layouttitle
schemaderivative

Derivative Extended Schema

Extended derivative schema containing all jurisdiction-specific extensions.

Properties

NameDescriptionTypeEnum
id
The unique identifier for the record within the firm.
string-
date
The observation or value date for the data in this object. Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
accounting_treatment
The accounting treatment in accordance with IAS/IFRS9 accounting principles.
string
amortised_cost, available_for_sale, cb_or_demand, deed_in_lieu, fv_mandatorily, fv_oci, fv_thru_pnl, held_for_hedge, held_for_invest, held_for_invest_fvo, held_for_sale, held_for_trading, held_to_maturity, loans_and_recs, ntnd_cost_based, ntnd_fv_equity, ntnd_fv_pl, other_gaap, trading_gaap, 
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
agri, co, co_other, coal, coffee, corn, cr, cr_index, cr_single, electricity, energy, eq, eq_index, eq_single, fx, gas, gold, inflation, ir, metals, oil, other, palladium, platinum, precious_metals, silver, sugar, 
asset_liability
Is the data an asset, a liability, or equity on the firm’s balance sheet?
string
asset, equity, liability, pnl, 
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
FDTR, FESR, UKBRBASE, USTSR, ZERO, bbsw, bbsw_3m, euribor, euribor_1m, euribor_3m, euribor_6m, other, pboc, sofr, sofr_1m, sofr_3m, sofr_6m, 
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-
ccr_approach
Specifies the approved counterparty credit risk methodology for calculating exposures.
string
imm, oem, sa, ssa, 
cost_center_code
The organizational unit or sub-unit to which costs/profits are booked.
string-
country_code
Two-letter country code as defined according to ISO 3166-1 plus ISO allowed, user-assignable codes (AA, QM to QZ, XA to XZ, and ZZ).
string
AA, AD, AE, AE-AJ, AE-AZ, AE-DU, AE-FU, AE-RK, AE-SH, AE-UQ, AF, AG, AI, AL, AM, AO, AQ, AR, AS, AT, AU, AW, AX, AZ, BA, BB, BD, BE, BF, BG, BH, BI, BJ, BL, BM, BN, BO, BQ, BR, BS, BT, BV, BW, BY, BZ, CA, CA-AB, CA-BC, CA-MB, CA-NB, CA-NL, CA-NS, CA-NT, CA-NU, CA-ON, CA-PE, CA-QC, CA-SK, CA-YT, CC, CD, CF, CG, CH, CI, CK, CL, CM, CN, CO, CR, CU, CV, CW, CX, CY, CZ, DE, DJ, DK, DM, DO, DZ, EC, EE, EG, EH, ER, ES, ET, FI, FJ, FK, FM, FO, FR, GA, GB, GD, GE, GF, GG, GH, GI, GL, GM, GN, GP, GQ, GR, GS, GT, GU, GW, GY, HK, HM, HN, HR, HT, HU, ID, IE, IL, IM, IN, IO, IQ, IR, IS, IT, JE, JM, JO, JP, KE, KG, KH, KI, KM, KN, KP, KR, KW, KY, KZ, LA, LB, LC, LI, LK, LR, LS, LT, LU, LV, LY, MA, MC, MD, ME, MF, MG, MH, MK, ML, MM, MN, MO, MP, MQ, MR, MS, MT, MU, MV, MW, MX, MY, MZ, NA, NC, NE, NF, NG, NI, NL, NO, NP, NR, NU, NZ, OM, PA, PE, PF, PG, PH, PK, PL, PM, PN, PR, PS, PT, PW, PY, QA, QM, QN, QO, QP, QQ, QR, QS, QT, QU, QV, QW, QX, QY, QZ, RE, RO, RS, RU, RW, SA, SB, SC, SD, SE, SG, SH, SI, SJ, SK, SL, SM, SN, SO, SR, SS, ST, SV, SX, SY, SZ, TC, TD, TF, TG, TH, TJ, TK, TL, TM, TN, TO, TR, TT, TV, TW, TZ, UA, UG, UM, US, US-AK, US-AL, US-AR, US-AZ, US-CA, US-CO, US-CT, US-DC, US-DE, US-FL, US-GA, US-HI, US-IA, US-ID, US-IL, US-IN, US-KS, US-KY, US-LA, US-MA, US-MD, US-ME, US-MI, US-MN, US-MO, US-MS, US-MT, US-NC, US-ND, US-NE, US-NH, US-NJ, US-NM, US-NV, US-NY, US-OH, US-OK, US-OR, US-PA, US-RI, US-SC, US-SD, US-TN, US-TX, US-UT, US-VA, US-VT, US-WA, US-WI, US-WV, US-WY, UY, UZ, VA, VC, VE, VG, VI, VN, VU, WF, WS, XA, XB, XC, XD, XE, XF, XG, XH, XI, XJ, XK, XL, XM, XN, XO, XP, XQ, XR, XS, XT, XU, XV, XW, XX, XY, XZ, YE, YT, ZA, ZM, ZW, ZZ, 
cr_approach
Specifies the approved credit risk rwa calculation approach to be applied to the exposure.
