Investments/Borrowings Extract(s)

Coterminous transfer pricing of investments and borrowings is not required, but the results generally add to the quality of the model.

Usually this data provided in a spreadsheet, dumped from an investment accounting system.

Field Name	Notes
Security ID number	Usually this is the CUSIP.
Security Description
Type Code	For example, a code indicating the security is a mortgage-backed security in the available-for-sale portfolio.
Settlement date
Last rate change date	(if applicable)
Next rate change date	(if applicable)
Maturity date
Convertible date	For convertible borrowings
Book value
Yield to maturity/borrowing interest rate
Yield to call	(if applicable)
Effective Duration as of purchase date (held constant)	(if applicable/available)