User Help System
Layout Reference for Trade Register (Extended) View
Complete list of OTC IRS fields. Required fields vary by product.
Additional references include:
- Basic Layout Reference, which shows the minimal required fields
- Simple Layout Reference for fields that correspond to the IRS Simple Template.
IRS Fields
| Field | Description | Req / Opt | Sample Values |
|---|---|---|---|
|
Firm ID |
ID of the firm |
Required |
|
|
Account ID |
The account the trade belongs to |
Required |
|
|
Portfolio ID |
The portfolio name |
Optional |
|
|
Cleared Trade ID |
CME Group assigned Trade ID for the trade |
Optional |
|
|
Product Type |
Product Type |
Required |
Vanilla, OIS, Zero Coupon, Basis, FRA |
|
Currency |
Standard Currency Code |
Required |
USD - US Dollar (day 1) |
|
Start Date |
Start (Effective) Date of the swap. Date when accruals begin |
Required |
US format 8/2/2023 |
|
Maturity Date |
Maturity Date of the swap. Last day of the swap, usually the last coupon payment for the types of swaps supported day 1 |
Required |
US format 8/2/2023 |
|
Direction |
Direction of the swap from the position accounts perspective. |
required |
P - Payer of the Fixed Rate R - Receiver of the Fixed Rate |
|
Notional |
Represents the notional amount of the swap |
Required. |
|
|
Fixed Rate |
The fixed rate assigned to swap |
Required |
|
|
Floating Index |
The index of the floating leg |
Required |
1M LIBOR 3M LIBOR 6M LIBOR |
|
Floating Index Tenor |
How frequently the rate for the floating leg is reset. |
Required |
1 M 3 M 6 M |
|
Fixed Pay Frequency |
Frequency at which interest is paid on the fixed leg. |
Required |
-2 D 0 D 1 W 2 W 1- 11 M 1 Y |
|
Source |
Platform from which the trade was received
|
Required |
BLOOMBERG, MARKIT_WIRE, TRADE_WEB, CME |
|
Leg1 |
|||
|
LEG1_TYPE
|
Fixed or Float leg |
Required |
FIXED FLOAT |
|
LEG1_CCY |
Currency of the leg |
Required |
USD |
|
LEG1_START_DATE_ADJ_BUS_DAY_CONV |
Adjustment to effective date. ALWAYS NONE |
Required |
NONE |
|
LEG1_MAT_DATE_ADJ_BUS_DAY_CONV |
Adjustments to Maturity Date |
R |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG1_MAT_DATE_ADJ_CAL |
Calendars to use for MAT DATE Adjustment |
Required |
USNY GBLO USNY,GBLO |
|
LEG1_PAY_FREQ
|
Coupon Payment Frequency |
R |
1M 3M 6M 1Y |
|
LEG1_PAY_REL_TO |
Payment relative to the beginning or end of the period |
R |
BEG_PER END_PER |
|
LEG1_PAY_ADJ_BUS_DAY_CONV |
Business day convention to use to adjust the payment date if the date falls on a holiday |
R |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG1_PAY_ADJ_CAL |
Calendars used to apply the business day convention for payments |
R |
USNY GBLO USNY,GBLO |
|
LEG1_DAYCOUNT |
Day count convention to use for calculation of periods |
R |
30/360 ACT/360 ACT/365.FIXED ACT/ACT.ISDA 30E/360.ISDA |
|
LEG1_CALC_PER_ADJ_BUS_DAY_CONV |
Business day convention for calculation Period date adjustements |
O (Required only of this is a float leg) |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG1_CALC_PER_ADJ_CAL |
Calendars to use for calculation period date adjustment |
O (Required only of this is a float leg) " |
USNY GBLO USNY,GBLO |
|
LEG1_CALC_FREQ |
Calculation Frequency also known as the compounding frequency for compounded swaps |
O (Required only of this is a float leg) |
1W 2W 1M 2M 3M 6M 12M |
|
LEG1_COMP_METHOD |
Specify the method used for compounding if this is a compounded leg |
O (Required only of this is a float leg and a compounded swap) |
None Flat |
|
LEG1_INDEX
