Clearwater Analytics Data Requirements Credit Default Swaps
Clearwater Data Requirements – Credit Default 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 Credit Default Swaps Clearwater requires that each Credit Default Swap be represented by two positions (and correspondingly two transactions for the opening and closing of a Credit Default Swap.) Of these two positions, one should be the premium portion of the Credit Default Swap and one should be the credit portion of the agreement. The Contract ID field on both the pay and receive positions should be the same for a given agreement. A unique identifier is required for each credit default swap (or credit default index) agreement. This identifier needs to be associated with both positions and transactions. For example: Suppose following credit default swap, is initiated:
Purchase protection against issuer “XYZ” defaulting on a bond “Bond1” (notional of 10,000,000 and agreeing to pay 1% premium on the notional in exchange) Receive (in case of default of said issuer) par value plus lost interest.
We would expect two opening transactions:
“Sell to Open” on the premium portion of the agreement “Buy to Open” on the credit portion of that agreement.
We would expect two positions daily while the position is held:
-10,000,000 on the premium portion of the agreement. 10,000,000 on the credit 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 *†‡
Holdings Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡
Initial Load Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡
1
Transactions Cancel/Rebook Indicator Commission †‡
Holdings Accrual Day Count †‡ Accrued Balance (dollars) †‡
Initial Load Accrual Day Count †‡ Accrued Balance (dollars) as of Load Date ‡
Contract Identifier Counterparty ‡
Accrued Interest Start Date †‡ Computational Calculation Inputs †‡ Contract Identifier
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 or Canceled Transaction ID Settle/Post Date †‡ Trade Price †‡ Transaction ID Transaction Type †‡
Issue Date †‡
Description †‡
Market Price †‡ Market Value †‡ Market Yield Maturity Date (of this portion of the agreement) †‡
Issue Date †‡ Market Price as of Load Date †‡ Market Value as of Load Date †‡ Market Yield as of Load Date †‡
Underlying Security Identifier
Next Coupon Reset Date
Maturity Date (of this portion of the agreement) †‡
Notional †‡ Reference Rate Swap Agreement Leg Underlying Security Identifier
Next Coupon Reset Date Notional †‡ Opening Transaction Type †‡ Original Entry/Trade Date †‡ Original Proceeds on Trade †‡ Original Settle/Post Date †‡ Original Trade Price †‡ Reference Rate Swap Agreement Leg Underlying Security Identifier
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
File Transmission Requirements Please download the Clearwater Data Transmission Requirements for details on transmission options
Data Requirements for Credit Default Swaps Clearwater requires that each Credit Default Swap be represented by two positions (and correspondingly two transactions for the opening and closing of a Credit Default Swap.) Of these two positions, one should be the premium portion of the Credit Default Swap and one should be the credit portion of the agreement. The Contract ID field on both the pay and receive positions should be the same for a given agreement. A unique identifier is required for each credit default swap (or credit default index) agreement. This identifier needs to be associated with both positions and transactions. For example: Suppose following credit default swap, is initiated:
Purchase protection against issuer “XYZ” defaulting on a bond “Bond1” (notional of 10,000,000 and agreeing to pay 1% premium on the notional in exchange) Receive (in case of default of said issuer) par value plus lost interest.
We would expect two opening transactions:
“Sell to Open” on the premium portion of the agreement “Buy to Open” on the credit portion of that agreement.
We would expect two positions daily while the position is held:
-10,000,000 on the premium portion of the agreement. 10,000,000 on the credit 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 *†‡
Holdings Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡
Initial Load Account Number *†‡ As of Date *†‡ Identifier *†‡ Security Type *†‡
1
Transactions Cancel/Rebook Indicator Commission †‡
Holdings Accrual Day Count †‡ Accrued Balance (dollars) †‡
Initial Load Accrual Day Count †‡ Accrued Balance (dollars) as of Load Date ‡
Contract Identifier Counterparty ‡
Accrued Interest Start Date †‡ Computational Calculation Inputs †‡ Contract Identifier
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 or Canceled Transaction ID Settle/Post Date †‡ Trade Price †‡ Transaction ID Transaction Type †‡
Issue Date †‡
Description †‡
Market Price †‡ Market Value †‡ Market Yield Maturity Date (of this portion of the agreement) †‡
Issue Date †‡ Market Price as of Load Date †‡ Market Value as of Load Date †‡ Market Yield as of Load Date †‡
Underlying Security Identifier
Next Coupon Reset Date
Maturity Date (of this portion of the agreement) †‡
Notional †‡ Reference Rate Swap Agreement Leg Underlying Security Identifier
Next Coupon Reset Date Notional †‡ Opening Transaction Type †‡ Original Entry/Trade Date †‡ Original Proceeds on Trade †‡ Original Settle/Post Date †‡ Original Trade Price †‡ Reference Rate Swap Agreement Leg Underlying Security Identifier
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
