forked from actusfrf/actus-dictionary
-
Notifications
You must be signed in to change notification settings - Fork 0
/
actus-dictionary-terms.json
2510 lines (2508 loc) · 114 KB
/
actus-dictionary-terms.json
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
{
"version": {
"Version": "1.2",
"Edition": "0",
"Date": "2020-06-03"
},
"terms": {
"accruedInterest": {
"identifier": "accruedInterest",
"group": "Interest",
"name": "Accrued Interest",
"acronym": "IPAC",
"type": "Real",
"allowedValues": [],
"default": "",
"description": "Accrued interest as per SD. In case of NULL, this value will be recalculated using IPANX, IPCL and IPNR information. Can be used to represent irregular next IP payments."
},
"adjustmentFactor": {
"identifier": "adjustmentFactor",
"group": "Redemption",
"name": "Adjustment Factor",
"acronym": "ADF",
"type": "Real",
"allowedValues": [],
"default": "1",
"description": "A correction factor for the Redemption Amount determined by the Calculating Agent."
},
"amortizationDate": {
"identifier": "amortizationDate",
"group": "Notional Principal",
"name": "Amortization Date",
"acronym": "AMD",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "This Date is used to calculate the annuity amounts for ANN and ANX NGX CT's. Needs only to be set in case where the contract balloon at MD and MD is less than AD."
},
"arrayCycleAnchorDateOfInterestPayment": {
"identifier": "arrayCycleAnchorDateOfInterestPayment",
"group": "Interest",
"name": "Array Cycle Anchor Date Of Interest Payment",
"acronym": "ARIPANXi",
"type": "Timestamp[]",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Same like IPANX but as array"
},
"arrayCycleAnchorDateOfPrincipalRedemption": {
"identifier": "arrayCycleAnchorDateOfPrincipalRedemption",
"group": "Notional Principal",
"name": "Array Cycle Anchor Date Of Principal Redemption",
"acronym": "ARPRANXj",
"type": "Timestamp[]",
"allowedValues": [],
"default": "",
"description": "Same like PRANX but as array"
},
"arrayCycleAnchorDateOfRateReset": {
"identifier": "arrayCycleAnchorDateOfRateReset",
"group": "Rate Reset",
"name": "Array Cycle Anchor Date Of Rate Reset",
"acronym": "ARRRANX",
"type": "Timestamp[]",
"allowedValues": [],
"default": "",
"description": "Same like RRANX but as array"
},
"arrayCycleOfInterestPayment": {
"identifier": "arrayCycleOfInterestPayment",
"group": "Interest",
"name": "Array Cycle Of Interest Payment",
"acronym": "ARIPCLi",
"type": "Cycle[]",
"allowedValues": [],
"default": "",
"description": "Same like IPCL but as array"
},
"arrayCycleOfPrincipalRedemption": {
"identifier": "arrayCycleOfPrincipalRedemption",
"group": "Notional Principal",
"name": "Array Cycle Of Principal Redemption",
"acronym": "ARPRCLj",
"type": "Cycle[]",
"allowedValues": [],
"default": "",
"description": "Same like PRCL but as array"
},
"arrayCycleOfRateReset": {
"identifier": "arrayCycleOfRateReset",
"group": "Rate Reset",
"name": "Array Cycle Of Rate Reset",
"acronym": "ARRRCL",
"type": "Cycle[]",
"allowedValues": [],
"default": "",
"description": "Same like RRCL but as array"
},
"arrayFixedVariable": {
"identifier": "arrayFixedVariable",
"group": "Rate Reset",
"name": "Array Fixed Variable",
"acronym": "ARFIXVAR",
"type": "Enum[]",
"allowedValues": [
{
"option": "0",
"identifier": "fixedRate",
"name": "Fixed Rate",
"acronym": "F",
"description": "Rate spread represents a fixed rate."
},
{
"option": "1",
"identifier": "variableRate",
"name": "Variable Rate",
"acronym": "V",
"description": "Rate spread represents the spread on top of a reference rate."
