| layout | title |
|---|---|
| readme | FIRE data examples |
The following are a few examples of common financial trades.
- Individual element examples
- Account examples
- Loan examples
- Derivative examples
- Bermudan swaption
- Bond future
- Cross-currency swap
- Commodity option
- Credit default swap - Index
- Credit default swap - Single name
- Equity option
- Equity total return swap
- Forward rate agreement
- FX forward
- FX future
- FX option
- FX spot
- FX swap
- Interest rate cap floor
- Interest rate digital floor
- Interest rate future
- Interest rate swap
- Interest rate swap amortising
- Margined netting agreement
- Swaption
- Unmargined netting agreement
- Security examples
Individual element examples
Account examples
Current account
{
"title": "current_account",
"comment": "current_account",
"data": {
"account": [
{
"id": "current_account",
"date": "2017-06-30T14:03:12Z",
"trade_date": "2012-02-06T09:30:00Z",
"start_date": "2012-02-07T00:00:00Z",
"currency_code": "GBP",
"balance": 30000,
"accrued_interest": 2500,
"type": "current",
"status": "active",
"on_balance_sheet": true,
"asset_liability": "liability",
"customer_id": "C123456"
}
]
}
}
Current account with guarantee
{
"title": "current_account_with_guarantee",
"comment": "current_account_with_guarantee",
"data": {
"account": [
{
"id": "current_account_with_guarantee",
"date": "2017-06-30T14:03:12Z",
"trade_date": "2012-02-06T09:30:00Z",
"start_date": "2012-02-07T00:00:00Z",
"currency_code": "GBP",
"balance": 30000,
"accrued_interest": 2500,
"guarantee_scheme": "gb_fscs",
"guarantee_amount": 8500,
"type": "current",
"status": "active",
"on_balance_sheet": true,
"asset_liability": "liability",
"customer_id": "C123456"
}
]
}
}
Savings account
{
"title": "savings_account",
"comment": "savings_account",
"data": {
"account": [
{
"id": "savings_account",
"date": "2017-06-30T14:03:12Z",
"trade_date": "2012-02-06T09:30:00Z",
"start_date": "2012-02-07T00:00:00Z",
"currency_code": "GBP",
"balance": 30000,
"accrued_interest": 2500,
"type": "savings",
"status": "active",
"on_balance_sheet": true,
"asset_liability": "liability",
"customer_id": "C123456"
}
]
}
}
Savings account with notice
{{#include savings_account_with_notice.json:5:}}
1-year time deposit
{
"title": "time_deposit_1year",
"comment": "time_deposit_1year",
"data": {
"account": [
{
"id": "time_deposit_1year",
"date": "2017-06-30T14:03:12Z",
"trade_date": "2012-02-06T09:30:00Z",
"start_date": "2012-02-07T00:00:00Z",
"end_date": "2018-06-30T00:00:00Z",
"currency_code": "GBP",
"balance": 30000,
"accrued_interest": 2500,
"type": "time_deposit",
"status": "active",
"on_balance_sheet": true,
"asset_liability": "liability",
"customer_id": "C123456"
}
]
}
}
1-year time deposit with 6-month withdrawal option
{
"title": "time_deposit_1year_with_6_month_withdrawal_option",
"comment": "time_deposit_1year_with_6_month_withdrawal_option",
"data": {
"account": [
{
"id": "time_deposit_1year_with_6_month_withdrawal_option",
"date": "2017-06-30T14:03:12Z",
"trade_date": "2012-02-06T09:30:00Z",
"start_date": "2012-02-07T00:00:00Z",
"next_withdrawal_date": "2017-12-31T00:00:00Z",
"end_date": "2018-06-30T00:00:00Z",
"currency_code": "GBP",
"balance": 30000,
"accrued_interest": 2500,
"type": "time_deposit",
"status": "active",
"on_balance_sheet": true,
"asset_liability": "liability",
"customer_id": "C123456"
}
]
}
}
PNL interest income
{
"title": "pnl_interest_income",
"comment": "interest_income",
"data": {
"account": [
{
"id": "interest_income",
"date": "2017-06-30T14:03:12Z",
"currency_code": "GBP",
"balance": 30000,
"type": "income",
"asset_liability": "pnl",
"purpose": "interest",
"customer_id": "C123456"
}
]
}
}
PNL salary expenses
{
"title": "pnl_salary_expenses",
"comment": "salary_expenses",
"data": {
"account": [
{
"id": "salary_expenses",
"date": "2017-06-30T14:03:12Z",
"currency_code": "GBP",
"balance": 30000,
"type": "expense",
"asset_liability": "pnl",
"purpose": "regular_wages"
}
]
}
}
Loan examples
BBL/CBIL
These loans can be represented as a combination of two independent loans.
The first loan is a 25K GBP payable quarterly during 1 year (From Aug 1st, 2020 to Aug 1st, 2021).
{
"id": "BBL1",
"date": "2020-08-08T00:00:00+00:00",
"balance": 2500000,
"currency_code": "GBP",
"end_date": "2021-08-01T00:00:00+00:00",
"interest_repayment_frequency": "quarterly",
"repayment_frequency": "at_maturity",
"repayment_type": "interest_only",
"start_date": "2020-08-01T00:00:00+00:00",
"trade_date": "2020-05-11T00:00:00+00:00"
}
The second loan is a 25K GBP payable monthly during 5 years (From Aug 1st, 2021 to Aug 1st, 2026).
{
"id": "BBL2",
"date": "2020-08-08T00:00:00+00:00",
"balance": 2500000,
"currency_code": "GBP",
"end_date": "2026-08-01T00:00:00+00:00",
"repayment_frequency": "monthly",
"repayment_type": "repayment",
"start_date": "2021-08-01T00:00:00+00:00",
"trade_date": "2020-05-11T00:00:00+00:00"
}
BBL_1 will create an inflow of 25K GBP, and BBL_2 will create an outflow of 25K GBP on Aug 1st, 2021.
If you are working with reports that separates inflows from outflows, you will get an excess on the inflow and an excess of the outflow.
To eliminate this excess, we can introduce a third loan.
