Financial Regulatory (FIRE) Data Standard

What is the FIRE data standard?

The Financial Regulatory Data Standard (FIRE) defines a common specification for the transmission of granular data between regulatory systems in finance. Regulatory data refers to the data that underlies regulatory submissions, requirements, calculations and is used for policy, monitoring and supervision purposes.

The FIRE data schemas and code samples are licensed under the Apache 2.0 License which has been chosen for being open, permissive and already widely accepted within the financial sector (think Hadoop, Cassandra, ActiveMQ).

The FIRE data standard is supported by the European Commission, the Open Data Institute and the Open Data Incubator for Europe via the Horizon 2020 funding programme.

Please see the contributing guidelines and guiding principles if you would like to contribute to this project.

Random FIRE Data Generator

Included is a random data generator which will generate data in line with the FIRE schema, but not necessarily realistic. (eg. You might get a loan with a balance of 10 but accrued interest of 1 million)

Testing

You can run tests locally via ./run_tests.sh or view the CI test results in the Actions tab

Financial Regulatory (FIRE) Data Standard

What is the FIRE data standard?

The Financial Regulatory Data Standard (FIRE) defines a common specification for the transmission of granular data between regulatory systems in finance. Regulatory data refers to the data that underlies regulatory submissions, requirements, calculations and is used for policy, monitoring and supervision purposes.

The FIRE data schemas and code samples are licensed under the Apache 2.0 License which has been chosen for being open, permissive and already widely accepted within the financial sector (think Hadoop, Cassandra, ActiveMQ).

The FIRE data standard is supported by the European Commission, the Open Data Institute and the Open Data Incubator for Europe via the Horizon 2020 funding programme.

Please see the contributing guidelines and guiding principles if you would like to contribute to this project.

Random FIRE Data Generator

Included is a random data generator which will generate data in line with the FIRE schema, but not necessarily realistic. (eg. You might get a loan with a balance of 10 but accrued interest of 1 million)

Testing

You can run tests locally via ./run_tests.sh or view the CI test results in the Actions tab

General Information

This is an introduction for people new to JSON and Markdown, if you are already familiar with JSON schemas already, move along now, nothing to see here.

Headers

Please make sure all property markdown files in documentation/properties/ folder start with the following header:

--- 
layout:			property
title:			"name of the data item as it appears in the schemas (ie. lowercase)"
schemas:		[a list of schemas where this data_item is used]
---

JSON

JSON is short for “Javascript Object Notation” and defines the format for an “object”. An object in programming terms can be a variable, data structure or a function (basically anything). More commonly, in Object-Oriented programming an object typically refers to an Instance of a Class. That is to say, a specific description of something more general. Like a Goat being an instance of the Class “Animal”.

For our purposes, we can just consider JSON to be the data and a JSON-schema to just define the format for that data, ie. what it needs to look like so the computer can understand where things are when it receives it.

Properties, names and values

A property in JSON notation is a name-value pair and list of properties is what makes up the data in our schemas. What you would normally call a “field” (like interest_rate) is the name of the property and what we might call an attribute is the value of the property.

One property

{"name": value}

List of properties

{"name1": "value1", "name3": "value3", "name2": "value2"}

JSON is just text, so the formatting is purely visual, even the order (see above) does not matter. As things get more complicated however, it is considered best practice to format your JSON to look more human-friendly:

{
  "name1": "value1",
  "name3": "value3",
  "name2": "value2"
}

You can visit: http://jsonprettyprint.com/ to help with this formatting.

JSON-Schema

While any data sent/received in JSON format will always look like the above, we need a way to make sure it is what we are expecting. For this we define a JSON-Schema which basically describes what the JSON formatted data should look like.

Description

What if we want to add a little more information to describe our property? This is where the “description” parameter comes in. We add some curly brackets where the “value” is supposed to be and add a description as so:

{"name": {"description": "A little blurb about this property"} }

or

{
  "name": {
   "description": "A little blurb about this property"
  }
}

Types

Now that we have described our property value, let’s go a step further and narrow it down to a specific type. Is it a number, a word, a list? The “type” parameter allows us to specify exactly this. So now our schema would look something like this:

{
  "name": {
   "description": "A little blurb about this property",
   "type": "number"
  }
}

JSON has 7 standard types that we can use:

A null value means the value is unknown. Note that this is different from an empty or zero field. If the field is empty, undefined or does not exist, then it can simply be omitted (unless it is indicated as being “required” in which case you should provide a suitable default value).

An integer is a number without a fraction or exponent part.

ex 1. 4
ex 2. 26908289076124561671021

A number is a number with or without a fraction or exponent part.

ex 1. 26908289076124561671021
ex 2. 269082.89076124561671021

A string is a list of characters (except “ or \ ) inside “quotes”. You can think of a string as a word. Note that the “word” can also contain numbers (like your national insurance number). But also note that numbers represented as strings need to be converted back to numbers if you want to add or multiply them.

ex 1. “sheep”
ex 2. “AS546NB8”

A boolean is simple true or false flag. Note that the true/false flag is lowercase and not inside “quotes”.

ex 1. true
ex 2. false

If you were wondering, the word boolean comes from a founding father of modern logic, the English mathematician George Boole.

An array is a list of the other types, separated by commas and inside square brackets [ ].

ex 1. [2, 235, 34634, 34]
ex 2. [“sheep”, “sheep_dog”, “fox”]

An object is a JSON object, or in other words, the thing we are defining. So this allows for nesting of objects within objects. This is valid JSON, but adds time and complexity in the decoding/parsing process so generally should be avoided.

{
  "farm_id": "E2G2K3LSJENJ4J3K10H",
  "animals": {
    "goat": 2,
    "sheep": 7,
    "sheep_dog": 1
  },
  "farm_owner": "peter"
}

Restrictions

Once we have given a description, a type and maybe a format for our property value we can implement some sanity checks by applying further restrictions.

Restrictions can come in the form of visual presentation like formats or enums, or they can come in the form of simple quantitative sanity-checks. Both are extremely useful to narrow down the possibilities of what might be considered as “valid data” according to the schema. These restrictions not only ensure that bad data is caught at the most granular level, but it also ensures that common semantics are used to define the same thing. It is the first step towards a harmonised standard. In other words, if a loan currency is US Dollar, let’s agree to call it “USD” instead of “US_Dollar”, “dollar-USA”, “011” or “$US.”

Restrictions can be difficult to implement as you need to consider all potential edge cases. Account balances are generally positive but sometimes can be negative, too. Leveraging widely used ISO or IFRS standards are therefore a great way to ensure you have considered the full spectrum of possible values. It also means that, more often than not, firms will already be familiar with and recording data in line with these standards.

Formats

How would you represent a date value like 31 August 2014?

• We could make use of a string type: “31 August 2014” but then “Aug 31 2014” would also be valid and we would have trouble ordering our data by date.
• We could accept an integer type: 31082014 but then 1235 would also be a valid integer. And even if we restricted it to 8-digits, we would have to remember to make sure single digit months have a leading zeros and still this doesn’t tell us if it is 31 August 2014 or 14 February 8013.

You get the idea, sometimes we need more information. This is where the format parameter comes in.

The following is the list of the formats specified in the JSON Schema specification:

• “date-time”: Date representation, as defined by RFC 3339, section 5.6.
• “email”: Internet email address, see RFC 5322, section 3.4.1.
• “hostname”: Internet host name, see RFC 1034, section 3.1.
• “ipv4”: IPv4 address, according to dotted-quad ABNF syntax as defined in RFC 2673, section 3.2.
• “ipv6”: IPv6 address, as defined in RFC 2373, section 2.2.
• “uri”: A universal resource identifier (URI), according to RFC3986.

The one we use most commonly from this is the “date-time” format and it basically means your dates and timestamps need to be a valid string but also look like this: YYYY-MM-DDTHH:MM:SSZ in accordance with ISO 8601.

So for our example, if this is your schema:

{"animal_birthday": {
  "description": "The recorded birthday for the animal.",
  "type": "string",
  "format": "date-time"
  }
}

then this would be a valid input:

{"animal_birthday": "1995-06-07T13:00:00Z"}

and this would be an invalid input:

{"animal_birthday": "1995-6-7T13:00:00Z"}

Enums

enum is short for enumeration which is short for “a complete, ordered listing of all the items in a collection.” All that means is a list (an array) of possible values our value can have. Enums are typically used with string types to limit the range of possible strings that are considered valid for a property value.

