layouttitleschemas
propertytypeaccount,agreement,collateral,customer,derivative_cash_flow,derivative,entity,guarantor,issuer,loan_transaction,loan,security

type


customer, issuer, guarantor, entity

Customer, issuer, guarantor and entity schemas share a lot of common type attributes so they are grouped together here. Also, due to the complexity of this property, the variety of reporting granularity and the larger issue of data quality at firms, the fields are not all mutually exclusive and should be thought of more as a tree rather than unique items:

├── individual
│   ├── partnership
│   └── natural_person
├── corporate
│   ├── charity
│   │   └── community_charity
│   └── sme
│       └── supported_sme
├── financial
│   ├── credit_institution
│   │   ├── merchant_bank
│   │   ├── building_society
│   │   ├── state_owned_bank
│   │   └── promotional_lender
│   ├── investment_firm
│   │   ├── ciu
│   │   ├── pension_fund
│   │   └── mmkt_fund
│   ├── sspe
│   ├── pic
│   ├── insurer
│   ├── financial_holding
│   └── other_financial
├── ccp
│   └── qccp
├── central_bank
├── mdb
├── credit_union
├── deposit_broker
├── pse
│   ├── local_authority
│   ├── regional_govt
│   ├── central_govt
│   ├── public_corporation
│   ├── social_security_fund
│   ├── statutory_board
│   └── other_pse
├── sovereign
├── intl_org
├── unincorporated_biz
└── other

individual

Individual is a UK specific definition which is slightly broader than a natural person and defined in the FCA Handbook Glossary under individual:

(a) a natural person; or (b) a partnership consisting of two or three persons not all of whom are bodies corporate; or (c) an unincorporated body of persons which does not consist entirely of bodies corporate and is not a partnership.

natural_person

Natural person refers to a human being, as you would expect. It is further defined in the Data Protection Directive:

Article 2(a): (a) ... an identifiable person is one who can be identified, directly or indirectly, in particular by reference to an identification number or to one or more factors specific to his physical, physiological, mental, economic, cultural or social identity

partnership

As defined in the FCA Handbook:

(in accordance with section 417(1) of the Act (Definitions)) any partnership, including a partnership constituted under the law of a country or territory outside the United Kingdom, but not including a limited liability partnership.

sme

The definition of an SME is based on a set of criteria, while in theory it is possible for this to be a dynamic field based on other relevant data provided (employee count, turnover etc.), often times the data is unavailable or not current and hence firm may wish to identify SMEs directly. In this scenario, an SME type will be assumed to comply with the EU SME Recommendation, further explained in What is an SME? broadly as:

Company categoryStaff headcountTurnover (or)Balance sheet total
Medium-sized< 250≤ € 50 m≤ € 43 m
Small< 50≤ € 10 m≤ € 10 m
Micro< 10≤ € 2 m≤ € 2 m

supported_sme

An SME with special treatment under the capital adequacy rules, invoking a special multiplier for RWAs

other

Other means it is known to not be one of the other types. If type is unknown it should just be left blank.

ccp

As defined in Article 2(1) of EMIR and the FCA Handbook:

“CCP” means a legal person that interposes itself between the counterparties to the contracts traded on one or more financial markets, becoming the buyer to every seller and the seller to every buyer

From the US FDIC Regulatory Capital Rules:

Central counterparty (CCP) means a counterparty (for example, a clearing house) that facilitates trades between counterparties in one or more financial markets by either guaranteeing trades or novating contracts.

qccp

Article 4 (88) of the CRR:

Qualifying central counterparty (QCCP) means a central counterparty that has been either authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation

financial

Article 411 of the CRR:

financial customer means a customer that performs one or more of the activities listed in Annex I to Directive 2013/36/EU as its main business, or is one of the following: (a) a credit institution;

(b) an investment firm;

(c) an SSPE;

(d) a CIU;

(e) a non-open ended investment scheme;

(f) an insurance undertaking;

(g) a financial holding company or mixed-financial holding company.

‘financial sector entity’ means any of the following: (a) an institution;

(b) a financial institution;

(c) an ancillary services undertaking included in the consolidated financial situation of an institution;

(d) an insurance undertaking;

(e) a third-country insurance undertaking;

(f) a reinsurance undertaking;

(g) a third-country reinsurance undertaking;

(h) an insurance holding company;

(i) a mixed-activity holding company

(j) a mixed-activity insurance holding company as defined in point (g) of Article 212(1) of Directive 2009/138/EC;

(k) an undertaking excluded from the scope of Directive 2009/138/EC in accordance with Article 4 of that Directive;

(l) a third-country undertaking with a main business comparable to any of the entities referred to in points (a) to (k);

(m) a building society

mdb

Multilateral Development Banks are defined in the CRR Article 117 as:

The Inter-American Investment Corporation, the Black Sea Trade and Development Bank, the Central American Bank for Economic Integration and the CAF-Development Bank of Latin America shall be considered multilateral development banks. ... (a) the International Bank for Reconstruction and Development;

(b) the International Finance Corporation;

(c) the Inter-American Development Bank;

(d) the Asian Development Bank;

(e) the African Development Bank;

(f) the Council of Europe Development Bank;

(g) the Nordic Investment Bank;

(h) the Caribbean Development Bank;

(i) the European Bank for Reconstruction and Development;

(j) the European Investment Bank;

(k) the European Investment Fund;

(l) the Multilateral Investment Guarantee Agency;

(m) the International Finance Facility for Immunisation;

(n) the Islamic Development Bank.

intl_org

International Organisations are defined in CRR Article 118:

(a) the Union;

(b) the International Monetary Fund;

(c) the Bank for International Settlements;

(d) the European Financial Stability Facility;

(e) the European Stability Mechanism;

(f) an international financial institution established by two or more Member States, which has the purpose to mobilise funding and provide financial assistance to the benefit of its members that are experiencing or threatened by severe financing problems.

corporate

An organisation with government approval to conduct business (or other activities).

sovereign

As defined in the FCA handbook, a sovereign is:

(a) the EU; or

(b) a Member State including a government department, an agency, or a special purpose vehicle of the Member State; or