}
],
"default": "",
"description": "For array-type rate reset schedules, this attributes defines the meaning of ARRATE."
},
"arrayIncreaseDecrease": {
"identifier": "arrayIncreaseDecrease",
"group": "Notional Principal",
"name": "Array Increase Decrease",
"acronym": "ARINCDEC",
"type": "Enum[]",
"allowedValues": [
{
"option": "0",
"identifier": "increase",
"name": "Increase",
"acronym": "INC",
"description": "Notional is increased in this period."
},
{
"option": "1",
"identifier": "decrease",
"name": "Decrease",
"acronym": "DEC",
"description": "Notional is decreased in this period."
}
],
"default": "",
"description": "Indicates whether a certain PRNXT element in ARPRNX increases the principal (NT) or decreases it.\nApplies only for ANX, NAX, LAX Maturity CTs. For all other Maturity CTs the first principal payment is always in the opposite direction of all other (following) payments."
},
"arrayNextPrincipalRedemptionPayment": {
"identifier": "arrayNextPrincipalRedemptionPayment",
"group": "Notional Principal",
"name": "Array Next Principal Redemption Payment",
"acronym": "ARPRNXTj",
"type": "Real[]",
"allowedValues": [],
"default": "",
"description": "Same like PRNXT but as array"
},
"arrayRate": {
"identifier": "arrayRate",
"group": "Rate Reset",
"name": "Array Rate",
"acronym": "ARRATE",
"type": "Real[]",
"allowedValues": [],
"default": "",
"description": "For array-type rate reset schedules, this attribute represents either an interest rate (corresponding to IPNR) or a spread (corresponding to RRSP). Which case applies depends on the attribute ARFIXVAR: if ARFIXVAR=FIX then it represents the new IPNR and if ARFIXVAR=VAR then the applicable RRSP."
},
"businessDayConvention": {
"identifier": "businessDayConvention",
"group": "Calendar",
"name": "Business Day Convention",
"acronym": "BDC",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "noShift",
"name": "No Shift",
"acronym": "NOS",
"description": "No shift applied to non-business days."
},
{
"option": "1",
"identifier": "shiftCalculateFollowing",
"name": "Shift-Calculate Following",
"acronym": "SCF",
"description": "Shift event dates first then calculate accruals etc. Strictly shift to the next following business day."
},
{
"option": "2",
"identifier": "shiftCalculateModifiedFollowing",
"name": "Shift-Calculate Modified-Following",
"acronym": "SCMF",
"description": "Shift event dates first then calculate accruals etc. Shift to the next following business day if this falls in the same month. Shift to the most recent preceding business day otherwise."
},
{
"option": "3",
"identifier": "calculateShiftFollowing",
"name": "Calculate-Shift Following",
"acronym": "CSF",
"description": "Calculate accruals etc. first then shift event dates. Strictly shift to the next following business day."
},
{
"option": "4",
"identifier": "calculateShiftModifiedFollowing",
"name": "Calculate-Shift Modified-Following",
"acronym": "CSMF",
"description": "Calculate accruals etc. first then shift event dates. Shift to the next following business day if this falls in the same month. Shift to the most recent preceding business day otherwise."
},
{
"option": "5",
"identifier": "shiftCalculatePreceding",
"name": "Shift-Calculate Preceding",
"acronym": "SCP",
"description": "Shift event dates first then calculate accruals etc. Strictly shift to the most recent preceding business day."
},
{
"option": "6",
"identifier": "shiftCalculateModifiedPreceding",
"name": "Shift-Calculate Modified-Preceding",
"acronym": "SCMP",
"description": "Shift event dates first then calculate accruals etc. Shift to the most recent preceding business day if this falls in the same month. Shift to the next following business day otherwise."
},
{
"option": "7",
"identifier": "calculateShiftPreceding",
"name": "Calculate-Shift Preceding",
"acronym": "CSP",
"description": "Calculate accruals etc. first then shift event dates. Strictly shift to the most recent preceding business day."
