Security data
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Security data

Overview

The security definition file, or security master, records quantities such as identifier, name, type, currency, maturity, coupon and credit rating for the securities in your portfolio. These are all quantities that change infrequently (or never) over the lifetime of the security.

Each line in the security definition file sets up an individual security. In some cases, a security definition may require multiple rows if its characteristics change over time. In this case, the security ID will be the same on each row, but the security’s effective date will be different on each row.

A security only need be set up once in the security file, even if it used in many portfolios, and unused security definitions are ignored. Therefore, you can use a single security definition file for all your portfolios and benchmarks and add to it over time as the number of securities you trade increases.

Security files must be supplied in comma or tab-delimited ASCII format, without leading or trailing rows. If your data includes commas or tabs, ensure you are using the correct file type. For instance, if commas are present in your security names, save the security master as a tab-delimited txt file.

Standard editing tools such as Excel or Notepad can be used to edit and update files, but note that Excel can change date formats unexpectedly if you open and save a file.

Security file structure

The number of fields required to define a security varies according to its type. However, the data requirements for all securities are identical over the first eleven fields.

Click on the link in the ‘Name’ field to see specific information about each field.

Col
Name
Required
Type
Description
1
🔬Security ID code
Yes
String
Unique ID for each security
2
🔬Security name
Yes
String
Display name for security
3
🔬Classification
No
String
Classifications for security
4
🔬Effective date
No
Date
Date at which record becomes active
5
🔬Pricing function
No
String
Pricing function, if required
6
🔬Risk functions
No
String
Additional sources of risk
7
🔬Effective exposure
No
Integer
Effective exposure
8
🔬Credit rating
No
String
Credit rating
9
🔬Currency
Yes
String
Currency
10
🔬Residual sector
No
String
Residual sector
11
🔬Curves
No
String
YIeld curves for this security
12
🔬Start date
No
Date
Date at which pricing starts
13
🔬Maturity
No
Date
Maturity date
14
🔬Coupon
No
Double
Coupon
15
🔬Frequency
No
Integer
Frequency of payment
16
🔬Strike
No
Double
Strike price
17
🔬Term
No
Double
Term
18
🔬PSA
No
Double
PSA
19
🔬Paydown
No
Double
Paydown
20
🔬Hedge
No
Integer
Hedge
21
🔬Investible
No
Integer
Whether current security is investible in an ESG context
22-128
🔬User-defined
No
String
User defined
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