|
Index specification |
Required only if LEG1_TYPE = "FLOAT" |
USD-LIBOR-BBA |
|
LEG1_INDEX_TENOR
|
Index Tenor |
Required only if LEG1_TYPE = "FLOAT" |
1M 3M 6M |
|
LEG1_RESET_FREQ |
Frequency of the rate reset |
O (Required only of this is a float leg) |
1M 3M 6M |
|
LEG1_RESET_REL_TO |
Specify if the reset is relative to the beginning of the period or end of the period |
O (Required only of this is a float leg) |
BEG_PER END_PER |
|
LEG1_RESET_DATE_ADJ_BUS_DAY_CONV |
Date Adjustment on the reset dates |
O (Required only of this is a float leg) |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG1_RESET_DATE_ADJ_CAL |
Calendars to use for reset date adjustment |
O (Required only of this is a float leg) |
USNY GBLO USNY,GBLO |
|
LEG1_FIXING_DATE_OFFSET |
Offset to use to come up with the fixing date |
O (Required only of this is a float leg) |
|
|
LEG1_FIXING_DAY_TYPE |
The type of days to use to find the fixing date |
O (Required only of this is a float leg) |
Business Calendar |
|
LEG1_FIXING_DATE_BUS_DAY_CONV
|
Adjustment to use for fixing date |
O (Required only of this is a float leg) |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG1_FIXING_DATE_ADLJCAL
|
Calendars to use when adjusting the fixing date |
Required only if LEG1_TYPE = "FLOAT" |
USNY GBLO USNY,GBLO |
|
LEG1_START_DATE |
Effective Date of this leg |
Required |
US format 8/2/2023 |
|
LEG1_MAT_DATE |
Maturity Date of this leg
|
Required |
US format 8/2/2023 |
|
LEG1_NOTIONAL
|
Notional Amount |
R |
|
|
LEG1_FIXED_RATE |
FIXED Rate
|
Required only if LEG1_TYPE = "FIXED" |
|
|
LEG1_ROLL_CONV |
Roll convention to end / start period on |
R |
1-30 IMM EOM |
|
LEG1_SPREAD |
Spread to apply on top of the index |
O (Required only if this is float leg and a spread is applied) |
|
|
LEG1_STUB_TYPE
|
Type of Stub |
O (Required only if there is a initial or final stub)
|
ShortFinal LongInitial LongFinal NONE SPECIFIC BOTH |
|
LEG1_FIRST_REG_PERIOD_START_DATE |
First regular period start date on this leg. This is when the stub period ends and regular periods begin |
O (Required only if there is a initial stub) |
US format 8/2/2023 |
|
LEG1_LAST_REG_PERIOD_END_DATE
|
Last regular period start date on this leg. This is when the regular periods end and the stub period starts |
O (Required only if there is a final stub) |
US format 8/2/2023 |
|
LEG1_INITIAL_STUB_RATE |
Initial Stub Rate |
O (Required only if there is a initial stub). |
|
|
LEG1_INITIAL_STUBRATE_INDEX1
|
For Initial Stub specify the index and tenor to be used for this stub period |
O (Only present if index and tenor is used for stub period rate on float leg) |
1W - 2W 1M - 11M 1Y |
|
LEG1_INITIAL_STUBRATE_INDEX2 |
For Initial Stub specify the second index and tenor to be used for interpolating rate for this period |
O (Only present if CME Group has to interpolate between two terms for stub period rate on float legs) |
1W - 2W 1M - 11M 1Y |
|
LEG1_FINAL_STUBRATE_INDEX1 |
For Final Stub provide the index and tenor to be used for this stub period |
O (Only present if index and tenor is used for stub per on float leg) |
1W - 2W 1M - 11M 1Y |
|
LEG1_FINAL_STUBRATE_INDEX2 |
For Final Stub specify the second index and tenor to be used for interpolating rate for this period |
O(Only present if CME Group has to interpolate between two terms for stub period rate on float legs) |
1W - 2W 1M - 11M 1Y |
|
LEG1_CURRENT_PERIOD_RATE |
Populated with the current floating period rate |
O (Only present if this is the float leg).