{
"id": "BBL_netting",
"date": "2020-08-08T00:00:00+00:00",
"balance": -2500000,
"currency_code": "GBP",
"end_date": "2021-08-01T00:00:00+00:00",
"repayment_frequency": "at_maturity",
"repayment_type": "repayment",
"start_date": "2021-08-01T00:00:00+00:00"
}
Please download the complete examples
Nostro account
Nostro account, of 1000 GBP, held at another credit institution
{{#include nostro_account.json:5:}}
Loan with two customers
A loan example showing what the json looks like for loans with two customers
{{#include_loan_with_2_customers.json:5:}}
Derivative examples
Bermudan swaption
Short USD 1y into 10y receiver swaption exercisable annually with physical settlement
{
"title": "bermudan_swaption",
"comment": "usd_bermudan_swaption",
"data": {
"derivative": [
{
"date": "2019-01-01T00:00:00",
"id": "usd_bermudan_swaption",
"asset_class": "ir",
"type": "swaption",
"leg_type": "put",
"position": "short",
"currency_code": "USD",
"notional_amount": 10000,
"strike": 0.02,
"underlying_index": "USD_LIBOR",
"underlying_index_tenor": "6m",
"start_date": "2019-01-01T00:00:00",
"end_date": "2020-01-01T00:00:00",
"last_payment_date": "2030-01-01T00:00:00",
"next_exercise_date": "2020-01-01T00:00:00",
"underlying_price": 0.02,
"settlement_type": "physical",
"mtm_dirty": -5
}
]
}
}
Bond future
June IMM Bund future (underlying index is the expected CTD on the reporting date)
{
"title": "bond_future",
"comment": "Bund June IMM future",
"data": {
"derivative": [
{
"id": "Bund June IMM future",
"date": "2019-04-30T00:00:00",
"asset_class": "ir",
"type": "future",
"leg_type": "indexed",
"currency_code": "EUR",
"notional_amount": 10000,
"rate": 125.5,
"underlying_index": "BUND0829",
"trade_date": "2019-04-01T00:00:00",
"start_date": "2019-05-02T00:00:00",
"end_date": "2019-06-15T00:00:00",
"last_payment_date": "2029-08-15T00:00:00",
"settlement_type": "physical",
"mtm_dirty": -25
}
]
}
}
Futures on 20-year treasury bond that matures in 2 years
{
"title": "bond_future2",
"comment": "T-Bond Mar21 future",
"data": {
"derivative": [
{
"id": "T-Bond Mar21 future",
"date": "2019-04-30T00:00:00",
"asset_class": "ir",
"type": "future",
"leg_type": "indexed",
"currency_code": "USD",
"notional_amount": 100,
"trade_date": "2019-04-01T00:00:00",
"start_date": "2019-05-02T00:00:00",
"end_date": "2021-03-15T00:00:00",
"last_payment_date": "2041-03-15T00:00:00",
"underlying_index": "T-bondMar41",
"settlement_type": "physical"
}
]
}
}
Cross-currency swap
Long 10-year forward_starting AUD/EUR cross-currency swap
{
"title": "xccy_swap",
"comment": "USD-AUD xccy",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "AUDUSD_xccy:AUD",
"deal_id": "AUDUSD_xccy",
"asset_class": "fx",
"type": "xccy",
"leg_type": "fixed",
"position": "long",
"currency_code": "AUD",
"notional_amount": 14000,
"rate": 0.01,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2030-02-27T00:00:00",
"mtm_dirty": 1140
},
{
"date": "2020-03-31T00:00:00",
"id": "AUDUSD_xccy:USD",
"deal_id": "AUDUSD_xccy",
"asset_class": "fx",
"type": "xccy",
"position": "short",
"leg_type": "floating",
"currency_code": "USD",
"notional_amount": 10000,
"underlying_index": "USD_LIBOR_BBA",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2030-02-27T00:00:00"
}
],
"derivative_cash_flow": [
{
"id": "1",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:AUD",
"currency_code": "AUD",
"notional_amount": 14000,
"reset_date": "2019-02-27T00:00:00",
"payment_date": "2019-02-27T00:00:00",
"balance": -14000,
"purpose": "principal"
},
{
"id": "2",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:AUD",
"currency_code": "AUD",
"notional_amount": 14000,
"reset_date": "2029-02-27T00:00:00",
"payment_date": "2029-02-27T00:00:00",
"balance": 14000,
"purpose": "principal"
},
{
"id": "3",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:USD",
"currency_code": "USD",
"notional_amount": 10000,
"reset_date": "2019-02-27T00:00:00",
"payment_date": "2019-02-27T00:00:00",
"balance": 10000,
"purpose": "principal"
},
{
"id": "4",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:USD",
"currency_code": "USD",
"notional_amount": 10000,
"reset_date": "2029-02-27T00:00:00",
"payment_date": "2029-02-27T00:00:00",
"balance": -10000,
"purpose": "principal"
},
{
"id": "5",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:AUD",
"currency_code": "USD",
"reset_date": "2020-02-27T00:00:00",
"payment_date": "2021-02-27T00:00:00",
"notional_amount": 14000,
"balance": 140,
"purpose": "interest"
},
{
"id": "6",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:AUD",
"currency_code": "USD",
"reset_date": "2028-02-27T00:00:00",
"payment_date": "2029-02-27T00:00:00",
"notional_amount": 14000,
"balance": 140,
"purpose": "interest"
},
{
"id": "7",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:USD",
"currency_code": "USD",
"reset_date": "2020-02-27T00:00:00",
"payment_date": "2020-05-27T00:00:00",
"notional_amount": 10000,
"forward_rate": 0.01,
"balance": -2466,
"purpose": "interest"
},
{
"id": "8",
"date": "2020-03-31T00:00:00",
"derivative_id": "AUDUSD_xccy:USD",
"currency_code": "USD",
"reset_date": "2028-11-27T00:00:00",
"payment_date": "2029-02-27T00:00:00",
"notional_amount": 10000,
"forward_rate": 0.02,
"balance": -5042,
"purpose": "interest"
}
]
}
}
Commodity option
Long 100 June21 at-the-money copper put
{
"title": "commodity_option",
"comment": "Commodity Option",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "1",
"asset_class": "metals",
"type": "option",
"leg_type": "put",
"position": "long",
"currency_code": "USD",
"underlying_quantity": 100,
"strike": 9829,
"underlying_index": "copper",
"underlying_price": 9829,
"trade_date": "2020-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2021-06-02T00:00:00",
"last_exercise_date": "2020-12-05T00:00:00",
"settlement_type": "physical",
"mtm_dirty": 193
}
]
}
}
Credit default swap - Index
Index CDS; CDS on the cdx_na_ig index
{
"title": "cds_index",
"comment": "cds_index",
"data": {
"derivative": [
{
"id": "corp_cds_5y",
"date": "2019-01-01T00:00:00",
"asset_class": "cr_index",
"type": "cds",
"underlying_security_id": "cdx_na_ig",
"leg_type": "indexed",
"position": "short",
"delta":-1,
"currency_code": "USD",
"notional_amount": 100,
"trade_date": "2018-07-01T00:00:00",
"start_date": "2018-07-03T00:00:00",
"end_date": "2023-07-03T00:00:00",
