Derivative Schema


A derivative is a contract which derives its value from an underlying reference index, security or asset.

Properties

Name Description Type Enum
id
The unique identifier for the derivative within the financial institution.
string -
date
The observation or effective date for the data in this object. Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
deal_id
The unique identifier used by the financial institution for the deal to which this derivative belongs.
string -
accounting_treatment
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
cb_or_demandheld_for_tradingfv_thru_pnlfv_mandatorilyfv_ociamortised_costheld_for_hedgeavailable_for_saleloans_and_recsheld_to_maturity
accrued_interest
The accrued interest since the last payment date and due at the next payment date. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
asset_class
The asset class to which the derivative belongs.
string
cocrcr_indexcr_singleeqeq_indexeq_singlefxirenergyoilgascoalelectricitymetalssilvergoldagrisugarcoffeecornother
asset_liability
Is the derivative a financial asset or a financial liability on a firm's balance sheet?
string
assetliability
balance
Outstanding amount including accrued interest. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
base_rate
The base rate represents the basis of the rate on the balance at the given date as agreed in the terms of the financial product.
string
ZEROUKBRBASEFDTR
break_dates
Dates where this contract can be broken (by either party). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
array -
call_dates
Dates where this contract can be called (by the customer). Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
array -
currency_code
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
AEDAFNALLAMDANGAOAARSAUDAWGAZNBAMBBDBDTBGNBHDBIFBMDBNDBOBBOVBRLBSDBTNBWPBYNBZDCADCDFCHECHFCHWCLFCLPCNYCOPCOUCRCCUCCUPCVECZKDJFDKKDOPDZDEGPERNETBEURFJDFKPGBPGELGHSGIPGMDGNFGTQGYDHKDHNLHRKHTGHUFIDRILSINRIQDIRRISKJMDJODJPYKESKGSKHRKMFKPWKRWKWDKYDKZTLAKLBPLKRLRDLSLLYDMADMDLMGAMKDMMKMNTMOPMRUMURMVRMWKMXNMXVMYRMZNNADNGNNIONOKNPRNZDOMRPABPENPGKPHPPKRPLNPYGQARRONRSDRUBRWFSARSBDSCRSDGSEKSGDSHPSLLSOSSRDSSPSTNSYPSZLTHBTJSTMTTNDTOPTRYTTDTWDTZSUAHUGXUSDUSNUSSUYIUYUUYWUZSVESVNDVUVWSTXAFXAGXAUXBAXBBXBCXBDXCDXDRXOFXPDXPFXPTXSUXTSXUAXXXYERZARZMWCNH
customer_id
The unique identifier used by the financial institution to identify the customer for this product.
string -
delta
Price sensitivity to the underlying.
number -
end_date
YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601
string -
fvh_level
Fair value hierarchy category according to IFRS 13.93 (b)
integer -
first_payment_date
The first payment date for interest payments.
string -
gamma
Second-order price sensitivity to the underlying or rate of change of the delta.
number -
implied_vol
Options: implied volatility used to compute mtm and greeks.
number -
initial_margin
Upfront margin posted/received for the trade. Monetary type as integer number of cents.
integer -
insolvency_rank
The insolvency ranking as per the national legal framework of the reporting institution.
integer -
last_payment_date
The final payment date for interest payments, often coincides with end_date.
string -
mna_id
The unique identifier of the Master Netting Agreement for this derivative cash flow.
string -
mtm_clean
The mark-to-market value of the derivative excluding interest. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
mtm_dirty
The mark-to-market value of the derivative including interest. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
next_exercise_date
The next date at which the option can be exercised.
string -
next_payment_amount
The amount that will need to be paid at the next_payment_date. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
next_payment_date
The next date at which interest will be paid or accrued_interest balance returned to zero.
string -
next_receive_amount
The amount that is expected to be received at the next_receive_date. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
next_receive_date
The next date at which interest will be received or accrued_interest balance returned to zero.
string -
next_reset_date
The date on which the periodic payment term and conditions of a contract agreement are reset/re-established.
string -
notional_amount
The notional value is the total value with regard to a derivative's underlying index, security or asset at its spot price in accordance with the specifications (i.e. leverage) of the derivative product. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
on_balance_sheet
Is the derivative reported on the balance sheet of the financial institution?
boolean -
payment_type
The type of the payment leg.
string
fixedfloating
prev_payment_date
The most recent previous date at which interest was paid or accrued_interest balance returned to zero.
string -
product_name
The name of the product as given by the financial institution to be used for display and reference purposes.
string -
purpose
The purpose for which the derivative is being held.
string
reference
rate
The full interest rate applied to the derivative notional in percentage terms. Note that this therefore includes the base_rate (ie. not the spread).
number -
receive_type
The type of the receive leg.
string
fixedfloating
regulatory_book
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
trading_bookbanking_book
reporting_lei
The LEI code for the legal entity under which the derivative is being reported.
string -
reporting_entity_name
The name of the reporting legal entity for display purposes (as LEI code may not be available).
string -
rho
Price sensitivity to interest rates.
number -
risk_country_code
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
AFAXALDZASADAOAIAQAGARAMAWAUATAZBSBHBDBBBYBEBZBJBMBTBOBQBABWBVBRIOBNBGBFBICVKHCMCAKYCFTDCLCNCXCCCOKMCGCDCKCRCIHRCUCWCYCZDKDJDMDOECEGSVGQEREEETFKFOFJFIFRGFPFTFGAGMGEDEGHGIGRGLGDGPGUGTGGGNGWGYHTHMVAHNHKHUISINIDIRIQIEIMILITJMJPJEJOKZKEKIKPKRKWKGLALVLBLSLRLYLILTLUMOMKMGMWMYMVMLMTMHMQMRMUYTMXFMMDMCMNMEMSMAMZMMNANRNPNLNCNZNINENGNUNFMPNOOMPKPWPSPAPGPYPEPHPNPLPTPRQARERORURWBLSHKNLCMFPMVCWSSMSTSASNRSSCSLSGSXSKSISBSOZAGSSSESLKSDSRSJSZSECHSYTWTJTZTHTLTGTKTOTTTNTRTMTCTVUGUAAEGBUSUMUYUZVUVEVNVGVIWFEHYEZMZWAAQMQNQOQPQQQRQSQTQUQVQWQXQYQZXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZZZ
settlement_type
The type of settlement for the contract.
string
cashphysical
source
The source(s) where this data originated. If more than one source needs to be stored for data lineage, it should be separated by a dash. eg. Source1-Source2
string -
start_date
The timestamp that the trade or financial product commences. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
theta
Price sensitivity with respect to time.
number -
type
This is the type of the derivative with regards to common regulatory classifications.
string
vanilla_swapmtm_swapoptioncall_swaptionput_swaptioncall_optionput_optionfutureforwardtarfxccycds
trade_date
The timestamp that the trade or financial product terms are agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
underlying_derivative_id
The unique identifier used by the financial institution to identify the underlying reference derivative for this derivative.
string -
underlying_issuer_id
The unique identifier used by the financial institution to identify the underlying reference issuer for this derivative.
string -
underlying_security_id
The unique identifier used by the financial institution to identify the underlying reference security for this derivative.
string -
underlying_price
Current price/value of the underlying.
number -
underlying_strike
Strike price on the underlying.
number -
value_date
The timestamp that the derivative was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
vega
Price sensitivity to volatility.
number -
version_id
The version identifier of the data such as the firm's internal batch identifier.
string -

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