|
|
|
LEG1_FINAL_STUB_INT_RATE |
The actual rate to be used for the final stub period whether it is interpolated or based off an index |
O (Present only in case of initial stub) |
|
|
LEG1_ACCRUED_INT |
Accrued interest for the current leg as of the current valuation date
|
O (Not present if the accruals have not started) |
|
|
LEG1 KnownAmount |
Current value of a sum to be paid / received on a future date. |
Applies to Zero Coupon Trades. |
|
|
Leg2 |
|||
|
LEG2_TYPE
|
Fixed or Float leg |
Rt or product. |
fixed float |
|
LEG2_CCY |
Currency of the leg
|
R |
USD |
|
LEG2_START_DATE_ADJ_BUS_DAY_CONV |
Adjustment to effective date. ALWAYS NONE. |
R. |
None |
|
LEG2_MAT_DATE_ADJ_BUS_DAY_CONV
|
Adjustments to Maturity Date |
R |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG2_MAT_DATE_ADJ_CAL |
Calendars to use for MAT DATE Adjustment |
Required |
USNY GBLO USNY,GBLO
|
|
LEG2_PAY_FREQ
|
Coupon Payment Frequency |
R |
1M 3M 6M 1Y |
|
LEG2_PAY_REL_TO |
Payment relative to the beginning or end of the period |
R |
BEG_PER END_PER |
|
LEG2_PAY_ADJ_BUS_DAY_CONV |
Business day convention to use to adjust the payment date if the date falls on a holiday |
R |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG2_PAY_ADJ_CAL |
Calendars used to apply the business day convention for payments |
R |
USNY GBLO USNY,GBLO |
|
LEG2_DAYCOUNT |
Day count convention to use for calculation of periods |
R |
30/360 ACT/360 ACT/365.FIXED ACT/ACT.ISDA 30E/360.ISDA |
|
LEG2_CALC_PER_ADJ_BUS_DAY_CONV |
Business day convention for calculation Period date adjustements |
O (Required only of this is a float leg) |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG2_CALC_PER_ADJ_CAL |
Calendars to use for calculation period date adjustment |
O (Required only of this is a float leg) " |
USNY GBLO USNY,GBLO |
|
LEG2_CALC_FREQ |
Calculation Frequency also known as the compounding frequency for compounded swaps |
O (Required only of this is a float leg) |
1W 2W 1M 2M 3M 6M 12M |
|
LEG2_COMP_METHOD |
Specify the method used for compounding if this is a compounded leg |
O (Required only of this is a float leg and a compounded swap) |
None Flat |
|
LEG2_INDEX
|
Index specification |
Required only if LEG2_TYPE = "FLOAT" |
USD-LIBOR-BBA. |
|
LEG2_INDEX_TENOR
|
Index Tenor |
Required only if LEG2_TYPE = "FLOAT" |
1M 3M 6M |
|
LEG2_RESET_FREQ |
Frequency of the rate reset |
O (Required only of this is a float leg) |
1M 3M 6M |
|
LEG2_RESET_REL_TO |
Specify if the reset is relative to the beginning of the period or end of the period |
O (Required only of this is a float leg) |
BEG_PER END_PER |
|
LEG2_RESET_DATE_ADJ_BUS_DAY_CONV |
Date Adjustment on the reset dates |
O (Required only of this is a float leg) |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG2_RESET_DATE_ADJ_CAL |
Calendars to use for reset date adjustment |
O (Required only of this is a float leg) |
USNY GBLO USNY,GBLO |
|
LEG2_FIXING_DATE_OFFSET |
Offset to use to come up with the fixing date |
O (Required only of this is a float leg) |
|
|
LEG2_FIXING_DAY_TYPE |
The type of days to use to find the fixing date |
O (Required only of this is a float leg) |
Business Calendar |
|
LEG2_FIXING_DATE_AdjBUS_DAY_CONV
|
