layouttitle
schemaderivative

Derivative Schema


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

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_costavailable_for_salecb_or_demanddeed_in_lieufv_mandatorilyfv_ocifv_thru_pnlheld_for_hedgeheld_for_investheld_for_invest_fvoheld_for_saleheld_for_tradingheld_to_maturityloans_and_recsntnd_cost_basedntnd_fv_equityntnd_fv_plother_gaaptrading_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
agricoco_othercoalcoffeecorncrcr_indexcr_singleelectricityenergyeqeq_indexeq_singlefxgasgoldinflationirmetalsoilotherpalladiumplatinumprecious_metalssilversugar
asset_liability
Is the data an asset, a liability, or equity on the firm’s balance sheet?
string
assetequityliabilitypnl
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
FDTRUKBRBASEZERO
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
immoemsassa
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
AAADAEAE-AJAE-AZAE-DUAE-FUAE-RKAE-SHAE-UQAFAGAIALAMAOAQARASATAUAWAXAZBABBBDBEBFBGBHBIBJBLBMBNBOBQBRBSBTBVBWBYBZCACA-ABCA-BCCA-MBCA-NBCA-NLCA-NSCA-NTCA-NUCA-ONCA-PECA-QCCA-SKCA-YTCCCDCFCGCHCICKCLCMCNCOCRCUCVCWCXCYCZDEDJDKDMDODZECEEEGEHERESETFIFJFKFMFOFRGAGBGDGEGFGGGHGIGLGMGNGPGQGRGSGTGUGWGYHKHMHNHRHTHUIDIEILIMINIOIQIRISITJEJMJOJPKEKGKHKIKMKNKPKRKWKYKZLALBLCLILKLRLSLTLULVLYMAMCMDMEMFMGMHMKMLMMMNMOMPMQMRMSMTMUMVMWMXMYMZNANCNENFNGNINLNONPNRNUNZOMPAPEPFPGPHPKPLPMPNPRPSPTPWPYQAQMQNQOQPQQQRQSQTQUQVQWQXQYQZRERORSRURWSASBSCSDSESGSHSISJSKSLSMSNSOSRSSSTSVSXSYSZTCTDTFTGTHTJTKTLTMTNTOTRTTTVTWTZUAUGUMUSUS-AKUS-ALUS-ARUS-AZUS-CAUS-COUS-CTUS-DCUS-DEUS-FLUS-GAUS-HIUS-IAUS-IDUS-ILUS-INUS-KSUS-KYUS-LAUS-MAUS-MDUS-MEUS-MIUS-MNUS-MOUS-MSUS-MTUS-NCUS-NDUS-NEUS-NHUS-NJUS-NMUS-NVUS-NYUS-OHUS-OKUS-ORUS-PAUS-RIUS-SCUS-SDUS-TNUS-TXUS-UTUS-VAUS-VTUS-WAUS-WIUS-WVUS-WYUYUZVAVCVEVGVIVNVUWFWSXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZYEYTZAZMZWZZ
cr_approach
Specifies the approved credit risk rwa calculation approach to be applied to the exposure.
string
airbeif_fbeif_lteif_mbafirbsec_erbasec_sasec_sa_ltstd
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
AEDAFNALLAMDANGAOAARSAUDAWGAZNBAMBBDBDTBGNBHDBIFBMDBNDBOBBOVBRLBSDBTNBWPBYNBZDCADCDFCHECHFCHWCLFCLPCNHCNYCOPCOUCRCCUCCUPCVECZKDJFDKKDOPDZDEGPERNETBEURFJDFKPGBPGELGHSGIPGMDGNFGTQGYDHKDHNLHRKHTGHUFIDRILSINRIQDIRRISKJMDJODJPYKESKGSKHRKMFKPWKRWKWDKYDKZTLAKLBPLKRLRDLSLLYDMADMDLMGAMKDMMKMNTMOPMRUMURMVRMWKMXNMXVMYRMZNNADNGNNIONOKNPRNZDOMRPABPENPGKPHPPKRPLNPYGQARRONRSDRUBRWFSARSBDSCRSDGSEKSGDSHPSLLSOSSRDSSPSTNSYPSZLTHBTJSTMTTNDTOPTRYTTDTWDTZSUAHUGXUSDUSNUSSUYIUYUUYWUZSVESVNDVUVWSTXAFXAGXAUXBAXBBXBCXBDXCDXDRXOFXPDXPFXPTXSUXTSXUAXXXYERZARZMW
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-
delta
Price sensitivity to the underlying.
number-
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_flowslast_of_layer 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_sidedtwo_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_hedgefv_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_onlyotherpartialprincipal_interestprincipal_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 |