(c) in the case of a federal Member State, a member of the federation; or

(d) a special purpose vehicle for several Member States; or

(e) an international financial institution established by two or more Member States which has the purpose of mobilising funding and provide financial assistance to the benefit of its members that are experiencing or threatened by severe financing problems; or

(f) the European Investment Bank.

central_bank

A central bank is often a nationalised institution in charge of the production and distribution of money and credit in the system it resides over. It is usually responsible for monetary policy and the regulation of member banks.

regional_govt

A regional government is a government entity that only has control on a specific geographic area.

central_govt

A central government is the government of a nation-state. While some countries may have regional governments that operate autonomously, the central goverment is the governing system that is concerned with issues that affect the entire nation.

local_authority

pse

A public sector entity is defined in the FCA handbook as any of the following:

(a) non-commercial administrative bodies responsible to central governments, regional governments or local authorities; or

(b) authorities that exercise the same responsibilities as regional and local authorities; or

(c) non commercial undertakings owned by central governments that have explicit guarantee arrangements; or

(d) self administered bodies governed by law that are under public supervision.

other_pse

statutory_board

A specific distinction for Singaporean public sector entities. The statutory boards of the Singapore Government are organisations that have been given autonomy to perform an operational function by legal statutes passed as Acts in parliament. The statutes define the purpose, rights and powers of the authority. They usually report to one specific ministry. A more comprehensive list can be found here: Singaporean Statutory Boards

public_corporation

In the UK, public corporations are corporate bodies, sometimes with plc or Ltd in their title. Ownership by government may be total, as in the case of those corporations established by Act of Parliament, or through majority share-holdings. Public control is over broad aspects of policy; public corporations are free to manage their day to day operations independently. Trust ports in Northern Ireland and ports belonging to public corporations continue to be classed as ‘public corporations’, as do certain airport companies, which were set up by local authorities under the terms of the 1986 Airports Act. A list of these entities can be found at www.ons.gov.uk/economy/nationalaccounts/uksectoraccounts/datasets/publicsectorclassificationguide.

social_security_fund

Social security funds are social insurance programmes covering the community as a whole or large sections of the community that are imposed and controlled by a government unit. They generally involve compulsory contributions by employees or employers or both, and the terms on which benefits are paid to recipients are determined by a government unit. Social security funds have to be distinguished from other social insurance programmes which are determined by mutual agreement between individual employers and their employees. Note: This item corresponds to HF.1.2 in the ICHA-HF classification of health care financing (see SHA, chapters 6 and 11). Source Publication: OECD Health Data 2001: A Comparative Analysis of 30 Countries, OECD, Paris, 2001, data sources, definitions and methods. Cross References: Social security funds - SNA

credit_institution

Credit institution is defined in Article 4 of CRR:

(1) ‘credit institution’ means an undertaking the business of which is to take deposits or other repayable funds from the public and to grant credits for its own account

promotional_lender

A promotional lender is defined by the EU here Article 10.1(e):

(ii) any credit institution whose purpose is to advance the public policy objectives of the Union or of the central or regional government or local authority in a Member State predominantly through the provision of promotional loans on a non-competitive, not for profit basis, provided that at least 90 % of the loans that it grants are directly or indirectly guaranteed by the central or regional government or local authority and that any exposure to that regional government or local authority, as applicable, is treated as an exposure to the central government of the Member State in accordance with Article 115(2) of Regulation (EU) No 575/2013;

merchant_bank

merchant bank means:

a merchant bank approved under section 28 of the Monetary Authority of Singapore Act (Cap. 186);

state_owned_bank

Financial institutions where there is majority ownership or control by a government or state.

investment_firm

Investment firm is defined under the Markets in Financial Instruments Directive (MiFID) Article 4(1):

any legal person whose regular occupation or business is the provision of one or more investment services to third parties and/or the performance of one or more investment activities on a professional basis.

Member States may include in the definition of investment firms undertakings which are not legal persons, provided that: (a) their legal status ensures a level of protection for third parties’ interests equivalent to that afforded by legal persons; and (b) they are subject to equivalent prudential supervision appropriate to their legal form. However, where a natural person provides services involving the holding of third party funds or transferable securities, that person may be considered to be an investment firm for the purposes of this Directive and of Regulation (EU) No 600/2014 only if, without prejudice to the other requirements imposed in this Directive, in Regulation (EU) No 600/2014, and in Directive 2013/36/EU, that person complies with the following conditions: (a) the ownership rights of third parties in instruments and funds must be safeguarded, especially in the event of the insolvency of the firm or of its proprietors, seizure, set-off or any other action by creditors of the firm or of its proprietors; (b) the firm must be subject to rules designed to monitor the firm’s solvency and that of its proprietors; (c) the firm’s annual accounts must be audited by one or more persons empowered, under national law, to audit accounts; (d) where the firm has only one proprietor, that person must make provision for the protection of investors in the event of the firm’s cessation of business following the proprietor’s death or incapacity or any other such event.

Organisational requirements under Article 16 of MiFID 2 An investment firm should: a) maintain and operate an effective organisational and administrative arrangements to taking all reasonable steps designed to prevent conflicts of interest affecting the interests of its clients; b) Maintain, operate and review a process for the approval of financial instruments before marketed or distributed to clients, including target market, relevant risks and distribution strategy; c) review regularly the financial instruments offered; d) make available appropriate information on the financial instrument and the product approval process, including target market; e) have in place adequate arrangements to obtain the above information if offers financial instruments that they do not manufacture; f) take reasonable steps to ensure continuity and regularity in the performance of investment services and activities (appropriate and proportionate system, resources and procedures); g) ensure it takes reasonable steps to avoid undue operational risk in the case of outsourcing of critical functions (internal control and ability to monitor the firms compliance with all obligations needs to remain at the firm); h) have sound administrative and accounting procedures, internal control mechanisms, effective procedures for risk assessment and effective control and safeguard arrangements for information processing systems; i) have sound security mechanisms to guarantee the security and authentication of the means of transfer of information, minimise risk of data corruption and unauthorized access and to prevent information leakage maintaining the confidentiality of the data at all times; j) arrange for records to be kept of all services, activities and transactions undertaken which are sufficient to enable the competent authority to fulfil its supervisory tasks to ascertain the investment firm has complied with all relevant obligations; k) records shall include the recording of telephone conversations or electronic communications relate to transactions concluded when dealing on own account and the provision of client order services that relate to the receptions transmission and execution of client orders.