Adjustment to use for fixing date |
O (Required only of this is a float leg) |
NONE FOLLOWING MODFOLLOWING PRECEDING MODPRECEDING |
|
LEG2_FIXING_DATE_AdjCal |
Calendars to use when adjusting the fixing date |
Required only if LEG2_TYPE = "FLOAT" |
USNY GBLO USNY,GBLO |
|
LEG2_START_DATE |
Effective Date of this leg |
Required |
US format 8/2/2023 |
|
LEG2_MAT_DATE |
Maturity Date of this leg
|
Required |
US format 8/2/2023 |
|
LEG2_NOTIONAL |
Notional Amount |
R |
|
|
LEG2_FIXED_RATE |
FIXED Rate
|
Required only if LEG2_TYPE = "FIXED" |
|
|
LEG2_ROLL_CONV |
Roll convention to end / start period on |
R |
1-30 IMM EOM |
|
LEG2_SPREAD |
Spread to apply on top of the index |
O (Required only if this is float leg and a spread is applied) |
|
|
LEG2_STUB_TYPE
|
Type of Stub |
O (Required only if there is a initial or final stub)
|
ShortFinal LongInitial LongFinal NONE SPECIFIC BOTH |
|
LEG2_FIRST_REG_PER_START_DATE |
First regular period start date on this leg. This is when the stub period ends and regular periods begin |
O (Required only if there is a initial stub) |
US format 8/2/2023 |
|
LEG2_LAST_REG_PER_END_DATE
|
Last regular period start date on this leg. This is when the regular periods end and the stub period starts |
O (Required only if there is a final stub) |
US format 8/2/2023 |
|
LEG2_INITIAL_STUB_RATE |
Initial Stub Rate |
O (Required only if there is a initial stub). |
|
|
LEG2_INITIAL_STUBRATE_INDEX1
|
For Initial Stub specify the index and tenor to be used for this stub period |
O (Only present if index and tenor is used for stub per on float leg) |
1W - 2W 1M - 11M 1Y |
|
LEG2_INITIAL_STUBRATE_INDEX2 |
For Initial Stub specify the second index and tenor to be used for interpolating rate for this period |
O(Only present if CME Group has to interpolate between two terms for stub period rate on float legs) |
1W - 2W 1M - 11M 1Y |
|
LEG2_FINAL_STUBRATE_INDEX1 |
For Final Stub provide the index and tenor to be used for this stub period |
O (Only present if index and tenor is used for stub per on float leg) |
1W - 2W 1M - 11M 1Y |
|
LEG2_FINAL_STUBRATE_INDEX2 |
For Final Stub specify the second index and tenor to be used for interpolating rate for this period |
O(Only present if CME Group has to interpolate between two terms for stub period rate on float legs) |
1W - 2W 1M - 11M 1Y |
|
LEG2_CURRENT_PERIOD_RATE |
Populated with the current floating period rate |
O (Only present if this is the float leg).
|
|
|
LEG2_ACCRUED_INT |
Accrued interest for the current leg as of the current valuation date
|
O (Not present if the accruals have not started) |
|
|
LEG2_FINAL_STUB_INT_RATE |
The actual rate to be used for the final stub period whether it is interpolated or based off an index
|
O (Present only in case of initial stub) |
|
|
LEG2_ACCRUED_INT |
Accrued interest for the current leg as of the current valuation date. Next indicates that the interest accrual starts on the effective date instead of the following day. |
O (Not present if the accruals have not started) |
|
IRS Swap Guide
Following is a categorized list of IRS Swap field names, description and sample values. For additonal product specific specifications refer to the downloadable IRS OTC product scope.