},
{
"option": "8",
"identifier": "calculateShiftModifiedPreceding",
"name": "Calculate-Shift Modified-Preceding",
"acronym": "SCMP",
"description": "Calculate accruals etc. first then shift event dates. Shift to the most recent preceding business day if this falls in the same month. Shift to the next following business day otherwise."
}
],
"default": "nos",
"description": "BDC's are linked to a calendar. Calendars have working and non-working days. A BDC value other than N means that cash flows cannot fall on non-working days, they must be shifted to the next business day (following) or the previous on (preceding).\nThese two simple rules get refined twofold:\n- Following modified (preceding): Same like following (preceding), however if a cash flow gets shifted into a new month, then it is shifted to preceding (following) business day.\n- Shift/calculate (SC) and calculate/shift (CS). Accrual, principal, and possibly other calculations are affected by this choice. In the case of SC first the dates are shifted and after the shift cash flows are calculated. In the case of CS it is the other way round.\nAttention: Does not affect non-cyclical dates such as PRD, MD, TD, IPCED since they can be set to the correct date directly."
},
"calendar": {
"identifier": "calendar",
"group": "Calendar",
"name": "Calendar",
"acronym": "CLDR",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "noCalendar",
"name": "No Calendar",
"acronym": "NC",
"description": "No holidays defined"
},
{
"option": "1",
"identifier": "mondayToFriday",
"name": "MondayToFriday",
"acronym": "MF",
"description": "Saturdays and Sundays are holidays"
}
],
"default": "noCalendar",
"description": "Calendar defines the non-working days which affect the dates of contract events (CDE's) in combination with EOMC and BDC. Custom calendars can be added as additional enum options."
},
"capitalizationEndDate": {
"identifier": "capitalizationEndDate",
"group": "Interest",
"name": "Capitalization End Date",
"acronym": "IPCED",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "If IPCED is set, then interest is not paid or received but added to the balance (NT) until IPCED. If IPCED does not coincide with an IP cycle, one additional interest payment gets calculated at IPCED and capitalized. Thereafter normal interest payments occur."
},
"clearingHouse": {
"identifier": "clearingHouse",
"group": "Margining",
"name": "Clearing House",
"acronym": "MRCLH",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "isClearingHouse",
"name": "Is Clearing House",
"acronym": "Y",
"description": "Contract creator is the clearing house."
},
{
"option": "1",
"identifier": "isNotClearingHouse",
"name": "Is Not Clearing House",
"acronym": "N",
"description": "Contract creator is not the clearing house."
}
],
"default": "",
"description": "Indicates wheter CRID takes a clearing house function or not. In other word, whether CRID receive margins (MRIM, MRVM)."
},
"collateralCurrency": {
"identifier": "collateralCurrency",
"group": "Collateral",
"name": "Collateral Currency",
"acronym": "COCU",
"type": "Varchar",
"allowedValues": [
"ISO4217"
],
"default": "",
"description": "The currency of the collateral to be supplied for securing a contract."
},
"contractDealDate": {
"identifier": "contractDealDate",
"group": "Notional Principal",
"name": "Contract Deal Date",
"acronym": "CDD",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "This date signifies the origination of the contract where an agreement between the customer and the bank has been settled. From this date on, the institution will have a (market) risk position for financial contracts. This is even the case when IED is in future."
},
"contractID": {
"identifier": "contractID",
"group": "Contract identification",
"name": "Contract Identifier",
"acronym": "CID",
"type": "Varchar",
"allowedValues": [],
"default": "",
"description": "Unique identifier of a contract. \nIf the system is used on a single firm level, an internal unique ID can be generated. If used on a national or globally level, a globally unique ID is required."
},
"contractPerformance": {
"identifier": "contractPerformance",
"group": "Counterparty",
"name": "Contract Performance",
"acronym": "PRF",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "performant",
"name": "Performant",
"acronym": "PF",
"description": "Contract is performing according to terms and conditions."
