Derivative Cash Flow Schema


A derivative cash flow where two parties exchange cash flows (or assets) derived from an underlying reference index, security or financial instrument.

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 -
accrued_interest
The accrued interest/premium 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
A derivative cash flow exchange that results in a net positive value after the transaction is an asset on the firm's balance sheet. A derivative cash flow exchange that results in a net negative value after the transaction is a liability on the firm's balance sheet.
string
assetliability
balance
The contractual balance due on the payment date in the currency given. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
currency_code
A derivative cash flow where two parties exchange cash flows (or assets) derived from an underlying reference index, security or financial instrument.
string
AEDAFNALLAMDANGAOAARSAUDAWGAZNBAMBBDBDTBGNBHDBIFBMDBNDBOBBOVBRLBSDBTNBWPBYNBZDCADCDFCHECHFCHWCLFCLPCNYCOPCOUCRCCUCCUPCVECZKDJFDKKDOPDZDEGPERNETBEURFJDFKPGBPGELGHSGIPGMDGNFGTQGYDHKDHNLHRKHTGHUFIDRILSINRIQDIRRISKJMDJODJPYKESKGSKHRKMFKPWKRWKWDKYDKZTLAKLBPLKRLRDLSLLYDMADMDLMGAMKDMMKMNTMOPMRUMURMVRMWKMXNMXVMYRMZNNADNGNNIONOKNPRNZDOMRPABPENPGKPHPPKRPLNPYGQARRONRSDRUBRWFSARSBDSCRSDGSEKSGDSHPSLLSOSSRDSSPSTNSYPSZLTHBTJSTMTTNDTOPTRYTTDTWDTZSUAHUGXUSDUSNUSSUYIUYUUYWUZSVESVNDVUVWSTXAFXAGXAUXBAXBBXBCXBDXCDXDRXOFXPDXPFXPTXSUXTSXUAXXXYERZARZMWCNH
customer_id
Counterparty to the cash flow
string -
derivative_id
Unique identifier to the derivative to which this cash flow relates
string -
leg
The type of the payment leg.
string
payreceive
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 cash flow excluding interest/premium/coupons. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
mtm_dirty
The mark-to-market value of the derivative cash flow including interest/premium/coupons. Monetary type represented as a naturally positive integer number of cents/pence.
integer -
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 financial product reported on the balance sheet of the financial institution?
boolean -
payment_date
The timestamp that the cash flow will occur or was paid. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
product_name
The name of the product as given by the financial institution to be used for display and reference purposes.
string -
regulatory_book
A derivative cash flow where two parties exchange cash flows (or assets) derived from an underlying reference index, security or financial instrument.
string
trading_bookbanking_book
reporting_lei
The LEI code for the legal entity under which the security 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 -
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 -
trade_date
The date that the derivative cash flow terms were agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
value_date
The timestamp that the cash flow was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string -
version_id
The version identifier of the data such as the firm's internal batch identifier.
string -

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