string
airb, eif_fb, eif_lt, eif_mba, firb, sec_erba, sec_sa, sec_sa_lt, std, 
csa_id
The unique identifier of the credit support annex for this derivative
string-
currency_code
Currency in accordance with ISO 4217 standards plus CNH for practical considerations.
string
AED, AFN, ALL, AMD, ANG, AOA, ARS, AUD, AWG, AZN, BAM, BBD, BDT, BGN, BHD, BIF, BMD, BND, BOB, BOV, BRL, BSD, BTN, BWP, BYN, BZD, CAD, CDF, CHE, CHF, CHW, CLF, CLP, CNH, CNY, COP, COU, CRC, CUC, CUP, CVE, CZK, DJF, DKK, DOP, DZD, EGP, ERN, ETB, EUR, FJD, FKP, GBP, GEL, GHS, GIP, GMD, GNF, GTQ, GYD, HKD, HNL, HRK, HTG, HUF, IDR, ILS, INR, IQD, IRR, ISK, JMD, JOD, JPY, KES, KGS, KHR, KMF, KPW, KRW, KWD, KYD, KZT, LAK, LBP, LKR, LRD, LSL, LYD, MAD, MDL, MGA, MKD, MMK, MNT, MOP, MRU, MUR, MVR, MWK, MXN, MXV, MYR, MZN, NAD, NGN, NIO, NOK, NPR, NZD, OMR, PAB, PEN, PGK, PHP, PKR, PLN, PYG, QAR, RON, RSD, RUB, RWF, SAR, SBD, SCR, SDG, SEK, SGD, SHP, SLL, SOS, SRD, SSP, STN, SYP, SZL, THB, TJS, TMT, TND, TOP, TRY, TTD, TWD, TZS, UAH, UGX, USD, USN, USS, UYI, UYU, UYW, UZS, VES, VND, VUV, WST, XAF, XAG, XAU, XBA, XBB, XBC, XBD, XCD, XDR, XOF, XPD, XPF, XPT, XSU, XTS, XUA, XXX, YER, ZAR, ZMW, 
customer_id
The unique identifier used by the financial institution to identify the customer for this product.
string-
deal_id
The unique identifier used by the financial institution for the deal to which this derivative belongs.
string-
default_date
Date of default.
string-
delta
Price sensitivity to the underlying.
number-
ead
The EAD field allows users to input monetary exposure-at-default values across the derivative’s lifecycle. Upon default, this field must be updated to reflect the final realised EAD value — that is, the actual exposure outstanding at the moment of default.
integer-
economic_loss
The definition of loss, used in estimating Loss Given Default for the reporting segment. When measuring economic loss, as opposed to accounting loss
integer-
end_date
YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601
string-
first_payment_date
The first payment date for interest payments.
string-
frr_id
The internal risk rating assigned to a facility based on its specific risk characteristics, including collateral and seniority.