"rate": 0.005,
"settlement_type": "cash"
}
],
"security": [
{
"id": "cdx_na_ig",
"date": "2019-01-01T00:00:00",
"type": "index",
"currency_code": "USD",
"cqs_standardised": 3
}
]
}
}
Credit default swap - Single name
Single name CDS; reference obligation US corporate bond with July 2028 maturity
{
"title": "cds_single_name",
"comment": "cds_single_name",
"data": {
"derivative": [
{
"id": "corp_cds_5y",
"date": "2019-01-01T00:00:00",
"asset_class": "cr_single",
"type": "cds",
"underlying_security_id": "Corp_Jul28",
"leg_type": "indexed",
"position": "short",
"delta":-1,
"currency_code": "USD",
"notional_amount": 100,
"trade_date": "2018-07-01T00:00:00",
"start_date": "2018-07-03T00:00:00",
"end_date": "2023-07-03T00:00:00",
"rate": 0.005,
"settlement_type": "cash"
}
],
"security": [
{
"id": "Corp_Jul28",
"date": "2019-01-01T00:00:00",
"type": "bond",
"underlying_issuer_id": "us_corp",
"isin_code": "XS1234567890",
"currency_code": "USD",
"issue_date": "2018-07-01 00:00:00",
"maturity_date": "2028-07-01 00:00:00",
"cqs_standardised": 3
}
],
"issuer": [
{
"id": "us_corp",
"date": "2019-01-01T00:00:00",
"type": "corporate",
"country_code": "US",
"snp_lt": "a_plus",
"moodys_lt": "a1"
}
]
}
}
Equity option
Long 100 1-year 40 call on EquityABC.
{
"title": "equity_option",
"comment": "equity_option",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "1",
"deal_id": "2",
"asset_class": "eq_single",
"type": "option",
"leg_type": "call",
"position": "long",
"currency_code": "USD",
"underlying_quantity": 100.00,
"strike": 40.00,
"underlying_security_id": "EquityABC",
"underlying_price": 25.00,
"trade_date": "2020-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2021-02-27T00:00:00",
"last_exercise_date": "2020-12-05T00:00:00",
"settlement_type": "cash",
"mtm_dirty": 10
}
],
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "EquityABC",
"type": "equity",
"currency_code": "USD",
"start_date": "2017-01-01T00:00:00",
"purpose": "reference"
}
]
}
}
Equity total return swap
Short 5y EUR total return swap on EquityABC
{
"title": "equity_total_return_swap",
"comment": "equity_total_return_swap",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "eur_equity_trs:equity_leg",
"deal_id": "eur_equity_trs",
"asset_class": "eq",
"type": "vanilla_swap",
"leg_type": "indexed",
"position": "short",
"currency_code": "EUR",
"notional_amount": 10000,
"underlying_security_id": "EquityABC",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2024-02-27T00:00:00",
"mtm_dirty": 140
},
{
"date": "2020-03-31T00:00:00",
"id": "eur_equity_trs:floating_leg",
"deal_id": "long_eur_equity_trs",
"asset_class": "eq",
"type": "vanilla_swap",
"leg_type": "floating",
"position": "long",
"currency_code": "EUR",
"notional_amount": 10000,
"rate": 0.0225,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2024-02-27T00:00:00"
}
],
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "EquityABC",
"type": "equity",
"currency_code": "USD",
"start_date": "2020-03-31T00:00:00",
"issue_date": "2017-03-01T00:00:00",
"purpose": "reference"
}
]
}
}
Forward rate agreement
Short 6x12 USD FRA
{
"title": "fra_6x12",
"comment": "6x12-fra",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "6x12-fra",
"asset_class": "ir",
"type": "fra",
"leg_type": "indexed",
"position": "short",
"currency_code": "USD",
"notional_amount": 10000,
"underlying_index": "USD_LIBOR",
"underlying_index_tenor": "6m",
"trade_date": "2019-11-25T00:00:00",
"start_date": "2020-05-27T00:00:00",
"end_date": "2020-11-27T00:00:00",
"settlement_type": "cash",
"rate": 0.005,
"mtm_dirty": -25
}
]
}
}
FX forward
Short AUDUSD forward
{
"title": "fx_forward",
"comment": "fx_forward",
"data": {
"derivative": [
{
"date": "2019-04-30T00:00:00",
"id": "audusd_swap:aud",
"deal_id": "audusd_fx_fwd",
"asset_class": "fx",
"type": "forward",
"leg_type": "fixed",
"position": "short",
"currency_code": "AUD",
"notional_amount": 10000,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00",
"mtm_dirty": -2
},
{
"date": "2019-04-30T00:00:00",
"id": "audusd_swap:usd",
"deal_id": "audusd_fx_fwd",
"asset_class": "fx",
"type": "forward",
"leg_type": "fixed",
"position": "long",
"currency_code": "USD",
"notional_amount": 10275,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00"
}
]
}
}
FX future
Long June EURCAD future
{
"title": "fx_future",
"comment": "EUR CAD Future",
"data": {
"derivative": [
{
"date": "2019-04-01T00:00:00",
"id": "eur_cad_future",
"asset_class": "fx",
"type": "future",
"leg_type": "indexed",
"position": "long",
"currency_code": "EUR",
"notional_amount": 100,
"underlying_currency_code": "CAD",
"trade_date": "2019-04-01T00:00:00",
"start_date": "2019-06-15T00:00:00",
"end_date": "2019-09-15T00:00:00",
"rate": 1.4,
"underlying_price": 1.38,
"settlement_type": "physical",
"mtm_dirty": -2
}
]
}
}
FX option
Short USD call YEN put FX option, exercise on Match 2020
{
"title": "fx_option",
"comment": "USD-JPY call 130",
"data": {
"derivative": [
{
"date": "2019-12-31T00:00:00",
"id": "USDJPY call 130",
"asset_class": "fx",
"type": "option",
"leg_type": "call",
"position": "short",
"currency_code": "USD",
"notional_amount": 100,
"underlying_currency_code": "JPY",
"strike": 130,
"trade_date": "2019-12-01T00:00:00",
"start_date": "2019-12-05T00:00:00",
"end_date": "2020-03-05T00:00:00",
"last_exercise_date": "2020-03-03T00:00:00",
"underlying_price": 130,
"mtm_dirty": -2
}
]
}
}
FX spot
Long EURCAD spot (100 EUR for 140 CAD spot trade)
{
"title": "fx_spot",
"comment": "fx_spot",
"data": {
"derivative": [
{
"date": "2019-04-30T00:00:00",
"id": "eurcad_spot:eur",
"deal_id": "eurcad_spot",
"asset_class": "fx",
"type": "spot",
"leg_type": "fixed",
"position": "long",
"currency_code": "EUR",
"notional_amount": 10000,
"trade_date": "2019-04-30T00:00:00",
"start_date": "2019-05-02T00:00:00",
"end_date": "2019-05-02T00:00:00",
"mtm_dirty": -2
},
{
"date": "2019-04-30T00:00:00",
"id": "eurcad_spot:cad",
"deal_id": "eurcad_spot",
"asset_class": "fx",
"type": "spot",
"leg_type": "fixed",
"position": "short",
"currency_code": "CAD",
"notional_amount": 14000,
"trade_date": "2019-04-30T00:00:00",
"start_date": "2019-05-02T00:00:00",
"end_date": "2019-05-02T00:00:00"
}
]
}
}
FX swap
Short 1-year AUDUSD fx swap. The notional amounts are used to calculate the spot rate (occuring on the start date).