Investment firm is defined in the FCA Handbook as: >(1) any person whose regular occupation or business is the provision of one or more investment services to third parties and/or the performance of one or more investment activities on a professional basis. [Note: article 4(1)(1) of MiFID] > >(2) (in REC) a MiFID investment firm, or a person who would be a MiFID investment firm if it had its head office in the EEA. > >(3) (in IFPRU and BIPRU 12) has the meaning in article 4(1)(2) of the EU CRR. > >(4) (in GENPRU (except GENPRU 3) and BIPRU (except BIPRU 12) any of the following: >(a) a firm in (3); and >(b) a BIPRU firm. > >(5) (in SYSC 19A(IFPRU Remuneration Code)) a firm in (3). > >(6) (in SYSC 19D (Dual-regulated firms Remuneration Code)) a firm in (3) that is a UK designated investment firm.

pension_fund

needs definition

mmkt_fund

Money Market Funds are well defined under the EU legislation for Money Market Funds (MMFR):

This Regulation applies to collective investment undertakings that: (a) require authorisation as UCITS or are authorised as UCITS under Directive 2009/65/EC or are AIFs under Directive 2011/61/EU; (b) invest in short-term assets; and (c) have distinct or cumulative objectives offering returns in line with money market rates or preserving the value of the investment.

In other jurisdictions, money market funds are identifiable based on their investments into ‘money market instruments’ which are typically short-term (< 1 year) and/or undergo regular yield adjustments in line with money markets conditions once per year.

From Directive 2009/65/EC:

Money market instruments comprise transferable instru­ments which are normally dealt in on the money market rather than on the regulated markets, for example treasury and local authority bills, certificates of deposit, commer­cial papers, medium-term notes and bankers’ acceptances.

local_firm (inactive)

Local firm is defined by the EU here Article 4(1)(4):

‘local firm’ means a firm dealing for its own account on markets in financial futures or options or other derivatives and on cash markets for the sole purpose of hedging positions on derivatives markets, or dealing for the accounts of other members of those markets and being guaranteed by clearing members of the same markets, where responsibility for ensuring the performance of contracts entered into by such a firm is assumed by clearing members of the same markets

sspe

A securitisation special purpose entity is defined in the FCA Handbook as:

(1) (in accordance with Article 4(44) of the Banking Consolidation Directive (Definitions) and for the purposes of BIPRU) a corporation, trust or other entity, other than a credit institution, organised for carrying on a securitisation or securitisations (within the meaning of paragraph (2) of the definition of securitisation), the activities of which are limited to those appropriate to accomplishing that objective, the structure of which is intended to isolate the obligations of the SSPE from those of the originator, and the holders of the beneficial interests in which have the right to pledge or exchange those interests without restriction.

(2) (in MIPRU) a corporation, trust or other entity that has the following characteristics: (a) it is organised for carrying on a securitisation or securitisations (within the meaning of paragraph (2) of the definition of securitisation); (b) its activities are limited to those appropriate to accomplishing such securitisation or securitisations; and (c) its structure is intended to isolate its obligations from those of the originator.

ciu

A collective investment undertaking is defined by the EU here Article 4(1)(7):

‘collective investment undertaking’ or ‘CIU’ means a UCITS as defined in Article 1(2) of Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (21), including, unless otherwise provided, third-country entities which carry out similar activities, which are subject to supervision pursuant to Union law or to the law of a third country which applies supervisory and regulatory requirements at least equivalent to those applied in the Union, an AIF as defined in Article 4(1)(a) of Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers (22), or a non-EU AIF as defined in Article 4(1)(aa) of that Directive;

insurer

The FCA Handbook defines an insurer as: >a firm with permission to effect or carry out contracts of insurance (other than a UK ISPV ). Where insurance consists of: >(1) (in relation to a specified investment) the investment, specified in article 75 of the Regulated Activities Order (Contracts of insurance), which is rights under a contract of insurance in (2). > >(2) (in relation to a contract) (in accordance with article 3(1) of the Regulated Activities Order (Interpretation)) any contract of insurance which is a long-term insurance contract or a general insurance contract, including: >

(a) fidelity bonds, performance bonds, administration bonds, bail bonds, customs bonds or similar contracts of guarantee, where these are:

(i) effected or carried out by a person not carrying on a banking business;

(ii) not effected merely incidentally to some other business carried on by the person effecting them; and

(iii) effected in return for the payment of one or more premiums;

(b) tontines;

(c) capital redemption contracts or pension fund management contracts, where these are effected or carried out by a person who:

(i) does not carry on a banking business; and

(ii) otherwise carries on the regulated activity of effecting or carrying out contracts of insurance;

(d) contracts to pay annuities on human life;

(e) contracts of a kind referred to in article 2(2)(e) of the Consolidated Life Directive (Collective insurance etc); and

(f) contracts of a kind referred to in article 2(3) of the Consolidated Life Directive (Social insurance);

but not including a funeral plan contract (or a contract which would be a funeral plan contract but for the exclusion in article 60 of the Regulated Activities Order (Plans covered by insurance or trust arrangements)); in this definition, “annuities on human life” does not include superannuation allowances and annuities payable out of any fund applicable solely to the relief and maintenance of persons engaged, or who have been engaged, in any particular profession, trade or employment, or of the dependants of such persons.

financial_holding

A financial holding copmany is defined by the EU here Article 4(1)(20):

(20) ‘financial holding company’ means a financial institution, the subsidiaries of which are exclusively or mainly institutions or financial institutions, at least one of such subsidiaries being an institution, and which is not a mixed financial holding company;

other_financial

Any other type to be classified as financial but not one of the other types witin financial.

pic

A financial holding copmany is defined by the EU here Article 3:

‘personal investment company’ (‘PIC’) means an undertaking or a trust whose owner or beneficial owner, respectively, is a natural person or a group of closely related natural persons, which was set up with the sole purpose of managing the wealth of the owners and which does not carry out any other commercial, industrial or professional activity. The purpose of the PIC may include other ancillary activities such as segregating the owners’ assets from corporate assets, facilitating the transmission of assets within a family or preventing a split of the assets after the death of a member of the family, provided these are connected to the main purpose of managing the owners’ wealth;

credit_union

A credit union is defined by the FCA as: >A credit union is a financial co-operative owned by its members.