Again, it is important to consider edge cases and hence where relevant, it is advisable to leave an “other” or “none” value so that and edge case can be temporarily mapped to a generic parameter. Particularly, in the case of an open source project, you can envisage enum lists getting longer as the schemas evolve through contributions.

So for example, if this is your schema:

{"animal_type": {
  "description": "The type of animal on the farm.",
  "type": "string",
  "enum": ["sheep", "goat", "cow", "other"]
  }
}

then this would be a valid input:

{"animal_type": "goat"}

and this would be an invalid input:

{"animal_type": "horse"}

More information

The JSON spec can be found here and JSON-schema spec cane be found here.

FAQs

Is FIRE a data model for my database?

No. The FIRE Data Format is designed to define the format and definition for the transmission of data rather than the storage of that data. Financial data as a whole does lend itself naturally to a relational data model, but depending on the use-case, FIRE data might be better stored in a non-relational, graph or denormalised form.

Given that FIRE is not a data model recipe, why do you have multiple schemas and relational ids that suggests an underlying relational table design?

There are a few reasons for separating data into “normalised” components:

• To reduce redundant information and the amount of data going down the wire. If you are transmitting information on customers and products, doing so in multiple schemas will be less data than having customer information repeated as additional fields in every product schema.
• To remove possibility for errors and inconsistencies in data. Again, if we had customer information fields in our loan schema you could get two loans with the same customer_id but different credit_impaired statuses.
• By segregating schemas, it also allows entities (like customers or collateral) to be added independently (without a loan, for example). It also allows for transmitting of product data without customer data which can be particularly useful where data protection and security concerns might exist for different confidentiality levels of data.

Contributing

1. Create a (free) Github account: https://github.com/join
2. Start a discussion in the Issue Tracker: https://github.com/SuadeLabs/fire/issues
3. Make a pull request: https://help.github.com/articles/using-pull-requests/

Contribution Requirements

1. When adding an attribute to a schema the attribute should be well defined in terms of data type (i.e. integer, string, enum etc.) and the attribute should respect the guiding principles.

2. For every new attribute there should be a corresponding documentation file.

3. There should always be a justification and description in the pull request. This should indicate why the attribute should be in the project and/or why this contribution is important.

4. All files must be valid, i.e. schema files are valid JSON and documentation is in Markdown format.

Keep in mind

Ensure you respect the project’s guiding principles Ensure that you follow the community guidelines: https://suade.org/fire/guidelines.html

Guiding principles

The guiding principles are composed of:

• Project principles
• Schema design principles

Project principles

The FIRE project should be:

Easy to understand

FIRE should be easy to read, understand and explain for non-technical users. The reason for this is that (like any data specification for a complex, regulated industry) FIRE contains a great deal of embedded subject matter expertise needs to be evaluated and updated by specialists in finance, regulatory policy, accounting and law. Similarly, as FIRE will be implemented and used by developers, who may not necessarily have the same level of subject matter expertise, it should not require a great deal of financial or regulatory knowledge to understand the general concepts for use.

Easy to use

FIRE should be easy to implement and should require drastic and fundamental changes to how financial institutions identify, conceptualize, create, store and manage their data. This is why the schemas attributes will look familiar to those associated with traditional relational tables and financial data models. Despite a relational look and feel, as JSON objects, FIRE data can be easily used with NoSQL or Graph databases.

Free, open and collaborative

This should be a given but is unfortunately not very common in the financial industry as enterprise software vendors are keen to create lock-in to their systems and platforms with closed and proprietary data models and formats. As such, FIRE carries an open-source Apache 2.0 License and is publicly accessible on Github for easy integration with other IT systems.

Schema design principles

The FIRE Data schema specifications should respect the following 3 schema design principles. Note that the terms data attributes and schema properties are interchangeably used.

1. Data attributes should always be true

Schema properties (data attributes) should be self-evident truths and not depend on the application for which they will be used. In the same way that your date of birth doesn’t change depending on who’s asking, properties should follow the same philosophy. Practically, this means data should not be dependent on the intended computation, visualisation, report or application. Data should simply represent a labelling of a contract or entity based on purely legal definitions. As such, every pull request requires a corresponding, documented, legal reference, preferably to a currently in-force financial regulation.

2. Data attributes should be atomic

Schema properties should uniquely describe the data. Properties should be fundamental, atomic units of measurement. One property should not be derivable from other properties. Similar to the “flags” problem, schema properties should not have embedded logic. This was often done with legacy systems for performance reasons when databases were fast, CPUs slow and memory expensive, but today, most applications are I/O bound. You may still choose to store secondary or derived data, but this is the concern of the application and its specific goals rather than the underlying fundamental data.

eg. It would be unwise to have a loan balance in original currency and USD. This inevitably leads to data of the form:

Can you spot the problem?

Better is to just have an original currency and an exchange rate.

3. Data attributes should be consistent

Schema properties should try to avoid logical inconsistencies. In other words, one schema property should not contradict another. This is a common occurrence in legacy systems where schemas were updated without a big picture consideration. This typically manifests itself in the form of flags

eg. There should not be a security type titled “government_bond” and a “issuer-type-is-government” flag.

This might seem ok:

This has the potential to create contradictory data of the nature:

Better would be:

Even better would be:

Why? Because flags are limiting and can still lead to inconsistencies:

The following are a few examples of common financial trades.

• Individual element examples
  • Account examples
    • Current account
    • Current account with guarantee
    • Savings account
    • Savings account with notice
    • 1-year time deposit
    • 1-year time deposit with 6-month withdrawal option
    • PNL interest income
    • PNL salary expenses
  • Loan examples
    • BBL/CBIL
    • Nostro account
    • Loan with two customers
  • Derivative examples
    • Bermudan swaption
    • Bond future
    • Cross-currency swap
    • Commodity option
    • Credit default swap - Index
    • Credit default swap - Single name
    • Equity option
    • Equity total return swap
    • Forward rate agreement
    • FX forward
    • FX future
    • FX option
    • FX spot
    • FX swap
    • Interest rate cap floor
    • Interest rate digital floor
    • Interest rate future
    • Interest rate swap
    • Interest rate swap amortising
    • Margined netting agreement
    • USD Payer Swaption
    • Unmargined netting agreement
  • Security examples
    • Bank guarantee issued
    • Core equity tier-1 capital
    • Cash on-hand
    • Cash receivable
    • Cash payable
    • Collateral posted to ccp on non-derivatives
    • Initial margin posted
    • Independent amount received
    • Reverse repo
    • Repo
    • Variation margin cash posted
    • Variation margin cash received

Individual element examples

Account examples

Current account

{
  "title": "current_account",
  "comment": "current_account",
  "data": {
    "account": [
      {
        "id": "current_account",
        "date": "2017-06-30T14:03:12Z",
        "trade_date": "2012-02-06T09:30:00Z",
        "start_date": "2012-02-07T00:00:00Z",
        "currency_code": "GBP",
        "balance": 30000,
        "accrued_interest": 2500,
        "type": "current",
        "status": "active",
        "on_balance_sheet": true,
        "asset_liability": "liability",
        "customer_id": "C123456"
      }
    ]
  }
}

Current account with guarantee

{
  "title": "current_account_with_guarantee",
  "comment": "current_account_with_guarantee",
  "data": {
    "account": [
      {
        "id": "current_account_with_guarantee",
        "date": "2017-06-30T14:03:12Z",
        "trade_date": "2012-02-06T09:30:00Z",
        "start_date": "2012-02-07T00:00:00Z",
        "currency_code": "GBP",
        "balance": 30000,
        "accrued_interest": 2500,
        "guarantee_scheme": "gb_fscs",
        "guarantee_amount": 8500,
        "type": "current",
        "status": "active",
        "on_balance_sheet": true,
        "asset_liability": "liability",
        "customer_id": "C123456"
      }
    ]
  }
}

Savings account

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

Savings account with notice

{{#include savings_account_with_notice.json:5:}}

1-year time deposit

{
  "title": "time_deposit_1year",
  "comment": "time_deposit_1year",
  "data": {
    "account": [
      {
        "id": "time_deposit_1year",
        "date": "2017-06-30T14:03:12Z",
        "trade_date": "2012-02-06T09:30:00Z",
        "start_date": "2012-02-07T00:00:00Z",
        "end_date": "2018-06-30T00:00:00Z",
        "currency_code": "GBP",
        "balance": 30000,
        "accrued_interest": 2500,
        "type": "time_deposit",
        "status": "active",
        "on_balance_sheet": true,
        "asset_liability": "liability",
        "customer_id": "C123456"
      }
    ]
  }
}