{
"title": "fx_swap",
"comment": "fx_swap: this is a legacy mapping. Please refer to fx_foward.",
"data": {
"derivative": [
{
"date": "2019-04-30T00:00:00",
"id": "audusd_swap:aud",
"deal_id": "audusd_swap",
"asset_class": "fx",
"type": "vanilla_swap",
"leg_type": "fixed",
"position": "short",
"currency_code": "AUD",
"notional_amount": 10000,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00",
"mtm_dirty": -2
},
{
"date": "2019-04-30T00:00:00",
"id": "audusd_swap:aud",
"deal_id": "audusd_swap",
"asset_class": "fx",
"type": "vanilla_swap",
"leg_type": "fixed",
"position": "long",
"currency_code": "USD",
"notional_amount": 10275,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00"
}
]
}
}
Interest rate cap floor
Short 1y collar vs Euribor 3M
{
"title": "ir_cap_floor",
"comment": "IR Cap Floor",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:short_cap",
"deal_id": "short_eur_1y_collar",
"asset_class": "ir",
"type": "cap_floor",
"leg_type": "call",
"position": "short",
"currency_code": "EUR",
"notional_amount": 10000,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00",
"next_exercise_date": "2019-05-25T00:00:00",
"strike": 0.015,
"underlying_price": 0.01,
"mtm_dirty": -40
},
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:long_floor",
"deal_id": "short_eur_1y_collar",
"asset_class": "ir",
"type": "cap_floor",
"leg_type": "put",
"position": "long",
"currency_code": "EUR",
"notional_amount": 10000,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00",
"next_exercise_date": "2019-05-25T00:00:00",
"strike": 0.005,
"underlying_price": 0.01,
"mtm_dirty": 110
}
],
"derivative_cash_flow": [
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:short_cap 2",
"derivative_id": "short_eur_1y_collar:short_cap",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"leg": "pay",
"currency_code": "EUR",
"notional_amount": 10000,
"balance": 0,
"reset_date": "2019-05-27T00:00:00",
"payment_date": "2019-08-27T00:00:00",
"forward_rate": 0.005
},
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:short_cap 3",
"derivative_id": "short_eur_1y_collar:short_cap",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"leg": "pay",
"currency_code": "EUR",
"notional_amount": 10000,
"balance": 0,
"reset_date": "2019-08-27T00:00:00",
"payment_date": "2019-11-27T00:00:00",
"forward_rate": 0.01
},
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:short_cap 4",
"derivative_id": "short_eur_1y_collar:short_cap",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"leg": "pay",
"currency_code": "EUR",
"notional_amount": 10000,
"balance": 0,
"reset_date": "2019-11-27T00:00:00",
"payment_date": "2020-02-27T00:00:00",
"forward_rate": 0.015
},
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:long_floor 2",
"derivative_id": "short_eur_1y_collar:long_floor",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"leg": "receive",
"currency_code": "EUR",
"notional_amount": 10000,
"balance": 0,
"reset_date": "2019-05-27T00:00:00",
"payment_date": "2019-08-27T00:00:00",
"forward_rate": 0.005
},
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:long_floor 3",
"derivative_id": "short_eur_1y_collar:long_floor",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"leg": "receive",
"currency_code": "EUR",
"notional_amount": 10000,
"balance": 0,
"reset_date": "2019-08-27T00:00:00",
"payment_date": "2019-11-27T00:00:00",
"forward_rate": 0.01
},
{
"date": "2020-03-31T00:00:00",
"id": "short_eur_1y_collar:long_floor 4",
"derivative_id": "short_eur_1y_collar:long_floor",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"leg": "receive",
"currency_code": "EUR",
"notional_amount": 10000,
"balance": 0,
"reset_date": "2019-11-27T00:00:00",
"payment_date": "2020-02-27T00:00:00",
"forward_rate": 0.015
}
]
}
}
Interest rate digital floor
Long EUR 1y 0% digital floor vs Euribor 3M
{
"title": "ir_digital_floor",
"comment": "IR Digital Floor",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "1y digital floor:long floor",
"deal_id": "1y digital floor",
"asset_class": "ir",
"type": "cap_floor",
"leg_type": "put",
"position": "long",
"currency_code": "EUR",
"notional_amount": 100000,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00",
"last_exercise_date": "2019-05-25T00:00:00",
"strike": 0.0005,
"mtm_dirty": -40
},
{
"date": "2020-03-31T00:00:00",
"id": "1y digital floor:short floor",
"deal_id": "1y digital floor",
"asset_class": "ir",
"type": "cap_floor",
"leg_type": "put",
"position": "short",
"currency_code": "EUR",
"notional_amount": 100000,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2020-02-27T00:00:00",
"last_exercise_date": "2019-05-25T00:00:00",
"strike": -0.0005
}
],
"derivative_cash_flow": [
{
"id": "1y digital floor:long floor_1",
"derivative_id": "1y digital floor:long floor",
"date": "2020-03-31T00:00:00",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"currency_code": "EUR",
"notional_amount": 100000,
"reset_date": "2019-05-27T00:00:00",
"payment_date": "2019-08-27T00:00:00",
"forward_rate": 0.0025
},
{
"id": "1y digital floor:long floor_2",
"derivative_id": "1y digital floor:long floor",
"date": "2020-03-31T00:00:00",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"currency_code": "EUR",
"notional_amount": 100000,
"reset_date": "2019-08-27T00:00:00",
"payment_date": "2019-11-27T00:00:00",
"forward_rate": 0.005
},
{
"id": "1y digital floor:long floor_3",
"derivative_id": "1y digital floor:long floor",
"date": "2020-03-31T00:00:00",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"currency_code": "EUR",
"notional_amount": 100000,
"reset_date": "2019-11-27T00:00:00",
