Trade loader for CDS

This page details the Strata CSV format for loading CDS. See the overview page for details of other assets classes.

Trade loader file format

The trades file is a CSV-formatted file. The columns may be specified in any order. The CSV format is flexible, and the input can specify trades in various ways.

Swaps can be specified using two different column sets - by convention and by full details. The two column sets can be mixed in the same file. In addition, a single file can contain other asset classes, such as FRAs or FX. Just add the union of the column headers and fill in the necessary data on a row by row basis.

Example

This example file specifies a Swap trade by convention.

Strata Trade Type, Id Scheme, Id,     Trade Date, Convention,   Buy Sell, Tenor, Notional, Fixed Rate, Legal Entity Id
CDS,               OG,        123411, 2017-06-01, GBP-STANDARD, Buy,      P5Y,   2000000,  0.4,        RISKY-CORP

Note that Microsoft Excel prefers the CSV file to have no spaces after the comma.

CDS by convention

These columns are used when loading a CDS trade by convention. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Description
Strata Trade Type Mandatory The type of the trade, “CDS”, case insensitive
Start Date Conditional The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Conditional The unadjusted end date, such as “2022-06-01”, see accepted formats
Tenor Conditional The period from the start date to the end date, such as “P5Y” or “5Y”, see accepted formats
Convention Mandatory The Swap convention, such as “GBP-STANDARD”
Buy Sell Mandatory Whether the Swap is “Buy” or “Sell”
Notional Mandatory The notional amount, currency defined by the convention
Fixed Rate Mandatory The fixed rate, as a percentage, such as “1.2” for 1.2%
Legal Entity Id Scheme Optional The scheme (symbology) within which the legal entity identifier is unique, default “OG-Entity”
Legal Entity Id Mandatory The legal entity identifier

Valid combinations of conditional fields are as follows (other combinations are not allowed):

  • “Start Date” and “End Date”
  • “Trade Date” and “Tenor”

CDS by full details

These columns are used when loading a CDS trade by full details. See also the overview page for additional optional columns that can be used to specify the identifier and counterparty.

Column name Mandatory? Description
Strata Trade Type Mandatory The type of the trade, “CDS”, case insensitive
Buy Sell Mandatory Whether the Swap is “Buy” or “Sell”
Currency Mandatory The currency of the notional amount
Notional Mandatory The notional amount
Fixed Rate Mandatory The fixed rate, as a percentage, such as “1.2” for 1.2%
Legal Entity Id Scheme Optional The scheme (symbology) within which the legal entity identifier is unique, default “OG-Entity”
Legal Entity Id Mandatory The legal entity identifier
Premium Direction Optional The premium direction, “Pay” or “Receive”
Premium Currency Optional The premium currency, such as “GBP”
Premium Amount Optional The premium amount, in the premium currency, positive with direction defined by Pay/Receive
Premium Date Optional The premium date, such as “2017-06-01”, see accepted formats
Premium Date Convention Optional The premium business day convention, such as “Following” or “ModifiedFollowing”
Premium Date Calendar Optional The premium holiday calendar to use, such as “GBLO”
Day Count Optional The day count convention, defaults to “Act/360”
Payment On Default Optional Whether the accrued premium is paid in the event of a default, “AccruedPremium” or “None”, defaults to “AccruedPremium”
Protection Start Optional When the protection starts on the start date, “Beginning” or “None”, defaults to “Beginning”
Step In Date Offset Days Optional The step in date offset in days, defaults to no offset
Step In Date Offset Calendar Optional The step in date offset calendar, defaults to “NoHolidays”
Step In Date Offset Adjustment Convention Optional The step in date offset adjustment business day convention
Step In Date Offset Adjustment Calendar Optional The step in date offset adjustment holiday calendar
Settlement Date Offset Days Optional The settlement date offset in days, defaults to no offset
Settlement Date Offset Calendar Optional The settlement date offset calendar, defaults to “NoHolidays”
Settlement Date Offset Adjustment Convention Optional The settlement date offset adjustment business day convention
Settlement Date Offset Adjustment Calendar Optional The settlement date offset adjustment holiday calendar
Start Date Mandatory The unadjusted start date, such as “2017-06-01”, see accepted formats
End Date Mandatory The unadjusted end date, such as “2022-06-01”, see accepted formats
Frequency Mandatory The payment frequency, such as “P3M” or “3M”
Date Convention Optional The payment date business day convention, such as “Following”, defaults to “ModifiedFollowing”
Date Calendar Optional The payment date holiday calendar to use, such as “GBLO”
Start Date Convention Optional The start date business day convention
Start Date Calendar Optional The start date holiday calendar
End Date Convention Optional The end date business day convention
End Date Calendar Optional The end date holiday calendar
Roll Convention Optional The roll convention, such as “Day21” or “EOM”
Stub Convention Optional The stub convention, such as “ShortFinal”, defaults to “SmartInitial”
First Regular Start Date Optional The unadjusted start date of the first regular accrual period, such as “2017-09-01”, see accepted formats
Last Regular End Date Optional The unadjusted end date of the last regular accrual period, such as “2022-03-01”, see accepted formats