string-
fvh_level
Fair value hierarchy category according to IFRS 13.93 (b)
integer-
gamma
Second-order price sensitivity to the underlying or rate of change of the delta.
number-
hedge_designation
ASU 2017-12 hedge designations allowed in conjunction with partial-term hedging election in ASC 815-20-25-12b(2)(ii). These designations are described in ASC 815-20-25-12A and 815-25-35-13B.
https://asc.fasb.org/1943274/2147480682/815-20-25-12A
https://asc.fasb.org/1943274/2147480295/815-25-35-13B
string
cash_flows, last_of_layer, 
hedge_id
Unique identifier that establishes a relational link between a security and its associated derivative hedge. Enables consistent tracking, aggregation, and reconciliation of hedged positions across systems and datasets.
string-
hedge_sidedness
Whether the hedging instrument provides a one-sided effective offset of the hedged risk, as permitted under ASC 815-20-25-76.
https://asc.fasb.org/1943274/2147480682/815-20-25-76
string
one_sided, two_sided, 
hedge_type
The type of hedge (fair value or cash flow hedge) associated with the holding. Whether it is hedging individually or is hedging as part of a portfolio of assets with similar risk that are hedged as a group in line with ASC 815-20-25-12 (b), ASC 815-20-2512A, or ASC 815-10-25-15.
https://asc.fasb.org/1943274/2147480682/815-20-25-12
https://asc.fasb.org/1943274/2147480682/815-20-25-12A
https://asc.fasb.org/1943274/2147480682/815-10-25-15
string
cf_hedge, fv_hedge, 
hedged_cf_type
The type of cash flow associated with the hedge if it is a cash flow hedge. Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information.
string
interest_only, other, partial, principal_interest, principal_only, 
hedged_risk
The risk being hedged, among the potential hedged risks described under ASC 815-20-25-12 and ASC 815-20-25-15.
https://asc.fasb.org/1943274/2147480682/815-20-25-12
https://asc.fasb.org/1943274/2147480682/815-20-25-15
string
cr, fv_option, fx, fx_cr, ir, ir_cr, ir_fx, ir_fx_cr, other, overall_fv_cf, 
impairment_amount
The impairment amount for a security is the allowance set aside by the firm for losses.
integer-
impairment_status
The recognition stage for the impairment/expected credit loss of the product.
string
doubtful, in_litigation, loss, non_performing, normal, performing, pre_litigation, stage_1, stage_1_doubtful, stage_1_loss, stage_1_normal, stage_1_substandard, stage_1_watch, stage_2, stage_2_doubtful, stage_2_loss, stage_2_normal, stage_2_substandard, stage_2_watch, stage_3, stage_3_doubtful, stage_3_loss, stage_3_normal, stage_3_substandard, stage_3_watch, substandard, watch, 
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_exercise_date
The last date on which an option can be exercised. For European options, it is the option exercise date
string-
last_payment_date
The final payment date for interest payments, often coincides with end_date.
string-
ledger_code
The internal ledger code or line item name.
string-
leg_type
Describe the payoff type of the derivative leg.
string
call, fixed, floating, indexed, put, 
lgd_floored
The final LGD value after the relevant floors have been applied. To be used in the IRB RWA calculations.
number-
lgd_irb
The loss given default as determined by internal ratings-based approach. Expressed as a percentage between 0 and 1. This value is used in regulatory capital calculations.
number-
mic_code
The market identifier code as defined by the International Standards Organisation.
string-
mna_id
The unique identifier of the Master Netting Agreement for this derivative
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-
pd_irb
The probability of default as determined by internal ratings-based approach. Expressed as a percentage between 0 and 1. This value is used in regulatory capital calculations.
number-
position
Specifies the market position, i.e. long or short, of the derivative leg
string
long, short, 
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
back_to_back, client_execution, client_transmission, cva_hedge, 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-
regulatory_book
The type of portfolio in which the instrument is held.
string
banking_book, trading_book, 
reporting_entity_name
The name of the reporting legal entity for display purposes.
