layouttitle
readmeFIRE data examples

The following are a few examples of common financial trades.

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

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

{
  "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",
        "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",
        "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": "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

{
  "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 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",
  "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,
        "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
      },
      {
        "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
      },
      {
        "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
      },
      {
        "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
      }
    ]
  }
}

Interest rate swap collateralised

Long 10y EUR irs vs Euribor 3M, collateralised

{
  "title": "interest_rate_swap_collateralised",
  "comment": "Interest Rate Swap Collateralised",
  "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": "derivative_collateral",
        "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:}}

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",
        "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.

{
  "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,
        "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

{
  "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": "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",
        "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": "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",
        "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"
      }
    ]
  }
}