"payment_date": "2020-02-27T00:00:00",
"forward_rate": 0.0075
},
{
"id": "1y digital floor:short floor_1",
"derivative_id": "1y digital floor:short floor",
"date": "2020-03-31T00:00:00",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"currency_code": "EUR",
"notional_amount": 100000,
"reset_date": "2019-05-27T00:00:00",
"payment_date": "2019-08-27T00:00:00",
"forward_rate": 0.0025
},
{
"id": "1y digital floor:short floor_2",
"derivative_id": "1y digital floor:short floor",
"date": "2020-03-31T00:00:00",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"currency_code": "EUR",
"notional_amount": 100000,
"reset_date": "2019-08-27T00:00:00",
"payment_date": "2019-11-27T00:00:00",
"forward_rate": 0.005
},
{
"id": "1y digital floor:short floor_3",
"derivative_id": "1y digital floor:short floor",
"date": "2020-03-31T00:00:00",
"trade_date": "2019-02-25T00:00:00",
"asset_class": "ir",
"currency_code": "EUR",
"notional_amount": 100000,
"reset_date": "2019-11-27T00:00:00",
"payment_date": "2020-02-27T00:00:00",
"forward_rate": 0.0075
}
]
}
}
Interest rate future
June three-month cash-settled interest rate future.
{
"title": "ir_future",
"comment": "ir_future",
"data": {
"derivative": [
{
"date": "2019-04-30T00:00:00",
"id": "june_eurodollar_future",
"asset_class": "ir",
"type": "future",
"leg_type": "indexed",
"position": "long",
"currency_code": "EUR",
"notional_amount": 100,
"underlying_currency_code": "USD",
"trade_date": "2018-04-01T00:00:00",
"start_date": "2018-04-01T00:00:00",
"end_date": "2019-06-01T00:00:00",
"last_payment_date": "2019-09-01T00:00:00",
"mtm_dirty": -2,
"settlement_type": "cash"
}
]
}
}
Interest rate swap
Long 10y EUR irs vs Euribor 3M, bullet
{
"title": "interest_rate_swap",
"comment": "interest_rate_swap",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "eur_10y_irs_fixed",
"deal_id": "eur_10y_irs",
"asset_class": "ir",
"type": "vanilla_swap",
"currency_code": "EUR",
"leg_type": "fixed",
"position": "long",
"notional_amount": 10000,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2029-02-27T00:00:00",
"rate": 0.01,
"mtm_dirty": 70
},
{
"date": "2020-03-31T00:00:00",
"id": "eur_10y_irs_floating",
"deal_id": "long_eur_10y_irs",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "floating",
"position": "short",
"currency_code": "EUR",
"notional_amount": 10000,
"rate": 0.0025,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2019-02-27T00:00:00",
"end_date": "2029-02-27T00:00:00"
}
]
}
}
Interest rate swap amortising
Long 2y EUR irs vs Euribor 6M, amortising annually
{
"title": "interest_rate_swap_amortising",
"comment": "Interest Rate Swap Amortising",
"data": {
"derivative": [
{
"id": "eur_10y_irs_fixed",
"deal_id": "eur_10y_irs",
"date": "2020-03-31T00:00:00",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "fixed",
"position": "long",
"currency_code": "EUR",
"notional_amount": 10000,
"trade_date": "2020-01-29T00:00:00",
"start_date": "2020-01-31T00:00:00",
"end_date": "2022-01-31T00:00:00",
"rate": 0.01,
"mtm_dirty": 70
},
{
"id": "eur_10y_irs_floating",
"deal_id": "long_eur_10y_irs",
"date": "2020-03-31T00:00:00",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "floating",
"position": "short",
"currency_code": "EUR",
"notional_amount": 10000,
"trade_date": "2020-01-29T00:00:00",
"start_date": "2020-01-31T00:00:00",
"end_date": "2022-01-31T00:00:00",
"underlying_index": "EURIBOR",
"underlying_index_tenor": "6m",
"rate": 0.0025
}
],
"derivative_cash_flow": [
{
"id": "eur_10y_irs_fixed_1",
"derivative_id": "eur_10y_irs_fixed",
"date": "2020-03-31T00:00:00",
"currency_code": "EUR",
"notional_amount": 10000,
"reset_date": "2020-01-31T00:00:00",
"payment_date": "2021-01-31T00:00:00"
},
{
"id": "eur_10y_irs_fixed_2",
"derivative_id": "eur_10y_irs_fixed",
"date": "2020-03-31T00:00:00",
"currency_code": "EUR",
"notional_amount": 5000,
"reset_date": "2021-01-31T00:00:00",
"payment_date": "2022-01-31T00:00:00"
},
{
"id": "eur_10y_irs_floating_1",
"derivative_id": "eur_10y_irs_floating",
"date": "2020-03-31T00:00:00",
"currency_code": "EUR",
"notional_amount": 10000,
"reset_date": "2021-01-31T00:00:00",
"payment_date": "2021_07_31T00:00:00",
"forward_rate": 0.0075
},
{
"id": "eur_10y_irs_floating_2",
"derivative_id": "eur_10y_irs_floating",
"date": "2020-03-31T00:00:00",
"currency_code": "EUR",
"notional_amount": 10000,
"reset_date": "2021-07-31T00:00:00",
"payment_date": "2022-01-31T00:00:00",
"forward_rate": 0.0125
},
{
"id": "eur_10y_irs_floating_3",
"derivative_id": "eur_10y_irs_floating",
"date": "2020-03-31T00:00:00",
"currency_code": "EUR",
"notional_amount": 5000,
"reset_date": "2022-01-31T00:00:00",
"payment_date": "2022-07-31T00:00:00",
"forward_rate": 0.0175
},
{
"id": "eur_10y_irs_floating_4",
"derivative_id": "eur_10y_irs_floating",
"date": "2020-03-31T00:00:00",
"currency_code": "EUR",
"notional_amount": 5000,
"reset_date": "2022-07-31T00:00:00",
"payment_date": "2023-01-31T00:00:00",
"forward_rate": 0.0225
}
]
}
}
Margined netting agreement
Margined netting agreement, collateralised with initial collateral amount and variation margin
{
"title": "margined_netting_agreement",
"comment": "Margined Netting Set with collateral. Example trade is an IRS. Agreement schemas contain an MNA (representing the netting set) and a CSA (representing margined status - exchanges of collateral)",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "eur_10y_irs_fixed",
"deal_id": "eur_10y_irs",
"customer_id": "ccp_1",
"mna_id": "isda_master_agreement",
"csa_id": "csa_daily_margined",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "fixed",
