methodology See Permissible Overnight Accrual Methods D
Rate Cutoff Days Rate calculation cut off (in business days) Numeric D
Onshore / Offshore Whether the transaction is Onshore or Offshore Onshore | Offshore (*)
Default = "Onshore" 		D
Accrual Freq Frequency of leg accrual dates See Permissible Frequencies M
Payment Freq Frequency of leg payment dates See Permissible Frequencies M
Payment Offset Days Leg payment date offset (in business days) Integer
Default = 0 		D
Compounding Method Leg compounding method See Permissible Compounding Methods
Only applicable if AccrualFreq <> PaymentFreq
Default = "None" 		D
Identifier Leg Identifier Leg Identifier for individual legs, must be unique O

(*) Where applicable, the relevant offshore curve will be used to price trades flagged as being offshore.

Field Name Description Permissible Values TYPE
Ccy Leg currency (3-letter ISO 4217 currency code) See Permissible Currencies M
Notional Leg notional Numeric M
Accrual Freq Frequency of leg accrual dates See Permissible Frequencies M
Payment Freq Frequency of leg payment dates See Permissible Frequencies M
Payment Offset Days Leg payment date offset (in business days) Integer
Default = 0 		D
Day Count Fixed leg daycount See Permissible Daycounts M
Fixed Rate Fixed rate Numeric M
Fixed Rate Accrual Method Fixed leg accrual methodology OVERNIGHT_COMPOUNDED_ANNUAL_RATE
For Overnight.AccrualMethod = "OVERNIGHT_COMPOUNDED_ANNUAL_RATE" 		C
Compounding Method Leg compounding method See Permissible Compounding Methods
Only applicable if AccrualFreq <> PaymentFreq
Default = "None" 		D
Identifier Leg Identifier Leg Identifier for individual legs, must be unique O

Field Name Description Permissible Values TYPE
Ccy Leg currency (3-letter ISO 4217 currency code) See Permissible Currencies M
Notional Leg notional Numeric M
Ibor Index Ibor index See Permissible Ibor Indices M
Day Count Ibor leg daycount See Permissible Daycounts
Default to underlying index properties 		D
Ibor Fixing Offset Days Ibor fixing date offset (in business days) Negative Integer
Default to underlying index properties 		D
Margin Ibor leg spread Numeric
Default = 0 		D
Onshore / Offshore Whether the transaction is Onshore or Offshore Onshore | Offshore (*)
Default = "Onshore" 		D
Accrual Freq Frequency of leg accrual dates See Permissible Frequencies M
Payment Freq Frequency of leg payment dates See Permissible Frequencies M
Payment Offset Days Leg payment date offset (in business days) Integer
Default = 0 		D
Compounding Method Leg compounding method See Permissible Compounding Methods
Only applicable if AccrualFreq <> PaymentFreq
Default = "None" 		D
Identifier Leg Identifier Leg Identifier for individual legs, must be unique O

(*) Where applicable, the relevant offshore curve will be used to price trades flagged as being offshore.

Field Name Description Permissible Values TYPE
Ccy Leg currency (3-letter ISO 4217 currency code) See Permissible Currencies M
Notional Leg notional Numeric M
Inflation Index Inflation index See Permissible Inflation Indices M
Index Lag Inflation index lag Number of months & "M" D
Index Calculation Method Inflation index calculation method MONTHLY | INTERPOLATED | INTERPOLATED_JAPAN
Default from index properties 		D
Accrual Freq Frequency of leg accrual dates See Permissible Frequencies M
Payment Freq Frequency of leg payment dates See Permissible Frequencies M
Payment Offset Days Leg payment date offset (in business days) Integer
Default = 0 		D
Compounding Method Leg compounding method See Permissible Compounding Methods
Only applicable if AccrualFreq <> PaymentFreq
Default = "None" 		D
Identifier Leg Identifier Leg Identifier for individual legs, must be unique O

Currency Ibor Index Ibor Index Tenor Overnight Index Inflation Price Index Ibor Tenor for Options
AED AED-EIBOR 1M | 3M | 6M | 12M 3M
AUD AUD-BBSW 1M | 3M | 6M AUD-AONIA 3M | 6M
BRL BRL-CDI
CAD CAD-CDOR 1M | 3M CAD-CORRA 3M
CHF CHF-LIBOR 1M | 3M | 6M CHF-SARON CH-CPI 1M | 3M | 6M
CNY CNY-REPO 1W 1W
CZK CZK-PRIBOR 3M | 6M 6M
DKK DKK-CIBOR 3M | 6M 6M
EUR EUR-EURIBOR 1M | 3M | 6M | 12M EUR-EONIA | EUR-ESTR EU-AI-CPI | EU-EXT-CPI | FR-EXT-CPI 1M | 3M | 6M
GBP GBP-LIBOR 1M | 3M | 6M | 12M GBP-SONIA GB-HICP | GB-RPI 1M | 3M | 6M
HKD HKD-HIBOR 3M 3M
HUF HUF-BUBOR 3M | 6M 6M
ILS ILS-TLBOR 3M 3M
INR INR-OMIBOR
JPY JPY-LIBOR 1M | 3M | 6M JPY-TONAR JP-CPI-EXF 6M
KRW KRW-CD 13W 13W
MXN MXN-TIIE 4W | 13W | 26W 4W | 13W | 26W
MYR MYR-KLIBOR 3M 3M
NOK NOK-NIBOR 3M | 6M 6M
NZD NZD-BKBM 3M NZD-NZIONA 3M
PLN PLN-WIBOR 3M | 6M 3M | 6M
SAR SAR-SAIBOR 3M 3M
SEK SEK-STIBOR 3M | 6M 3M
SGD SGD-SOR 1M | 3M | 6M 1M | 3M | 6M
THB THB-THBFX 6M 6M
TRY TRY-TRLIBOR 3M 3M
TWD TWD-TAIBOR 3M 3M
USD USD-LIBOR 1M | 3M | 6M USD-FED-FUND | USD-SOFR US-CPI-U 3M
ZAR ZAR-JIBAR 3M 3M

