| layout | title |
|---|---|
| schema | derivative |
Derivative Schema
A derivative is a contract which derives its value from an underlying reference index, security or asset.
Properties
| Name | Description | Type | Enum |
|---|---|---|---|
| id | The unique identifier for the 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, fv_mandatorily, fv_oci, fv_thru_pnl, held_for_hedge, 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, UKBRBASE, ZERO, |
| 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, 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 | - |
| 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 | - |
| 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 | - |
| 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, |
| 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 | - |
| 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 | - |
| 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, 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 | - |
| 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 | - |