Security Import File Format Requirements

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Security Import File Format—IRR-Solutions® II

 

General Notes:

•All fields must be contained within double quotes “” and be comma separated
•All records are fixed format; fields not applicable will need to be substituted with two empty quotes.
•All dates must be mm/dd/yyyy format (ex. 08/26/2003)
•Each security record should be followed by its factor, rate, and shock records
•5 digit portfolio number field will be assigned by FinSer

Codes:

 

Scenario codes:

21 = +-0

23 = Down 300

24 = Down 200

25 = Down 100

26 = Up 100

27 = Up 200

28 = Up 300

 

Types of Records:

 

Date Record:

 

•First record in file
•Only one record per file
•Fields:

Date Record Code “D”

Portfolio number

Date

 

Example: "D","10613","07/31/2003"

 

Security Record:

 

•Fields:

Security Record Code “H”

Cusip

Description

Maturity Date

Current Rate

Payment Day of Month

FAS107 Code

Rate Type   (F = Fixed, L = Floating, A = Adjustable)

Return Cusip (Leave blank)

Call Date (if applicable)

Seq (unique; identifies different portions of the same cusip, if multiple portions are owned)

GL Branch BS (Balance Sheet)

GL Account BS

GL Branch IS (Income Statement)

GL Account IS

Original Face Value

Current Book Value

Current Book Price

Current Yield

 

Example: "H","005454AR4","SAMPLE","12/01/2012","6","1","D","F","","12/01/2003","100351","8",
"110360","8","405110","50000","51014.24","102.028474482759","4.864819"

 

Factor Records:

 

•One record for each factor
•Fields:

Factor Record Code “F”

Scenario Code

Factor Date

Factor

 

Example: "F","21","03/01/1993","1"

 

Rate Change Records:

 

•One record for each rate change
•Fields:

Rate Change Record Code “R”

Scenario Code

Effective Date

Rate

 

Example: "R","23","03/01/2004","2.321"

 

Shock Records:

 

•One record for each scenario
•Fields:

Shock Record Code “S”

Scenario

Net Gain/Loss

Yield

Present Value

Prepay Speed

 

Example: "S","21","11948.0700000001","2.81723","535391.06","15"