The services that credit unions can offer include:

  • deposit-taking
  • savings
  • lending

These services are regulated activities.

deposit_broker

A deposit broker can be an individual or a firm that facilitates the placement of deposits with insured depository institutions. Deposit brokers offer investors an assortment of fixed-term investment products, which earn low-risk returns.

building_society

A financial institution that offers a variety of savings accounts to attract deposits, mainly from the general public, and which specializes in the provision of long-term mortgage loans used to purchase property. They have entered into arrangements with other financial institutions that have enabled them to provide their depositors with limited banking facilities (the use of cheque books and credit cards, for instance) and other financial services, a development that has been given added impetus by the BUILDING SOCIETIES ACT 1986.

unincorporated_biz

Unincorporated business other than unlimited liability partnerships. Sole traders would fall in this category.

charity

A non-profit institution.

community_charity

Charity serving communities and individuals. Includes non-profit institutions serving households.

Loan

├── mortgage
├── commercial_property
├── personal
├── auto
├── commercial
├── credit_card
├── financial_lease
├── trade_finance
├── credit_facility
├── liquidity_facility
├── multiccy_facility
├── nostro
└── other

trade_finance

From CRR definitions (80):

Trade finance means financing, including guarantees, connected to the exchange of goods and services through financial products of fixed short-term maturity, generally of less than one year, without automatic rollover

auto

As outlined in LCR Article 13(2)(g)(iv):

loans or leases for the financing of motor vehicles or trailers (see Article 3 of Directive 2007/46/EC). agricultural or forestry tractors (see Directive 2003/37/EC) tracked vehicles (see Directive 2007/46/EC) Such loans or leases may include ancillary insurance and service products or additional vehicle parts, and in the case of leases, the residual value of leased vehicles.

personal

As outlined in LCR Article 13(2)(g)(v):

loans and credit facilities to individuals resident in a Member State for personal, family or household consumption purposes.

commercial

As outlined in LCR Article 13(2)(g)(iii):

commercial loans, leases and credit facilities to undertakings established in a Member State to finance capital expenditures or business operations other than the acquisition or development of commercial real estate

commercial_property

This includes commercial loans or mortgages that do not fall under commercial due to their real estate connection and do not classify as mortgage either due to the customer not being an individual or the occupation of the property not being residential.

liquidity_facility

A liquidity_facility means the securitisation position arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors, as outlined in Article 242(3) in CRR.

multiccy_facility

Needs definition

margin

Margin is defined in LCR Article 3(12):

margin loans means collateralised loans extended to customers for the purpose of taking leveraged trading positions.

mortgage

A mortgage is a residential loan to a individuals secured with a one-to-one correspondence to land or property.

As outlined in LCR Article 13(2)(g)(i)

loans secured with a first-ranking mortgage granted to individuals for the acquisition of their main residence

credit_card

A credit_card is credit facility typically secured by a deposit account or equity in the borrower’s property.

credit_facility, multiccy_facility

From Annex I of the CRR, credit facilities are:

agreements to lend, purchase securities, provide guarantees or acceptance facilities

nostro

Nostro loans are the firm’s accounts at other financial institutions which are in effect loans to other firms. Nostros are used in the context of correspondent banking operations which are described by the ECB:

Correspondent banking: an arrangement under which one credit institution provides payment and other services to another credit institution. Payments through correspondents are often executed through reciprocal accounts (nostro and loro accounts) to which standing credit lines may be attached. Correspondent banking services are primarily provided across international boundaries but are also known as agency relationships in some domestic contexts. A loro (vostro) account is the term used by a correspondent to describe an account held on behalf of a foreign credit institution; the foreign credit institution would in turn regard this account as its nostro account.

financial_lease

Needs definition

other

Other refers to a type of security not covered by the above. If you find yourself using this often, please contribute.

Security

├── equity
│   ├── share
│   │   ├── treasury
│   │   └── pref_share
│   └── share_agg
├── debt
│   ├── bond
│   ├── covered_bond
│   ├── convertible_bond
│   ├── frn
│   ├── commercial_paper
│   ├── cd
│   ├── struct_note
│   ├── spv_mortgages
│   ├── spv_other
│   ├── mtn
│   │   └── emtn
│   └── abs
│       ├── abs_auto
│       ├── abs_sme
│       ├── abs_consumer
│       ├── abs_other
│       └── mbs
│           ├── rmbs
│           ├── rmbs_trans
│           └── cmbs
├── guarantee
│   ├── financial_guarantee
│   │   └── financial_sloc
│   └── performance_guarantee
│       ├── warranty
│       ├── performance_bond
│       └── performance_sloc
├── letter_of_credit
├── bill_of_exchange
│   └── acceptance
├── cb_reserve
├── cb_facility
├── cash_ratio_deposit
├── cash
├── index
└── other

cash

A cash or cash-equivalent security such as a securitisation of cash deposits. Within Finrep Annex V part (2)(1)(1.1)(1):

“Cash on hand” includes holdings of national and foreign banknotes and coins in circulation that are commonly used to make payments.

equity

This is a “catch all” term for equity instruments such as share, share_agg to be used when further granularity is not available or not needed.

share, share_agg

Denotes if the security is a share (stock) or represents an aggregate for a portfolio or package of shares.

pref_share

The FCA defines a preference share as:

A share conferring preference as to income or return of capital which does not form part of the equity share capital of a company

treasury

According to IAS 32.33, if an entity reacquires its own equity instruments, those instruments shall be considered treasury shares, and shall be deducted from equity.

debt

This is a “catch all” term for debt of any kind, bond, bond_amortising, covered_bond, abs, residential_mbs, non_residential_mbs, frn, govt_gteed_frn, to be used when further granularity is not available or not needed.

