layouttitle
schemaderivative_cash_flow

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.

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-
accrued_interest
The accrued interest/premium 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
The contractual balance due on the payment date in the currency given. Monetary type represented as a naturally positive integer number of cents/pence.
integer-
csa_id
The unique identifier of the credit support annex for this derivative cash flow
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
Counterparty to the cash flow
string-
derivative_id
Unique identifier to the derivative to which this cash flow relates
string-
forward_rate
Rate used to set a variable cash flow on the reset_date
number-
leg
The type of the payment leg.
string
pay, receive, 
mna_id
The unique identifier of the Master Netting Agreement for this derivative cash flow.
string-
mtm_clean
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.
integer-
mtm_dirty
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.
integer-
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 financial product reported on the balance sheet of the financial institution?
boolean-
payment_date
The timestamp that the cash flow will occur or was paid. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
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 cash flow is calculated
string
interest, principal, reference, 
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-
reset_date
Date on which a variable cash flow amount is set. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
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-
trade_date
The date that the derivative cash flow terms were agreed. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
value_date
The timestamp that the cash flow was valued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
version_id
The version identifier of the data such as the firm’s internal batch identifier.
string-