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
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
amortised_costavailable_for_salecb_or_demandfv_mandatorilyfv_ocifv_thru_pnlheld_for_hedgeheld_for_tradingheld_to_maturityloans_and_recs
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
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
agricoco_othercoalcoffeecorncrcr_indexcr_singleelectricityenergyeqeq_indexeq_singlefxgasgoldinflationirmetalsoilotherpalladiumplatinumprecious_metalssilversugar
asset_liability
A derivative is a contract which derives its value from an underlying reference index, security or asset.
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-
cost_center_code
The organizational unit or sub-unit to which costs/profits are booked.
string-
country_code
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
AAADAEAFAGAIALAMAOAQARASATAUAWAXAZBABBBDBEBFBGBHBIBJBLBMBNBOBQBRBSBTBVBWBYBZCACCCDCFCGCHCICKCLCMCNCOCRCUCVCWCXCYCZDEDJDKDMDODZECEEEGEHERESETFIFJFKFMFOFRGAGBGDGEGFGGGHGIGLGMGNGPGQGRGSGTGUGWGYHKHMHNHRHTHUIDIEILIMINIOIQIRISITJEJMJOJPKEKGKHKIKMKNKPKRKWKYKZLALBLCLILKLRLSLTLULVLYMAMCMDMEMFMGMHMKMLMMMNMOMPMQMRMSMTMUMVMWMXMYMZNANCNENFNGNINLNONPNRNUNZOMPAPEPFPGPHPKPLPMPNPRPSPTPWPYQAQMQNQOQPQQQRQSQTQUQVQWQXQYQZRERORSRURWSASBSCSDSESGSHSISJSKSLSMSNSOSRSSSTSVSXSYSZTCTDTFTGTHTJTKTLTMTNTOTRTTTVTWTZUAUGUMUSUYUZVAVCVEVGVIVNVUWFWSXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZYEYTZAZMZWZZ
csa_id
The unique identifier of the credit support annex for this derivative
string-
currency_code
A derivative is a contract which derives its value from an underlying reference index, security or asset.
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-
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
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
doubtfullossnon_performingnormalperformingstage_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
mic_code
A derivative is a contract which derives its value from an underlying reference index, security or asset.
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
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
A derivative is a contract which derives its value from an underlying reference index, security or asset.
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
A derivative is a contract which derives its value from an underlying reference index, security or asset.
string
AAADAEAFAGAIALAMAOAQARASATAUAWAXAZBABBBDBEBFBGBHBIBJBLBMBNBOBQBRBSBTBVBWBYBZCACCCDCFCGCHCICKCLCMCNCOCRCUCVCWCXCYCZDEDJDKDMDODZECEEEGEHERESETFIFJFKFMFOFRGAGBGDGEGFGGGHGIGLGMGNGPGQGRGSGTGUGWGYHKHMHNHRHTHUIDIEILIMINIOIQIRISITJEJMJOJPKEKGKHKIKMKNKPKRKWKYKZLALBLCLILKLRLSLTLULVLYMAMCMDMEMFMGMHMKMLMMMNMOMPMQMRMSMTMUMVMWMXMYMZNANCNENFNGNINLNONPNRNUNZOMPAPEPFPGPHPKPLPMPNPRPSPTPWPYQAQMQNQOQPQQQRQSQTQUQVQWQXQYQZRERORSRURWSASBSCSDSESGSHSISJSKSLSMSNSOSRSSSTSVSXSYSZTCTDTFTGTHTJTKTLTMTNTOTRTTTVTWTZUAUGUMUSUYUZVAVCVEVGVIVNVUWFWSXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZYEYTZAZMZWZZ
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-
strike
Strike price of the option, which is compared to the underlying price on the option exercise date.
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
A derivative is a contract which derives its value from an underlying reference index, security or asset.
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
1d7d28d91d182d1m2m3m4m5m6m7m8m9m12m
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-