bond

A bond is a type of loan whereby an investor lends money to an entity for a defined period of time at a fixed or floating interest rate.

covered_bond

From the LCR Introduction (8):

Covered bonds are debt instruments issued by credit institutions and secured by a cover pool of assets which typically consist of mortgage loans or public sector debt to which investors have a preferential claim in the event of default. Their secured nature and certain additional safety features, such as the requirement on the issuer to replace non-performing assets in the cover pool and maintain the cover pool at a value exceeding the par value of the bonds (‘asset coverage requirement’), have contributed to make covered bonds relatively low-risk, yield-bearing instruments with a key funding role in mortgage markets of most Member States. In certain Member States outstanding covered bond issuance exceeds the pool of outstanding government bonds. Certain covered bonds of credit quality step 1, in particular, exhibited an excellent liquidity performance during the period from 1 January 2008 to 30 June 2012 analysed by the EBA in its report. Nevertheless the EBA recommended treating these covered bonds as level 2A assets to align with BCBS standards. However, in the light of the considerations made above about their credit quality, liquidity performance and role in the funding markets of the Union, it is appropriate for these credit quality step 1 covered bonds to be treated as level 1 assets. In order to avoid excessive concentration risks and unlike other level 1 assets, the holdings of credit quality step 1 covered bonds in the liquidity buffer should be subject to a 70 % cap of the overall buffer, a minimum 7 % haircut and to the diversification requirement.

convertible_bond

Generally, a convertible_bond is a security which gives the investor the right to convert the security into shares at an agreed price on an agreed basis.

From the European system of national and regional accounts

bonds, which may, at the option of the holder, be converted into the equity of the issuer, at which point they are classified as shares;

emtn, mtn

A Euro medium-term note is a medium-term (less than 5 years), flexible debt instrument that is traded and issued outside of the US and Canada. A medium-term note is the same but is traded in the US and Canada.

commercial_paper

Commercial paper is an unsecured promissory note with a fixed maturity of, typically, not more than 270 days.

cd

A certificate of deposit is also a promissory note, however can only be issued by a bank. It has a fixed maturity and specified fixed interest rate.

bill_of_exchange

Needs definition

cb_facility

Needs definition

struct_note

The FCA defines structured notes as:

a type of fixed-term investment where the amount you earn depends on the performance of a specific market (such as the FTSE 100) or specific assets (such as shares in individual companies)

spv_mortgages, spv_other

A special purpose vehicle is a separate legal entity created to fulfil a certain purpose for the parent.

abs

An asset-backed security is a security whose income payments and hence value are derived from and collateralised (or “backed”) by a specified pool of underlying assets. The pool of assets is typically a group of small and illiquid assets which are unable to be sold individually. Pooling the assets into financial instruments allows them to be sold to general investors, a process called securitisation. This allows the risk of investing in the underlying assets to be diversified because each security will represent a fraction of the total value of the diverse pool of underlying assets. The pools of underlying assets can include common payments from credit cards, auto loans, and mortgage loans, to esoteric cash flows from aircraft leases, royalty payments and movie revenues.

abs_auto

Needs definition

abs_sme

Needs definition

abs_consumer

Needs definition

abs_other

Needs definition

mbs

Needs definition

mtn

Needs definition

performance_bond

Needs definition

rmbs

A residential mortgage-backed security (a subclass of an ABS).

rmbs_trans

This type value is in order to indicate whether the security is subject to transitional provisions for securitisations backed by residential loans: LCR Article 37:

  1. By derogation from Article 13, securitisations issued before 1 October 2015, where the underlying exposures are residential loans as referred to in point (g)(i) of Article 13(2), shall qualify as Level 2B assets if they meet all the requirements set out in Article 13 other than the loan-to-value or loan-to-income requirements set out in that point (g)(i) of Article 13(2).
  1. By derogation from Article 13, securitisations issued after 1 October 2015, where the underlying exposures are residential loans as referred to in point (g)(i) of Article 13(2) that do not meet the average loan-to-value or the loan-to-income requirements set out in that point, shall qualify as Level 2B assets until 1 October 2025, provided that the underlying exposures include residential loans that were not subject to a national law regulating loan-to-income limits at the time they were granted and such residential loans were granted at any time prior to 1 October 2015.

cmbs

A commercial mortgage-backed security (a subclass of an abs).

frn

A floating-rate note is defined in the Money Market Statistics Regulation in Annex II as:

A debt instrument for which the periodic interest payments are calculated on the basis of the value, i.e. through fixing of an underlying reference rate such as Euribor on predefined dates known as fixing dates, and which has a maturity of not more than one year. note: “one year” is defined as transactions with a maturity date of not more than 397 days after the trade date

govt_gteed_frn

A government guaranteed floating-rate note.

cb_reserve

As defined in Finrep Annex V part (2)(1)(1.1)(2)

include balances receivable on demand at central banks.

cash_ratio_deposit

The BofE defines this as:

non-interest bearing deposits lodged with the Bank of England by eligible institutions (ie. banks and building societies), who have reported average eligible liabilities (ELs) of over £600 million over a calculation period. The level of each institution’s CRD is currently calculated twice-yearly (currently in May and November) at 0.18% of average ELs, over the previous six end-calendar months, in excess of £600mn. The value bands and ratios were specified by HM Treasury in the Cash Ratio Deposits (Value Bands and Ratios) Order (2013 No 1189).

guarantee

From EU Supervisory Reporting part 2(9):

‘Financial guarantees’ are contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of the CRR shall be classified as ‘financial guarantees’: (a) Guarantees having the character of credit substitute. (b) Credit derivatives that meet the definition of financial guarantee. (c) Irrevocable standby letters of credit having the character of credit substitutes.

trade_credit_insurance

From the EBA’s report on the NSFR, section 6.2.1 outlines what trade credit insurance is:

A seller providing trade credit is exposed to the credit risk of the buyer. Trade credit insurance provides the seller with protection against the risk of non-payment by the buyer. The nonpayment may be due to the insolvency of the buyer or, in an international trade, due to political risks that prevent payment.

letter_of_credit

From the EBA’s report on the NSFR, section 6.2.2, a letter of credit is:

