| layout | title |
|---|---|
| schema | security |
Security Schema
A security represents a tradable financial instrument held or financed by an institution for investment or collateral.
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 | - |
| 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_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 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 | asset, equity, liability, pnl, |
| 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 | 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 | - |
| call_type | The call mechanism, if present, for the issuance. For securitisations and other callable securities. | string | clean_up, clean_up_reg, other, |
| capital_tier | The capital tiers based on own funds requirements. | string | add_tier_1, anc_tier_2, anc_tier_3, at1_grandfathered, bas_tier_2, bas_tier_3, ce_tier_1, cet1_grandfathered, t2_grandfathered, tier_1, tier_2, tier_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 | 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, US-AK, US-AL, US-AR, US-AZ, US-CA, US-CO, US-CT, US-DC, US-DE, US-FL, US-GA, US-HI, US-IA, US-ID, US-IL, US-IN, US-KS, US-KY, US-LA, US-MA, US-MD, US-ME, US-MI, US-MN, US-MO, US-MS, US-MT, US-NC, US-ND, US-NE, US-NH, US-NJ, US-NM, US-NV, US-NY, US-OH, US-OK, US-OR, US-PA, US-RI, US-SC, US-SD, US-TN, US-TX, US-UT, US-VA, US-VT, US-WA, US-WI, US-WV, US-WY, 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, |
| 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 | 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 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 | 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 | - |
| 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_360, act_365, act_act, std_30_360, std_30_365, |
| dbrs_lt | DBRS long term credit ratings | string | aaa, aa_h, aa, aa_l, a_h, a, a_l, bbb_h, bbb, bbb_l, bb_h, bb, bb_l, b_h, b, b_l, ccc_h, ccc, ccc_l, cc, c, d, |
| dbrs_st | DBRS short term credit ratings | string | r1_h, r1_m, r1_l, r2_h, r2_m, r2_l, r3, r4, r5, d, |
| 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 | - |
| excess_spread_type | Excess spread | string | fixed, fixed_trapped, none, variable, variable_trapped, |
| 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 | aaa, aa_plus, aa, aa_minus, a_plus, a, a_minus, bbb_plus, bbb, bbb_minus, bb_plus, bb, bb_minus, b_plus, b, b_minus, ccc_plus, ccc, ccc_minus, cc, c, rd, d, |
| fitch_st | Fitch short term credit ratings | string | f1_plus, f1, f2, f3, b, c, rd, d, |
| 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 | - |
| frr_id | The internal facility risk rating assigned to a facility based on its specific risk characteristics, including collateral and seniority. | 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 | exclude, i, i_non_op, iia, iia_non_op, iib, iib_non_op, ineligible, ineligible_non_op, |
| 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 | 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, |
| 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 | daily, weekly, bi_weekly, monthly, bi_monthly, quarterly, semi_annually, annually, at_maturity, biennially, sesquiennially, |
| 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 | aaa, aa_plus, aa, aa_minus, a_plus, a, a_minus, bbb_plus, bbb, bbb_minus, bb_plus, bb, bb_minus, b_plus, b, b_minus, ccc_plus, ccc, ccc_minus, cc, c, d, |
| kbra_st | KBRA short term credit ratings | string | k1_plus, k1, k2, k3, b, c, d, |
| 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 | - |
| lgd_floored | The final LGD value after the relevant floors have been applied. To be used in the IRB RWA calculations. | number | - |
| lgd_irb | The loss given default as determined by internal ratings-based approach. Expressed as a percentage between 0 and 1. This value is used in regulatory capital calculations. | number | - |
| 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 | aaa, aa1, aa2, aa3, a1, a2, a3, baa1, baa2, baa3, ba1, ba2, ba3, b1, b2, b3, caa1, caa2, caa3, ca, c, |
| moodys_st | Moodys short term credit ratings | string | p1, p2, p3, np, |