"position": "long",
"currency_code": "EUR",
"notional_amount": 10000,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2029-02-27T00:00:00",
"rate": 0.01,
"mtm_dirty": 70
},
{
"date": "2020-03-31T00:00:00",
"id": "eur_10y_irs_floating",
"deal_id": "long_eur_10y_irs",
"customer_id": "counterparty_1",
"mna_id": "isda_master_agreement",
"csa_id": "csa_daily_margined",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "floating",
"position": "short",
"currency_code": "EUR",
"notional_amount": 10000,
"rate": 0.0025,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2029-02-27T00:00:00"
}
],
"customer": [
{
"date": "2020-03-31T00:00:00",
"id": "ccp_1",
"type": "ccp",
"currency_code": "GBP",
"country_code": "GB"
}
],
"agreement": [
{
"date": "2020-03-31T00:00:00",
"id": "isda_master_agreement",
"type": "isda",
"base_currency_code": "GBP",
"incurred_cva": 0,
"country_code": "GB"
},
{
"date": "2020-03-31T00:00:00",
"id": "csa_daily_margined",
"type": "isda",
"base_currency_code": "EUR",
"credit_support_type": "scsa_isda_2013",
"margin_frequency": "daily",
"threshold": 10,
"minimum_transfer_amount": 5,
"country_code": "GB"
}
],
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "vm_eur_received",
"customer_id": "ccp_1",
"mna_id": "isda_master_agreement",
"csa_id": "csa_daily_margined",
"type": "cash",
"purpose": "variation_margin",
"asset_liability": "liability",
"currency_code": "EUR",
"notional_amount": 55,
"balance": 55,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00"
},
{
"date": "2020-03-31T00:00:00",
"id": "im_bond_posted",
"customer_id": "ccp_1",
"mna_id": "isda_master_agreement",
"csa_id": "csa_daily_margined",
"type": "bond",
"issuer_id": "French Republic",
"isin_code": "XS1234567890",
"issue_date": "2018-07-01 00:00:00",
"maturity_date": "2028-07-01 00:00:00",
"purpose": "independent_collateral_amount",
"asset_liability": "asset",
"currency_code": "EUR",
"notional_amount": 8,
"mtm_dirty": -10,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00",
"cqs_standardised": 1
}
],
"issuer": [
{
"date": "2020-03-31T00:00:00",
"id": "French Republic",
"lei_code": "9695006J0AWHMYNZAL19",
"type": "central_govt",
"country_code": "FR",
"snp_lt": "aa_plus",
"moodys_lt": "aa1"
}
]
}
}
Swaption
Short USD 1y into 10y payer swaptionwith physical settlement
{{#include swaption.json:5:}}
Unmargined netting agreement
Unmargined netting agreement, collateralised with initial collateral amount
{
"title": "unmargined_netting_agreement",
"comment": "Unmargined netting set with collateral. Example trade is an IRS. Agreement schemas contain an MNA (representing the netting set). There is no CSA, therefore there is no margining. However, one can still post Independent Collateral (security schema)",
"data": {
"derivative": [
{
"date": "2020-03-31T00:00:00",
"id": "eur_10y_irs_fixed",
"deal_id": "eur_10y_irs",
"customer_id": "ccp_1",
"mna_id": "isda_master_agreement",
"csa_id": "csa_daily_margined",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "fixed",
"position": "long",
"currency_code": "EUR",
"notional_amount": 10000,
"trade_date": "2019-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2029-02-27T00:00:00",
"rate": 0.01,
"mtm_dirty": 70
},
{
"date": "2020-03-31T00:00:00",
"id": "eur_10y_irs_floating",
"deal_id": "long_eur_10y_irs",
"customer_id": "counterparty_1",
"mna_id": "isda_master_agreement",
"csa_id": "csa_daily_margined",
"asset_class": "ir",
"type": "vanilla_swap",
"leg_type": "floating",
"position": "short",
"currency_code": "EUR",
"notional_amount": 10000,
"rate": 0.0025,
"underlying_index": "EURIBOR",
"underlying_index_tenor": "3m",
"trade_date": "2019-02-25T00:00:00",
"start_date": "2020-02-27T00:00:00",
"end_date": "2029-02-27T00:00:00"
}
],
"customer": [
{
"date": "2020-03-31T00:00:00",
"id": "ccp_1",
"type": "ccp",
"currency_code": "GBP",
"country_code": "GB"
}
],
"agreement": [
{
"date": "2020-03-31T00:00:00",
"id": "isda_master_agreement",
"type": "isda",
"base_currency_code": "GBP",
"incurred_cva": 0,
"country_code": "GB"
}
],
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "im_bond_posted",
"customer_id": "ccp_1",
"mna_id": "isda_master_agreement",
"type": "bond",
"issuer_id": "French Republic",
"isin_code": "XS1234567890",
"issue_date": "2018-07-01 00:00:00",
"maturity_date": "2028-07-01 00:00:00",
"purpose": "independent_collateral_amount",
"asset_liability": "asset",
"currency_code": "EUR",
"notional_amount": 8,
"mtm_dirty": -10,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00",
"cqs_standardised": 1
}
],
"issuer": [
{
"date": "2020-03-31T00:00:00",
"id": "French Republic",
"lei_code": "9695006J0AWHMYNZAL19",
"type": "central_govt",
"country_code": "FR",
"snp_lt": "aa_plus",
"moodys_lt": "aa1"
}
]
}
}
Security examples
Bank guarantee issued
Guarantee of 1000 GBP issued by the bank for a customer
{
"title": "bank_guarantee_issued",
"comment": "bank_guarantee",
"data": {
"security": [
{
"id": "bank_guarantee",
"date": "2019-01-01T00:00:00",
"balance": 100000,
"currency_code": "GBP",
"asset_liability": "liability",
"on_balance_sheet": false,
"type": "financial_guarantee",
"customer_id": "corp_123_id"
}
]
}
}
Core equity tier-1 capital
Core equity tier 1 capital of 1000 GBP
{
"title": "cet_1_capital",
"comment": "Core Equity Tier one capital",
"data": {
"security": [
{
"id": "Core Equity Tier one capital",
"date": "2019-01-01T00:00:00",
"balance": 100000,
"currency_code": "GBP",
"asset_liability": "equity",
"type": "share",
"capital_tier": "ce_tier_1",
"purpose": "share_capital",
"status": "paid_up"
}
]
}
}
Cash on-hand
Cash balance representing 1000 GBP.
