layouttitle
schemasecurity

Security Schema


A security represents a tradable financial instrument held or financed by an institution for investment or collateral.

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-
acc_fv_change_before_taxes
Accumulated change in fair value before taxes.
integer-
acc_fv_change_credit_risk
Accumulated changes in fair value due to credit risk.
integer-
accounting_treatment
The accounting treatment in accordance with IAS/IFRS9 accounting principles.
string
amortised_costavailable_for_salecb_or_demandfv_mandatorilyfv_ocifv_thru_pnlheld_for_hedgeheld_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 an integer number of cents/pence.
integer-
asset_liability
Is the data an asset, a liability, or equity on the firm’s balance sheet?
string
assetequityliabilitypnl
attachment_point
The threshold at which losses within the pool of underlying exposures would start to be allocated to the relevant securitisation position.
number-
balance
Outstanding amount including accrued interest. Monetary 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-
capital_tier
The capital tiers based on own funds requirements.
string
add_tier_1anc_tier_2anc_tier_3at1_grandfatheredbas_tier_2bas_tier_3ce_tier_1cet1_grandfatheredt2_grandfatheredtier_1tier_2tier_3
cb_haircut
The haircut as determined by the firm’s central bank
number-
ccf
The credit conversion factor that indicates the proportion of the undrawn amount that would be drawn down on default.
number-
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-YTCCCDCFCGCHCICKCLCMCNCOCRCUCVCWCXCYCZDEDJDKDMDODZECEEEGEHERESETFIFJFKFMFOFRGAGBGDGEGFGGGHGIGLGMGNGPGQGRGSGTGUGWGYHKHMHNHRHTHUIDIEILIMINIOIQIRISITJEJMJOJPKEKGKHKIKMKNKPKRKWKYKZLALBLCLILKLRLSLTLULVLYMAMCMDMEMFMGMHMKMLMMMNMOMPMQMRMSMTMUMVMWMXMYMZNANCNENFNGNINLNONPNRNUNZOMPAPEPFPGPHPKPLPMPNPRPSPTPWPYQAQMQNQOQPQQQRQSQTQUQVQWQXQYQZRERORSRURWSASBSCSDSESGSHSISJSKSLSMSNSOSRSSSTSVSXSYSZTCTDTFTGTHTJTKTLTMTNTOTRTTTVTWTZUAUGUMUSUYUZVAVCVEVGVIVNVUWFWSXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZYEYTZAZMZWZZ
cover_pool_balance
The balance of the assets that are held in the cover pool
integer-
cqs_irb
The credit quality step for internal ratings based approach.
integer-
cqs_standardised
The credit quality step for standardised approach.
integer-
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 this security falls under. Typically where used as derivatives collateral.
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-
day_count_convention
The methodology for calculating the number of days between two dates. It is used to calculate the amount of accrued interest or the present value.
string
act_360act_365act_actstd_30_360std_30_365
dbrs_lt
DBRS long term credit ratings
string
aaaaa_haaaa_la_haa_lbbb_hbbbbbb_lbb_hbbbb_lb_hbb_lccc_hcccccc_lcccd
dbrs_st
DBRS short term credit ratings
string
r1_hr1_mr1_lr2_hr2_mr2_lr3r4r5d
deal_id
The unique identifier used by the financial institution to identify the deal for this product that links it to other products of the same or different type.
string-
detachment_point
The threshold at which losses within the pool of underlying exposures would result in a complete loss of principal for the tranche containing the relevant securitisation position.
number-
encumbrance_amount
The amount of the security that is encumbered by potential future commitments or legal liabilities such as within a repo pool. Monetary type represented as a naturally positive integer number of cents/pence.
integer-
end_date
YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601
string-
first_arrears_date
The first date on which this security was in arrears.
string-
first_payment_date
The first payment date for interest payments.
string-
fitch_lt
Fitch long term credit ratings
string
aaaaa_plusaaaa_minusa_plusaa_minusbbb_plusbbbbbb_minusbb_plusbbbb_minusb_plusbb_minusccc_pluscccccc_minuscccrdd
fitch_st
Fitch short term credit ratings
string
f1_plusf1f2f3bcrdd
forbearance_date
The date on which the first forbearance measure was granted to this product. Format should be YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601
string-
fvh_level
Fair value hierarchy category according to IFRS 13.93 (b)
integer-
guarantee_start_date
The first day the security became guaranteed by the guarantor. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601
string-
guarantor_id
The unique identifier for the guarantor within the financial institution.
string-
hqla_class
What is the HQLA classification of this security?
string
excludeii_non_opiiaiia_non_opiibiib_non_opineligible
impairment_amount
The impairment amount for a security is the allowance set aside by the firm for losses.
integer-
impairment_date
The date upon which the product became considered impaired. Format should be YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601
string-
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
index_composition
Constituents and their proportion in an index.
array-
insolvency_rank
The insolvency ranking as per the national legal fraamework of the reporting institution.
integer-
interest_repayment_frequency
Repayment frequency of the interest.
string
dailyweeklybi_weeklymonthlybi_monthlyquarterlysemi_annuallyannuallyat_maturitybienniallysesquiennially
isin_code
The unique International Securities Identification Number for the security according to ISO 6166.