1-year time deposit with 6-month withdrawal option

{
  "title": "time_deposit_1year_with_6_month_withdrawal_option",
  "comment": "time_deposit_1year_with_6_month_withdrawal_option",
  "data": {
    "account": [
      {
        "id": "time_deposit_1year_with_6_month_withdrawal_option",
        "date": "2017-06-30T14:03:12Z",
        "trade_date": "2012-02-06T09:30:00Z",
        "start_date": "2012-02-07T00:00:00Z",
        "next_withdrawal_date": "2017-12-31T00:00:00Z",
        "end_date": "2018-06-30T00:00:00Z",
        "currency_code": "GBP",
        "balance": 30000,
        "accrued_interest": 2500,
        "type": "time_deposit",
        "status": "active",
        "on_balance_sheet": true,
        "asset_liability": "liability",
        "customer_id": "C123456"
      }
    ]
  }
}

PNL interest income

{
  "title": "pnl_interest_income",
  "comment": "interest_income",
  "data": {
    "account": [
      {
        "id": "interest_income",
        "date": "2017-06-30T14:03:12Z",
        "currency_code": "GBP",
        "balance": 30000,
        "type": "income",
        "asset_liability": "pnl",
        "purpose": "interest",
        "customer_id": "C123456"
      }
    ]
  }
}

PNL salary expenses

{
  "title": "pnl_salary_expenses",
  "comment": "salary_expenses",
  "data": {
    "account": [
      {
        "id": "salary_expenses",
        "date": "2017-06-30T14:03:12Z",
        "currency_code": "GBP",
        "balance": 30000,
        "type": "expense",
        "asset_liability": "pnl",
        "purpose": "regular_wages"
      }
    ]
  }
}

Loan examples

BBL/CBIL

These loans can be represented as a combination of two independent loans.

The first loan is a 25K GBP payable quarterly during 1 year (From Aug 1st, 2020 to Aug 1st, 2021).

{
    "id": "BBL1",
    "date": "2020-08-08T00:00:00+00:00",
    "balance": 2500000,
    "currency_code": "GBP",
    "end_date": "2021-08-01T00:00:00+00:00",
    "interest_repayment_frequency": "quarterly",
    "repayment_frequency": "at_maturity",
    "repayment_type": "interest_only",
    "start_date": "2020-08-01T00:00:00+00:00",
    "trade_date": "2020-05-11T00:00:00+00:00"
}

The second loan is a 25K GBP payable monthly during 5 years (From Aug 1st, 2021 to Aug 1st, 2026).

{
    "id": "BBL2",
    "date": "2020-08-08T00:00:00+00:00",
    "balance": 2500000,
    "currency_code": "GBP",
    "end_date": "2026-08-01T00:00:00+00:00",
    "repayment_frequency": "monthly",
    "repayment_type": "repayment",
    "start_date": "2021-08-01T00:00:00+00:00",
    "trade_date": "2020-05-11T00:00:00+00:00"
}

BBL_1 will create an inflow of 25K GBP, and BBL_2 will create an outflow of 25K GBP on Aug 1st, 2021.

If you are working with reports that separates inflows from outflows, you will get an excess on the inflow and an excess of the outflow.

To eliminate this excess, we can introduce a third loan.

{
    "id": "BBL_netting",
    "date": "2020-08-08T00:00:00+00:00",
    "balance": -2500000,
    "currency_code": "GBP",
    "end_date": "2021-08-01T00:00:00+00:00",
    "repayment_frequency": "at_maturity",
    "repayment_type": "repayment",
    "start_date": "2021-08-01T00:00:00+00:00"
}

Please download the complete examples

Nostro account

Nostro account, of 1000 GBP, held at another credit institution

{{#include nostro_account.json:5:}}

Loan with two customers

A loan example showing what the json looks like for loans with two customers

{{#include_loan_with_2_customers.json:5:}}

Derivative examples

Bermudan swaption

Short USD 1y into 10y receiver swaption exercisable annually with physical settlement

{
  "title": "bermudan_swaption",
  "comment": "usd_bermudan_swaption",
  "data": {
    "derivative": [
      {
        "date": "2019-01-01T00:00:00",
        "id": "usd_bermudan_swaption",
        "asset_class": "ir",
        "type": "swaption",
        "leg_type": "put",
        "position": "short",
        "currency_code": "USD",
        "notional_amount": 10000,
        "strike": 0.02,
        "underlying_index": "USD_LIBOR",
        "underlying_index_tenor": "6m",
        "start_date": "2019-01-01T00:00:00",
        "end_date": "2020-01-01T00:00:00",
        "last_payment_date": "2030-01-01T00:00:00",
        "next_exercise_date": "2020-01-01T00:00:00",
        "underlying_price": 0.02,
        "settlement_type": "physical",
        "mtm_dirty": -5
      }
    ]
  }
}

Bond future

June IMM Bund future (underlying index is the expected CTD on the reporting date)

{
  "title": "bond_future",
  "comment": "Bund June IMM future",
  "data": {
    "derivative": [
      {
        "id": "Bund June IMM future",
        "date": "2019-04-30T00:00:00",
        "asset_class": "ir",
        "type": "future",
        "leg_type": "indexed",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "rate": 125.5,
        "underlying_index": "BUND0829",
        "trade_date": "2019-04-01T00:00:00",
        "start_date": "2019-05-02T00:00:00",
        "end_date": "2019-05-04T00:00:00",
        "last_payment_date": "2029-08-15T00:00:00",
        "settlement_type": "physical",
        "mtm_dirty": -25
      }
    ]
  }
}

Futures on 20-year treasury bond that matures in 2 years

{
  "title": "bond_future2",
  "comment": "T-Bond Mar21 future",
  "data": {
    "derivative": [
      {
        "id": "T-Bond Mar21 future",
        "date": "2019-04-30T00:00:00",
        "asset_class": "ir",
        "type": "future",
        "leg_type": "indexed",
        "currency_code": "USD",
        "notional_amount": 100,
        "trade_date": "2019-04-01T00:00:00",
        "start_date": "2019-05-02T00:00:00",
        "end_date": "2021-03-15T00:00:00",
        "last_payment_date": "2041-03-15T00:00:00",
        "underlying_index": "T-bondMar41",
        "settlement_type": "physical"
      }
    ]
  }
}

Cross-currency swap

Long 10-year forward_starting AUD/EUR cross-currency swap

{
  "title": "xccy_swap",
  "comment": "USD-AUD xccy",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "AUDUSD_xccy:AUD",
        "deal_id": "AUDUSD_xccy",
        "asset_class": "fx",
        "type": "xccy",
        "leg_type": "fixed",
        "position": "long",
        "currency_code": "AUD",
        "notional_amount": 14000,
        "rate": 0.01,
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2020-02-27T00:00:00",
        "end_date": "2030-02-27T00:00:00",
        "mtm_dirty": 1140
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "AUDUSD_xccy:USD",
        "deal_id": "AUDUSD_xccy",
        "asset_class": "fx",
        "type": "xccy",
        "position": "short",
        "leg_type": "floating",
        "currency_code": "USD",
        "notional_amount": 10000,
        "underlying_index": "USD_LIBOR_BBA",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2020-02-27T00:00:00",
        "end_date": "2030-02-27T00:00:00"
      }
    ],
    "derivative_cash_flow": [
      {
        "id": "1",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:AUD",
        "currency_code": "AUD",
        "notional_amount": 14000,
        "reset_date": "2019-02-27T00:00:00",
        "payment_date": "2019-02-27T00:00:00",
        "balance": -14000,
        "purpose": "principal"
      },
      {
        "id": "2",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:AUD",
        "currency_code": "AUD",
        "notional_amount": 14000,
        "reset_date": "2029-02-27T00:00:00",
        "payment_date": "2029-02-27T00:00:00",
        "balance": 14000,
        "purpose": "principal"
      },
      {
        "id": "3",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:USD",
        "currency_code": "USD",
        "notional_amount": 10000,
        "reset_date": "2019-02-27T00:00:00",
        "payment_date": "2019-02-27T00:00:00",
        "balance": 10000,
        "purpose": "principal"
      },
      {
        "id": "4",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:USD",
        "currency_code": "USD",
        "notional_amount": 10000,
        "reset_date": "2029-02-27T00:00:00",
        "payment_date": "2029-02-27T00:00:00",
        "balance": -10000,
        "purpose": "principal"
      },
      {
        "id": "5",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:AUD",
        "currency_code": "USD",
        "reset_date": "2020-02-27T00:00:00",
        "payment_date": "2021-02-27T00:00:00",
        "notional_amount": 14000,
        "balance": 140,
        "purpose": "interest"
      },
      {
        "id": "6",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:AUD",
        "currency_code": "USD",
        "reset_date": "2028-02-27T00:00:00",
        "payment_date": "2029-02-27T00:00:00",
        "notional_amount": 14000,
        "balance": 140,
        "purpose": "interest"
      },
      {
        "id": "7",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:USD",
        "currency_code": "USD",
        "reset_date": "2020-02-27T00:00:00",
        "payment_date": "2020-05-27T00:00:00",
        "notional_amount": 10000,
        "forward_rate": 0.01,
        "balance": -2466,
        "purpose": "interest"
      },
      {
        "id": "8",
        "date": "2020-03-31T00:00:00",
        "derivative_id": "AUDUSD_xccy:USD",
        "currency_code": "USD",
        "reset_date": "2028-11-27T00:00:00",
        "payment_date": "2029-02-27T00:00:00",
        "notional_amount": 10000,
        "forward_rate": 0.02,
        "balance": -5042,
        "purpose": "interest"
      }
    ]
  }
}