string-
reporting_id
The internal ID for the legal entity under which the account is being reported.
string-
resolution_date
Date of resolution of the defaulted facility.
string-
rho
Price sensitivity to interest rates.
number-
risk_country_code
Two-letter country code as defined according to ISO 3166-1 plus ISO allowed, user-assignable codes (AA, QM to QZ, XA to XZ, and ZZ).
string
AA, AD, AE, AE-AJ, AE-AZ, AE-DU, AE-FU, AE-RK, AE-SH, AE-UQ, AF, AG, AI, AL, AM, AO, AQ, AR, AS, AT, AU, AW, AX, AZ, BA, BB, BD, BE, BF, BG, BH, BI, BJ, BL, BM, BN, BO, BQ, BR, BS, BT, BV, BW, BY, BZ, CA, CA-AB, CA-BC, CA-MB, CA-NB, CA-NL, CA-NS, CA-NT, CA-NU, CA-ON, CA-PE, CA-QC, CA-SK, CA-YT, CC, CD, CF, CG, CH, CI, CK, CL, CM, CN, CO, CR, CU, CV, CW, CX, CY, CZ, DE, DJ, DK, DM, DO, DZ, EC, EE, EG, EH, ER, ES, ET, FI, FJ, FK, FM, FO, FR, GA, GB, GD, GE, GF, GG, GH, GI, GL, GM, GN, GP, GQ, GR, GS, GT, GU, GW, GY, HK, HM, HN, HR, HT, HU, ID, IE, IL, IM, IN, IO, IQ, IR, IS, IT, JE, JM, JO, JP, KE, KG, KH, KI, KM, KN, KP, KR, KW, KY, KZ, LA, LB, LC, LI, LK, LR, LS, LT, LU, LV, LY, MA, MC, MD, ME, MF, MG, MH, MK, ML, MM, MN, MO, MP, MQ, MR, MS, MT, MU, MV, MW, MX, MY, MZ, NA, NC, NE, NF, NG, NI, NL, NO, NP, NR, NU, NZ, OM, PA, PE, PF, PG, PH, PK, PL, PM, PN, PR, PS, PT, PW, PY, QA, QM, QN, QO, QP, QQ, QR, QS, QT, QU, QV, QW, QX, QY, QZ, RE, RO, RS, RU, RW, SA, SB, SC, SD, SE, SG, SH, SI, SJ, SK, SL, SM, SN, SO, SR, SS, ST, SV, SX, SY, SZ, TC, TD, TF, TG, TH, TJ, TK, TL, TM, TN, TO, TR, TT, TV, TW, TZ, UA, UG, UM, US, US-AK, US-AL, US-AR, US-AZ, US-CA, US-CO, US-CT, US-DC, US-DE, US-FL, US-GA, US-HI, US-IA, US-ID, US-IL, US-IN, US-KS, US-KY, US-LA, US-MA, US-MD, US-ME, US-MI, US-MN, US-MO, US-MS, US-MT, US-NC, US-ND, US-NE, US-NH, US-NJ, US-NM, US-NV, US-NY, US-OH, US-OK, US-OR, US-PA, US-RI, US-SC, US-SD, US-TN, US-TX, US-UT, US-VA, US-VT, US-WA, US-WI, US-WV, US-WY, UY, UZ, VA, VC, VE, VG, VI, VN, VU, WF, WS, XA, XB, XC, XD, XE, XF, XG, XH, XI, XJ, XK, XL, XM, XN, XO, XP, XQ, XR, XS, XT, XU, XV, XW, XX, XY, XZ, YE, YT, ZA, ZM, ZW, ZZ, 
risk_weight_irb
The internal risk weight represented as a decimal/float such that 1.5% is 0.015.
number-
risk_weight_std
The standardised approach risk weight represented as a decimal/float such that 1.5% is 0.015.
number-
settlement_type
The type of settlement for the contract.