},
{
"option": "1",
"identifier": "delayed",
"name": "Delayed",
"acronym": "DL",
"description": "Contractual payment obligations are delayed according to the Grace Period."
},
{
"option": "2",
"identifier": "delinquent",
"name": "Delinquent",
"acronym": "DQ",
"description": "Contractual payment obligations are delinquent according to the Delinquency Period."
},
{
"option": "3",
"identifier": "default",
"name": "Default",
"acronym": "DF",
"description": "Contract defaulted on payment obligations according to Delinquency Period."
},
{
"option": "4",
"identifier": "matured",
"name": "Matured",
"acronym": "MA",
"description": "Contract matured."
},
{
"option": "5",
"identifier": "terminated",
"name": "Terminated",
"acronym": "TE",
"description": "Contract has been terminated."
}
],
"default": "PF",
"description": "Indicates the current contract performance status. Different states of the contract range from performing to default."
},
"contractRole": {
"identifier": "contractRole",
"group": "Contract identification",
"name": "Contract Role",
"acronym": "CNTRL",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "realPositionAsset",
"name": "Real Position Asset",
"acronym": "RPA",
"description": "Contract creator takes the asset or lender side."
},
{
"option": "1",
"identifier": "realPositionLiability",
"name": "Real Position Liability",
"acronym": "RPL",
"description": "Contract creator takes the liability or borrower side. "
},
{
"option": "2",
"identifier": "receiveFirstLegl",
"name": "Receive First Leg",
"acronym": "RFL",
"description": "Contract creator receives the first leg. "
},
{
"option": "3",
"identifier": "payFirstLeg",
"name": "Pay First Leg",
"acronym": "PFL",
"description": "Contract creator pays the first leg."
},
{
"option": "4",
"identifier": "receiveFix",
"name": "Receive Fix",
"acronym": "RF",
"description": "Contract creator receives the fixed leg."
},
{
"option": "5",
"identifier": "payFix",
"name": "Pay Fix",
"acronym": "PF",
"description": "Contract creator pays the fixed leg."
},
{
"option": "6",
"identifier": "buyer",
"name": "Buyer",
"acronym": "BUY",
"description": "Contract creator holds the right to buy the underlying / exercise the option. "
},
{
"option": "7",
"identifier": "seller",
"name": "Seller",
"acronym": "SEL",
"description": "Contract creator holds the obligation to sell the underlying / deliver the option. "
},
{
"option": "8",
"identifier": "collateralPosition",
"name": "Collateral Position",
"acronym": "COL",
"description": "Contract represents a collateral to an underlying instrument"
},
{
"option": "9",
"identifier": "closeOutNetting",
"name": "Close out Netting",
"acronym": "CNO",
"description": "Contract creator and counterparty agree on netting payment obligations of underlying instruments in case of default. "
},
{
"option": "10",
"identifier": "underlying",
"name": "Underlying",
"acronym": "UDL",
"description": "Contract represents the underlying to a composed contract. Role of the underlying is derived from the parent. "
},
{
"option": "11",
"identifier": "underlyingPlus",
"name": "Underlying Plus",
"acronym": "UDLP",
"description": "Contract represents the underlying to a composed contract. Role of the underlying is derived from the parent. When considered a standalone contract the underlying’s creator takes the asset side. "
},
{
"option": "12",
"identifier": "underlyingMinus",
"name": "Underlying Minus",
"acronym": "UDLM",
"description": "Contract represents the underlying to a composed contract. Role of the underlying is derived from the parent. When considered a standalone contract the underlying’s creator takes the liability side."
}
],
"default": "",
"description": "CNTRL defines which position the CRID ( the creator of the contract record ) takes in a contract. For example, whether the contract is an asset or liability, a long or short position for the CRID. \nMost contracts are simple on or off balance sheet positions which are assets, liabilities. Such contracts can also play a secondary role as a collateral. \nThe attribute is highly significant since it determines the direction of all cash flows. The exact meaning is given with each CT in the ACTUS High Level Specification document."