{
"title": "cash_on_hand",
"comment": "cash_on_hand",
"data": {
"security": [
{
"id": "cash_on_hand",
"date": "2019-01-01T00:00:00",
"balance": 100000,
"currency_code": "GBP",
"asset_liability": "asset",
"type": "cash"
}
]
}
}
Cash receivable
Cash receivable representing a 1000 GBP claim expiring on August 1st 2020 on a security with isin ‘DUMMYISIN123’.
{
"title": "cash_receivable",
"comment": "cash_receivable",
"data": {
"security": [
{
"id": "cash_receivable",
"date": "2020-07-30T00:00:00",
"balance": -100000,
"currency_code": "GBP",
"asset_liability": "asset",
"type": "cash",
"end_date": "2020-08-01T00:00:00+00:00",
"isin_code": "DUMMYISIN123"
}
]
}
}
Cash payable
Cash payable representing a 1000 GBP claim expiring on August 1st 2020 on a security with isin ‘DUMMYISIN123’.
{
"title": "cash_payable",
"comment": "cash_payable",
"data": {
"security": [
{
"id": "cash_payable",
"date": "2020-07-30T00:00:00",
"balance": 100000,
"currency_code": "GBP",
"asset_liability": "liability",
"type": "cash",
"end_date": "2020-08-01T00:00:00+00:00",
"isin_code": "DUMMYISIN123"
}
]
}
}
Collateral posted to ccp on non-derivatives
Non-derivatives IM posted to a CCP (e.g. RepoClear)
Security has “purpose” = “collateral” which signals it is not linked to derivative transactions.
{
"title": "security_collateral_posted_ccp_non_deriv",
"comment": "security_collateral_posted_ccp_non_deriv",
"data": {
"agreement": [
{
"id": "MNA1",
"date": "2018-12-31 00:00:00",
"start_date": "2017-01-31 00:00:00",
"country_code": "GB",
"type": "isda"
}
],
"customer": [
{
"id": "customer_ccp",
"date": "2018-12-31 00:00:00",
"type": "ccp",
"country_code": "GB"
}
],
"security": [
{
"id": "collat_cash_posted_50",
"date": "2018-12-31 00:00:00",
"trade_date": "2018-12-31 00:00:00",
"start_date": "2018-12-31 00:00:00",
"asset_liability": "asset",
"currency_code": "GBP",
"balance": 5000,
"mtm_dirty": 5000,
"type": "bond",
"purpose": "collateral",
"mna_id": "MNA1",
"customer_id": "customer_ccp"
}
]
}
}
Initial margin posted
Bond collateral used as initial margin posted
{
"title": "collateral_initial_margin_bond_posted",
"comment": "Collateral Initial Margin Bond Posted",
"data": {
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "im_posted_bond",
"customer_id": "credit_insitution",
"mna_id": "isda_master_agreement",
"csa_id": "csa_agreement",
"type": "bond",
"issuer_id": "French Republic",
"isin_code": "FR0000571218",
"issue_date": "1998-03-12T00:00:00",
"maturity_date": "2025-04-29T00:00:00",
"purpose": "independent_collateral_amount",
"asset_liability": "asset",
"currency_code": "EUR",
"notional_amount": 100,
"mtm_dirty": -145,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00",
"cqs_standardised": 1
}
],
"issuer": [
{
"date": "2020-03-31T00:00:00",
"id": "French Republic",
"lei_code": "9695006J0AWHMYNZAL19",
"type": "central_govt",
"country_code": "FR",
"snp_lt": "aa_plus",
"moodys_lt": "aa1"
}
],
"customer": [
{
"date": "2020-03-31T00:00:00",
"id": "credit_insitution",
"type": "credit_institution",
"currency_code": "GBP",
"country_code": "GB"
}
],
"agreement": [
{
"date": "2020-03-31T00:00:00",
"id": "isda_master_agreement",
"type": "isda",
"base_currency_code": "GBP",
"country_code": "GB"
},
{
"date": "2020-03-31T00:00:00",
"id": "csa_agreement",
"type": "isda",
"base_currency_code": "EUR",
"credit_support_type": "scsa_isda_2013",
"margin_frequency": "daily",
"threshold": 10,
"minimum_transfer_amount": 5,
"country_code": "GB"
}
]
}
}
Independent amount received
Bond collateral used as independent amount received
{
"title": "collateral_independent_amount_bond_received",
"comment": "Collateral Independent Amount Bond Received",
"data": {
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "independent_amount",
"customer_id": "corporate",
"mna_id": "master_agreement",
"type": "bond",
"issuer_id": "Asian Development Bank",
"isin_code": "NZADBDT007C4",
"issue_date": "2017-05-30T00:00:00",
"maturity_date": "2024-05-30T00:00:00",
"purpose": "independent_collateral_amount",
"asset_liability": "liability",
"currency_code": "NZD",
"notional_amount": 100,
"mtm_dirty": 17,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00",
"cqs_standardised": 1
}
],
"issuer": [
{
"date": "2020-03-31T00:00:00",
"id": "Asian Development Bank",
"lei_code": "549300X0MVH42CY8Q105",
"type": "mdb",
"country_code": "PH",
"snp_lt": "aaa",
"moodys_lt": "aaa"
}
],
"customer": [
{
"date": "2020-03-31T00:00:00",
"id": "corporate",
"type": "corporate",
"currency_code": "SGD",
"country_code": "SG"
}
],
"agreement": [
{
"date": "2020-03-31T00:00:00",
"id": "master_agreement",
"type": "isda",
"base_currency_code": "SGD",
"netting_restriction": "restrictive_covenant",
"incurred_cva": 10,
"country_code": "SG"
}
]
}
}
Reverse repo
Reverse repo transaction with a cash leg of 150 GBP, and a security leg of 140 GBP, starting on June 1st, 2021 and ending on July 1st, 2021. The maturity date on the security leg refers to the maturity of the bond received as collateral.
