Derivative Cash Flow Schema
A derivative cash flow where two parties exchange cash flows (or assets) derived from an underlying reference index, security or financial instrument.
The unique identifier for the record within the firm.
The observation or value date for the data in this object. Formatted as YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
The accrued interest/premium due at the next payment date. Monetary type represented as a naturally positive integer number of cents/pence.
The asset class to which the derivative belongs.
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,
Is the data an asset, a liability, or equity on the firm’s balance sheet?
asset, equity, liability, pnl,
The contractual balance due on the payment date in the currency given. Monetary type represented as a naturally positive integer number of cents/pence.
The unique identifier of the credit support annex for this derivative cash flow
Currency in accordance with ISO 4217 standards plus CNH for practical considerations.
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,
Counterparty to the cash flow
Unique identifier to the derivative to which this cash flow relates
Rate used to set a variable cash flow on the reset_date
The type of the payment leg.
The unique identifier of the Master Netting Agreement for this derivative cash flow.
The mark-to-market value of the derivative cash flow excluding interest/premium/coupons. Monetary type represented as a naturally positive integer number of cents/pence.
The mark-to-market value of the derivative cash flow including interest/premium/coupons. Monetary type represented as a naturally positive integer number of cents/pence.
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.
Is the financial product reported on the balance sheet of the financial institution?
The timestamp that the cash flow will occur or was paid. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
The name of the product as given by the financial institution to be used for display and reference purposes.
The purpose for which the derivative cash flow is calculated
interest, principal, reference,
The type of portfolio in which the instrument is held.
The name of the reporting legal entity for display purposes.
The internal ID for the legal entity under which the account is being reported.
Date on which a variable cash flow amount is set. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
The type of settlement for the contract.
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
The date that the derivative cash flow terms were agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
The timestamp that the cash flow was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
The version identifier of the data such as the firm’s internal batch identifier.