},
"contractStructure": {
"identifier": "contractStructure",
"group": "Contract identification",
"name": "Contract Structure",
"acronym": "CTS",
"type": "ContractReference[]",
"allowedValues": [],
"default": "",
"description": "A structure identifying individual or sets of underlying contracts. E.g. for FUTUR, this structure identifies the single underlying contract, for SWAPS, the FirstLeg and SecondLeg are identified, or for CEG, CEC the structure identifies Covered and Covering contracts."
},
"contractType": {
"identifier": "contractType",
"group": "Contract identification",
"name": "Contract Type",
"acronym": "CT",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "principalAtMaturity",
"name": "Principal at Maturity",
"acronym": "PAM",
"description": "Lending agreements with full amortization at maturity."
},
{
"option": "1",
"identifier": "annuity",
"name": "Annuity",
"acronym": "ANN",
"description": "Lending agreements with fixed periodic payments consisting of an interest and principal portion. The periodic payments are adjusted for variable rate instruments such that maturity remains fixed."
},
{
"option": "2",
"identifier": "negativeAmortizer",
"name": "Negative Amortizer",
"acronym": "NAM",
"description": "Lending agreements with fixed periodic payments consisting of an interest and principal portion. Maturity changes for variable rate instruments. "
},
{
"option": "3",
"identifier": "linearAmortizer",
"name": "Linear Amortizer",
"acronym": "LAM",
"description": "Lending agreements with fixed principal repayment amounts and variable interest payments."
},
{
"option": "4",
"identifier": "exoticLinearAmortizer",
"name": "Exotic Linear Amortizer",
"acronym": "LAX",
"description": "Lending agreements with exotic repayment schedules."
},
{
"option": "5",
"identifier": "callMoney",
"name": "Call Money",
"acronym": "CLM",
"description": "Lonas that are rolled over as long as they are not called. Once called it has to be paid back after the stipulated notice period."
},
{
"option": "6",
"identifier": "undefinedMaturityProfile",
"name": "Undefined Maturity Profile",
"acronym": "UMP",
"description": "Interest paying cash accounts (current / savings / etc.). "
},
{
"option": "7",
"identifier": "cash",
"name": "Cash",
"acronym": "CSH",
"description": "Represents cash holdings. "
},
{
"option": "8",
"identifier": "stock",
"name": "Stock",
"acronym": "STK",
"description": "Represents stocks/shares/equity. "
},
{
"option": "9",
"identifier": "commodity",
"name": "Commodity",
"acronym": "COM",
"description": "Represents commodities. "
},
{
"option": "10",
"identifier": "swap",
"name": "Swap",
"acronym": "SWAPS",
"description": "An agreement of swapping two legs such as fixed against variable or currency 1 against currency 2 etc. "
},
{
"option": "11",
"identifier": "plainVanillaSwap",
"name": "Plain Vanilla Swap",
"acronym": "SWPPV",
"description": "Plain vanilla interest rate swaps. "
},
{
"option": "12",
"identifier": "foreignExchangeOutright",
"name": "Foreign Exchange Outright",
"acronym": "FXOUT",
"description": "An agreement of swapping two cash flows in different currencies at a future point in time. "
},
{
"option": "13",
"identifier": "capFloor",
"name": "Cap and Floor",
"acronym": "CAPFL",
"description": "An agreement of paying the differential (cap or floor) of a reference rate versus a fixed rate. "
},
{
"option": "14",
"identifier": "future",
"name": "Future",
"acronym": "FUTUR",
"description": "An agreement of exchanging an underlying instrument against a fixed price in the future. "
},
{
"option": "15",
"identifier": "option",
"name": "Option",
"acronym": "OPTNS",
"description": "Different types of options on buying an underlying instrument at a fixed price in the future. "
},
{
"option": "16",
"identifier": "creditEnhancementGuarantee",
"name": "Credit Enhancement Guarantee",
"acronym": "CEG",
"description": "A guarantee / letter of credit by a third party on the scheduled payment obligations of an underlying instrument "
},
{
"option": "17",
"identifier": "creditEnhancementCollateral",
"name": "Credit Enhancement Collateral",
"acronym": "CEC",
"description": "A collateral securing the scheduled payment obligations of an underlying instrument"
},
{
"option": "18",
"identifier": "certificate",
"name": "Certificate",
"acronym": "CERTF",
"description": "A certificate letting the buyer participate in the performance of an underlying instrument. Often comes with specific rights of redemption and termination and also special features on the payoff."