When goods are traded, the seller and the buyer need to agree on the process of how to pay for the goods. While the buyer may be reluctant to prepay for the traded goods, the seller may also be unwilling to ship the goods before payment is made. In this situation, a bank can intermediate between the trading partners by providing an import letter of credit (L/C) to the buyer of the goods, which guarantees payment to the seller. A L/C is a contingent liability and payment is only made by the bank to the seller from funds in the buyer’s account when the documentation of shipping is presented.

acceptance

From EU Supervisory Reporting part 2(5)(60)(b):

“Acceptances” are obligations by an institution to pay on maturity the face value of a bill of exchange, normally covering the sale of goods. Consequently, they are classified as “trade receivables” on the balance sheet

financial_guarantee

From EU Supervisory Reporting part 2(9):

‘Financial guarantees’ are contracts that require the issuer to make specified payments to reimburse the holder of a loss it incurs, because a specified debtor fails to make payment when due in accordance with the original or modified terms of a debt instrument. Under IFRS or compatible National GAAP, these contracts meet the IAS 39.9 and IFRS 4.A definition of financial guarantee contracts. The following items of Annex I of the CRR shall be classified as ‘financial guarantees’: (a) Guarantees having the character of credit substitute. (b) Credit derivatives that meet the definition of financial guarantee. (c) Irrevocable standby letters of credit having the character of credit substitutes.

financial_sloc

Financial standby letter of credit

performance_sloc

Performance standby letter of credit

performance_guarantee

Needs definition

share_agg

Needs definition

spv_other

Needs definition

urp

Needs definition

warranty

Needs definition

other

Other refers to a type of security not covered by the above. If you find yourself using this often, please contribute.

underlying_type

The receivables or assets underlying the securitisation must be credit claims or receivables with defined terms relating to rental payments or principal and interest payment. Any referenced interest payments should be based on commonly encountered market interest rates and may include terms for caps and floors, but should not reference complex formulae or exotic derivatives. A non-exhaustive list of examples of underlying assets that may comply with the above principles, (subject to meeting all other criteria) could include:

  • residential mortgages,
  • certain commercial real estate mortgages,
  • loans to SMEs,
  • automobile loans/leases,
  • consumer finance loans,
  • credit card receivables, and
  • leasing receivables.

index_linked

Index-linked securities are securities whose notional amount and interest amount are linked on the intial and final values of an index, generally an inflation index.

index

Index securities are reference records recording the details of an index using the index_composition field.

Account

├── bonds
├── call
├── cd
├── credit_card
├── current
├── debit_card (pending)
├── internet_only
├── ira
├── isa
├── money_market
├── non_product
│   ├── amortisation
│   ├── deferred
│   ├── depreciation
│   ├── expense
│   ├── income
│   ├── intangible
│   ├── non_deferred
│   ├── provision
│   ├── reserve
│   ├── suspense
│   └── tangible
├── prepaid_card
├── retail_bonds
├── savings
├── time_deposit
├── vostro
└── other

call

A call account is defined in the Money Market Statistics Regulation in Annex II as:

A debt instrument in which the issuer has a call option, i.e. an option to redeem the instrument early, with a final repayment date of not more than one year from the date of issuance.

cd

A deposit account purely holding certificates of deposit (see cd Security type)

prepaid_card

From the Interchange Fees for Card-based Payments Regulation Article 2(35):

prepaid card means a category of payment instrument on which electronic money, as defined in point 2 of Article 2 of Directive 2009/110/EC, is stored. This can also include cash-loaded smart cards or electronic money schemes, for which pre-payment has been received.

debit_card

From the Interchange Fees for Card-based Payments Regulation Article 2(33) and (4):

debit card means a category of payment instrument that enables the payer to initiate a debit card transaction excluding those with prepaid cards; debit card transaction means a card-based payment transaction, including those with prepaid cards that is not a credit card transaction;

credit_card

A credit card is typically an off-balance sheet, contingent funding obligation whereby a customer has a certian credit limit and may borrow funds at any point, up to that limit, similar to a card-based credit facility.

The Interchange Fees for Card-based Payments Regulation states that:

There are two main types of credit cards available on the market. With deferred debit cards, the total amount of transactions is debited from the cardholder account at a pre-agreed specific date, usually once a month, without interest to be paid. With other credit cards, the cardholder can use a credit facility in order to reimburse part of the amounts due at a later date than specified, together with interest or other costs.

A credit card is then defined in Article 2 (34) and (5) as:

credit card means a category of payment instrument that enables the payer to initiate a credit card transaction; credit card transaction means a card-based payment transaction where the amount of the transaction is debited in full or in part at a pre agreed specific calendar month date to the payer, in line with a prearranged credit facility, with or without interest;

current (checking, demand)

Any transactional account.

bonds

Any account containing notes, bonds or other securities instruments.

retail_bonds

As referenced in the LCR Regulation Article 28 (6) as any account:

containing notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Limitations shall be placed such that those instruments cannot be bought and held by parties other than retail customers.

internet_only

An internet-only account is one that is offered and only accessible via the internet. The FCA defines the internet in their handbook as:

a unique medium for communicating financial promotions as it provides easy access to a very wide audience. At the same time, it provides very little control over who is able to access the financial promotion.

The distinction here linked to financial promotions suggests that internet-only accounts are sold and managed through a higher risk channel and therefore should be regulated spearately to other accounts.

isa

An ISA is an individual savings account which is a scheme of investment satisfying the conditions prescribed in the UK’s ISA Regulations.

ira

A trust created or organized in the United States for the exclusive benefit of an individual or his beneficiaries. See US Code Title 26, S.408

money_market

A money market account is an interest-bearing account that typically pays a higher interest rate than a savings account, and which provides the account holder with limited check-writing ability.

Money market accounts are accounts where the customer’s money has been invested in the “money markets” either directly in money market instruments or money market funds which are described in the 2013 Proposal for the Regulation of Money Market Funds as providing a key component of corporate banking:

On the demand side, MMFs offer a short-term cash management tool that provides a high degree of liquidity, diversification, stability of value combined with a market-based yield. MMFs are mainly used by corporations seeking to invest their excess cash for a short time frame, for example until a major expenditure, such as the payroll, is due.

