Clearwater Analytics Data Requirements Interest Rate Swaps
Clearwater Data Requirements – Interest Rate Swaps Please contact your Clearwater representative to answer any questions regarding these guidelines.
File Transmission Requirements Please download the Clearwater Data Transmission Requirements for details on transmission options
Data Requirements for Interest Rate Swaps A unique identifier is required for each interest rate swap agreement. This identifier needs to be associated with both positions and transactions. Clearwater requires that each Interest Rate Swap be represented by two positions (and correspondingly two transactions for the opening and closing of an Interest Rate Swap.) Of these two positions, one should be the pay portion of the Interest Rate Swap and one should be the receive portion of the agreement. The Contract ID field on both the pay and receive positions should be the same for a given agreement. For example: Suppose the following interest rate swap is initiated:
Pay 6% on a notional principal of 20 million USD. Receive ICE LIBOR USD 12 Month + 1% on a notional principal of 20 million USD.
We would expect two opening transactions:
“Sell to Open” on the 6% fixed pay portion of the agreement “Buy to Open” on the ICE LIBOR USD 12 Month + 1% float receive portion of the agreement)
We would also expect two positions daily while the position is held:
-20,000,000 USD on the 6% fixed pay portion of the agreement 20,000,000 USD on the ICE LIBOR USD 12 Month + 1% float receive portion of the agreement)
The following table contains the full range of data fields used by Clearwater. The fields listed are critical to reconciliation and must be supplied before the data can be processed. All fields are requested and required field are notated. Please provide as much data as available to ensure accurate reporting. The left two tables comprise of the data needed on a daily basis, while the right table is data only needed at the time of implementation (Initial Load). Transactions Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡ Cancel/Rebook Indicator Commission †‡
Holdings Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡ Accrual Day Count †‡ Accrued Balance (dollars) †‡
Initial Load Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡ Accrual Day Count †‡ Accrued Balance (dollars) as of Load Date ‡
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Transactions Contract Identifier Counterparty ‡
Holdings Accrued Interest Start Date †‡ Computational Calculation Inputs †‡ Contract Identifier
Initial Load Accrued Interest Start Date †‡ Commission †‡
Description of Activity †‡ Entry/Trade Date †‡
Coupon Frequency †‡ Currency (of this portion of the agreement) †‡
Contract Identifier Counterparty ‡
Notional †‡ Proceeds †‡
Description †‡ Duration
Coupon Frequency †‡ Currency (of this portion of the agreement) †‡
Reversed/Canceled Transaction ID Settle/Post Date †‡ Trade Price †‡ Transaction ID Transaction Type †‡
Issue Date †‡ Market Price †‡ Market Value †‡ Market Yield Maturity Date (of this portion of the agreement) †‡
Description †‡ Issue Date †‡ Market Price as of Load Date †‡ Market Value as of Load Date †‡ Market Yield as of Load Date †‡
Next Coupon Reset Date
Maturity Date (of this portion of the agreement) †‡
Notional †‡ Rate Type Reference Rate
Next Coupon Reset Date Notional †‡ Opening Transaction Type †‡ Original Entry/Trade Date †‡ Original Proceeds on Trade †‡ Original Settle/Post Date †‡ Original Trade Price †‡ Rate Type Reference Rate
Currency (of this portion of the agreement) †‡
Computational Calculation Inputs †‡
* Required for all files and should match between all files † Required for reporting ‡ Required for NAIC statements
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File Transmission Requirements Please download the Clearwater Data Transmission Requirements for details on transmission options
Data Requirements for Interest Rate Swaps A unique identifier is required for each interest rate swap agreement. This identifier needs to be associated with both positions and transactions. Clearwater requires that each Interest Rate Swap be represented by two positions (and correspondingly two transactions for the opening and closing of an Interest Rate Swap.) Of these two positions, one should be the pay portion of the Interest Rate Swap and one should be the receive portion of the agreement. The Contract ID field on both the pay and receive positions should be the same for a given agreement. For example: Suppose the following interest rate swap is initiated:
Pay 6% on a notional principal of 20 million USD. Receive ICE LIBOR USD 12 Month + 1% on a notional principal of 20 million USD.
We would expect two opening transactions:
“Sell to Open” on the 6% fixed pay portion of the agreement “Buy to Open” on the ICE LIBOR USD 12 Month + 1% float receive portion of the agreement)
We would also expect two positions daily while the position is held:
-20,000,000 USD on the 6% fixed pay portion of the agreement 20,000,000 USD on the ICE LIBOR USD 12 Month + 1% float receive portion of the agreement)
The following table contains the full range of data fields used by Clearwater. The fields listed are critical to reconciliation and must be supplied before the data can be processed. All fields are requested and required field are notated. Please provide as much data as available to ensure accurate reporting. The left two tables comprise of the data needed on a daily basis, while the right table is data only needed at the time of implementation (Initial Load). Transactions Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡ Cancel/Rebook Indicator Commission †‡
Holdings Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡ Accrual Day Count †‡ Accrued Balance (dollars) †‡
Initial Load Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡ Accrual Day Count †‡ Accrued Balance (dollars) as of Load Date ‡
1
Transactions Contract Identifier Counterparty ‡
Holdings Accrued Interest Start Date †‡ Computational Calculation Inputs †‡ Contract Identifier
Initial Load Accrued Interest Start Date †‡ Commission †‡
Description of Activity †‡ Entry/Trade Date †‡
Coupon Frequency †‡ Currency (of this portion of the agreement) †‡
Contract Identifier Counterparty ‡
Notional †‡ Proceeds †‡
Description †‡ Duration
Coupon Frequency †‡ Currency (of this portion of the agreement) †‡
Reversed/Canceled Transaction ID Settle/Post Date †‡ Trade Price †‡ Transaction ID Transaction Type †‡
Issue Date †‡ Market Price †‡ Market Value †‡ Market Yield Maturity Date (of this portion of the agreement) †‡
Description †‡ Issue Date †‡ Market Price as of Load Date †‡ Market Value as of Load Date †‡ Market Yield as of Load Date †‡
Next Coupon Reset Date
Maturity Date (of this portion of the agreement) †‡
Notional †‡ Rate Type Reference Rate
Next Coupon Reset Date Notional †‡ Opening Transaction Type †‡ Original Entry/Trade Date †‡ Original Proceeds on Trade †‡ Original Settle/Post Date †‡ Original Trade Price †‡ Rate Type Reference Rate
Currency (of this portion of the agreement) †‡
Computational Calculation Inputs †‡
* Required for all files and should match between all files † Required for reporting ‡ Required for NAIC statements
2