{
"title": "rev_repo",
"comment": "rev_repo",
"data": {
"security": [
{
"id": "rev_repo_cash_leg",
"date": "2021-06-15T00:00:00",
"currency_code": "GBP",
"end_date": "2021-07-01T00:00:00Z",
"cqs_standardised": 1,
"hqla_class": "i",
"issuer_id": "uk_central_government_id",
"balance": -15000,
"movement": "cash",
"sft_type": "rev_repo",
"start_date": "2021-06-01T00:00:00Z",
"type": "bond",
"trade_date": "2021-06-01T00:00:00Z",
"asset_liability": "asset"
},
{
"id": "rev_repo_asset_leg",
"date": "2021-06-15T00:00:00",
"currency_code": "GBP",
"end_date": "2021-07-01T00:00:00Z",
"cqs_standardised": 1,
"hqla_class": "i",
"mtm_dirty": 14000,
"movement": "asset",
"sft_type": "rev_repo",
"start_date": "2021-06-01T00:00:00Z",
"type": "bond",
"trade_date": "2021-06-01T00:00:00Z",
"asset_liability": "liability",
"issuer_id": "uk_central_government_id",
"maturity_date": "2030-01-01T00:00:00Z"
}
]
}
}
Repo
Repo transaction with a cash leg of 150 GBP, and a security leg of 140 GBP, starting on June 1st, 2021 and ending on July 1st, 2021. The maturity date on the security leg refers to the maturity of the bond posted as collateral.
{
"title": "repo",
"comment": "repo",
"data": {
"security": [
{
"id": "repo_cash_leg",
"date": "2021-06-15T00:00:00",
"currency_code": "GBP",
"end_date": "2021-07-01T00:00:00Z",
"balance": 15000,
"cqs_standardised": 1,
"hqla_class": "i",
"issuer_id": "uk_central_government_id",
"movement": "cash",
"sft_type": "repo",
"start_date": "2021-06-01T00:00:00Z",
"type": "bond",
"trade_date": "2021-06-01T00:00:00Z",
"asset_liability": "liability"
},
{
"id": "repo_asset_leg",
"date": "2021-06-15T00:00:00",
"currency_code": "GBP",
"end_date": "2021-07-01T00:00:00Z",
"cqs_standardised": 1,
"hqla_class": "i",
"mtm_dirty": -14000,
"movement": "asset",
"sft_type": "repo",
"start_date": "2021-06-01T00:00:00Z",
"type": "bond",
"trade_date": "2021-06-01T00:00:00Z",
"asset_liability": "asset",
"issuer_id": "uk_central_government_id",
"maturity_date": "2030-01-01T00:00:00Z"
}
]
}
}
Variation margin cash posted
Cash collateral used as variation margin posted
{
"title": "collateral_variation_margin_cash_posted",
"comment": "Collateral Variation Margin Cash Posted",
"data": {
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "vm_cash_posted",
"customer_id": "qccp",
"mna_id": "ccp_master_agreement",
"csa_id": "ccp_margin_agreement",
"type": "cash",
"purpose": "variation_margin",
"asset_liability": "asset",
"currency_code": "USD",
"notional_amount": 25,
"balance": -25,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00"
}
],
"customer": [
{
"date": "2020-03-31T00:00:00",
"id": "qccp",
"type": "qccp",
"currency_code": "GBP",
"country_code": "GB"
}
],
"agreement": [
{
"date": "2020-03-31T00:00:00",
"id": "ccp_master_agreement",
"type": "isda",
"base_currency_code": "GBP",
"incurred_cva": 0,
"country_code": "GB"
},
{
"date": "2020-03-31T00:00:00",
"id": "ccp_margin_agreement",
"type": "isda",
"base_currency_code": "GBP",
"credit_support_type": "csa_isda_1995",
"margin_frequency": "daily_settled",
"country_code": "GB"
}
]
}
}
Variation margin cash received
Cash collateral used as variation margin received
{
"title": "collateral_variation_margin_cash_received",
"comment": "Collateral Variation Margin Cash Received",
"data": {
"security": [
{
"date": "2020-03-31T00:00:00",
"id": "vm_cash_received",
"customer_id": "qccp",
"mna_id": "ccp_master_agreement",
"csa_id": "ccp_margin_agreement",
"type": "cash",
"purpose": "variation_margin",
"asset_liability": "liability",
"currency_code": "EUR",
"notional_amount": 100,
"balance": 100,
"trade_date": "2020-03-31T00:00:00",
"start_date": "2020-03-31T00:00:00"
}
],
"customer": [
{
"date": "2020-03-31T00:00:00",
"id": "qccp",
"type": "qccp",
"currency_code": "GBP",
"country_code": "GB"
}
],
"agreement": [
{
"date": "2020-03-31T00:00:00",
"id": "ccp_master_agreement",
"type": "isda",
"base_currency_code": "GBP",
"incurred_cva": 0,
"country_code": "GB"
},
{
"date": "2020-03-31T00:00:00",
"id": "ccp_margin_agreement",
"type": "isda",
"base_currency_code": "GBP",
"credit_support_type": "csa_isda_1995",
"margin_frequency": "daily_settled",
"country_code": "GB"
}
]
}
}