Money market deposits are mentioned in association with definitions of cash in that they represent claims for the repayment of money.

vostro (loro)

Nostro and vostro (loro) accounts are used in the context of correspondent banking operations which are described in [ECB guidelines on monetary policy instruments][ecb-guidelines] from 2003:

Correspondent banking: an arrangement under which one credit institution provides payment and other services to another credit institution. Payments through correspondents are often executed through reciprocal accounts (nostro and loro accounts) to which standing credit lines may be attached. Correspondent banking services are primarily provided across international boundaries but are also known as agency relationships in some domestic contexts. A loro account is the term used by a correspondent to describe an account held on behalf of a foreign credit institution; the foreign credit institution would in turn regard this account as its nostro account.

savings

An account subject to the European Council Directive on taxation of savings. A savings account essentially does not allow the customer to use funds in the account as a “medium of exchange” such as writing checks or for making ATM withdrawals. Hence, funds are typically not callable immediately and/or incur a withdrawal penalty such as loss of interest. In the US, Regulation D uses the characteristics of the ‘reservation of right’ and ‘convenient’ withdrawals to describe savings accounts:

In order to classify an account as a ‘savings deposit,’ the institution must in its account agreement with the customer reserve the right at any time to require seven days’ advance written notice of an intended withdrawal. In practice, this right is never exercised, but the institution must nevertheless reserve that right in the account agreement. In addition, for an account to be classified as a ‘savings deposit,’ the depositor may make no more than six ‘convenient’ transfers or withdrawals per month from the account.

time_deposit

A fixed-term deposit with a specific end_date. The US Regulation D describes time deposits as having the following characteristics:

Time deposit accounts have the following characteristics:

  • must have a maturity of at least seven days from the date of deposit
  • may require at least seven days’ prior written notice of intent to withdraw funds
  • must be subject to early withdrawal penalties if funds are withdrawn within six days of the date of deposit or within six days of the date of the immediately preceding partial withdrawal
  • may be interest-bearing
  • may be evidenced by a negotiable or nonnegotiable, transferable or nontransferable certificate, instrument, passbook, book entry, or other similar instrument
  • include club accounts (such as Christmas club or vacation club accounts)
  • no eligibility requirements

deposit

Deposit or depository account is defined in the Directive regarding the mandatory exchange of tax information section 8:

The term “Depository Account” includes any commercial, checking, savings, time, or thrift account, or an account that is evidenced by a certificgitcheckoutate of deposit, thrift certificate, investment certificate, certificate of indebtedness, or other similar instrument maintained by a Financial Institution in the ordinary course of a banking or similar business. A Depository Account also includes an amount held by an insurance company pursuant to a guaranteed investment contract or similar agreement to pay or credit interest thereon.

non_product

This is an overarching term used to define any non-product accounts that may exist on the balance sheet, ledger or other income/P&L accounts.

amortisation

An account which holds the amortisation amount of intangible assets measured at cost model. IAS 38.74 defines cost model measurement of intangible assets as follow:

After initial recognition intangible assets should be carried at cost less accumulated amortisation and impairment losses

depreciation

An account representing the change in value attributable (over a period) to assets where depreciation must be accounted for.

deferred

A deferred account is an account in which the recognition of certain revenue or expenses on the income statement is delayed for a certain period of time. For example, a deferred tax asset, which is reported in F1.01 of FINREP, is defined by IAS 12.5 as follows:

the amounts of income taxes recoverable in future periods in respect of: (a) deductible temporary differences; (b) the carryforward of unused tax losses; and (c) the carryforward of unused tax credits.

non_deferred

Undeferred is used to avoid confusion with a customer current account. This is in reference to a current asset or current liability eg. (current tax liability) where it is recognised typically within the next 12 months.

intangible

An account which holds intangible assets. IAS 38 defines an intangible asset as:

an identifiable non-monetary asset without physical substance.

tangible

An account that holds tangible assets. From the definition of an intangible asset, we can infer that tangible assets refers to an asset has physical substance, for example, property or machinery.

suspense

Transactions will be considered to be in suspense if there is some doubt at the time of reporting regarding how the transaction should be classified and reported, for example, which ledger should it be posted to.

MAS Notice 610 and Notice 1003 refers to suspense accounts as all outstanding unreconciled amounts that are kept in suspense.

provision

IAS 37.10 defines a provision as:

a liability of uncertain timing or amount

income

An account representing monies received (over a period).

expense

An account representing monies spent (over a period).

reserve

An account holding reserves. Reserves are created from profit or from capital gains and are retained by an entity for a specific or more general purpose. Reserves are essentially anything on the equity side of the balance sheet that is not capital.

other

Any other account type that cannot be classified as one of the other types.

derivative_type

├── vanilla_swap
├── mtm_swap
├── cds
│   └── ccds
├── ois
├── xccy
├── nds
├── option
│   ├── swaption
│   └── cap_floor
├── forward
│   ├── future
│   └── ndf
├── fra
├── spot
└── variance_swap

option

cap_floor

Options with multiple exercise and payment periods, generally used in relation to interest rate indices, but also in other asset classes

swaption

Options which give the buyer the right to enter into an interest rate swap with the option seller, with either a physical settlement or a cash-settlement.

ois

Overnight Index Swap

cds

A credit default swap means a derivative contract in which one party pays a fee to another party in return for a payment or other benefit in the case of a credit event relating to a reference entity and of any other default, relating to that derivative contract, which has a similar economic effect;

ccds

A contingent credit default swap (CCDS) is a variation of a credit default swap (CDS) where an additional triggering event is required.

spot

Spot Exchange

ndf

A non-deliverable forward is a cash-settled, and usually short-term, forward contract. The notional amount is never exchanged, hence the name “non-deliverable.” Two parties agree to take opposite sides of a transaction for a set amount of money - at a contracted rate, in the case of a currency NDF. This means that counterparties settle the difference between contracted NDF price and the prevailing spot price. The profit or loss is calculated on the notional amount of the agreement by taking the difference between the agreed-upon rate and the spot rate at the time of settlement. NDFs are also known as forward contracts for differences (FCD).

nds

A non-deliverable swap is a variation on a currency swap between major and minor currencies that is restricted or not convertible. This means that there is no actual delivery of the two currencies involved in the swap, unlike a typical currency swap where there is physical exchange of currency flows. Instead, periodic settlement of a NDS is done on a cash basis, generally in U.S. dollars.