},
{
"option": "19",
"identifier": "collateralizedLendingAgreement",
"name": "Collateralized Lending Agreement",
"acronym": "COLLA",
"description": "A bullet-type lending agreement (PAM) secured by a collateral."
}
],
"default": "",
"description": "The ContractType is the most important information. It defines the cash flow generating pattern of a contract. The ContractType information in combination with a given state of the risk factors will produce a deterministic sequence of cash flows which are the basis of any financial analysis."
},
"counterpartyID": {
"identifier": "counterpartyID",
"group": "Counterparty",
"name": "Counterparty Identifier",
"acronym": "CPID",
"type": "Varchar",
"allowedValues": [],
"default": "",
"description": "CPID identifies the counterparty to the CRID in this contract.\nCPID is ideally the official LEI which can be a firm, a government body, even a single person etc. However, this can also refer to a annonymous group in which case this information is not to be disclosed. CPID may also refer to a group taking a joint risk or more generally, CPID is the main counterparty, against which the contract has been settled."
},
"couponAmountFixed": {
"identifier": "couponAmountFixed",
"group": "Coupon",
"name": "Coupon Amount Fixed",
"acronym": "COAF",
"type": "Real",
"allowedValues": [],
"default": "0",
"description": "The coupon amount fixed at the most recent coupon day and due for payment."
},
"couponRate": {
"identifier": "couponRate",
"group": "Coupon",
"name": "Coupon Rate",
"acronym": "CORT",
"type": "Real",
"allowedValues": [],
"default": "0",
"description": "The fixed coupon applicable (if any). Applies in conjunction with couponType=FIX (fixed)."
},
"couponType": {
"identifier": "couponType",
"group": "Coupon",
"name": "Coupon Type",
"acronym": "COTP",
"type": "Enum",
"allowedValues": [
{
"option": "0",
"identifier": "none",
"name": "No Coupon",
"acronym": "NOC",
"description": "No coupon is paid."
},
{
"option": "1",
"identifier": "fixed",
"name": "Fixed Coupon",
"acronym": "FIX",
"description": "A fixed coupon is paid according to the couponRate."
},
{
"option": "2",
"identifier": "fixedConditional",
"name": "Fixed Conditional Coupon",
"acronym": "FCN",
"description": "A fixed coupon is paid conditional to sufficient liquidity."
},
{
"option": "3",
"identifier": "performance",
"name": "Performance Based",
"acronym": "PRF",
"description": "The coupon paid is based on the performance of the underlying instrument."
}
],
"default": "NOC",
"description": "The type of coupon applicable."
},
"coverageOfCollateral": {
"identifier": "coverageOfCollateral",
"group": "Collateral",
"name": "Coverage Of Collateral",
"acronym": "COCO",
"type": "Real",
"allowedValues": [
"(0,Infinity)"
],
"default": "",
"description": "The coverage of contract nominal value that the collateral must maintain. i.e. if coverageOfCollateral=0.5 the market value of the collateral must always be higher than 50% of the nominal value of the contract."