Commodity option

Long 100 June21 at-the-money copper put

{
  "title": "commodity_option",
  "comment": "Commodity Option",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "1",
        "asset_class": "metals",
        "type": "option",
        "leg_type": "put",
        "position": "long",
        "currency_code": "USD",
        "underlying_quantity": 100,
        "strike": 9829,
        "underlying_index": "copper",
        "underlying_price": 9829,
        "trade_date": "2020-02-25T00:00:00",
        "start_date": "2020-02-27T00:00:00",
        "end_date": "2021-06-02T00:00:00",
        "last_exercise_date": "2020-12-05T00:00:00",
        "settlement_type": "physical",
        "mtm_dirty": 193
      }
    ]
  }
}

Credit default swap - Index

Index CDS; CDS on the cdx_na_ig index

{
  "title": "cds_index",
  "comment": "cds_index",
  "data": {
    "derivative": [
      {
        "id": "corp_cds_5y",
        "date": "2019-01-01T00:00:00",
        "asset_class": "cr_index",
        "type": "cds",
        "underlying_security_id": "cdx_na_ig",
        "leg_type": "indexed",
        "position": "short",
        "delta":-1,
        "currency_code": "USD",
        "notional_amount": 100,
        "trade_date": "2018-07-01T00:00:00",
        "start_date": "2018-07-03T00:00:00",
        "end_date": "2023-07-03T00:00:00",
        "rate": 0.005,
        "settlement_type": "cash"
      }
    ],
    "security": [
      {
        "id": "cdx_na_ig",
        "date": "2019-01-01T00:00:00",
        "type": "index",
        "currency_code": "USD",
        "cqs_standardised": 3
      }
    ]
  }
}

Credit default swap - Single name

Single name CDS; reference obligation US corporate bond with July 2028 maturity

{
  "title": "cds_single_name",
  "comment": "cds_single_name",
  "data": {
    "derivative": [
      {
        "id": "corp_cds_5y",
        "date": "2019-01-01T00:00:00",
        "asset_class": "cr_single",
        "type": "cds",
        "underlying_security_id": "Corp_Jul28",
        "leg_type": "indexed",
        "position": "short",
        "delta":-1,
        "currency_code": "USD",
        "notional_amount": 100,
        "trade_date": "2018-07-01T00:00:00",
        "start_date": "2018-07-03T00:00:00",
        "end_date": "2023-07-03T00:00:00",
        "rate": 0.005,
        "settlement_type": "cash"
      }
    ],
    "security": [
      {
        "id": "Corp_Jul28",
        "date": "2019-01-01T00:00:00",
        "type": "bond",
        "underlying_issuer_id": "us_corp",
        "isin_code": "XS1234567890",
        "currency_code": "USD",
        "issue_date": "2018-07-01 00:00:00",
        "maturity_date": "2028-07-01 00:00:00",
        "cqs_standardised": 3
      }
    ],
    "issuer": [
      {
        "id": "us_corp",
        "date": "2019-01-01T00:00:00",
        "type": "corporate",
        "country_code": "US",
        "snp_lt": "a_plus",
        "moodys_lt": "a1"
      }
    ]
  }
}

Equity option

Long 100 1-year 40 call on EquityABC.

{
  "title": "equity_option",
  "comment": "equity_option",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "1",
        "deal_id": "2",
        "asset_class": "eq_single",
        "type": "option",
        "leg_type": "call",
        "position": "long",
        "currency_code": "USD",
        "underlying_quantity": 100.00,
        "strike": 40.00,
        "underlying_security_id": "EquityABC",
        "underlying_price": 25.00,
        "trade_date": "2020-02-25T00:00:00",
        "start_date": "2020-02-27T00:00:00",
        "end_date": "2021-02-27T00:00:00",
        "last_exercise_date": "2020-12-05T00:00:00",
        "settlement_type": "cash",
        "mtm_dirty": 10
      }
    ],
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "EquityABC",
        "type": "equity",
        "currency_code": "USD",
        "start_date": "2017-01-01T00:00:00",
        "purpose": "reference"
      }
    ]
  }
}

Equity total return swap

Short 5y EUR total return swap on EquityABC

{
  "title": "equity_total_return_swap",
  "comment": "equity_total_return_swap",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "eur_equity_trs:equity_leg",
        "deal_id": "eur_equity_trs",
        "asset_class": "eq",
        "type": "vanilla_swap",
        "leg_type": "indexed",
        "position": "short",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "underlying_security_id": "EquityABC",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2024-02-27T00:00:00",
        "mtm_dirty": 140
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "eur_equity_trs:floating_leg",
        "deal_id": "long_eur_equity_trs",
        "asset_class": "eq",
        "type": "vanilla_swap",
        "leg_type": "floating",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "rate": 0.0225,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2024-02-27T00:00:00"
      }
    ],
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "EquityABC",
        "type": "equity",
        "currency_code": "USD",
        "start_date": "2020-03-31T00:00:00",
        "issue_date": "2017-03-01T00:00:00",
        "purpose": "reference"
      }
    ]
  }
}

Forward rate agreement

Short 6x12 USD FRA

{
  "title": "fra_6x12",
  "comment": "6x12-fra",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "6x12-fra",
        "asset_class": "ir",
        "type": "fra",
        "leg_type": "indexed",
        "position": "short",
        "currency_code": "USD",
        "notional_amount": 10000,
        "underlying_index": "USD_LIBOR",
        "underlying_index_tenor": "6m",
        "trade_date": "2019-11-25T00:00:00",
        "start_date": "2020-05-27T00:00:00",
        "end_date": "2020-11-27T00:00:00",
        "settlement_type": "cash",
        "rate": 0.005,
        "mtm_dirty": -25
      }
    ]
  }
}

FX forward

Short AUDUSD forward

{
    "title": "fx_forward",
    "comment": "fx_forward",
    "data": {
      "derivative": [
        {
          "date": "2019-04-30T00:00:00",
          "id": "audusd_swap:aud",
          "deal_id": "audusd_fx_fwd",
          "asset_class": "fx",
          "type": "forward",
          "leg_type": "fixed",
          "position": "short",
          "currency_code": "AUD",
          "notional_amount": 10000,
          "trade_date": "2019-02-25T00:00:00",
          "start_date": "2019-02-27T00:00:00",
          "end_date": "2020-02-27T00:00:00",
          "mtm_dirty": -2
        },
        {
          "date": "2019-04-30T00:00:00",
          "id": "audusd_swap:usd",
          "deal_id": "audusd_fx_fwd",
          "asset_class": "fx",
          "type": "forward",
          "leg_type": "fixed",
          "position": "long",
          "currency_code": "USD",
          "notional_amount": 10275,
          "trade_date": "2019-02-25T00:00:00",
          "start_date": "2019-02-27T00:00:00",
          "end_date": "2020-02-27T00:00:00"
        }
      ]
    }
  }