crfv_optionfxfx_cririr_crir_fxir_fx_crotheroverall_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 |
doubtfulin_litigationlossnon_performingnormalperformingpre_litigationstage_1stage_1_doubtfulstage_1_lossstage_1_normalstage_1_substandardstage_1_watchstage_2stage_2_doubtfulstage_2_lossstage_2_normalstage_2_substandardstage_2_watchstage_3stage_3_doubtfulstage_3_lossstage_3_normalstage_3_substandardstage_3_watchsubstandardwatch 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 |
callfixedfloatingindexedput 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 |
longshort 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_backclient_executionclient_transmissioncva_hedgereference 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_booktrading_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 | - 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 |
AAADAEAE-AJAE-AZAE-DUAE-FUAE-RKAE-SHAE-UQAFAGAIALAMAOAQARASATAUAWAXAZBABBBDBEBFBGBHBIBJBLBMBNBOBQBRBSBTBVBWBYBZCACA-ABCA-BCCA-MBCA-NBCA-NLCA-NSCA-NTCA-NUCA-ONCA-PECA-QCCA-SKCA-YTCCCDCFCGCHCICKCLCMCNCOCRCUCVCWCXCYCZDEDJDKDMDODZECEEEGEHERESETFIFJFKFMFOFRGAGBGDGEGFGGGHGIGLGMGNGPGQGRGSGTGUGWGYHKHMHNHRHTHUIDIEILIMINIOIQIRISITJEJMJOJPKEKGKHKIKMKNKPKRKWKYKZLALBLCLILKLRLSLTLULVLYMAMCMDMEMFMGMHMKMLMMMNMOMPMQMRMSMTMUMVMWMXMYMZNANCNENFNGNINLNONPNRNUNZOMPAPEPFPGPHPKPLPMPNPRPSPTPWPYQAQMQNQOQPQQQRQSQTQUQVQWQXQYQZRERORSRURWSASBSCSDSESGSHSISJSKSLSMSNSOSRSSSTSVSXSYSZTCTDTFTGTHTJTKTLTMTNTOTRTTTVTWTZUAUGUMUSUS-AKUS-ALUS-ARUS-AZUS-CAUS-COUS-CTUS-DCUS-DEUS-FLUS-GAUS-HIUS-IAUS-IDUS-ILUS-INUS-KSUS-KYUS-LAUS-MAUS-MDUS-MEUS-MIUS-MNUS-MOUS-MSUS-MTUS-NCUS-NDUS-NEUS-NHUS-NJUS-NMUS-NVUS-NYUS-OHUS-OKUS-ORUS-PAUS-RIUS-SCUS-SDUS-TNUS-TXUS-UTUS-VAUS-VTUS-WAUS-WIUS-WVUS-WYUYUZVAVCVEVGVIVNVUWFWSXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZYEYTZAZMZWZZ 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 |
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 |
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_deliveriesunsettled 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_floorccdscdsforwardfrafuturemtm_swapndfndsoisoptionspotswaptionvanilla_swapvariance_swapxccy underlying_currency_code |
Currency in accordance with ISO 4217 standards plus CNH for practical considerations.
| string |
AEDAFNALLAMDANGAOAARSAUDAWGAZNBAMBBDBDTBGNBHDBIFBMDBNDBOBBOVBRLBSDBTNBWPBYNBZDCADCDFCHECHFCHWCLFCLPCNHCNYCOPCOUCRCCUCCUPCVECZKDJFDKKDOPDZDEGPERNETBEURFJDFKPGBPGELGHSGIPGMDGNFGTQGYDHKDHNLHRKHTGHUFIDRILSINRIQDIRRISKJMDJODJPYKESKGSKHRKMFKPWKRWKWDKYDKZTLAKLBPLKRLRDLSLLYDMADMDLMGAMKDMMKMNTMOPMRUMURMVRMWKMXNMXVMYRMZNNADNGNNIONOKNPRNZDOMRPABPENPGKPHPPKRPLNPYGQARRONRSDRUBRWFSARSBDSCRSDGSEKSGDSHPSLLSOSSRDSSPSTNSYPSZLTHBTJSTMTTNDTOPTRYTTDTWDTZSUAHUGXUSDUSNUSSUYIUYUUYWUZSVESVNDVUVWSTXAFXAGXAUXBAXBBXBCXBDXCDXDRXOFXPDXPFXPTXSUXTSXUAXXXYERZARZMW 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 |
1d7d28d91d182d1m2m3m4m5m6m7m8m9m12m24m60m120m360m 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 | -