},
"coverageOfCreditEnhancement": {
"identifier": "coverageOfCreditEnhancement",
"group": "Counterparty",
"name": "Coverage Of Credit Enhancement",
"acronym": "CECV",
"type": "Real",
"allowedValues": [
"(0,1)"
],
"default": "1",
"description": "Defines which percentage of the exposure is covered"
},
"creatorID": {
"identifier": "creatorID",
"group": "Contract identification",
"name": "Creator Identifier",
"acronym": "CRID",
"type": "Varchar",
"allowedValues": [
[
]
],
"default": "",
"description": "This identifies the legal entity creating the contract record. The counterparty of the contract is tracked in CPID.\nCRID is ideally the official LEI which can be a firm, a government body, even a single person etc. However, this can also refer to a annonymous group in which case this information is not to be disclosed. CRID may also refer to a group taking a joint risk."
},
"creditEventTypeCovered": {
"identifier": "creditEventTypeCovered",
"group": "Counterparty",
"name": "Credit Event Type Covered",
"acronym": "CETC",
"type": "Enum[]",
"allowedValues": [
{
"option": "0",
"identifier": "delayed",
"name": "Delayed",
"acronym": "DL",
"description": "Delay of the underlying represents a credit event."
},
{
"option": "1",
"identifier": "delinquent",
"name": "Delinquent",
"acronym": "DQ",
"description": "Delinquency of the underlying represents a credit event."
},
{
"option": "2",
"identifier": "default",
"name": "Default",
"acronym": "DF",
"description": "Default of the underlying represents a credit event."
}
],
"default": "DF",
"description": "The type of credit events covered e.g. in credit enhancement or credit default swap contracts. Only the defined credit event types may trigger the protection."
},
"creditLineAmount": {
"identifier": "creditLineAmount",
"group": "Notional Principal",
"name": "Credit Line Amount",
"acronym": "CLA",
"type": "Real",
"allowedValues": [
"Positive"
],
"default": "",
"description": "If defined, gives the total amount that can be drawn from a credit line. The remaining amount that can still be drawn is given by CLA-NT.\nFor ANN, NAM, the credit line can only be drawn prior to PRANX-1PRCL.\nFor CRL, the remaining amount that can still be drawn is given by CLA-Sum(NT of attached contracts)."
},
"currency": {
"identifier": "currency",
"group": "Notional Principal",
"name": "Currency",
"acronym": "CUR",
"type": "Varchar",
"allowedValues": [
"ISO4217"
],
"default": "",
"description": "The currency of the cash flows."
},
"currency2": {
"identifier": "currency2",
"group": "Notional Principal",
"name": "Currency 2",
"acronym": "CUR2",
"type": "Varchar",
"allowedValues": [
"ISO4217"
],
"default": "",
"description": "The currency of the cash flows of the second leg (if not defined, main currency applies)\n"
},
"cycleAnchorDateOfCoupon": {
"identifier": "cycleAnchorDateOfCoupon",
"group": "Coupon",
"name": "Cycle Anchor Date Of Coupon",
"acronym": "COANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "The start date of the Coupon Day schedule. i.e. this is the very first regular Coupon Day. After this day periodic Coupon Days are scheduled through the Cycle of Coupon Day."
},
"cycleAnchorDateOfDividend": {
"identifier": "cycleAnchorDateOfDividend",
"group": "Dividend",
"name": "Cycle Anchor Date Of Dividend",
"acronym": "DIANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the dividend payment date schedule is calculated according to the cycle length. The first dividend payment event takes place on this anchor."
},
"cycleAnchorDateOfFee": {
"identifier": "cycleAnchorDateOfFee",
"group": "Fees",
"name": "Cycle Anchor Date Of Fee",
"acronym": "FEANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the fee payment date schedule is calculated according to the cycle length. The first fee payment event takes place on this anchor."
},
"cycleAnchorDateOfInterestCalculationBase": {
"identifier": "cycleAnchorDateOfInterestCalculationBase",
"group": "Interest",
"name": "Cycle Anchor Date Of Interest Calculation Base",
"acronym": "IPCBANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the interest calculation base date schedule is calculated according to the cycle length. The first interest calculation base event takes place on this anchor."