FX future

Long June EURCAD future

{
  "title": "fx_future",
  "comment": "EUR CAD Future",
  "data": {
    "derivative": [
      {
        "date": "2019-04-01T00:00:00",
        "id": "eur_cad_future",
        "asset_class": "fx",
        "type": "future",
        "leg_type": "indexed",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 100,
        "underlying_currency_code": "CAD",
        "trade_date": "2019-04-01T00:00:00",
        "start_date": "2019-06-15T00:00:00",
        "end_date": "2019-09-15T00:00:00",
        "rate": 1.4,
        "underlying_price": 1.38,
        "settlement_type": "physical",
        "mtm_dirty": -2
      }
    ]
  }
}

FX option

Short USD call YEN put FX option, exercise on Match 2020

{
  "title": "fx_option",
  "comment": "USD-JPY call 130",
  "data": {
    "derivative": [
      {
        "date": "2019-12-31T00:00:00",
        "id": "USDJPY call 130",
        "asset_class": "fx",
        "type": "option",
        "leg_type": "call",
        "position": "short",
        "currency_code": "USD",
        "notional_amount": 100,
        "underlying_currency_code": "JPY",
        "strike": 130,
        "trade_date": "2019-12-01T00:00:00",
        "start_date": "2019-12-05T00:00:00",
        "end_date": "2020-03-05T00:00:00",
        "last_exercise_date": "2020-03-03T00:00:00",
        "underlying_price": 130,
        "mtm_dirty": -2
      }
    ]
  }
}

FX spot

Long EURCAD spot (100 EUR for 140 CAD spot trade)

{
  "title": "fx_spot",
  "comment": "fx_spot",
  "data": {
    "derivative": [
      {
        "date": "2019-04-30T00:00:00",
        "id": "eurcad_spot:eur",
        "deal_id": "eurcad_spot",
        "asset_class": "fx",
        "type": "spot",
        "leg_type": "fixed",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "trade_date": "2019-04-30T00:00:00",
        "start_date": "2019-05-02T00:00:00",
        "end_date": "2019-05-02T00:00:00",
        "mtm_dirty": -2
      },
      {
        "date": "2019-04-30T00:00:00",
        "id": "eurcad_spot:cad",
        "deal_id": "eurcad_spot",
        "asset_class": "fx",
        "type": "spot",
        "leg_type": "fixed",
        "position": "short",
        "currency_code": "CAD",
        "notional_amount": 14000,
        "trade_date": "2019-04-30T00:00:00",
        "start_date": "2019-05-02T00:00:00",
        "end_date": "2019-05-02T00:00:00"
      }
    ]
  }
}

FX swap

Short 1-year AUDUSD fx swap. The notional amounts are used to calculate the spot rate (occuring on the start date).

{
  "title": "fx_swap",
  "comment": "fx_swap: this is a legacy mapping. Please refer to fx_foward.",
  "data": {
    "derivative": [
      {
        "date": "2019-04-30T00:00:00",
        "id": "audusd_swap:aud",
        "deal_id": "audusd_swap",
        "asset_class": "fx",
        "type": "vanilla_swap",
        "leg_type": "fixed",
        "position": "short",
        "currency_code": "AUD",
        "notional_amount": 10000,
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2020-02-27T00:00:00",
        "mtm_dirty": -2
      },
      {
        "date": "2019-04-30T00:00:00",
        "id": "audusd_swap:aud",
        "deal_id": "audusd_swap",
        "asset_class": "fx",
        "type": "vanilla_swap",
        "leg_type": "fixed",
        "position": "long",
        "currency_code": "USD",
        "notional_amount": 10275,
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2020-02-27T00:00:00"
      }
    ]
  }
}

Interest rate cap floor

Short 1y collar vs Euribor 3M

{
  "title": "ir_cap_floor",
  "comment": "IR Cap Floor",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:short_cap",
        "deal_id": "short_eur_1y_collar",
        "asset_class": "ir",
        "type": "cap_floor",
        "leg_type": "call",
        "position": "short",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2020-02-27T00:00:00",
        "next_exercise_date": "2019-05-25T00:00:00",
        "strike": 0.015,
        "underlying_price": 0.01,
        "mtm_dirty": -40
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:long_floor",
        "deal_id": "short_eur_1y_collar",
        "asset_class": "ir",
        "type": "cap_floor",
        "leg_type": "put",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2020-02-27T00:00:00",
        "next_exercise_date": "2019-05-25T00:00:00",
        "strike": 0.005,
        "underlying_price": 0.01,
        "mtm_dirty": 110
      }
    ],
    "derivative_cash_flow": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:short_cap 2",
        "derivative_id": "short_eur_1y_collar:short_cap",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "leg": "pay",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "balance": 0,
        "reset_date": "2019-05-27T00:00:00",
        "payment_date": "2019-08-27T00:00:00",
        "forward_rate": 0.005
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:short_cap 3",
        "derivative_id": "short_eur_1y_collar:short_cap",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "leg": "pay",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "balance": 0,
        "reset_date": "2019-08-27T00:00:00",
        "payment_date": "2019-11-27T00:00:00",
        "forward_rate": 0.01
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:short_cap 4",
        "derivative_id": "short_eur_1y_collar:short_cap",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "leg": "pay",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "balance": 0,
        "reset_date": "2019-11-27T00:00:00",
        "payment_date": "2020-02-27T00:00:00",
        "forward_rate": 0.015
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:long_floor 2",
        "derivative_id": "short_eur_1y_collar:long_floor",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "leg": "receive",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "balance": 0,
        "reset_date": "2019-05-27T00:00:00",
        "payment_date": "2019-08-27T00:00:00",
        "forward_rate": 0.005
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:long_floor 3",
        "derivative_id": "short_eur_1y_collar:long_floor",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "leg": "receive",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "balance": 0,
        "reset_date": "2019-08-27T00:00:00",
        "payment_date": "2019-11-27T00:00:00",
        "forward_rate": 0.01
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "short_eur_1y_collar:long_floor 4",
        "derivative_id": "short_eur_1y_collar:long_floor",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "leg": "receive",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "balance": 0,
        "reset_date": "2019-11-27T00:00:00",
        "payment_date": "2020-02-27T00:00:00",
        "forward_rate": 0.015
      }
    ]
  }
}

Interest rate digital floor

Long EUR 1y 0% digital floor vs Euribor 3M

{
  "title": "ir_digital_floor",
  "comment": "IR Digital Floor",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "1y digital floor:long floor",
        "deal_id": "1y digital floor",
        "asset_class": "ir",
        "type": "cap_floor",
        "leg_type": "put",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2020-02-27T00:00:00",
        "last_exercise_date": "2019-05-25T00:00:00",
        "strike": 0.0005,
        "mtm_dirty": -40
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "1y digital floor:short floor",
        "deal_id": "1y digital floor",
        "asset_class": "ir",
        "type": "cap_floor",
        "leg_type": "put",
        "position": "short",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2020-02-27T00:00:00",
        "last_exercise_date": "2019-05-25T00:00:00",
        "strike": -0.0005
      }
    ],
    "derivative_cash_flow": [
      {
        "id": "1y digital floor:long floor_1",
        "derivative_id": "1y digital floor:long floor",
        "date": "2020-03-31T00:00:00",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "reset_date": "2019-05-27T00:00:00",
        "payment_date": "2019-08-27T00:00:00",
        "forward_rate": 0.0025
      },
      {
        "id": "1y digital floor:long floor_2",
        "derivative_id": "1y digital floor:long floor",
        "date": "2020-03-31T00:00:00",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "reset_date": "2019-08-27T00:00:00",
        "payment_date": "2019-11-27T00:00:00",
        "forward_rate": 0.005
      },
      {
        "id": "1y digital floor:long floor_3",
        "derivative_id": "1y digital floor:long floor",
        "date": "2020-03-31T00:00:00",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "reset_date": "2019-11-27T00:00:00",
        "payment_date": "2020-02-27T00:00:00",
        "forward_rate": 0.0075
      },
      {
        "id": "1y digital floor:short floor_1",
        "derivative_id": "1y digital floor:short floor",
        "date": "2020-03-31T00:00:00",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "reset_date": "2019-05-27T00:00:00",
        "payment_date": "2019-08-27T00:00:00",
        "forward_rate": 0.0025
      },
      {
        "id": "1y digital floor:short floor_2",
        "derivative_id": "1y digital floor:short floor",
        "date": "2020-03-31T00:00:00",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "reset_date": "2019-08-27T00:00:00",
        "payment_date": "2019-11-27T00:00:00",
        "forward_rate": 0.005
      },
      {
        "id": "1y digital floor:short floor_3",
        "derivative_id": "1y digital floor:short floor",
        "date": "2020-03-31T00:00:00",
        "trade_date": "2019-02-25T00:00:00",
        "asset_class": "ir",
        "currency_code": "EUR",
        "notional_amount": 100000,
        "reset_date": "2019-11-27T00:00:00",
        "payment_date": "2020-02-27T00:00:00",
        "forward_rate": 0.0075
      }
    ]
  }
}

Interest rate future

June three-month cash-settled interest rate future.