string
cash, physical, 
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-
spread
The additional rate that is added to the relevant index. The paid-spread-over-index rate plus the difference between the fixed coupon on the underlying note and the received fixed rate on the swap. This is represented in basis points (bps). Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information.
integer-
start_date
Contract effective or commencement date; security issue date. Format YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
status
Provides additional information regarding the status of the derivative.
string
free_deliveries, unsettled, 
strike
Strike price of the option, which is compared to the underlying price on the option exercise date.
number-
supervisory_price
Current price/value of the underlying of an option when different from underlying_price, e.g. for Asian-style options.
number-
theta
Price sensitivity with respect to time.
number-
trade_date
The timestamp that the trade or financial product terms are agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
type
This is the type of the derivative with regards to common regulatory classifications.
string
cap_floor, ccds, cds, forward, fra, future, mtm_swap, ndf, nds, ois, option, spot, swaption, vanilla_swap, variance_swap, xccy, 
underlying_currency_code
Currency in accordance with ISO 4217 standards plus CNH for practical considerations.
string
AED, AFN, ALL, AMD, ANG, AOA, ARS, AUD, AWG, AZN, BAM, BBD, BDT, BGN, BHD, BIF, BMD, BND, BOB, BOV, BRL, BSD, BTN, BWP, BYN, BZD, CAD, CDF, CHE, CHF, CHW, CLF, CLP, CNH, CNY, COP, COU, CRC, CUC, CUP, CVE, CZK, DJF, DKK, DOP, DZD, EGP, ERN, ETB, EUR, FJD, FKP, GBP, GEL, GHS, GIP, GMD, GNF, GTQ, GYD, HKD, HNL, HRK, HTG, HUF, IDR, ILS, INR, IQD, IRR, ISK, JMD, JOD, JPY, KES, KGS, KHR, KMF, KPW, KRW, KWD, KYD, KZT, LAK, LBP, LKR, LRD, LSL, LYD, MAD, MDL, MGA, MKD, MMK, MNT, MOP, MRU, MUR, MVR, MWK, MXN, MXV, MYR, MZN, NAD, NGN, NIO, NOK, NPR, NZD, OMR, PAB, PEN, PGK, PHP, PKR, PLN, PYG, QAR, RON, RSD, RUB, RWF, SAR, SBD, SCR, SDG, SEK, SGD, SHP, SLL, SOS, SRD, SSP, STN, SYP, SZL, THB, TJS, TMT, TND, TOP, TRY, TTD, TWD, TZS, UAH, UGX, USD, USN, USS, UYI, UYU, UYW, UZS, VES, VND, VUV, WST, XAF, XAG, XAU, XBA, XBB, XBC, XBD, XCD, XDR, XOF, XPD, XPF, XPT, XSU, XTS, XUA, XXX, YER, ZAR, ZMW, 
underlying_derivative_id
The unique identifier used by the financial institution to identify the underlying reference derivative for this derivative.
string-
underlying_index
The name of a derivative contract underlying which can be used for all derivative asset classes (e.g. interest rate index, credit index, equity index
string-
underlying_index_tenor
The designated maturity of the underlying interest rate index used in the underlying_index property for interest rate derivatives
string
1d, 7d, 28d, 91d, 182d, 1m, 2m, 3m, 4m, 5m, 6m, 7m, 8m, 9m, 12m, 24m, 60m, 120m, 360m, 
underlying_issuer_id
The unique identifier used by the financial institution to identify the underlying reference issuer for this derivative.
string-
underlying_price
Current price/value of the underlying.
number-
underlying_quantity
Number of underlying units related to the underlying_price
number-
underlying_security_id
The unique identifier used by the financial institution to identify the underlying reference security for this derivative.
string-
underlying_strike
Strike price of the option, which is compared to the underlying price on the option exercise date.
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-
period_pnl
The gains and losses in the period of the hedging instrument(s), associated with the hedged_risk and hedged_percentage. Refer to https://www.federalreserve.gov/apps/reportingforms/Report/Index/FR_Y-14Q for more information.
integer-