},
"cycleAnchorDateOfInterestPayment": {
"identifier": "cycleAnchorDateOfInterestPayment",
"group": "Interest",
"name": "Cycle Anchor Date Of Interest Payment",
"acronym": "IPANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the interest payment date schedule is calculated according to the cycle length. The first interest payment event takes place on this anchor."
},
"cycleAnchorDateOfMargining": {
"identifier": "cycleAnchorDateOfMargining",
"group": "Margining",
"name": "Cycle Anchor Date Of Margining",
"acronym": "MRANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the margin call date schedule is calculated according to the cycle length. The first margin call event takes place on this anchor."
},
"cycleAnchorDateOfOptionality": {
"identifier": "cycleAnchorDateOfOptionality",
"group": "Optionality",
"name": "Cycle Anchor Date Of Optionality",
"acronym": "OPANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Used for Basic Maturities (such as PAM, RGM, ANN, NGM and their Step-up versions) and American and Bermudan style options. \n- Basic Maturities: Within the group of these Maturities, it indicates the possibility of prepayments. Prepayment features are controlled by Behavior. \n- American and Bermudan style Options: Begin of exercise period."
},
"cycleAnchorDateOfPrincipalRedemption": {
"identifier": "cycleAnchorDateOfPrincipalRedemption",
"group": "Notional Principal",
"name": "Cycle Anchor Date Of Principal Redemption",
"acronym": "PRANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the principal payment date schedule is calculated according to the cycle length. The first principal payment event takes place on this anchor."
},
"cycleAnchorDateOfRateReset": {
"identifier": "cycleAnchorDateOfRateReset",
"group": "Rate Reset",
"name": "Cycle Anchor Date Of Rate Reset",
"acronym": "RRANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the rate reset date schedule is calculated according to the cycle length. The first rate reset event takes place on this anchor."
},
"cycleAnchorDateOfRedemption": {
"identifier": "cycleAnchorDateOfRedemption",
"group": "Redemption",
"name": "Cycle Anchor Date Of Redemption Day",
"acronym": "REANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "The start date of the Redemption Day schedule. i.e. this is the very first regular Redemption Day. After this day periodic Redemption Days are scheduled through the Cycle of Redemption Day."
},
"cycleAnchorDateOfScalingIndex": {
"identifier": "cycleAnchorDateOfScalingIndex",
"group": "Notional Principal",
"name": "Cycle Anchor Date Of Scaling Index",
"acronym": "SCANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "Date from which the scaling date schedule is calculated according to the cycle length. The first scaling event takes place on this anchor."
},
"cycleAnchorDateOfTermination": {
"identifier": "cycleAnchorDateOfTermination",
"group": "Redemption",
"name": "Cycle Anchor Date Of Termination",
"acronym": "TDANX",
"type": "Timestamp",
"allowedValues": [
"ISO8601 Datetime"
],
"default": "",
"description": "The start date of the Termination Day schedule. i.e. this is the very first regular Termination Day. After this period Termination Days are scheduled according to the Cycle Of Termination Day."
},
"cycleOfCoupon": {
"identifier": "cycleOfCoupon",
"group": "Coupon",
"name": "Cycle Of Coupon",
"acronym": "COCL",
"type": "Cycle",
"allowedValues": [
"[ISO8601 Duration]L[s={0,1}]"
],
"default": "",
"description": "The period according to which Coupon Days are scheduled."
},
"cycleOfDividend": {
"identifier": "cycleOfDividend",
"group": "Dividend",
"name": "Cycle Of Dividend",
"acronym": "DICL",
"type": "Cycle",
"allowedValues": [
"[ISO8601 Duration]L[s={0,1}]"
],
"default": "",
"description": "Defines in combination with DVANX the payment points of dividends. The dividend payment schedule will start at DVANX and end at MaximumProjectionPeriod (cf. sheet Modeling Parameters)."
},