{
  "title": "ir_future",
  "comment": "ir_future",
  "data": {
    "derivative": [
      {
        "date": "2019-04-30T00:00:00",
        "id": "june_eurodollar_future",
        "asset_class": "ir",
        "type": "future",
        "leg_type": "indexed",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 100,
        "underlying_currency_code": "USD",
        "trade_date": "2018-04-01T00:00:00",
        "start_date": "2019-05-02T00:00:00",
        "end_date": "2019-05-04T00:00:00",
        "last_payment_date": "2019-08-02T00:00:00",
        "mtm_dirty": -2,
        "settlement_type": "cash"
      }
    ]
  }
}

Interest rate swap

Long 10y EUR irs vs Euribor 3M, bullet

{
  "title": "interest_rate_swap",
  "comment": "interest_rate_swap",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "eur_10y_irs_fixed",
        "deal_id": "eur_10y_irs",
        "asset_class": "ir",
        "type": "vanilla_swap",
        "currency_code": "EUR",
        "leg_type": "fixed",
        "position": "long",
        "notional_amount": 10000,
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2029-02-27T00:00:00",
        "rate": 0.01,
        "mtm_dirty": 70
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "eur_10y_irs_floating",
        "deal_id": "long_eur_10y_irs",
        "asset_class": "ir",
        "type": "vanilla_swap",
        "leg_type": "floating",
        "position": "short",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "rate": 0.0025,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2019-02-27T00:00:00",
        "end_date": "2029-02-27T00:00:00"
      }
    ]
  }
}

Interest rate swap amortising

Long 2y EUR irs vs Euribor 6M, amortising annually

{
  "title": "interest_rate_swap_amortising",
  "comment": "Interest Rate Swap Amortising",
  "data": {
    "derivative": [
      {
        "id": "eur_10y_irs_fixed",
        "deal_id": "eur_10y_irs",
        "date": "2020-03-31T00:00:00",
        "asset_class": "ir",
        "type": "vanilla_swap",
        "leg_type": "fixed",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "trade_date": "2020-01-29T00:00:00",
        "start_date": "2020-01-31T00:00:00",
        "end_date": "2022-01-31T00:00:00",
        "rate": 0.01,
        "mtm_dirty": 70
      },
      {
        "id": "eur_10y_irs_floating",
        "deal_id": "long_eur_10y_irs",
        "date": "2020-03-31T00:00:00",
        "asset_class": "ir",
        "type": "vanilla_swap",
        "leg_type": "floating",
        "position": "short",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "trade_date": "2020-01-29T00:00:00",
        "start_date": "2020-01-31T00:00:00",
        "end_date": "2022-01-31T00:00:00",
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "6m",
        "rate": 0.0025
      }
    ],
    "derivative_cash_flow": [
      {
        "id": "eur_10y_irs_fixed_1",
        "derivative_id": "eur_10y_irs_fixed",
        "date": "2020-03-31T00:00:00",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "reset_date": "2020-01-31T00:00:00",
        "payment_date": "2021-01-31T00:00:00"
      },
      {
        "id": "eur_10y_irs_fixed_2",
        "derivative_id": "eur_10y_irs_fixed",
        "date": "2020-03-31T00:00:00",
        "currency_code": "EUR",
        "notional_amount": 5000,
        "reset_date": "2021-01-31T00:00:00",
        "payment_date": "2022-01-31T00:00:00"
      },
      {
        "id": "eur_10y_irs_floating_1",
        "derivative_id": "eur_10y_irs_floating",
        "date": "2020-03-31T00:00:00",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "reset_date": "2021-01-31T00:00:00",
        "payment_date": "2021_07_31T00:00:00",
        "forward_rate": 0.0075
      },
      {
        "id": "eur_10y_irs_floating_2",
        "derivative_id": "eur_10y_irs_floating",
        "date": "2020-03-31T00:00:00",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "reset_date": "2021-07-31T00:00:00",
        "payment_date": "2022-01-31T00:00:00",
        "forward_rate": 0.0125
      },
      {
        "id": "eur_10y_irs_floating_3",
        "derivative_id": "eur_10y_irs_floating",
        "date": "2020-03-31T00:00:00",
        "currency_code": "EUR",
        "notional_amount": 5000,
        "reset_date": "2022-01-31T00:00:00",
        "payment_date": "2022-07-31T00:00:00",
        "forward_rate": 0.0175
      },
      {
        "id": "eur_10y_irs_floating_4",
        "derivative_id": "eur_10y_irs_floating",
        "date": "2020-03-31T00:00:00",
        "currency_code": "EUR",
        "notional_amount": 5000,
        "reset_date": "2022-07-31T00:00:00",
        "payment_date": "2023-01-31T00:00:00",
        "forward_rate": 0.0225
      }
    ]
  }
}

Margined netting agreement

Margined netting agreement, collateralised with initial collateral amount and variation margin

{
  "title": "margined_netting_agreement",
  "comment": "Margined Netting Set with collateral. Example trade is an IRS. Agreement schemas contain an MNA (representing the netting set) and a CSA (representing margined status - exchanges of collateral)",
  "data": {
    "derivative": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "eur_10y_irs_fixed",
        "deal_id": "eur_10y_irs",
        "customer_id": "ccp_1",
        "mna_id": "isda_master_agreement",
        "csa_id": "csa_daily_margined",
        "asset_class": "ir",
        "type": "vanilla_swap",
        "leg_type": "fixed",
        "position": "long",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2020-02-27T00:00:00",
        "end_date": "2029-02-27T00:00:00",
        "rate": 0.01,
        "mtm_dirty": 70
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "eur_10y_irs_floating",
        "deal_id": "long_eur_10y_irs",
        "customer_id": "counterparty_1",
        "mna_id": "isda_master_agreement",
        "csa_id": "csa_daily_margined",
        "asset_class": "ir",
        "type": "vanilla_swap",
        "leg_type": "floating",
        "position": "short",
        "currency_code": "EUR",
        "notional_amount": 10000,
        "rate": 0.0025,
        "underlying_index": "EURIBOR",
        "underlying_index_tenor": "3m",
        "trade_date": "2019-02-25T00:00:00",
        "start_date": "2020-02-27T00:00:00",
        "end_date": "2029-02-27T00:00:00"
      }
    ],
    "customer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "ccp_1",
        "type": "ccp",
        "currency_code": "GBP",
        "country_code": "GB"
      }
    ],
    "agreement": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "isda_master_agreement",
        "type": "isda",
        "base_currency_code": "GBP",
        "incurred_cva": 0,
        "country_code": "GB"
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "csa_daily_margined",
        "type": "isda",
        "base_currency_code": "EUR",
        "credit_support_type": "scsa_isda_2013",
        "margin_frequency": "daily",
        "threshold": 10,
        "minimum_transfer_amount": 5,
        "country_code": "GB"
      }
    ],
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "vm_eur_received",
        "customer_id": "ccp_1",
        "mna_id": "isda_master_agreement",
        "csa_id": "csa_daily_margined",
        "type": "cash",
        "purpose": "variation_margin",
        "asset_liability": "liability",
        "currency_code": "EUR",
        "notional_amount": 55,
        "balance": 55,
        "trade_date": "2020-03-31T00:00:00",
        "start_date": "2020-03-31T00:00:00"
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "im_bond_posted",
        "customer_id": "ccp_1",
        "mna_id": "isda_master_agreement",
        "csa_id": "csa_daily_margined",
        "type": "bond",
        "issuer_id": "French Republic",
        "isin_code": "XS1234567890",
        "issue_date": "2018-07-01 00:00:00",
        "maturity_date": "2028-07-01 00:00:00",
        "purpose": "independent_collateral_amount",
        "asset_liability": "asset",
        "currency_code": "EUR",
        "notional_amount": 8,
        "mtm_dirty": -10,
        "trade_date": "2020-03-31T00:00:00",
        "start_date": "2020-03-31T00:00:00",
        "cqs_standardised": 1
      }
    ],
    "issuer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "French Republic",
        "lei_code": "9695006J0AWHMYNZAL19",
        "type": "central_govt",
        "country_code": "FR",
        "snp_lt": "aa_plus",
        "moodys_lt": "aa1"
      }
    ]
  }
}