| movement | The movement parameter describes how the security arrived to the firm. | string | asset, cash, cb_omo, debt_issue, issuance, other, |
| 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 | - |
| originator_id | The unique identifier used by the financial institution to identify the originator of the security or securitisation. | string | - |
| pd_irb | The probability of default as determined by internal ratings-based approach. Expressed as a percentage between 0 and 1. This value is used in regulatory capital calculations. | number | - |
| 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_finance, back_to_back, collateral, custody, default_fund, derivative_collateral, independent_collateral_amount, insurance, investment, investment_advice, non_controlling, ocir, other, portfolio_management, reference, share_capital, single_collateral_pool, trade_finance, variation_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_book, trading_book, |
| rehypothecation | Can the security be rehypothecated by the borrower? | boolean | - |
| repayment_type | The repayment or amortisation mechanism of the security or securitisation. | string | other, pr2s, pr2s_abcp, pr2s_non_abcp, pro_rata, sequential, |
| 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 | - |
| retention_pct | The percentage of the issuance retained by the issuer. e.g. 0.05 is 5%. | number | - |
| retention_type | The repayment or amortisation mechanism of the security or securitisation. | string | exempted, first_loss, on_bs, revolving, vertical_nominal, vertical_risk, |
| reversion_date | The timestamp that indicates the end of an initial period where the ‘rate’ is applied to a security. After this the interest is calculated using the ‘reversion_rate’. YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601. | string | - |
| reversion_rate | The rate to which the security will revert after the reversion date. Percentages represented as a decimal/float, so 1.5 implies 1.5%. | 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, US-AK, US-AL, US-AR, US-AZ, US-CA, US-CO, US-CT, US-DC, US-DE, US-FL, US-GA, US-HI, US-IA, US-ID, US-IL, US-IN, US-KS, US-KY, US-LA, US-MA, US-MD, US-ME, US-MI, US-MN, US-MO, US-MS, US-MT, US-NC, US-ND, US-NE, US-NH, US-NJ, US-NM, US-NV, US-NY, US-OH, US-OK, US-OR, US-PA, US-RI, US-SC, US-SD, US-TN, US-TX, US-UT, US-VA, US-VT, US-WA, US-WI, US-WV, US-WY, 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_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_through, sts, sts_synthetic, sts_traditional, synthetic, traditional, |
| seniority | The seniority of the security in the event of sale or bankruptcy of the issuer. | string | first_loss_secured, senior_secured, senior_unsecured, subordinated_secured, subordinated_unsecured, |
| sft_type | The sft_type parameter defines the transaction mechanism conducted for the SFT for this security product. | string | bond_borrow, bond_loan, buy_sell_back, margin_loan, repo, rev_repo, sell_buy_back, stock_borrow, stock_loan, term_funding_scheme, |
| snp_lt | S&P long term credit ratings | string | aaa, aa_plus, aa, aa_minus, a_plus, a, a_minus, bbb_plus, bbb, bbb_minus, bb_plus, bb, bb_minus, b_plus, b, b_minus, ccc_plus, ccc, ccc_minus, cc, c, d, |
| snp_st | S&P short term credit ratings | string | a1, a2, a3, b, c, d, |
| 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_remote, called_up, free_deliveries, non_operational, paid_up, unsettled, |
| 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 | abs, abs_auto, abs_cc, abs_consumer, abs_corp, abs_lease, abs_other, abs_sme, abs_sme_corp, abs_sme_retail, abs_trade_rec, abs_wholesale, acceptance, bill_of_exchange, bond, cash, cash_ratio_deposit, cb_facility, cb_reserve, cb_restricted_reserve, cd, cmbs, cmbs_income, commercial_paper, convertible_bond, covered_bond, debt, dividend, emtn, equity, financial_guarantee, financial_sloc, frn, guarantee, index, index_linked, letter_of_credit, main_index_equity, mbs, mtn, nha_mbs, other, performance_bond, performance_guarantee, performance_sloc, pibs, pref_share, rmbs, rmbs_income, rmbs_trans, share, share_agg, speculative_unlisted, spv_mortgages, spv_other, struct_note, treasury, urp, warranty, |
| 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 | - |