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readmeFIRE data examples

The following are a few examples of common financial trades.

Individual element examples

Account examples

Current 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

{
	"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

{
	"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

{
	"id": "savings_account_with_30days_notice",
	"date": "2017-06-30T14:03:12Z",
	"trade_date": "2012-02-06T09:30:00Z",
	"start_date": "2012-02-07T00:00:00Z",
	"next_withdrawal_date": "2017-07-30T00:00:00Z",
	"currency_code": "GBP",
	"balance": 30000,
	"accrued_interest": 2500,
	"type": "savings",
	"status": "active",
	"on_balance_sheet": true,
	"asset_liability": "liability",
	"customer_id": "C123456"
}

1-year time deposit

{
	"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

{
	"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

{
	"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

{
	"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

{
	"id": "nostro account at another credit institution",
	"date": "2017-06-30T14:03:12Z",
	"currency_code": "GBP",
	"balance": 100000,
	"type": "nostro",
	"asset_liability": "asset",
	"customer_id": "bank_123_id",
	"end_date": null,
	"on_balance_sheet":true
}

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

{
	"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)

{
	"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": "2019-04-01T00:00:00",
	"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

{
	"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": "2019-04-01T00:00:00",
	"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

{
    "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": [
        {
            "date": "2020_03_31T00:00:00",
            "bank_id": "AUDUSD_xccy:AUD_initial_exchange",
            "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"
        },
        {
            "date": "2020_03_31T00:00:00",
            "bank_id": "AUDUSD_xccy:AUD_final_exchange",
            "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"
        },
        {
            "date": "2020_03_31T00:00:00",
            "deal_id": "AUDUSD_xccy:USD_initial_exchange",
            "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"
        },
        {
            "date": "2020_03_31T00:00:00",
            "deal_id": "AUDUSD_xccy:USD_final_exchange",
            "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"
        },
        {
            "date": "2020_03_31T00:00:00",
            "bank_id": "AUDUSD_xccy:AUD_1",
            "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"
        },
        {
            "date": "2020_03_31T00:00:00",
            "bank_id": "AUDUSD_xccy:AUD_8",
            "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"
        },
        {
            "date": "2020_03_31T00:00:00",
            "bank_id": "AUDUSD_xccy:USD_1",
            "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": -24.66,
            "purpose": "interest"
        },
        {
            "date": "2020_03_31T00:00:00",
            "bank_id": "AUDUSD_xccy:USD_32",
            "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": -50.42,
            "purpose": "interest"
        }
    ]
}

Commodity option

Long 100 June21 at-the-money copper put

{
	"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

{
	"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",
			"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

{
	"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",
			"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.

{
	"derivative": [
		{
	        "date": "2020-03-31T00:00:00",
			"id": "1",
			"asset_class": "equity_single",
			"type": "option",
			"leg_type": "call",
			"position": "long",
			"currency_code": "USD",
			"underlying_quantity": 100,
			"strike": 40,
			"underlying_security_id": "EquityABC",
			"underlying_price": 25,
	        "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

{
    "derivative": [
        {
            "date": "2020-03-31T00:00:00",
            "id": "eur_equity_trs:equity_leg",
            "deal_id": "eur_equity_trs",
            "asset_class": "ir",
            "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": "ir",
            "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

{
	"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 future

Long June EURCAD future

{
    "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

{
	"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)

[
    {
        "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).

[
    {
        "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

{
	"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_flows": [
		{
			"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

{
	"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_flows": [
		{
			"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.

{
	"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

[
    {
        "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

{
    "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,
            "trade_date": "2020-01-29T00:00:00",
            "reset_date": "2020-01-31T00:00:00",
            "payment_date": "2021-01-31T00:00:00",
            "balance": 100
        },
        {
            "id": "eur_10y_irs_fixed_2",
            "derivative_id": "eur_10y_irs_fixed",
            "date": "2020-03-31T00:00:00",
            "currency_code": "EUR",
            "notional_amount": 5000,
            "trade_date": "2020-01-29T00:00:00",
            "reset_date": "2021-01-31T00:00:00",
            "payment_date": "2022-01-31T00:00:00",
            "balance": 50
        },
        {
            "id": "eur_10y_irs_floating_1",
            "derivative_id": "eur_10y_irs_floating",
            "date": "2020-03-31T00:00:00",
            "currency_code": "EUR",
            "notional_amount": 10000,
            "trade_date": "2020-01-29T00:00:00",
            "reset_date": "2021-01-31T00:00:00",
            "payment_date": "2021_07_31T00:00:00",
            "forward_rate": 0.0075,
            "balance": -49.589
        },
        {
            "id": "eur_10y_irs_floating_2",
            "derivative_id": "eur_10y_irs_floating",
            "date": "2020-03-31T00:00:00",
            "currency_code": "EUR",
            "notional_amount": 10000,
            "trade_date": "2020-01-29T00:00:00",
            "reset_date": "2021-07-31T00:00:00",
            "payment_date": "2022-01-31T00:00:00",
            "forward_rate": 0.0125,
            "balance": -75.6164
        },
        {
            "id": "eur_10y_irs_floating_3",
            "derivative_id": "eur_10y_irs_floating",
            "date": "2020-03-31T00:00:00",
            "currency_code": "EUR",
            "notional_amount": 5000,
            "trade_date": "2020-01-29T00:00:00",
            "reset_date": "2022-01-31T00:00:00",
            "payment_date": "2022-07-31T00:00:00",
            "forward_rate": 0.0175,
            "balance": -49.589
        },
        {
            "id": "eur_10y_irs_floating_4",
            "derivative_id": "eur_10y_irs_floating",
            "date": "2020-03-31T00:00:00",
            "currency_code": "EUR",
            "notional_amount": 5000,
            "trade_date": "2020-01-29T00:00:00",
            "reset_date": "2022-07-31T00:00:00",
            "payment_date": "2023-01-31T00:00:00",
            "forward_rate": 0.0225,
            "balance": -63.0137
        }
    ]
}