Swaption

Short USD 1y into 10y payer swaptionwith physical settlement

{
  "title": "usd_payer_swaption",
  "comment": "usd_payer_swaption",
  "data": {
    "derivative": [
      {
        "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
      }
    ]
  }
}

Unmargined netting agreement

Unmargined netting agreement, collateralised with initial collateral amount

{
    "title": "unmargined_netting_agreement",
    "comment": "Unmargined netting set with collateral. Example trade is an IRS. Agreement schemas contain an MNA (representing the netting set). There is no CSA, therefore there is no margining. However, one can still post Independent Collateral (security schema)",
    "data": {
      "derivative": [
        {
          "date": "2020-03-31T00:00:00",
          "id": "eur_10y_irs_fixed",
          "deal_id": "eur_10y_irs",
          "customer_id": "ccp_1",
          "mna_id": "isda_master_agreement",
          "csa_id": "csa_daily_margined",
          "asset_class": "ir",
          "type": "vanilla_swap",
          "leg_type": "fixed",
          "position": "long",
          "currency_code": "EUR",
          "notional_amount": 10000,
          "trade_date": "2019-02-25T00:00:00",
          "start_date": "2020-02-27T00:00:00",
          "end_date": "2029-02-27T00:00:00",
          "rate": 0.01,
          "mtm_dirty": 70
        },
        {
          "date": "2020-03-31T00:00:00",
          "id": "eur_10y_irs_floating",
          "deal_id": "long_eur_10y_irs",
          "customer_id": "counterparty_1",
          "mna_id": "isda_master_agreement",
          "csa_id": "csa_daily_margined",
          "asset_class": "ir",
          "type": "vanilla_swap",
          "leg_type": "floating",
          "position": "short",
          "currency_code": "EUR",
          "notional_amount": 10000,
          "rate": 0.0025,
          "underlying_index": "EURIBOR",
          "underlying_index_tenor": "3m",
          "trade_date": "2019-02-25T00:00:00",
          "start_date": "2020-02-27T00:00:00",
          "end_date": "2029-02-27T00:00:00"
        }
      ],
      "customer": [
        {
          "date": "2020-03-31T00:00:00",
          "id": "ccp_1",
          "type": "ccp",
          "currency_code": "GBP",
          "country_code": "GB"
        }
      ],
      "agreement": [
        {
          "date": "2020-03-31T00:00:00",
          "id": "isda_master_agreement",
          "type": "isda",
          "base_currency_code": "GBP",
          "incurred_cva": 0,
          "country_code": "GB"
        }
      ],
      "security": [
        {
          "date": "2020-03-31T00:00:00",
          "id": "im_bond_posted",
          "customer_id": "ccp_1",
          "mna_id": "isda_master_agreement",
          "type": "bond",
          "issuer_id": "French Republic",
          "isin_code": "XS1234567890",
          "issue_date": "2018-07-01 00:00:00",
          "maturity_date": "2028-07-01 00:00:00",
          "purpose": "independent_collateral_amount",
          "asset_liability": "asset",
          "currency_code": "EUR",
          "notional_amount": 8,
          "mtm_dirty": -10,
          "trade_date": "2020-03-31T00:00:00",
          "start_date": "2020-03-31T00:00:00",
          "cqs_standardised": 1
        }
      ],
      "issuer": [
        {
          "date": "2020-03-31T00:00:00",
          "id": "French Republic",
          "lei_code": "9695006J0AWHMYNZAL19",
          "type": "central_govt",
          "country_code": "FR",
          "snp_lt": "aa_plus",
          "moodys_lt": "aa1"
        }
      ]
    }
  }

Security examples

Bank guarantee issued

Guarantee of 1000 GBP issued by the bank for a customer

{
  "title": "bank_guarantee_issued",
  "comment": "bank_guarantee",
  "data": {
    "security": [
      {
        "id": "bank_guarantee",
        "date": "2019-01-01T00:00:00",
        "balance": 100000,
        "currency_code": "GBP",
        "asset_liability": "liability",
        "on_balance_sheet": false,
        "type": "financial_guarantee",
        "customer_id": "corp_123_id"
      }
    ]
  }
}

Core equity tier-1 capital

Core equity tier 1 capital of 1000 GBP

{
  "title": "cet_1_capital",
  "comment": "Core Equity Tier one capital",
  "data": {
    "security": [
      {
        "id": "Core Equity Tier one capital",
        "date": "2019-01-01T00:00:00",
        "balance": 100000,
        "currency_code": "GBP",
        "asset_liability": "equity",
        "type": "share",
        "capital_tier": "ce_tier_1",
        "purpose": "share_capital",
        "status": "paid_up"
      }
    ]
  }
}

Cash on-hand

Cash balance representing 1000 GBP.

{
  "title": "cash_on_hand",
  "comment": "cash_on_hand",
  "data": {
    "security": [
      {
        "id": "cash_on_hand",
        "date": "2019-01-01T00:00:00",
        "balance": 100000,
        "currency_code": "GBP",
        "asset_liability": "asset",
        "type": "cash"
      }
    ]
  }
}

Cash receivable

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

{
  "title": "cash_receivable",
  "comment": "cash_receivable",
  "data": {
    "security": [
      {
        "id": "cash_receivable",
        "date": "2020-07-30T00:00:00",
        "balance": -100000,
        "currency_code": "GBP",
        "asset_liability": "asset",
        "type": "cash",
        "end_date": "2020-08-01T00:00:00+00:00",
        "isin_code": "DUMMYISIN123"
      }
    ]
  }
}

Cash payable

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

{
  "title": "cash_payable",
  "comment": "cash_payable",
  "data": {
    "security": [
      {
        "id": "cash_payable",
        "date": "2020-07-30T00:00:00",
        "balance": 100000,
        "currency_code": "GBP",
        "asset_liability": "liability",
        "type": "cash",
        "end_date": "2020-08-01T00:00:00+00:00",
        "isin_code": "DUMMYISIN123"
      }
    ]
  }
}

Collateral posted to ccp on non-derivatives

Non-derivatives IM posted to a CCP (e.g. RepoClear)

Security has “purpose” = “collateral” which signals it is not linked to derivative transactions.

{
  "title": "security_collateral_posted_ccp_non_deriv",
  "comment": "security_collateral_posted_ccp_non_deriv",
  "data": {
    "agreement": [
      {
        "id": "MNA1",
        "date": "2018-12-31 00:00:00",
        "start_date": "2017-01-31 00:00:00",
        "country_code": "GB",
        "type": "isda"
      }
    ],
    "customer": [
      {
        "id": "customer_ccp",
        "date": "2018-12-31 00:00:00",
        "type": "ccp",
        "country_code": "GB"
      }
    ],
    "security": [
      {
        "id": "collat_cash_posted_50",
        "date": "2018-12-31 00:00:00",
        "trade_date": "2018-12-31 00:00:00",
        "start_date": "2018-12-31 00:00:00",
        "asset_liability": "asset",
        "currency_code": "GBP",
        "balance": 5000,
        "mtm_dirty": 5000,
        "type": "bond",
        "purpose": "collateral",
        "mna_id": "MNA1",
        "customer_id": "customer_ccp"
      }
    ]
  }
}