The settlement value is based on the difference between the exchange rate specified in the swap contract and the spot rate, with one party paying the other the difference. A non-deliverable swap can be viewed as a series of non-deliverable forwards bundled together.

fra

A forward rate agreement is an interest rate forward contract in which the rate to be paid or received on a specific obligation for a set period of time, beginning at some time in the future, is determined at contract initiation.

variance_swap

A variance swap is an instrument which allows investors to trade future realized (or historical) volatility against current implied volatility.

forward

A forward is a non-standardized contract between two parties to buy or sell an asset at a specified future time at a price agreed on at the time of conclusion of the contract, making it a type of derivative instrument. The party agreeing to buy the underlying asset in the future assumes a long position, and the party agreeing to sell the asset in the future assumes a short position. The price agreed upon is called the delivery price, which is equal to the forward price at the time the contract is entered into. The price of the underlying instrument, in whatever form, is paid before control of the instrument changes.

future

A futures contract (sometimes called futures) is a standardized legal agreement to buy or sell something at a predetermined price at a specified time in the future, between parties not known to each other. The asset transacted is usually a commodity or financial instrument. The predetermined price the parties agree to buy and sell the asset for is known as the forward price. The specified time in the future—which is when delivery and payment occur—is known as the delivery date. Because it is a function of an underlying asset, a futures contract is a derivative product.

Contracts are negotiated at futures exchanges, which act as a marketplace between buyers and sellers. The buyer of a contract is said to be the long position holder and the selling party is said to be the short position holder.

mtm_swap

vanilla_swap

xccy

A derivative contract, agreed between two counterparties, which specifies the nature of an exchange of payments benchmarked against two interest rate indexes denominated in two different currencies. It also specifies an initial exchange of notional currency in each different currency and the terms of that repayment of notional currency over the life of the swap.

The most common XCS, and that traded in interbank markets, is a mark-to-market (MTM) XCS, whereby notional exchanges are regularly made throughout the life of the swap according to FX rate fluctuations. This is done to maintain a swap whose MTM value remains neutral and does not become either a large asset or liability (due to FX rate fluctuations) throughout its life.

collateral

├── residential_property
│   └── multifamily
├── farm
├── commercial_property
├── immovable_property
├── guarantee
├── debenture
├── life_policy
├── cash
└── other

The collateral type defines the form of the collateral, such as property or other assets used to secure an obligation.

The EC Collateral Directive states:

The assets can be provided: either by transfer of full ownership from a collateral provider to a collateral taker; or by the transfer of possession from a collateral provider to a collateral taker under a security right (e.g. pledge, charge or lien), where the full ownership of the assets remains with the collateral provider.

residential_property

Property composed of one or more dwellings.

commercial_property

NEEDS Definition

multifamily

Property composed of five or more residential dwellings. US Census Bureau definition:

buildings with five units or more

immovable_property

As per Artcile 124(1) CRR, this identifies immovable property collateral that cannot be classified as residential or commercial property.

farm

NEEDS Definition

guarantee

NEEDS Definition

debenture

NEEDS Definition

life_policy

NEEDS Definition

cash

NEEDS Definition

other

NEEDS Definition

Agreement

├── gmra
│   ├── icma_1992
│   ├── icma_1995
│   ├── icma_2000
│   ├── icma_2011
│   └── other_gmra
├── isda
│   ├── isda_1985
│   ├── isda_1986
│   ├── isda_1987
│   ├── isda_1992
│   ├── isda_2002
│   └── other_isda
└── other

gmra

From the ICMA website: Global Master Repurchase Agreement. Covers SFTs like repos, reverse repos, stock lending etc. Since the early 1990s ICMA has devoted considerable resources to developing a standard master agreement for repo transactions in conjunction with the Securities Industry and Financial Markets Association (SIFMA). The first version of the GMRA was published in 1992 and followed by substantially revised versions in 1995, 2000 and 2011.

ICMA obtains and annually updates opinions from numerous jurisdictions worldwide on the GMRA 1995, 2000 and 2011 versions.

The ERCC recently took a decision to discontinue coverage of the GMRA 1995 in the ICMA GMRA legal opinions from 2019 onwards. For further information contact [email protected]

icma_1992

The 1992 version of the GMRA agreement.

icma_1995

The 1995 version of the GMRA agreement.

icma_2000

The 2000 version of the GMRA agreement.

icma_2011

The 2011 version of the GMRA agreement.

other_gmra

Any other repurchase agreement.

isda

From Investopedia:

An ISDA Master Agreement is the standard document regularly used to govern over-the-counter derivatives transactions. The agreement, which is published by the International Swaps and Derivatives Association (ISDA), outlines the terms to be applied to a derivatives transaction between two parties, typically a derivatives dealer and a counterparty. The ISDA Master Agreement itself is standard, but it is accompanied by a customized schedule and sometimes a credit support annex, both of which are signed by the two parties in a given transaction.

More info can be found from ISDA itself.

isda_1985

The 1985 version of the ISDA agreement.

isda_1986

The 1986 version of the ISDA agreement.

isda_1987

The 1987 version of the ISDA agreement.

isda_1992

The 1992 version of the ISDA agreement.

isda_2002

The 2002 version of the ISDA agreement.

other_isda

Any other ISDA agreement.

other

Any other agreement. If you use this a lot, get in touch, maybe we need more types!

curve

behavioral

A curve describing the behavior of a product or customer segment under certain (stress) conditions

rate

An interest rate curve

volatility

A volatility curve (smile)

loan_transaction

advance

Needs description

capital_repayment

Needs description

capitalisation

Needs description

due

Needs description

further_advance

Needs description

interest

Needs description

interest_repayment

Needs description

other

Needs description

received

Needs description

sale

Needs description

write_off

Needs description