The generic held-book module of the ILS family. A position names what it holds by NODE PATH — a cat-bond tranche, a bond master, a fund — so equities and bonds fit the same book as insurance-linked securities, and the module never references another module's types.
What ships
- Book — the container: a reporting currency, an inception date and the benchmark it is measured against. Its positions and mark sheets are its children, so one subtree query reads the whole book.
- Position — one holding of any asset class: notional, running yield over a reference rate, expected loss, peril and region, rating, and the dates it was invested and divested. What is held is a node path, never a typed reference.
- MarkSheet — one valuation: every clean price struck on a date, plus the reference-rate fixing that date's accrual runs at. A holding a sheet does not price is carried at its nearest prior mark, or at par.
- Reporting — the cross-book pages: every book with what it holds and its peril concentration, and per book the NAV bridge between consecutive mark sheets against its benchmark.
The NAV bridge
Every period is decomposed rather than asserted: the change in clean value, the spread accrued at ACT/360, the reference rate accrued at the sheet's fixing, and the realised result of what was sold. The period return is P&L over the opening NAV, annualised ACT/365 and set against the benchmark's own dates.
Where ILS meets it
An approved ILS allocation settles into this book as an ordinary position whose instrument is the tranche's node path. The ILS desk then reads the held book back generically — notional, peril and divest date — and this module reads nothing of ILS's. One direction, by path only.