Initial margin posted

Bond collateral used as initial margin posted

{
  "title": "collateral_initial_margin_bond_posted",
  "comment": "Collateral Initial Margin Bond Posted",
  "data": {
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "im_posted_bond",
        "customer_id": "credit_insitution",
        "mna_id": "isda_master_agreement",
        "csa_id": "csa_agreement",
        "type": "bond",
        "issuer_id": "French Republic",
        "isin_code": "FR0000571218",
        "issue_date": "1998-03-12T00:00:00",
        "maturity_date": "2025-04-29T00:00:00",
        "purpose": "independent_collateral_amount",
        "asset_liability": "asset",
        "currency_code": "EUR",
        "notional_amount": 100,
        "mtm_dirty": -145,
        "trade_date": "2020-03-31T00:00:00",
        "start_date": "2020-03-31T00:00:00",
        "cqs_standardised": 1
      }
    ],
    "issuer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "French Republic",
        "lei_code": "9695006J0AWHMYNZAL19",
        "type": "central_govt",
        "country_code": "FR",
        "snp_lt": "aa_plus",
        "moodys_lt": "aa1"
      }
    ],
    "customer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "credit_insitution",
        "type": "credit_institution",
        "currency_code": "GBP",
        "country_code": "GB"
      }
    ],
    "agreement": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "isda_master_agreement",
        "type": "isda",
        "base_currency_code": "GBP",
        "country_code": "GB"
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "csa_agreement",
        "type": "isda",
        "base_currency_code": "EUR",
        "credit_support_type": "scsa_isda_2013",
        "margin_frequency": "daily",
        "threshold": 10,
        "minimum_transfer_amount": 5,
        "country_code": "GB"
      }
    ]
  }
}

Independent amount received

Bond collateral used as independent amount received

{
  "title": "collateral_independent_amount_bond_received",
  "comment": "Collateral Independent Amount Bond Received",
  "data": {
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "independent_amount",
        "customer_id": "corporate",
        "mna_id": "master_agreement",
        "type": "bond",
        "issuer_id": "Asian Development Bank",
        "isin_code": "NZADBDT007C4",
        "issue_date": "2017-05-30T00:00:00",
        "maturity_date": "2024-05-30T00:00:00",
        "purpose": "independent_collateral_amount",
        "asset_liability": "liability",
        "currency_code": "NZD",
        "notional_amount": 100,
        "mtm_dirty": 17,
        "trade_date": "2020-03-31T00:00:00",
        "start_date": "2020-03-31T00:00:00",
        "cqs_standardised": 1
      }
    ],
    "issuer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "Asian Development Bank",
        "lei_code": "549300X0MVH42CY8Q105",
        "type": "mdb",
        "country_code": "PH",
        "snp_lt": "aaa",
        "moodys_lt": "aaa"
      }
    ],
    "customer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "corporate",
        "type": "corporate",
        "currency_code": "SGD",
        "country_code": "SG"
      }
    ],
    "agreement": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "master_agreement",
        "type": "isda",
        "base_currency_code": "SGD",
        "netting_restriction": "restrictive_covenant",
        "incurred_cva": 10,
        "country_code": "SG"
      }
    ]
  }
}

Reverse repo

Reverse repo transaction with a cash leg of 150 GBP, and a security leg of 140 GBP, starting on June 1st, 2021 and ending on July 1st, 2021. The maturity date on the security leg refers to the maturity of the bond received as collateral.

{
  "title": "rev_repo",
  "comment": "rev_repo",
  "data": {
    "security": [
      {
        "id": "rev_repo_cash_leg",
        "date": "2021-06-15T00:00:00",
        "currency_code": "GBP",
        "end_date": "2021-07-01T00:00:00Z",
	"cqs_standardised": 1,
	"hqla_class": "i",
	"issuer_id": "uk_central_government_id",
        "balance": -15000,
        "movement": "cash",
        "sft_type": "rev_repo",
        "start_date": "2021-06-01T00:00:00Z",
        "type": "bond",
        "trade_date": "2021-06-01T00:00:00Z",
        "asset_liability": "asset"
      },
      {
        "id": "rev_repo_asset_leg",
        "date": "2021-06-15T00:00:00",
        "currency_code": "GBP",
        "end_date": "2021-07-01T00:00:00Z",
	"cqs_standardised": 1,
	"hqla_class": "i",
        "mtm_dirty": 14000,
        "movement": "asset",
        "sft_type": "rev_repo",
        "start_date": "2021-06-01T00:00:00Z",
        "type": "bond",
        "trade_date": "2021-06-01T00:00:00Z",
        "asset_liability": "liability",
        "issuer_id": "uk_central_government_id",
        "maturity_date": "2030-01-01T00:00:00Z"
      }
    ]
  }
}

Repo

Repo transaction with a cash leg of 150 GBP, and a security leg of 140 GBP, starting on June 1st, 2021 and ending on July 1st, 2021. The maturity date on the security leg refers to the maturity of the bond posted as collateral.

{
  "title": "repo",
  "comment": "repo",
  "data": {
    "security": [
      {
        "id": "repo_cash_leg",
        "date": "2021-06-15T00:00:00",
        "currency_code": "GBP",
        "end_date": "2021-07-01T00:00:00Z",
        "balance": 15000,
	"cqs_standardised": 1,
	"hqla_class": "i",
	"issuer_id": "uk_central_government_id",
        "movement": "cash",
        "sft_type": "repo",
        "start_date": "2021-06-01T00:00:00Z",
        "type": "bond",
        "trade_date": "2021-06-01T00:00:00Z",
        "asset_liability": "liability"
      },
      {
        "id": "repo_asset_leg",
        "date": "2021-06-15T00:00:00",
        "currency_code": "GBP",
        "end_date": "2021-07-01T00:00:00Z",
	"cqs_standardised": 1,
	"hqla_class": "i",
        "mtm_dirty": -14000,
        "movement": "asset",
        "sft_type": "repo",
        "start_date": "2021-06-01T00:00:00Z",
        "type": "bond",
        "trade_date": "2021-06-01T00:00:00Z",
        "asset_liability": "asset",
        "issuer_id": "uk_central_government_id",
        "maturity_date": "2030-01-01T00:00:00Z"
      }
    ]
  }
}

Variation margin cash posted

Cash collateral used as variation margin posted

{
  "title": "collateral_variation_margin_cash_posted",
  "comment": "Collateral Variation Margin Cash Posted",
  "data": {
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "vm_cash_posted",
        "customer_id": "qccp",
        "mna_id": "ccp_master_agreement",
        "csa_id": "ccp_margin_agreement",
        "type": "cash",
        "purpose": "variation_margin",
        "asset_liability": "asset",
        "currency_code": "USD",
        "notional_amount": 25,
        "balance": -25,
        "trade_date": "2020-03-31T00:00:00",
        "start_date": "2020-03-31T00:00:00"
      }
    ],
    "customer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "qccp",
        "type": "qccp",
        "currency_code": "GBP",
        "country_code": "GB"
      }
    ],
    "agreement": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "ccp_master_agreement",
        "type": "isda",
        "base_currency_code": "GBP",
        "incurred_cva": 0,
        "country_code": "GB"
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "ccp_margin_agreement",
        "type": "isda",
        "base_currency_code": "GBP",
        "credit_support_type": "csa_isda_1995",
        "margin_frequency": "daily_settled",
        "country_code": "GB"
      }
    ]
  }
}

Variation margin cash received

Cash collateral used as variation margin received

{
  "title": "collateral_variation_margin_cash_received",
  "comment": "Collateral Variation Margin Cash Received",
  "data": {
    "security": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "vm_cash_received",
        "customer_id": "qccp",
        "mna_id": "ccp_master_agreement",
        "csa_id": "ccp_margin_agreement",
        "type": "cash",
        "purpose": "variation_margin",
        "asset_liability": "liability",
        "currency_code": "EUR",
        "notional_amount": 100,
        "balance": 100,
        "trade_date": "2020-03-31T00:00:00",
        "start_date": "2020-03-31T00:00:00"
      }
    ],
    "customer": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "qccp",
        "type": "qccp",
        "currency_code": "GBP",
        "country_code": "GB"
      }
    ],
    "agreement": [
      {
        "date": "2020-03-31T00:00:00",
        "id": "ccp_master_agreement",
        "type": "isda",
        "base_currency_code": "GBP",
        "incurred_cva": 0,
        "country_code": "GB"
      },
      {
        "date": "2020-03-31T00:00:00",
        "id": "ccp_margin_agreement",
        "type": "isda",
        "base_currency_code": "GBP",
        "credit_support_type": "csa_isda_1995",
        "margin_frequency": "daily_settled",
        "country_code": "GB"
      }
    ]
  }
}

Account Schema

An Account represents a financial account that describes the funds that a customer has entrusted to a financial institution in the form of deposits or credit balances.

• JSON Schema on GitHub

Properties

Account Schema

An Account represents a financial account that describes the funds that a customer has entrusted to a financial institution in the form of deposits or credit balances.

• JSON Schema on GitHub

Properties