string-
issue_date
The date on which the security is issued. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
issue_size
The size of the issue denominated in the original currency of the security
integer-
issuer_id
The unique identifier for the issuer within the financial institution.
string-
kbra_lt
KBRA long term credit ratings
string
aaaaa_plusaaaa_minusa_plusaa_minusbbb_plusbbbbbb_minusbb_plusbbbb_minusb_plusbb_minusccc_pluscccccc_minuscccd
kbra_st
KBRA short term credit ratings
string
k1_plusk1k2k3bcd
last_payment_date
The final payment date for interest payments, often coincides with end_date or the maturity date
string-
ledger_code
The internal ledger code or line item name.
string-
maturity_date
The date on which the principal repayment of the security is due. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
mic_code
The market identifier code as defined by the International Standards Organisation.
string-
mna_id
The unique identifier of the Master Netting Agreement this security falls under. Typically where used as derivatives collateral.
string-
moodys_lt
Moody’s long term credit ratings
string
aaaaa1aa2aa3a1a2a3baa1baa2baa3ba1ba2ba3b1b2b3caa1caa2caa3cac
moodys_st
Moodys short term credit ratings
string
p1p2p3np
movement
The movement parameter describes how the security arrived to the firm.
string
assetcashcb_omodebt_issueissuanceother
mtm_clean
The mark-to-market value of the security excluding interest. Monetary number of cents/pence.
integer-
mtm_dirty
The mark-to-market value of the security including interest. Monetary 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_repricing_date
The date on which the interest rate of the security will be re-calculated. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
notional_amount
The notional value is the total amount of a security’s underlying asset at its spot price. Monetary number of cents.
integer-
on_balance_sheet
Is the security reported on the balance sheet of the financial institution?
boolean-
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 security is being held.
string
aircraft_financeback_to_backcollateralcustodydefault_fundderivative_collateralindependent_collateral_amountinsuranceinvestmentinvestment_advicenon_controllingocirotherportfolio_managementreferenceshare_capitalsingle_collateral_pooltrade_financevariation_margin
rate
The full interest rate applied to the security 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
rehypothecation
Can the security be rehypothecated by the borrower?
boolean-
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-
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-YTCCCDCFCGCHCICKCLCMCNCOCRCUCVCWCXCYCZDEDJDKDMDODZECEEEGEHERESETFIFJFKFMFOFRGAGBGDGEGFGGGHGIGLGMGNGPGQGRGSGTGUGWGYHKHMHNHRHTHUIDIEILIMINIOIQIRISITJEJMJOJPKEKGKHKIKMKNKPKRKWKYKZLALBLCLILKLRLSLTLULVLYMAMCMDMEMFMGMHMKMLMMMNMOMPMQMRMSMTMUMVMWMXMYMZNANCNENFNGNINLNONPNRNUNZOMPAPEPFPGPHPKPLPMPNPRPSPTPWPYQAQMQNQOQPQQQRQSQTQUQVQWQXQYQZRERORSRURWSASBSCSDSESGSHSISJSKSLSMSNSOSRSSSTSVSXSYSZTCTDTFTGTHTJTKTLTMTNTOTRTTTVTWTZUAUGUMUSUYUZVAVCVEVGVIVNVUWFWSXAXBXCXDXEXFXGXHXIXJXKXLXMXNXOXPXQXRXSXTXUXVXWXXXYXZYEYTZAZMZWZZ
risk_profile
The evaluation of the financial risk associated to the portfolio
integer-
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-
securitisation_type
The type of securitisation with regards to common regulatory classifications.
string
pass_throughstssts_syntheticsts_traditionalsynthetictraditional
seniority
The seniority of the security in the event of sale or bankruptcy of the issuer.
string
senior_securedsenior_unsecuredsubordinated_securedsubordinated_unsecured
sft_type
The sft_type parameter defines the transaction mechanism conducted for the SFT for this security product.
string
bond_borrowbond_loanbuy_sell_backmargin_loanreporev_reposell_buy_backstock_borrowstock_loanterm_funding_scheme
snp_lt
S&P long term credit ratings
string
aaaaa_plusaaaa_minusa_plusaa_minusbbb_plusbbbbbb_minusbb_plusbbbb_minusb_plusbb_minusccc_pluscccccc_minuscccd
snp_st
S&P short term credit ratings
string
a1a2a3bcd
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
The timestamp that the trade or financial product commences. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.
string-
status
Provides additional information regarding the status of the security.
string
bankruptcy_remotecalled_upnon_operationalpaid_upunsettled
stress_change
The level of variation on the security’s price or haircut or during a 30 day calendar market stress period in percentage terms
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-
transferable
Can the security be transferred between parties or negotiated on the capital market?
boolean-
type
This is the type of the security with regards to common regulatory classifications.
string
absabs_autoabs_consumerabs_otherabs_smeacceptancebill_of_exchangebondcashcash_ratio_depositcb_facilitycb_reservecdcmbscmbs_incomecommercial_paperconvertible_bondcovered_bonddebtdividendemtnequityfinancial_guaranteefinancial_slocfrnguaranteeindexindex_linkedletter_of_creditmbsmtnnha_mbsotherperformance_bondperformance_guaranteeperformance_slocpibspref_sharermbsrmbs_incomermbs_transshareshare_aggspeculative_unlistedspv_mortgagesspv_otherstruct_notetreasuryurpwarranty
value_date
The timestamp that the trade or financial product 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-