Other Permissible Values

Date Convention
Following
ModifiedFollowing
ModifiedFollowingBiMonthly
ModifiedPreceding
Nearest
NoAdjust
Preceding

Day Count
One/One
30/360 ISDA
30E/360
30E/360 ISDA
30U/360
Act/360
Act/365 Actual
Act/365F
Act/365L
Act/Act ISDA
Act/Act Year
Bus/252 BRBD

Frequency
1W
4W
1M
3M
13W
26W
6M
12M
TERM

Overnight Accrual Method
Compounded
Averaged
AveragedDaily
OvernightCompoundedAnnualRate

Roll Convention
Dayi, i = 1 to 30
DayMon
DayTue
DayWed
DayThu
DayFri
DaySat
DaySun
EOM
IMM
IMMAUD
IMMCAD
IMMNZD
None
SFE
TBILL
iDay{day}, i={1,4} & day={Mon, Fri} (*)

(*) Only permissible for TRS trades.

Seniority
SECDOM
SNRFOR
SNRLAC
SUBLT2
JRSUBT2
PREFT1

Stub Convention
Both
LongFinal
LongInitial
None
ShortFinal
ShortInitial
SmartFinal
SmartInitial

Leg Compounding Method
None
Flat
SpreadExclusive
Straight

Calendars Description Default (Ccy)
AEDU Dubai (Arab Emirates) holidays AED
ARBA Buenos Aires (Argentina) holidays ARS
AUSY Sydney (Australia) holidays AUD
BRBD Brazil holidays BRL
CATO Toronto (Canada) holidays CAD
CHZU Zurich (Switzerland) holidays CHF
CNBE Beijing (China) holidays CNY
CZPR Prague (Czech Republic) holidays CZK
DKCO Copenhagen (Denmark) holidays DKK
EUTA TARGET interbank payment (Europe) holidays EUR
GBLO London (UK) holidays GBP
HKHK Hong Kong holidays HKD
HRZA Zagreb (Croatia) holidays HRK
HUBU Budapest (Hungary) holidays HUF
ILTA Tel Aviv (Israel) holidays ILS
INMU Mumbai (India) holidays INR
JPTO Tokyo (Japan) holidays JPY
KRSE Seoul (Republic of Korea) holidays KRW
KWKC Kuwait City (Kuwait) holidays KWD
MXMC Mexico City (Mexico) holidays MXN
MYKL Kuala Lumpur (Malaysia) holidays MYR
NOOS Oslo (Norway) holidays NOK
NZAU Auckland (New Zealand) holidays NZD
OMMU Muscat (Oman) holidays OMR
PLWA Warsaw (Poland) holidays PLN
QADO Doha (Quatar) holidays QAR
ROBU Bucarest (Romania) holidays RON
RUMO Moscow (Russia) holidays RUB
SARI Riyadh (Saudi Arabia) holidays SAR
SEST Stockholm (Sweden) holidays SEK
SGSI Singapore holidays SGD
THBA Bangkok (Thailand) holidays THB
TRIS Istanbul (Turkey) holidays TRY
TWTA Tapei(Taiwan) holidays TWD
UGKA Kampala (Uganda) holidays UGX
USNY New York (USA) holidays USD
ZAJO Johannesburg (South Africa) holidays ZAR

Credit Sectors
Basic Materials
Consumer Goods
Consumer Services
Energy
Financials
Government
Healthcare
Industrials
Technology
Telecommunications Services
Diversified
Municipalities
Utilities
Undefined

CREDIT INDEX CURVE LONG NAME
CDX EM
CDX NA HY
CDX NA IG
CDX LATAM
ITRAXX ASIA EX JAPAN IG
ITRAXX AUSTRALIA
ITRAXX EUR
ITRAXX EUR HIVOL
ITRAXX EUR SNR FINANCIALS
ITRAXX EUR SUB FINANCIALS
ITRAXX EUR XOVER
ITRAXX JAPAN
ITRAXX SOVX WESTN EUROPE
ITRAXX SOVX CEEMEA exEU
ITRAXX SOVX CEEMEA
MCDX NA
CMBX NA AAA
CMBX NA AM
CMBX NA AJ
CMBX NA AS
CMBX NA AA
CMBX NA A
CMBX NA BBB
CMBX NA BBB-
CMBX NA BB
ABX HE
ABX HE PENAAA
ABX HE AAA
ABX HE AA
ABX HE A
ABX HE BBB
ABX HE BBB-

Expiry Zone
Europe/London
Europe/Luxembourg
Europe/Paris
Europe/Zurich
Africa/Johannesburg
America/Chicago
America/Los_Angeles
America/Montreal
America/New_York
America/Toronto
America/Vancouver
Asia/Bahrain
Asia/Dubai
Asia/Hong_Kong
Asia/Riyadh
Asia/Shanghai
Asia/Singapore
Asia/Tokyo
Australia/Melbourne
Australia/Sydney

Related Docs

Introduction to Xplain
Curves
Portfolios
Data
Valuations
Data Cleansing
Preferences
Admin
Importing and Versioning
XVA Module
TRS Module