| Long Name | Short Name | Description | Sample Values |
|---|---|---|---|
|
Leg Specific |
|||
|
Type of Leg |
LEG_TYPE |
Designates fixed leg versus floating rate leg or 'FRA' |
FIXED |
|
Currency |
LEG_CCY |
Currency of the leg |
USD |
|
Start Date Adjusted Business Day Convention |
LEG_START_DATE_ADJ_BUS_DAY_CONV |
Business day convention used to adjust effective date if the date falls on a holiday or weekend |
MODFOLLOWING |
|
Maturity Date Adjusted Business Day Convention |
LEG_MAT_DATE_ADJ_BUS_DAY_CONV |
Business day convention used to adjust maturity date if the date falls on a holiday or weekend |
MODFOLLOWING |
|
Maturity Date Adjusted Calendar |
LEG_MAT_DATE_ADJ_CAL |
Calendar(s) used to adjust maturity date |
USNY |
|
Payment Frequency |
LEG_PAY_FREQ |
Coupon payment frequency |
3M |
|
Payment Relative To |
LEG_PAY_REL_TO |
Payment relative to the beginning or end of the period. |
BEG_PER |
|
Payment Adjusted Business Day Convention |
LEG_PAY_ADJ_BUS_DAY_CONV |
Business day convention used to adjust the payment date if the date falls on a holiday or weekend. |
MODFOLLOWING |
|
Payment Date Adjusted Calendar |
LEG_PAY_ADJ_CAL |
Calendar(s) used to apply the business day convention for payments |
USNY |
|
Payment Days Offset |
LEG_PAY_DAYS_OFFSET |
Offset used to determine the payment date |
2D |
|
Payment Day Type |
LEG_PAY_DAY_TYPE |
The type of days to use to find the payment date |
Business |
|
Day Count Convention |
LEG_DAYCOUNT |
Day count convention to use for calculation of periods |
30/360 |
|
Calculation Period Adjusted Business Day Convention |
LEG_CALC_PER_ADJ_BUS_DAY_CONV |
Business day convention for calculation of Period date adjustments |
MODFOLLOWING |
|
Calculation Period Adjusted Calendar |
LEG_CALC_PER_ADJ_CAL |
Calendar(s) used for calculation of period date adjustment |
USNY |
|
Calculation Frequency |
LEG_CALC_FREQ |
Calculation Frequency, also known as the compounding frequency for compounded swaps |
3M |
|
Compounding Method |
LEG_COMP_METHOD |
The method used for compounding |
Flat |
|
Floating Index |
LEG_INDEXL |
Floating Index specification |
GBP-LIBOR-BBA |
|
Floating Index tenor |
LEG_INDEX_TENOR |
Floating Index Tenor |
3M |
|
Reset Frequency |
LEG_RESET_FREQ |
Frequency of the rate reset |
1M |
|
Reset Date Relative to |
LEG_RESET_REL_TO |
Specifies reset relative to the beginning of the period or end of the period |
BEG_PER |
|
Reset Date Adjusted Business Day Convention |
LEG_RESET_DATE_ADJ_BUS_DAY_CONV |
Business day convention used to adjust the reset date if the date falls on a holiday or weekend. |
MODFOLLOWING |
|
Reset Date Adjusted Calendar |
LEG_RESET_DATE_ADJ_CAL |
Calendar(s) used for calculation of reset date adjustment |
GBLO |
|
Fixing Date Offset |
LEG_FIXING_DATE_OFFSET |
Offset used to determine the fixing date |
2D |
|
Fixing Day Type |
LEG_FIXING_DAY_TYPE |
The type of days to use to find the fixing date |
Business |
|
Fixing Date Business Day Convention |
LEG_FIXING_DATE_BUS_DAY_CONV |
Date adjustment used to determine the Reset date |
PRECEDING |
|
Fixing Date Calendar |
LEG_FIXING_DATE_CAL |
Calendars to use when adjusting the fixing date |
USNY, GBLO |
|
First Period Fixing Date Offset |
INITIAL_FIXING_DATE_OFFSET |
Applies to first period only. Offset used to determine the fixing date |
2D |
|
First Period Fixing Day Type |
INITIAL_FIXING_DAY_TYPE |
Applies to first period only. The type of days to use to find the fixing date |
Business |
|
First Period Fixing Date Business Day Convention |
INITIAL_FIXING_DATE_BUS_DAY_CONV |
Applies to first period only. Date adjustment used to determine the Reset date |