Interest rate swap collateralised

Long 10y EUR irs vs Euribor 3M, collateralised

{
    "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",
            "netting_restriction": null,
            "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": "derivative_collateral",
            "asset_liability": "laibility",
            "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

{
	"date": "2019-01-01T00:00:00",
	"id": "usd_payer_swaption",
	"asset_class": "ir",
	"type": "swaption",
	"leg_type": "call",
	"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",
	"last_exercise_date": "2020-01-01T00:00:00",
	"underlying_price": 0.02,
	"settlement_type": "physical",
	"mtm_dirty": -5
}

Security examples

Bank guarantee issued

Guarantee of 1000 GBP issued by the bank for a customer

{
    "id": "bank guarantee",
    "date": "2019-01-01T00:00:00",
    "balance": 100000,
    "currency_code": "GBP",
    "asset_liability": "liability",
    "on_balance_sheet": false,
    "security_type": "financial_guarantee",
	"customer_id": "corp_123_id"
}

Core equity tier-1 capital

Core equity tier 1 capital of 1000 GBP

{
    "id": "Core Equity Tier one capital",
    "date": "2019-01-01T00:00:00",
    "balance": 100000,
    "currency_code": "GBP",
    "asset_liability": "equity",
    "security_type": "share",
    "capital_tier": "ce_tier_1",
    "purpose": "share_capital",
    "status":"paid_up"
}

Cash on-hand

Cash balance representing 1000 GBP.

{
    "id": "cash_on_hand",
    "date": "2019-01-01T00:00:00",
    "balance": 100000,
    "currency_code": "GBP",
    "asset_liability": "asset",
    "security_type": "cash"
}

Cash receivable

Cash receivable representing a 1000 GBP claim expiring on August 1st 2020 on a security with isin ‘DUMMYISIN123’.

{
    "id": "cash_receivable",
    "date": "2020-07-30T00:00:00",
    "balance": -100000,
    "currency_code": "GBP",
    "asset_liability": "asset",
    "security_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’.

{
    "id": "cash_payable",
    "date": "2020-07-30T00:00:00",
    "balance": 100000,
    "currency_code": "GBP",
    "asset_liability": "liability",
    "security_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.

{
	"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

{
    "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_insitution",
            "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

{
    "security": [
        {
            "date": "2020-03-31T00:00:00",
            "id": "independent_amount",
            "customer_id": "corporate",
            "mna_id": "master_agreement",
            "csa_id": null,
            "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": 16.7,
            "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.

[
    {
        "id": "rev_repo_cash_leg",
        "date": "2021-06-15T00:00:00",
        "currency_code": "GBP",
        "end_date": "2021-07-01T00:00:00Z",
        "balance": -15000,
        "movement": "cash",
        "sft_type": "rev_repo",
        "start_date": "2021-06-01T00:00:00Z",
        "type": "cash",
        "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",
        "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.

[
    {
        "id": "repo_cash_leg",
        "date": "2021-06-15T00:00:00",
        "currency_code": "GBP",
        "end_date": "2021-07-01T00:00:00Z",
        "balance": 15000,
        "movement": "cash",
        "sft_type": "repo",
        "start_date": "2021-06-01T00:00:00Z",
        "type": "cash",
        "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",
        "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

{
    "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": "derivative_collateral",
            "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",
            "netting_restriction": null,
            "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": "other",
            "margin_frequency": "daily_settled",
            "country_code": "GB"
        }
    ]
}

Variation margin cash received

Cash collateral used as variation margin received

{
    "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": "derivative_collateral",
            "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",
            "netting_restriction": null,
            "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": "other",
            "margin_frequency": "daily_settled",
            "country_code": "GB"
        }
    ]
}