PRECEDING |
|
First Period Fixing Date Calendar |
INITIAL_FIXING_DATE_CAL A |
Applies to first payment period only. Calendars to use when adjusting the fixing date |
GBLO |
|
Calculation Period Number of Days (FRA) |
CALC_PER_NUMBER_OF_DAYS |
The number of days from the adjusted start date to the adjusted end date calculated in accordance with the applicable day count fraction |
183 |
|
FRA Discounting |
FRA_DISCOUNTING |
Specifies whether discounting applies and, if so, what type |
ISDA |
|
Averaging Method |
LEG_AVERAGING_METHOD |
Specifies method of averaging used on Fed Funds leg |
Weighted |
|
Rate Cutoff Days Offset |
LEG_RATE_CUTOFF_DAYS_OFFSET |
Specifies the number of days to apply the final fixing rate |
-2D |
|
Rate Cutoff Days Day Type |
LEG_RATE_CUTOFF_DAY_TYPE |
The type of days used to apply the Rate Cutoff Days Offset |
Business Calendar |
|
FX Fixing Rate Source |
CALC_PER_NUMBER_OF_DAYS |
The source of FX rate for non-deliverable coupon amounts |
BRL.PTAX/BRL09 |
|
FX Fixing Date Offset |
LEG_FX_FIXING_DATE_OFFSET |
Offset from maturity to find the FX Fixing Date |
-1D |
|
FX Fixing Day Type |
LEG_FX_FIXING_DAY_TYPE |
Business or calendar |
Business |
|
FX Fixing Date Business Day Convention |
LEG_FX_FIXING_DATE_BUS_DAY_CONV |
Business day convention to determine the FX Fixing Date |
PRECEDING |
|
FX Fixing Rate Calendar |
LEG_FX_FIXING_DATE_C |
Holiday calendars used to determine the FX Fixing Date |
BRBD, USNY |
|
Trade Specific |
|||
|
Start Date |
LEG_START_DATE |
Effective date of the leg (or FRA) |
8/2/2023 |
|
Maturity Date |
LEG_MAT_DATE |
Maturity date of the leg (or FRA) |
8/2/2023 |
|
Roll Convention |
LEG_ROLL_CONV |
|
15 |
|
Spread |
LEG_SPREAD |
Spread to apply on top of the floating index |
0.5 |
|
Notional |
LEG_NOTIONAL |
Notional amount of the leg |
1000000 |
|
Fixed Rate |
LEG_FIXED_RATE |
The fixed rate of the leg |
|
|
Initial Rate |
LEG_INITIAL_RATE |
Initial rate of the leg |
|
|
Future Value Notional |
LEG_FUTURE_VALUE_NOTIONAL |
Notional value as at the maturity date |
1000000 |
|
Settlement Currency |
LEG_SETTLEMENT_CCY |
Cashflows settle in this currency |
USD |
|
Stub Specific |
|||
|
Stub Type |
LEG_STUB_TYPE |
Designates the type of stub. |
ShortInitial |
|
First Regular Period Start Date |
LEG_FIRST_REG_PER_START_DATE |
First regular period start date on this leg. This is when the stub period ends and the regular periods start |
8/2/2023 |
|
Last Regular Period End Date |
LEG_LAST_REG_PER_END_DATE |
Last regular period start date on this leg. This is when the regular periods end and the stub period starts |
8/2/2023 |
|
Initial Stub Rate |
LEG_INITIAL_STUB_RATE |
Initial Stub Rate |
|
|
Initial Stub Rate of Second Index |
LEG_INITIAL_STUBRATE_INDEX2 |
For Initial Stub specify the second index and tenor to be used for interpolating rate for this period |
2W |
|
Final Stub Rate of First Index |
LEG_FINAL_STUBRATE_INDEX1 |
For Final Stub provide the index and tenor to be used for this stub period |
1M |
|
Final Stub Rate of Second Index |
LEG_FINAL_STUBRATE_INDEX2 |
For Final Stub specify the second index and tenor to be used for interpolating rate for this period |
1W |
|
Notional Step Schedule |
|||
|
Initial Value |
LEG_INITIAL_VALUE |
Original Notional Amount |
10000000 |
|
Step Date |
LEG_STEP_DATE |
The date on which the associated stepValue becomes effective. This day may be subject to adjustment in accordance with the business day convention and calendar(s) of the Calculation Period. 10/12/2023 |
10/12/2023 |
|
Step Value |
LEG_STEP_VALUE |
The non-negative amount which becomes effective on the associated stepDate. |
8000000 |
